Cool.
Edit : BTW, what is JWH? (Not John W. Henry?)
Edit : BTW, what is JWH? (Not John W. Henry?)
trend following delusion shattered
- Thread starter hank rollins
- Start date
- Status
Here we go, here's the reference:
acrary
Registered: Apr 2002
Posts: 549
01-22-04 08:40 PM
In the spirit of those that would give up everything to be rich I thought I'd post something I learned years ago.
I used to be our firms representative to the FIA (Futures Industry Association). One of my duties was to attend monthly dinners with other members in the Wall Street area. At each dinner we'd have an open bar followed by dinner and finally a guest speaker would lecture us for awhile on some aspect of the industry. This was followed up with a Q&A session where any member could ask the guest questions.
At one dinner I attended, the guest speaker was a guy that is now a billionaire and owns a baseball team. His talk was about how he started and grew his firm to have such a impact on the CTA industry. One of the highlights of his style was his ability to dig out of deep holes at incredible rates. One month he'd be down 30% for the year and two months later he'd be up 25%. I don't know if he had too much to drink or was tired or what but in the Q&A he let slip too much info about how he got out of holes. I spent a couple of months trying to model his ruturns from the 80's. In the end I was able to closely match his performance with this general model:
1). Use two long term moving averages. Start long trades when the shorter crossed over the longer and start short trades when the shorter crossed under the longer.
2). Use 2% of account for each trade
3). Compute the price the market must reach tomorrow for the position to crossover. If the shorter MA is under the longer then we're short. We need to figure out the price the market must reach tomorrow for the price to crossover to a long. Ex. crossover for corn might be 2.52 and today's close might be 2.20 so the market would have to move .32 to hit the crossover.
4). When ahead from the last entry by the amount of the range to the crossover add another position (2% of account). Ex. If the crossover is .32 and you're ahead from the last position by .35 then add another position using (total account *.02)/ (contract multiplier * .32) to figure the number of contracts to add.
5). When the crossover happens, exit all positions at once. And initiate the first position going in the other direction.
6). Diversify into as many potential trending markets as possible ex. energy, currencies, etc.
Now that you know this billionaires secret I expect to see lots more millionaires in next years "How much did you make this year thread" (lol)
Good trading to all
acrary
Registered: Apr 2002
Posts: 549
01-22-04 08:40 PM
In the spirit of those that would give up everything to be rich I thought I'd post something I learned years ago.
I used to be our firms representative to the FIA (Futures Industry Association). One of my duties was to attend monthly dinners with other members in the Wall Street area. At each dinner we'd have an open bar followed by dinner and finally a guest speaker would lecture us for awhile on some aspect of the industry. This was followed up with a Q&A session where any member could ask the guest questions.
At one dinner I attended, the guest speaker was a guy that is now a billionaire and owns a baseball team. His talk was about how he started and grew his firm to have such a impact on the CTA industry. One of the highlights of his style was his ability to dig out of deep holes at incredible rates. One month he'd be down 30% for the year and two months later he'd be up 25%. I don't know if he had too much to drink or was tired or what but in the Q&A he let slip too much info about how he got out of holes. I spent a couple of months trying to model his ruturns from the 80's. In the end I was able to closely match his performance with this general model:
1). Use two long term moving averages. Start long trades when the shorter crossed over the longer and start short trades when the shorter crossed under the longer.
2). Use 2% of account for each trade
3). Compute the price the market must reach tomorrow for the position to crossover. If the shorter MA is under the longer then we're short. We need to figure out the price the market must reach tomorrow for the price to crossover to a long. Ex. crossover for corn might be 2.52 and today's close might be 2.20 so the market would have to move .32 to hit the crossover.
4). When ahead from the last entry by the amount of the range to the crossover add another position (2% of account). Ex. If the crossover is .32 and you're ahead from the last position by .35 then add another position using (total account *.02)/ (contract multiplier * .32) to figure the number of contracts to add.
5). When the crossover happens, exit all positions at once. And initiate the first position going in the other direction.
6). Diversify into as many potential trending markets as possible ex. energy, currencies, etc.
Now that you know this billionaires secret I expect to see lots more millionaires in next years "How much did you make this year thread" (lol)
Good trading to all
Check your email.
I just received Bruce's spreadsheet which, when not applied to the markets, looks capable of managing a space mission. I will try coming up with something that can beat my algorithm, either using plain vanilla KAMA or Bruce's refined method, whichever comes first.
If I don't succeed, what next?
If I don't succeed, what next?
Quote from hank rollins:
yes, you are missing my methodology. my journal, by the way, has been continued on my new site which i am not permitted by ET's guidelines to mention. my entry figures are based on time/price junctures and not past price. hope this makes sense.
Actually, I'm not quite sure that I follow. Although I am not a Gann proponent or even a neoGann proponent as you are (or even a post neo modern Gann aficionado, for that matter), it seems to me that you are forecasting price on the basis of past price, even if that past price happens to be one minute old one minute from now. It may appear to be different in form, but is it really different in substance insofar as price forecasting is concerned? After all, you are still making price projections and you are using price as a starting point (albeit in conjunction with time in some configuration or other). With that in mind, should people living in price/time continuums really be throwing Gann wheels?
Quote from Thunderdog:
Actually, I'm not quite sure that I follow. Although I am not a Gann proponent or even a neoGann proponent as you are (or even a post neo modern Gann aficionado, for that matter), it seems to me that you are forecasting price on the basis of past price, even if that past price happens to be one minute old one minute from now. It may appear to be different in form, but is it really different in substance insofar as price forecasting is concerned? After all, you are still making price projections and you are using price as a starting point (albeit in conjunction with time in some configuration or other). With that in mind, should people living in price/time continuums really be throwing Gann wheels?
yes, its very different. the simplistic HH, HL etc formulations with multi targets, as illustrated in proflogics journal, of the naive' trend followers are radically different than my index system. my system provides an exact entry point both short and long plus the channel where one remains flat. the 2 entry points are determined by the juncture of price and time--- ( gann was the original thinker behind this idea, but i am in no way a gann trader)
- Status