Trend Following--Another Nail In The Coffin

Quote from marketsurfer:

ok, thanks for explaining what you mean.

the constant volume chart would provide a differing number of "bars" during each time frame. for example--- every hour would have plus or minus bars depending on the volume?? please advise if im missing anything here.--- prior to the deconstruction of the fable.

surf:D :D
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Markets aren't traded on time they are traded in shares or contracts. The bars per minute or hour are irrelevant. The fable is the accuracy associated with the inconsistent way individuals view the markets using variable environments.
 
Quote from marketsurfer:

JH--Covel's response to the criticism:

http://www.michaelcovel.com/archives/001283.html


surf
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I wasn't responding to the details of the 2 minute snippet, particularly.

Primarily, I was addressing your commentary and inquiry about the Covel snippet.

His editing deleted your statement, unfortunately. So it goes.

Covel referred to 5 Q's. they are Q's relative to a undefined (in the book) trend following system. The TFS Determines:

1. what market

2. how much

3. when in

4. when out of a loser.

5. when out of a winner.

For me the answers for a TFS are:

1. All markets, any fractal.

2. 10% of the daily volume for each instrument in the market

3. All the time during RTH's.

4. N/A

5. At the end of each trending leg on that fractal starting with level 3 channels, going to level 3 and 2 channels and finally, at expert levels 3, 2 and 1.

The answer to 1 is the test of whether a TFS works. The difference between random performance and the TFS is determined by monte Carlo. For PVT we used 400,000 runs. lol.

For 2, the limit is determined by the % that has no statisitically significant effect on the market traded.

The answer to 3 is prima facia. To make money you have to be in the market, on the right side and in all the time price is changing.

4. is an unecesary question since item 3 oputs the traders as far away from losses as it possible.
All of this is foreign to Covel. As yet he, pring and abunch of others I typed in this tread do not even know that trends over lap.

Obviously, the TFS uses the knowledge, skills and experience of the user to determine how effectively, efficient and optimally the 1, 2, 3, and 5 are handled. It takes a while to "see" manually or automatically what is going on during RTH's. There is but one way to construct a TFS logically. Covel etr all have never run into such a critcal thinking situation that they could observe as yet. that is the way it is and that it the way compilers of infomation pile up stuff and bundle it into books and chapters. Page 220 is very humorous. What would be the read if a rational critical thought process were used to present Trading Systems?

the only way it is going to appear on the blog mentioned is as a quote from someone other than Covel or a screen play scriptwriter.
 
Marketsurfer, please do the following for your own sake.

1) Define what longer term means to you

2) Learn to define longer term trend.

3)Trade in that direction only.

Thank you for your time.:)
 
Quote from jack hershey:

See Attached
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What makes you think Wall Street 'may figure it out in a few years' (paraphrased), if they haven't already?

Or maybe a good number have and CO serves as useful paradigm for control and misdirection. Similar to organized religion.
 
Quote from achilles28:

What makes you think Wall Street 'may figure it out in a few years' (paraphrased), if they haven't already?

color=green]I've been looking around in many sectors. The more interesting are the large exhibitors at money meetings. They play the client numbers game.

I check out the new coming financial packaging. were it is a good idea to look at how the stream is pooled and what instruments are in the pooling. No one has a clue.

There is a great emphasis on what I would call the "sales efforts" to get money into the corporation paying the sales people.

All the retail is just slumbering along too.

There are the blow up people too. Watching Nitro and now readon metals and some of the C2 stuff. February 27th was particularly revealing as the blow up when from small people to larger and larger people. The account calls dominanted the "opportunity" for those who are opposite Taleb types. being able to monitor the failure rate is a significant way to be able to observe. Surfer doesn't count since he doesn't have a relation to he markets.

Look at the technicolor spectrum of the vender population as well. See the %'s there as the limiting function of their sales pitches. they CAN sell to a larger and larger audience and the products just produce this so so mediocre results.

This is the scene. It is a broad, very broad, slaes driven marketing operation in the fiancial industry.

When you look at the range of %'s that are attached to all the pieces of everything out there, they all look quite small.

Now take a look at who jumps ship by examining every nook and cranny of the places where players play (I could name 8 neat guys here). Also look at the people who have a deep "not invented here" hang up (Fidelity, for example)

Look at how the Goldman Saks "corporate book" cannot handle the "quants" on quant A. quant B and quant C. The iadeas cannot work their way up the line to influence let along change the "corporate" book.

Imagine that a reporter calls the equivalent of 202-456-1414 to reach a place where he could get answers on the alternative to all of the melieu above. Imagine. He would have to buck the system just as the Bobsie twins did for Watergate.

