trend following - quo vadis?

[Holmes]

Quote from ProfLogic:

Ok Sherlock . . . I ask & you assume.

Please inform this ignorant child of life on the teachings of others that have flow charted their research.

<snip>

Yes the Chinese and Russians are the primary intellectual property thieves in the world though others are tempted as well.

"Many hear the words of wisdom but never open their minds to it's content." We could do this all day.

Am not assuming anything, I know what I know.

Unlike yourself I am a firm believer of the fact that "making one's thinking known will affect the profitability of one's system" so please do your own due diligent work.

But let me assure you that we have about two hundred books in our library and (from the top of my head) at least three are dealing with the very subject that you are trying to patent.

And as far as flow charting goes: That is nothing less and nothing more than a graphical representation of a decision tree and anyone who has ever made a mechanical system with an IF - THEN - ELSE statement has done this (in principle, perhaps not in a graphics representation but still the decision tree is there). Duh....

Therefor: Nothing new under the sun.

Sherlock

 

[slacker]

Quote from ProfLogic:

That isn't the flip side . . . that is how one abtains the full patent is through full disclosure.

True, full disclosure is the price you pay for a patent.

Within 18 months of the actual, not provisional, application being filed, the patent is 'published' on the Patent and Trademark site.

Notice the PTO search page is divided into two parts, the patents that have been 'granted' and those that have been 'published'.
http://www.uspto.gov/patft/index.html

All details of the patent application become public at the time the patent is published. Once the patent is published it may take another 1 or 2 years before an examiner is assigned to the application, and then another year before the application is 'granted' (if ever). A long road.

Provisional applications are not published as they are only a registration of the general concept used to begin the long process. The content of a provisional application is not reviewed for its 'patentability' or general merit in any way. All provisional applications are registered, not 'granted'. You fill out the PTO form, attach your description, pay the fee $100, you got the 'patent pending' provisional application. The Provisional application may be helpful in the future in setting a date to define 'prior art' claims or to define product royalty issues. The date is meaningless if the patent is never granted.

If I found a 'published' or 'granted' trading system through a patent search, there is nothing to keep me from using it for myself or learning from it. A patent, if granted, would have to be litigated successfully to make you some money. The defendant could at that time show many examples of trading system 'prior art' that would raise doubts on the unique value of the patent, even after it was awarded. (Look at TradingTechnologies patent squabbles for an example; but since a trading system is not hardware or software, defense may be more of a problem.)

If someone had a 'market edge' they might be well advised to keep it as a 'trade secret' and disclose it only to business partners under 'non-disclosure'. This is one reason why you find few trading systems with a patent search.

The above is only my opinion based on my experience, and I look forward to reading your patent details when it is published in 2 or 3 years!!!

You probably thought about this alot... Prof, was there a reason you took the patent approach instead of the 'trade secret' path for your trading system?

Thank you,

 

[ProfLogic]

Quote from Holmes:

Am not assuming anything, I know what I know.

Unlike yourself I am a firm believer of the fact that "making one's thinking known will affect the profitability of one's system" so please do your own due diligent work.

But let me assure you that we have about two hundred books in our library and (from the top of my head) at least three are dealing with the very subject that you are trying to patent.

And as far as flow charting goes: That is nothing less and nothing more than a graphical representation of a decision tree and anyone who has ever made a mechanical system with an IF - THEN - ELSE statement has done this (in principle, perhaps not in a graphics representation but still the decision tree is there). Duh....

Therefor: Nothing new under the sun.

Please out of the 200 books in your library and the 3 on top of your head, name a few.

Sherlock

 

[Holmes]

Quote from ProfLogic:
Please out of the 200 books in your library and the 3 on top of your head, name a few.

Like I said earlier: (Unlike yourself) I am a firm believer in the fact that distributing knowledge will be detrimental to my trading edge and results. Therefor I decline to discuss this any further.

:eek:

Sherlock

 

[lar]

Man... Mr. Man? Uh - Hey Man,

You started a very interesting thread. Thanks.

I am still formulating my overall market approach and the concept of reversion to the mean being noise while awaiting the real reward of the outlier could have a fundimental place in my approach but I have to understand a few of the ramifications a bit better.

I appreciate following trends in anticipation of catching those tail fattening Monster Moves. Lately I have been wrestling with the very issue of picking a target and closing there vs letting it run. I continue to hold on awaiting the Mondo Move but am not convinced it will come. Hence, my reticence.

I'm just now beginning to better understand that DDs in letting the market run towards outlier status don't just result from buying and holding in adversity, but from an accumulation of lower profits or losses when the market turns around after being favorable initially. The weaker account balance reflects this death by "1000 cuts syndrome" till the outlier comes to fatten the coffers. The arguement is those outliers will juice up the equity curve more than just collecting smaller but more frequent cash deposits from the market on an ongoing basis. If and when it happens.

Intellectually I can grasp that concept. On the other hand it has been 8 months now and I haven't cashed one of those monster moves yet and I've consistently set myself up to do just that. I am still paying the piper but I haven't seen the fruits of that plan yet. My account balance has not shrunk but it certainly has stagnated.

Are the markets fundimentally different now in that program trading shortens many of the longer runs that used to occur with more regularity? Do I need more patience to let the stratigy play out? Is this just a matter of having more appropriate rules for exits?

Any thoughts would be most appreciated.

Peace and gtty,

Lar

Again, great thread.

 

[ProfLogic]

Quote from Holmes:

Like I said earlier: (Unlike yourself) I am a firm believer in the fact that distributing knowledge will be detrimental to my trading edge and results. Therefor I decline to discuss this any further.

:eek:

Sherlock

I knew they didn't exist when I asked. Naming one book relative to what I do would never mar what little edge you think you have. Between my mentor's library and my own stuff I've collected over the last ten years we archived data on over 1860 books. Again you assume you are dealing with an uninformed person.

Chicken Little once said, "The sky is falling, the sky is falling." Everyone believed her . . . then she became soup.

 

[Holmes]

Quote from ProfLogic:

I knew they didn't exist when I asked . . . between my mentor's library and my own stuff I've collected over the last ten years we archived data on over 1860 books. Again you assume you are dealing with an uninformed person.

Chicken Little once said, "The sky is falling, the sky is falling." Everyone believed her . . . then she became soup.

1860 books and you have not come accross it? Did you only read the covers? Or what? One thing is certain: you have not studied them in-depth and have trouble assimilating information.

You just showed how ignorant and ill informed you are.

Academics with their tunnel views. :eek:

Sherlock

 

[ProfLogic]

Quote from Holmes:

You just showed how ignorant and ill informed you are.

Sherlock

I'd say your mirror has two faces. This ignorant and ill informed researcher and trader waves to you from his opulent bliss. Stay happy in your world as I will in mine.

 

[man]

gents

please. lean back for a second. you both know that the other one is not the fool you try to make out of him. do not waste your time bashing. ain't worth it. seriously. i read both your posts. you both seem to be experienced guys.

peace

 

[man]

lar

trend following has been tough. have markets changed? i doubt it. the choppy ride is the price of sharpe ratios near 1. trend following (BTW i am always referring to the standard way the term is used, thus multi market holding periods north of 15 days) is a SR 1 game. (at least for me).

peace