Quote from Emilio_Lizardo:
You are delusional. Anyone who knows Perry, knows that he is a mental lightweight, who (like Ernie Chan and many others) has never made money trading. Ernie, on the other hand, is fairly bright, at least one sigma smarter than Kaufman, probably two.
Perry worked for John Deuss for quite some time. I once asked John if Perry had ever come up with an idea or system that made money. Not once, Deuss answered.
You are correct about Ernie's lack of trading success (so far!), he freely admits as much. Not every quant with something valuable to say makes money trading -- c.f. Fischer Black or Espen Haug, for example.
Quote from Emilio_Lizardo:
Much of the material in the book came from the gated portion of his site, not the free blog. The gated section cost $4.95 per month prior to the publication of the book. Now it is free if you read the book, as a login/password pair is printed therein.
The book is a brief introduction to the field. It is being dissed for not being something it was never intended to be.
Quote from Emilio_Lizardo:
Much of the material in the book came from the gated portion of his site, not the free blog. The gated section cost $4.95 per month prior to the publication of the book. Now it is free if you read the book, as a login/password pair is printed therein.
The book is a brief introduction to the field. It is being dissed for not being something it was never intended to be.
Regarding my idea, I did tests on some of my systems (see attachment), with several settings: last 5, 10, 20, 40, 80 trades. None worked. If I stop the system from trading when the last 10 trades (or any of the above settings) profit is negative, their overall net profit gets worse: from about a 50% of the original profit with a low number of trades (e.g.: 5, 10), to about 80% of the original profit with higher number of trades (simply because those requirement exclude fewer trades).Quote from travis:
I would like to know your opinion on whether it makes sense to apply to all my 33 systems the following requirement for trading real money: the overall profit of the last 10 trades must be more than zero.
My hope is avoid big drawdowns and avoid using systems that have stopped working.
I thought my idea of a filter made sense, but since tests say it doesn't work, even if I don't completely understand why, I will not use it.If there is no trend at all in negative trades and they are distributed far apart and randomly, then my idea doesn't make sense.
But if the bad trades stick together, or, even more important, if my system stops working for any reason, then this requirement makes sense in my opinion and it's the only way to protect myself (even though I didn't test it for the past). Also, the fact of requiring a profitable last 10 trades - even if it didn't help at all - still it doesn't keep the system from working in the future, as soon as the last ten trades show an overall profit. In the worst possible situation, it would just stop my system for a few trades in a random period. If we argued instead that it stops my system in the best period, then that would mean that it would make sense to do the opposite and only let the system trade AFTER a sequence of losers.
I think overall my rule either helps or leaves the system the same, so in both cases it should be used.
Quote from travis:
Regarding my idea, I did tests on some of my systems (see attachment), with several settings: last 5, 10, 20, 40, 80 trades. None worked. If I stop the system from trading when the last 10 trades (or any of the above settings) profit is negative, their overall net profit gets worse: from about a 50% of the original profit with a low number of trades (e.g.: 5, 10), to about 80% of the original profit with higher number of trades (simply because those requirement exclude fewer trades).
Here's what I thought BEFORE conducting the tests, in a note I wrote:I thought my idea of a filter made sense, but since tests say it doesn't work, even if I don't completely understand why, I will not use it.
Oh wait, I think I know why it doesn't work. The bad trades do not come in groups, and my requirement simply filters out random trades: but since the system obviously is a profitable one, it randomly filters out also a majority of good trades, thereby decreasing overall profit (the filters using a larger number of trades work better simply because they exclude fewer trades). Actually this is the proof that bad trades, at least as far as my systems go, are not grouped together, do not come in cycles, in trends, in predictable patterns.
I will keep a record of the last ten trades just to know what risks I am taking with a system or another, but I will not use it as a filter.
Oh wait, I was forgetting something important. If the profit of a system decreased by 20% and the number of trades decreased by 50% that would still mean the filter is good. So I'll check for that as well...
Nothing. The trades decrease even less than profit. So it actually tends to get rid of the good ones even more than randomly (but not enough to implement a filter that only trades after good trades). Ok, so this filter is abandoned.
Quote from travis:
Thanks, very good remark. I don't feel like ten years of work is enough to be entitled to a pension for the rest of my life. And I was wondering if others felt the same, and felt this pension was going to last.Quote from fkbsuhites:
As my automated trading keeps on producing money, the same question keeps on popping up in my mind: how can it be possible? How can I, from home, with my very limited means, limited knowledge, limited capital, make money, pretty consistently, and without doing anything?
Your commentary is contradictory
I have worked at it for 10 years. During all these years, despite what others around me were saying, I thought I would ultimately make it and find a way to make money trading. Yet now that it's happening I still wonder, often - how can it be possible?
What's the answer? Tell me.
It's like a postman pulling in a guaranteed pension after a decade of work. Now sitting around and wondering how it's possible he has money coming in with no work.