Why I call Backwardation in time Feynman-like effect

This is only the first target, haven't reached yet the weekly target at 10780 that has been posted one week ago as a bullish alert on weekly scale:

http://www.elitetrader.com/vb/showt...27783&perpage=6&highlight=10546&pagenumber=10
"Now Bullish Inverted structure on scale 3"
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Quote from harrytrader:

With today's high at 10746.88 we have backwarded to the FOMC day where a local top was LT=10744.2 (so within the 2 points error normally expected and remark that it is overshot and not undershot by two points: overshot is much more frequent than undershot)
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Remark that it was from the bottom low at 10431 theorically on this scale 2 in real the lowest low was 10417 on spot but on lower scale it was 10415 theorically (10362 was made on globex morning with a real low of 10360) as posted in the old thread http://www.elitetrader.com/vb/showthread.php?s=&threadid=27783 :

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harry

my personal conclusion:
1. you don't do any backtesting, otherwise you could come with a sharpe ratio. furthermore you diminish the validity of doing so, which is from my perspective not a real scientific point of view.
2. you do not trade, otherwise you could come up with a sharpe ratio. or you do not trade successfully and thus do not want to disclose any number.

thank you very much for addressing my question.

take care.
 
Hahahahaha that's prove that you don't even understood what I said about the cv in quality control: of course I can give a sharp ratio but it is useless for me and second I won't affirm anything as I said as long as it is not garanteed statistically by a fully mechanised system. And that's the transition to the second point, backtesting something that is discretionary at the moment I'm sorry but that proves again that you didn't read what I said: I am automating the process. You can backtest easily when the system is based on stochastic indicators not when it is based on complex rules. Read Ramoutar thread for example http://www.elitetrader.com/vb/showthread.php?s=&threadid=27061

So next time don't make me lose my time answering you thoroughly.

Quote from mind:

harry

my personal conclusion:
1. you don't do any backtesting, otherwise you could come with a sharpe ratio. furthermore you diminish the validity of doing so, which is from my perspective not a real scientific point of view.
2. you do not trade, otherwise you could come up with a sharpe ratio. or you do not trade successfully and thus do not want to disclose any number.

thank you very much for addressing my question.

take care.
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You must belong to the naives who are in adoration of CAPM, sharpe ratio and VAR haha ! Taleb even use the term charlatanism to qualify the fashionable Value at Risk. I won't use the same term and have been more soft by using the term useless.

http://www.gsm.uci.edu/~jorion/oc/ntaleb.htm

The World According to Nassim Taleb

© 1996--Derivatives Strategy


DS: What do think of value at risk?

NT: VAR has made us replace about 2500 years of market experience with a covariance matrix that is still in its infancy. We made tabula rasa of years of market lore that was picked up from trader to trader and crammed everything into a covariance matrix. Why? So that a management consultant or an unemployed electrical engineer can understand financial market risks.

To me, VAR is charlatanism because it tries to estimate something that is not scientifically possible to estimate, namely the risks or rare events. It gives people misleading precision that could lead to the build up of positions by hedgers. It lulls people to sleep. All that because there are financial stakes involved.
To know the VAR you need the probabilities of events. To get the probabilities right you need to forecast volatility and correlations. I spent close to a decade and a half trying to guess volatility, the volatility of volatility , and correlations, and I sometimes shiver at the mere remembrance of my past miscalculations. Wounds from correlation matrices are still sore.



Quote from harrytrader:

Hahahahaha that's prove that you don't even understood what I said about the cv in quality control: of course I can give a sharp ratio but it is useless for me and second I won't affirm anything as I said as long as it is not garanteed statistically by a fully mechanised system. And that's the transition to the second point, backtesting something that is discretionary at the moment I'm sorry but that proves again that you didn't read what I said: I am automating the process. You can backtest easily when the system is based on stochastic indicators not when it is based on complex rules. Read Ramoutar thread for example http://www.elitetrader.com/vb/showthread.php?s=&threadid=27061

So next time don't make me lose my time answering you thoroughly.
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As it is said by the "Goldman" the first consolidation target was MxBSS2=10659.6 (after breaking down FLTFS2=10681.5 which was protecting it) and we have done it today (and even more due to upper scale but the wizard doesn't integrate upper scale at the moment) which acted as strong resistance once broken on intraday basis (highest retest before close was 10659.71 so only 0.11 point from the theorical value normal error is 2 points exceptional error is 5/8 point). For understanding consolidation there is a tutorial posted already to calculate them in only 6 easy steps:
http://www.elitetrader.com/vb/showthread.php?s=&threadid=24706&perpage=6&pagenumber=9

Type I consolidation
http://www.econometric-wave.com/quiz/dji_050104_for_060104/

Type II consolidation
http://www.econometric-wave.com/quiz/dji_011203_for_021203/

(and more types and subtypes to come but they are combination or slight variant of type I and II)

Quote from harrytrader:

Have added something more visual :D

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The merlin wizard gives the analysis.

The man on the tea pot filled with gold transforms merlin's analysis into a trading plan.

The snake represents the "poke yoke" (Luto's thread):
http://www.elitetrader.com/vb/showt...yoke#post422879

The engine is not finished yet: for example the target can be refined further but it gives an idea.
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The new wizard will replace the old calendar (in yellow it is still there at the moment ) so that the calendar will move on the left side and it now allows to make annotation and quickly see them for the whole year by just moving the mouse upon it (this required additional programming for the content management system but it is worth the cost). BTW the screen showed Monday's weekly chart you can see that the market pushed up from the consolidation line (in blue) at 10637 (Monday's RTH's low and open on future) to below the seed wave of 10759 theorically (in real we only made a high at 10753). Friday we made a backwardation to previous week potential on Feynman LB = 10578.9 theo (real 10580).

For explanation of Typical Bullish Inverted Structure see "what some trending days have in common "
http://www.elitetrader.com/vb/showthread.php?s=&postid=418698&highlight=trend#post418698

with other examples here:
http://www.elitetrader.com/vb/showthread.php?s=&threadid=24706&perpage=6&pagenumber=9

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Quote from harrytrader:

As it is said by the "Goldman" the first consolidation target was MxBSS2=10659.6 (after breaking down FLTFS2=10681.5 which was protecting it) and we have done it today (and even more due to upper scale but the wizard doesn't integrate upper scale at the moment) which acted as strong resistance once broken on intraday basis (highest retest before close was 10659.71 so only 0.11 point from the theorical value normal error is 2 points exceptional error is 5/8 point). For understanding consolidation there is a tutorial posted already to calculate them in only 6 easy steps:
http://www.elitetrader.com/vb/showthread.php?s=&threadid=24706&perpage=6&pagenumber=9

Type I consolidation
http://www.econometric-wave.com/quiz/dji_050104_for_060104/

Type II consolidation
http://www.econometric-wave.com/quiz/dji_011203_for_021203/

(and more types and subtypes to come but they are combination or slight variant of type I and II)
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Friday is a good example for backwardation:
The projected bottom on scale 1 was 10566, in real we made 10563 so far so good ... (continued on next page)

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