There are people who could be Redford. I did meet one in Greenwich around '64. He worked for a white paper outfit then. He put 2 and 2 together and so did the then director of marketing at PW. I escaped. (switzerland).

Paths of like minded people keep crossing. And it is inevitable that a group of them out there at somepoint will get together in the context of the financial industry turf and work in situ. It is just that so far there is no reason to do it for anyone or any group who is capable. The creation of a purpose is what would be hard to create.

If a guy jumps ship from Goldman Saks, he does not want to be just going from a building of some sort right to another building of the same sort. He knows that he knows and he also has other buddies sprinkled around that can play as he does. None of them do anymore than showing up a few times a year at the same place at the same time.

Look at a person who doesn't know but who did "do his thing". Look at SAC. Also look at the movie "boilerroom". What if Stevie or the boiler person knew what to do?

It appears that it comes down to a specific combo of ingredients. The combo has a people part, a leader part and "system part. There is no capital part, probably since capital "seeks" opportunity. There is no sales part either.

Wall Street has people and they cannot do the shift. Like the series 7 guy was chcked because he had a series 7. A person has to studiously avoid training in anything or he is dead. The leader is the coolest niche; those that are appearing are really neat people. They are doer's who have the scent and have had open enough minds to smell the real deal. Most people who are leaders got screwed by working their way into and up the sytem where they got mentally killed in the process so they are only consumate game players. Derman showed the world why the system is not buildable, ordinarily. so does LO and Greenspoon as they screw up a recognizable opportunity. steenbarger is humor and is the wizard book writer and those he bio'ed. The mold is so trenchant in the CO, that no one can ecsape it's gravity.

There are 15 or so very cool "systems" that are so workable. Going 20 years to be able to find a group to create, develop and implement a system would not be unusal in my opinion. Escaping the gravity of the CO is so difficult it isn't funny. If a person does jump ship, he simply has so much after that ,that there is little that can influence him to do anything other than just enjoy. Who cares if the shipment from Italy is three months late because of your insistence on the specs.

Lets say the combo appears. Then it will be a blast. Here is a scenario. Suppose ratesquad did write the two papers on the "WAll Street figure it out topic". He would get the 20,000 US and the 100,000EU. All he had to do was get the specs for the submission, make a phone call, jot down the stuff to write, write, and submit. the two papers would be in a pile with a lot of others. readers read; judges judge. who cares about the winner actually. the readers or the judges may be able to think. then they may chat. Then the ball may start rolling with a call to ratesquad. After that, the papers speak for themselves because ratesquad is the interpreter to "someone" who can think. This thinker could assemble the critical mass. Why? It is simply because the papers present a specific solution to an unsolved problem that the potential money can solve. This is connecting a pipeline of money to a problem.

You see, Wall Street doe not have a purpose that can be used for solving titanic problems. The papers of reatesquad enable a problem to be solved by connecting capital to the problem. Once the leader, people and system are build, then the team simply takes the capital from the source and applieds it to the problem.

This is an artificial way to introduce a new paradigm. the alternative hasn't happened because people with system are never "empty" and they just go about their lives having absolutely everything they want and need without doing any more than they feel like doing.

Here is another example: coolweb. He has been able to not see anything for several years. Others much newer and younger than him have seen the system. They have timelines for completing the transition to wealth. (Wealth is a pile of money that you give to someone to write checks to you for the rest of your life). The transition time is much shorter than coolweb has been posting. Coolweb is not a leader, not a people, and he is sitting right next to the system and not seeing it.

By now you have figured out that some leaders will get some people and about 15 different systems will come into implementation in the next few years.[/color]


Or maybe a good number have and CO serves as useful paradigm for control and misdirection. Similar to organized religion.

The "code" may be out there and organizations warring over keeping it out of sight and maintaining control of their "world". I think the sales aspect of the financial industry drives the "corporate books" The people of the industry are only so rich as we all see. gates is a good example of how a person slips into view and the financial industry cannot "see" him, even.

It just goes to show how a person can use something to get a measure. Gates needed his certificates measured. Of course, he was smart enough to create a great number of certificates and shares. That was the greatest idea Gates and his buddies ever had.

Now we pick up that idea and add a system, some people and a leader. Do you know what it would be like if "boiler room" used PVT to do it's thing and just took an override on account profits? lol....
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Most sharp people here at ET understand that MS is making a joke when he slams trend following. I am fairly certain that trend following is indeed what he does and the trades posted here at ET are actually the opposite of the trades that are being made by MS. --I am not certain what is being gained from this strategy, but hat's off, he has suckered several folks in.
:)
 
Quote from Buy1Sell2:

Most sharp people here at ET understand that MS is making a joke when he slams trend following. I am fairly certain that trend following is indeed what he does and the trades posted here at ET are actually the opposite of the trades that are being made by MS. --I am not certain what is being gained from this strategy, but hat's off, he has suckered several folks in.
:)
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I don't think so.

