Got it. An interesting intellectual exercise. Sort of like curve fitting a curve fit.
The Rise and Fall of Mechanical Trading Systems
- Thread starter DT-waw
- Start date
Got it. An interesting intellectual exercise. Sort of like curve fitting a curve fit.
Just FYI, a few of us here like to play a game and place side bets with each other: how many questions do I have to ask a poster to find out if he has a clue about trading?
i take the challange. please ask Art!
fully agree that most public systems are a waste of time.
BUT! perhaps there are few exceptions worth tracking and researching.
my bet is known since the first post- we will likely not find them.
however, let's give credit to the systems i've selected and see what the future will show. your input is welcome.
fully agree that most public systems are a waste of time.
BUT! perhaps there are few exceptions worth tracking and researching.
my bet is known since the first post- we will likely not find them.
however, let's give credit to the systems i've selected and see what the future will show. your input is welcome.
I'll counter with this....you've spent your fair share of hours watching screens, doing analysis, and trading. More than many others on here have, I'm sure. That dream was the result of your blood, sweat, tears and knowledge. IMO I would prefer to have mine come from a dream. So no, it doesn't hah.
Quote from athlonmank8:
I'll counter with this....you've spent your fair share of hours watching screens, doing analysis, and trading. More than many others on here have, I'm sure. That dream was the result of your blood, sweat, tears and knowledge. IMO I would prefer to have mine come from a dream. So no, it doesn't hah.
Sie haben recht! But what pisses me off is that I routinely have trading dreams that make no sense. One recently was of two histogrammed time series that I cross-correlated with about an 80% correlation coefficient. About as tight a linear regression as you could expect from a real-world statistical exspermiment. But I haven't the slightest fucking clue what the two times series were.
DT, I don't know what part of this world you are from. One presumes you are not transmitting in from the outside, but I rule out nothing. So let me tell you a brief story about the Sufi mullah Nasruddin:
A neighbor came upon Nasruddin one dark night down on his hands and knees beneath a street lamp. "Nasruddin, what are you doing down there?" "I am looking for my lost keys!" "I'll help. Where exactly did you drop them?" "Over by the front door to my house." "Then why are you looking for them here?" "Because the light is better!"
This story has two meanings for you.
A neighbor came upon Nasruddin one dark night down on his hands and knees beneath a street lamp. "Nasruddin, what are you doing down there?" "I am looking for my lost keys!" "I'll help. Where exactly did you drop them?" "Over by the front door to my house." "Then why are you looking for them here?" "Because the light is better!"
This story has two meanings for you.
Still a very small and possibly biased sample. If someone has a system with an edge it is easy to attract big money. Look for examples of funds like Chesapeake that use systematic trend following
http://www.autumngold.com/Advisor/Statistics/cta_profile.php?id=388
In 20 years only one losing year. You will not find their system in the TS website. This is a blogpost that analyzes the results
http://www.priceactionlab.com/Blog/2010/11/the-bootstrap-method-for-hypothesis-testing/
The systems you are looking at are probably developed by amateurs with little or no trading experience who have nothing to lose posting them.
Because your thread is the most interesting one running today. And because I am forcing myself to watch the market I trade, knowing full well it isn't going to do shit today. And because all my favorite porn sites don't update today. So harassing innocents on ET is my only distraction.