trend following delusion shattered

winter · Mar 22, 2005

Having made the mistake of subscribing to this thread and consequently reading every post in it, I have noticed that while the OP may be stubborn (putting it kindly) he is also calm and reasonably polite. This is in contrast to certain folks that have taken to using obscenities and launching ad hominem attacks.

While I know its frustrating to debate someone that does not agree with you, simply hurling insults doesnât really do anyone any favors and certainly does not increase the credibility of your argument.

Itâs not like you are forced to read this thread, if the premise/question bothers you so much why donât you just ignore it and move on? To those who have made the few intelligent posts here, my thanks.

Banjo · Mar 22, 2005

Re: Lefty's index arb/program trades

http://www.indexarb.com/

If you do the work, are observant and persistent you can get a feel for it. Most systems will have the premium available to chart or create a simple alert list. If the difference in price between the futs and cash expands X amount above the premium it is going to contract, period. The opposite is also true. The index arbs accomplish this via program trades, selling the cash, buying futs or the opposite. This creates micro trends, some better than others, that are predictable because index arbs HAVE TO DO IT, THAT IS THE GAME THEY ARE PLAYING. That is their sure money game as many times a day as it presents itself according to the parameters they have selected for that day. The best tools to capture these predictable micro trends are front ends that allow brackets with preset stop outs and stop targets. Obviously some extant situations will be better than others. It takes some study, some players use it to keep them in or get out of trades they have on.

hank rollins · Mar 22, 2005

Quote from NickelScalper:

Is that the royal "we" you are using?

You really are the most amusing poster on ET.

As far as your convoluted query goes, my question to you was first and on topic and so takes precedence. In other words, after you.

first the little leaguer confuses trend with arbitrage then he gets index arb mixed up with program trading, by stating all program trading is index arb. to top it off, if we disagree with him--he threatens physical violence and resorts to personal verbal attacks. what's up with this guy ?

hank rollins · Mar 22, 2005

Quote from Banjo:

Re: Lefty's index arb/program trades

http://www.indexarb.com/

whoa, looks like someone seriously RIPPED off HL Camp and co.

thanks for the heads up.

is that really his site ?

hank rollins · Mar 22, 2005

Quote from roberk:

Hank and Nickel,
being looking at the thread off and on. You make a lot of sense.
For various reasons at times markets do trend.
The crucial issue is how much anyone really knows about whether the market is going to continue in the same direction for another minute, hour or week just from looking at a chart.

If it was as easy as looking at a charts 'trend', and hopping on, then all of us would be millionaires by now...

exactly ! sure some price series have trending characteristics historically. however, if some of the gurus on this thread could really do what they claim consistently, they would be the top money managers on earth, and richer than soros, et al .

nice post.

hank rollins · Mar 22, 2005

Quote from illiquid:

Thought about this again picking up a case of white castles, and wondered:

What if that trader always used a 4-tick stoploss, 40-tick target exit upon entry? Wouldn't random entries almost guarantee losses? Wouldn't consistent profitability show that the entry was in fact valid as an edge?

What if this trader, given a random position, actually was a horrible trader in that situation because he continually sold relative lows and bought relative highs on exit? Would you still consider him skilled as a trader? What if you knew he had to turn off his screen because he was such a horrible trader, so he wouldn't mess around with his "bogus" trend/TA-generated signal? What else would then explain his profitability, if not his entry?

white castle ?? dude, you rock ! have not seen a white castle in 25 years--- do they still sell burgers by the dozen about the size of a quarter each ? LOL !

its his edge, due to his skill as a trader. one could not quantify and exploit his method. his method is entirely dependent on him.

hank rollins · Mar 22, 2005

Quote from 5yrtrader:

Maybe you should try it yourself.

Cordially

5yr

some people actualy have the nerve to call my index system--"trend following".

easyrider · Mar 22, 2005

Perhaps you arb guys can answer something for me. It would seem to me that there would be a lot of arbing going on with the dow because there are only 30 components yet the low volume in YM seems to contradict this, unless there are a lot of trades taking place off the screen somewhere. Any input would be much appreciated.

hank rollins · Mar 22, 2005

Quote from 5yrtrader:

I think I showed you that by using a simple 50/200 day MA crossover to define the trend and trading in that direction you had a 52% chance of a profitable movement. Now you can set d to whatever you want it to be.

Your a F%#king Retard,

5yr

sure, your system is curve fitted, ofcourse you will have those results. show me today, an instrument that fits your criteria, so that future movement can be surmised.

hank

hank rollins · Mar 22, 2005

Quote from roberk:

Are arbitrage program trades now considered trend trading?

-----------------------------------------------------------------------------------
2. Institutional traders are excuting program trades (also known as index arbitrage) every day.

funny ! i have cut out that post of his and hung it on the trading room wall for humour thru out the day.

LOL !