Using Excel to calculate optimal position size based on cumulative profit figures

[Gringotts Bank]

I don't see any nice and cuddly transition GB. Its volatility shifts that are the killers. You need to look at equity index moves intraday to see what the market is transitioning to (and not the XJO/SPI either as its too small to be a leader)

As I was saying in your equity curve thread. A market of 15 minutes ago is completely different market to now. And what was 'normal' range and move and volume 4 days ago has no relationship to today. You will find it harder and harder to backtest for patterns with simple methods available in Amibroker etc because your systems hasn't the ability to adapt and predict the changes.

I have seen those volatility shifts you're talking about in highly liquid markets, and I don't like them much. That's why I stick with stocks. Vanilla, but more predictable.

 

[craft]

what will make us obsolete?

The market itself will be obsolete if the future become knowable. Until then price will move and what more does a trader need?

The confidence that they can win? There has always been a cutting technology edge – It has never produced a single superior trader in the past that others have feared to the extent that it has undermined the size of the price speculation pot.

Even if the pool brought to the table for betting on price is wiped out by the existence of a superior price speculator, people investing for the return from the underlying asset will not agree value without absolutely knowing the future – so there surely will still be a pool from directionally front running that disagreement that a good trader can compete for.

The markets are a mechanism for pricing the risk arising from an unknowable future – unless psychics are going to rule the world adaptable traders won’t ever be obsolete.

 

[skyQuake]

The market itself will be obsolete if the future become knowable. Until then price will move and what more does a trader need?

The confidence that they can win? There has always been a cutting technology edge – It has never produced a single superior trader in the past that others have feared to the extent that it has undermined the size of the price speculation pot.

Even if the pool brought to the table for betting on price is wiped out by the existence of a superior price speculator, people investing for the return from the underlying asset will not agree value without absolutely knowing the future – so there surely will still be a pool from directionally front running that disagreement that a good trader can compete for.

The markets are a mechanism for pricing the risk arising from an unknowable future – unless psychics are going to rule the world adaptable traders won’t ever be obsolete.

Even if psychics are in the market today they will leave still footprints with their buying and selling. So tape/DOM reading at the very least will still be profitable

 

[craft]

Even if psychics are in the market today they will leave still footprints with their buying and selling. So tape/DOM reading at the very least will still be profitable

I knew you were going to say that - explains why everything I try to buy or sell runs away from me

 

[Trembling Hand]

The markets are a mechanism for pricing the risk arising from an unknowable future – unless psychics are going to rule the world adaptable traders won’t ever be obsolete.

Yes I agree. I've been told a few times that I was a dying breed. The last time was by a HFT firm...... they are now out of business. From my observations innovation is coming faster and faster and change does effect the mechanics or characteristics of the market but the competition of the top end of the market leads to herding into the same strategies which by the nature of a zero sum game leaves them all broke.

I have always thought that my game is most at risk from change - intraday futs. Being where the big money can implement their methods. But the market just keeps on moving which means there is still trades to be taken.