He is an easy guy to "read".

Furthermore, he fails to understand most of what financial professionals write.

You can take anyone on ET and do a histogram of their knowledge skills and experience. Lets say you also have a set of milestones and branches that are commonly taken. The patterns turn out to follow just a range (several) of specific pathways to either success or to the point of no return then failure.

Once you peg where a person is, it is much easier to understand why that person does not accept or cannot accept input on particular topics.

DB, for example could only use right trendlines. He Traded only BO's of trendlines as a consequence. Most people still do: Pring, Velez, Turner, etc.

Once a person sees trendlines there is no assurance that they will go further. Before a person understands trendlines they do a class of edges. After they understand trendlines they do another class of edges or begin to actually trade the markets.

Here you also get to see a person who is not differentiating where the market is in terms of a general context. a person cannot trade in marketsurfer's style this year although that style could be used up to Novembr 2006.

If you want to see an example of this with another similar person check out nitro going through the latter half of 2006 until his demise. I admit that nitro was using significant money (relative to his capital) and marketsurfer uses other means of making money rather than trading for a living. Neither had to do partial fills relative to the market's capacity and both were entry/exit level traders.

At some point a trader can recognize to enter on the right trend line and exit on the left trend line. He may also see when trends begin and end at some point. This is neither on the right or left trend line.

Those exiting on the left trend line are a little premature but they make the money possible trading trends.

The next levels up in skills and knowledge go way past just trading the trend. The signals used on these levels are not part of MS's quiver in any way. Here is where people get to understand and trade from the beginning of a trend and they usually also trade within the trend because the opportunity is there.

Multi trend analysis is where its at. Deciding how many concurrent trends to examine is a very important consideration.

So far, MS has spent a very long time convincing himself that he is unable to commence the learning process related to trends. most all of what he hangs onto is other's similar failures to grasp how markets move and how market movement may be characterized.

It takes a great deal to play the game of humorously and consistently fooling those who may be able to observe the markets.

MS does occassionally get into disagreements with some people. This is a prima facia measure of his level of understanding with respect to the disagreement. He is unable to argue rationally on the positions he sometimes pronounces he is stuck with.

Here is a what if; look at it from the viewpoint of the consequences:

1. What if MS used a rule to geometrically draw the right boundary of price movement. (This is beyond drawing the left boundary (as Joepepper2001 does occasionally).

2. What if MS determined that there was an edge available in doing this.

3. What if MS detemined how to improve the "take" in using the respective edge.

4. What if MS recongnized that the psychology of price movement also afforded him the use of a second geometric boundary of price (the left trendline).

5. What if MS then saw that price traversed these boundaries

6. What if MS saw that he could use 1 through 4 to trade the traverses of 4.

7. What if MS found out where a trend bagan from this geometric effort.

8 . What if MS reapplied this again on a finer level.

Note the consequences to any person who has any of a range of math skills. Note the consequences if the person does not have any math skills to speak of.

So here, I could insert the various math skill sets for about 8 skill sets. Include the three most common divisions of the quant stuff.

Where is MS in this stuff? MS doesn't do math. were he to do math, he might be able to play as you suggest. It is not possible.


In general, the math applied to the markets doesn't have much of a yield in trems of differentiating a wide range of performances.

The Thunderdog range is the norm so far. While MS doesn't make any money, MS only loses money in the T dog range. Nitro wiped (blew out) on the other hand.

One thing is true, however. Doing the what if's does make the point that there is money available all of the time, and where someone to approach the opportunity rationally, it would be possible to take waht is offered. So far that is not happening as far as public knowledge is concerned.

TV should run a sit com on a group of people (Friends, or Sienfeld or talking heads money guys like CNBC or Bloomberg) where one of them in the group is like Tim Borge, Geoff Wong, John Netto, Jon Anderson, etc. and all the others are like the contemporary norm. Each week several people do what is commonly done and the odd ball guy does what is offered, all as a sit com, mind you.

It would be neat to use a bar like one in Chicago on the loop and week after week have the group do the bar scene with one person just laying it out to the others and, then, humorously, the others continually sticking to their guns saying that it wasn't done. MS is the inspiriation.

A Boiler Room movie could be done where two outfits were operating as hedge funds: one doing what is offered and the other doing the "sales" approach. Lots of humor day after day..
 
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