Quote from bwolinsky:
To your point 2) There is no truth to what you are saying. My trend following methods augment my pairs trading methods and let me tell you, both aren't just good, but in terms of saying they leave money on the table is preposterous.
Case in point, the buy in after a signal at 3317.25 came 7.25 points off the low and is still holding, but I exited that due to pairs trades calling 3495 the out point. Where it re-entered on a short from 3496 to 3472.25 was in March NQ at 3470.75, and, at least from the stand point that either one do, if you're buypoint is less than 10 points from the low, or not even .3%, there's no reason to say you left any money on the table. Not only that, and this is all I've got to say, but the last three higher lows in a row have always stopped higher than the previous one, so, even though augmented by a hedging short, the long from 7.25 points off the last low was a higher low and perfect buypoint. For anybody, it might have stayed at that level less than 24 hours out of weeks of waiting just for it to go there and say buy, which I did, backed up the truck, and saw it go to 3496 roughly 25 points from the high, so you have no place to say trend followers were wrong, in fact, just based on one overriding signal we'd still say it was only 7.25 off the low, and still says it's going higher. Now my pairs trades outted here where I bought back in, providing a nice hedge on two contracts, but now the chart says higher low and here you are shorting.
There's no telling how high this market'll go, so being short right now doesn't make as much sense as it did and I'm hoping for a rise come Monday or Tuesday, followed by a down day, because after the volatility normalized then Monday or Tuesday probably being up days will allow me to get a signal for both a trend following signal and pairs trade to go all the way up to above 3575, and you're sitting here waiting on a short that might have 0.1-0.25% more downside when the high side is clearly where trend following would be pointing so at least as far as I can see you don't know what you're talking about when it comes to how much money trend following leaves on the table. There is some, but I doubt anybody here is still following a signal that has as much room to run as mine do. Certainly not with your psychophant that as long as you stay short and wrong in EURJPY by significant margin there isn't a profitable track record for you to even comment on trend. You've already said SPY's in a bull trend and yet you're fighting it. It certainly doesn't end here as there have been no lower highs for quite some time and until we go up 4.5% there won't be any chance I'll be selling short unless my trend follower sees the trend end which won't be until two lower highs and a lower low whereas after higher low breach higherlow breach higherlow do you really think breach still isn't next? It has to be. It's just plain logic. What goes up must come down but in the ocean if there really were no shores it would keep going up, right?
You don't have any place to speculate on algorithms you know nothing about, and far from that being said you certainly have no experience deploying for the profits I've taken in the q's. Neither trend following nor your knowledge of pairs trading besides gives you free rein to make an exaggerated claim to differentiate your momentum method optimized for r:r's and even if that were the case that you had looked at them Price Physics is a valid working theory in the market I'd give the same impression to others who have stated it's worthy of nobel laureate status insofar as it can time every market with nearly perfect accuracy and whether it has some drawdown APD's are always above 0.4 once they've been optimized.
When you sum up net profits and divide by total dollar drawdown you should come up with a number that's positive and 0.1 for an average model and greater than 0.4 for above average. Mine at around 0.6 wouldn't even attract the same following the average trader might mistake for accuracy because while you've completely exaggerated the extent to which your r:r is greater than you do so WAY TOO SOON!
Here's to another up week and great 2013 on into 2014 because up is all I see when it comes to the bets I'd make going into this week.
