- Joined
- 13 September 2013
- Posts
- 988
- Reactions
- 531
Yeah i understand that, but these guys don't just become or stay fund managers. In saying that pro scalpers etc probably wouldn't accept losing years
There is a difference between 'fund manager' and 'trader'....it usually means a fund manager gets a salary and a trader gets a P/L....
Pro traders can't have losing years. To be professional means that even losing months must be rare. Who or what is going to pay for living expenses?
20Yrs ago I went to see Guppy.
Average presentation but 300 X $150 a head---$45,000
and he was booked 3 nights straight in ADELAIDE---we turn the lights out at 10!
Smart pro trader!!
Lot of work to get 300 people into one room, and paying. That's a very decent crowd.
Pro traders can't have losing years. To be professional means that even losing months must be rare. Who or what is going to pay for living expenses?
Simple systems can be trend following systems but because price movement is not simple, the trend following system hits periods of long draw down and several losses in a row which is compensated for by (eventual) large wins. This may be palatable for those with deep pockets and time on their hands. Alternatively, trying to isolate a turning point to enter or exit the market requires more accuracy/timing hence analysis to make the strategy succeed. The nuances of each security are unique. Price movement isn't mechanical so how can it be defined by logic? Thoughts?People like to make systems trading sound harder than it needs to be, mind you i am not a multi millionaire. A lot of the top systems traders talk about simple being best
By definition, a system is a set of rules to follow. If one does not follow the system then the same results that encouraged the system to be tried will not eventuate. Like you said, when the 10th loss in a row or large position loss comes along, most traders pull the pin. That is why I have a cynical view of anyone suggesting a system is exceptional. It is simply not so.A system that works for someone does not necessarily transfer easily elsewhere.
Of course and as you have stated countless times it is the application that determines success or failure. We know it isn't as simple as taking a price breakout that makes a trend following system successful. Parameters in a rough range to tech trader or another trend following system would have done well during the great mining bull run. Not magic but a great eye opener to us that come after.You can only do a certain amount from a book/s---with the knowledge you have.
Of course and as you have stated countless times it is the application that determines success or failure. We know it isn't as simple as taking a price breakout that makes a trend following system successful. Parameters in a rough range to tech trader or another trend following system would have done well during the great mining bull run. Not magic but a great eye opener to us that come after.
Simple systems can be trend following systems but because price movement is not simple, the trend following system hits periods of long draw down and several losses in a row which is compensated for by (eventual) large wins. This may be palatable for those with deep pockets and time on their hands. Alternatively, trying to isolate a turning point to enter or exit the market requires more accuracy/timing hence analysis to make the strategy succeed. The nuances of each security are unique. Price movement isn't mechanical so how can it be defined by logic? Thoughts?
Today I certainly agree with Howard Bandy's observations in that shorter time frame methods are likely to be
More successful.
I wonder if eeryone will get back on the trend following train when the next bull market kicks off
Just be sure to let me know when that is so I can hop on.
There is more
"Right time, Right place"
in many matters than you think.
Being long before a good take over.
Staying long in an early boom
(SMB as an example)
Getting out before a bust 2008
Going to that New years Eve party and finding my now wife.
Fooled by Randomness or putting your self in it (Anticipation) and getting HIT!
As you say if you system is designed to capture a trending market you have to be in waiting for it, ie sticking around after 2008 to cash in on 09
It is possible to build a system that trades almost any market conditions , it just needs to be dynamic , like the market . Volatility filter is a MUST , using static stop losses will screw you , you need to adjust to underlying volatility . Volatility is the most under utilized tool that traders have at their disposal , not many understand it at all . Patterns exist that are totally exploitable
When you say volatility filter, what are you using the filter for? positionsizing, market timing, entry/exit levels? or all
PositionSize = -100/10;
PositionScore = mtRandom();
SetTradeDelays(1,1,1,1);
Turnover = MA(C * V, 10) > 5000000;
BuyRule1 = C > MA(C, 100);
BuyRule2 = C < MA(C, 5);
BuyRule3 = Sum(L < Ref(L, -1), 3) == 3;
SellRule = C > Ref(C, -1);
Buy = BuyRule1 & BuyRule2 & BuyRule3 & Turnover;
Sell = SellRule;
ApplyStop(0, 1, 10, 2);This Mean Reversion system is simple and the results shown are quite good but I can't get a positive result for Ausralian stocks. I realise the test is done on American stocks but really, the rules are so basic it should be at least up on other stock markets. No stop loss so I used percentage 10. Fills are better assumed to happen at Open or Close price rather than a nominal limit order at 0.5 * ATR() so I left that out.
http://alvarezquanttrading.com/2014...-a-mean-reversion-strategy-with-good-results/
Any thoughts on what was done to rate this 3 bars lower strategy so high?
Code:PositionSize = -100/10; PositionScore = mtRandom(); SetTradeDelays(1,1,1,1); Turnover = MA(C * V, 10) > 5000000; BuyRule1 = C > MA(C, 100); BuyRule2 = C < MA(C, 5); BuyRule3 = Sum(L < Ref(L, -1), 3) == 3; SellRule = C > Ref(C, -1); Buy = BuyRule1 & BuyRule2 & BuyRule3 & Turnover; Sell = SellRule; ApplyStop(0, 1, 10, 2);
Tried that and buying the low of the day doesn't produce a positive result.Why not test it on the ASX100 as per the initial rules (Entry <= Min(O,Ref(C-ATR(10)*0.5,-1)) & No stop-loss) and see how it stacks up.
We use cookies and similar technologies for the following purposes:
Do you accept cookies and these technologies?
We use cookies and similar technologies for the following purposes:
Do you accept cookies and these technologies?