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Old 10-31-2013, 09:04 PM   #17

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Re: Become a WINNER today!!!

Hi Mitsubishi,

Not sure I like your tone . . .

I like your idea of trading as many instruments as you possibly can at once so you don't lose potential profits by only successfully trading one or two.

The "idea" isn't diversification. It's applying position sizing to individual markets/strategies rather than to a whole portfolio.

If you don't think that idea has merit but you're not prepared to provide concrete reasons for why, then any kind of discussion will be difficult.

It's this kind of mental approach that separates the theorists from the wannabe traders.

I enjoy theory. I spend a lot of time looking at theoretical trading methods around market microstructure that I know I'll never have the capital or technology to do anything with. I'd also like to apply my longer term ideas to trading a large universe of stocks, but I don't have the capital so the costs would kill me. So it's all just theory for me.

I also trade. End of day. Not automated, but entirely rule based. One single approach. It's very boring.

What I have described above is incorporated into what I am doing - past performance in each particular market is a factor in position sizing for me.

Are you planning to start a room soon?

Nope. Just trying to share ideas with other people here for free and hopefully get some feedback from those with more knowledge and experience. Just the usual. Nothing sinister. If people don't find it useful then it's no big deal - it's just a way to pass the time . . .

Kind regards,

BlueHorseshoe
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Old 10-31-2013, 09:16 PM   #18

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Re: Become a WINNER today!!!

Quote:
Originally Posted by BlueHorseshoe »
Are you REALLY serious about making SUBSTANTIAL profits trading the financial markets? Then take a look at the equity curve for the AMAZING trading strategy below . . .
  • Profitable over 10 years of ES data
  • Contains no element of curve fitting or optimised parameters
  • Sample size of well over 1000 trades

Wouldn't you love to be able to trade with this FANTASTIC strategy that just keeps on WINNING? Imagine what these PROFITS would look like if you traded more than one contract or many markets at once!

ONE-TIME SPECIAL OFFER - NUMBERS STRICTLY LIMITED - GET THE STRATEGY AT A 20% DISCOUNTED PRICE OF JUST $3800 !!!

BlueHorseshoe


Code:
// Buys or Sells Short randomly on Mondays, Wednesdays, and Fridays
// One day holding period
// Generated attached equity curve on first attempt

if Dayofweek(date)=1 or Dayofweek(date)=3 or Dayofweek(date)=5 then begin
	if random(10)>4 then
	buy this bar
	else
	sellshort this bar;
end;

If Barssinceentry=1 then
Setexitonclose;
Gorgeous curve! Comes with a cold and hard slap of the invisible hand of reality too.
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Old 10-31-2013, 09:44 PM   #19

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Re: Become a WINNER today!!!

Quote:
Originally Posted by MightyMouse »
Gorgeous curve! Comes with a cold and hard slap of the invisible hand of reality too.
What amused me was that I thought I'd would have to keep running the code and eventually it would produce a nice looking curve. But the "gorgeous" curve came on the first pass - then none of a further twenty or so attempts produced anything even halfway decent.

Now what were the chances of that?

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Old 11-01-2013, 05:11 AM   #20

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Re: Become a WINNER today!!!

Quote:
Originally Posted by BlueHorseshoe »
What amused me was that I thought I'd would have to keep running the code and eventually it would produce a nice looking curve. But the "gorgeous" curve came on the first pass - then none of a further twenty or so attempts produced anything even halfway decent.

Now what were the chances of that?

Kind regards,

BlueHorseshoe

Just out of interest, of the 1200 or so trades in the back test what percentage of time is your nice looking equity curve making new equity highs ? (I suspect it's less than 20% of the time)

You'd be doing new and losing traders a huge favor by publishing that statistic.

Your original post on this thread is probably one of few intelligent things I've ever read on any trading forum in over a decade. If your not already making a fortune trading at this point, it won't be long until you will be.

It's a pity there isn't a trading forum where this sort of stuff can be discussed, but perhaps it's just as well, some cats need to be kept in bags or everyone would be doing it
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Old 11-01-2013, 05:29 AM   #21

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Re: Become a WINNER today!!!

Quote:
Originally Posted by BlueHorseshoe »
What amused me was that I thought I'd would have to keep running the code and eventually it would produce a nice looking curve. But the "gorgeous" curve came on the first pass - then none of a further twenty or so attempts produced anything even halfway decent.

Now what were the chances of that?

Kind regards,

BlueHorseshoe
Amazing.

I remember a thread on TS that people were posting their most vertical equity curves from backtesting. It was a fun thread. I recall a few resulting in billion dollar gains starting with 10k.

Timing is critical with random entry since you are relying on luck.

If you go to a casino with $180 intending on playing $5 on your birthday number on a roulettle wheel, how different will the results be if you arrive at 8:00PM or 9:00 PM? If you play at table A or table B? If you go today or tomorrow, etc? If you have your favorite shirt on or not???
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Old 11-25-2013, 12:07 PM   #22

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Re: Become a WINNER today!!!

Quote:
Originally Posted by MightyMouse »
Amazing.

I remember a thread on TS that people were posting their most vertical equity curves from backtesting. It was a fun thread. I recall a few resulting in billion dollar gains starting with 10k.

Timing is critical with random entry since you are relying on luck.

If you go to a casino with $180 intending on playing $5 on your birthday number on a roulettle wheel, how different will the results be if you arrive at 8:00PM or 9:00 PM? If you play at table A or table B? If you go today or tomorrow, etc? If you have your favorite shirt on or not???
How different would it be with a 10k marker?

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Old 11-25-2013, 02:57 PM   #23

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Re: Become a WINNER today!!!

Quote:
Originally Posted by zupcon »
Just out of interest, of the 1200 or so trades in the back test what percentage of time is your nice looking equity curve making new equity highs ? (I suspect it's less than 20% of the time)
Unfortunately I can't provide this statistic . . . I didn't record it at the time, and now there is no way that I can recall the trading decisions that this particular instance of the strategy enacted, as they were random.

Having said all that, I imagine that the equity curve made new highs little of the time as you suggest. Single unit equity curves, whether profitable or not, spend most of their time regressing towards a mean. New traders may struggle with this, but so do others.

This thread is not posted in Trading Psychology, but . . .

I have issues with this. I don't suffer from any excessive egoism. I am not someone who is obsessed with being a "winner". I trade an entirely mechanical approach with no discretionary decisions for which I am "responsible". Due to the self-learning methodology I employ, elements of the strategy are completely 'hidden' from me (I really have little idea of the specifics of what the strategy is doing, beyond the broad strokes).

But I can still watch a position and end up massively frustrated. Why?

What to do???

A recent post from SIUYA sums it up perfectly:

Quote:
recognize it, work out a solution that works - probably by trial and error, and then fix it
In my case, I got someone else to place the trades.

I pretty much ignore it all. They don't care, so they follow the radar screen I gave them. To them, it's all OPM. I don't check the account balance (different broker to TS, who I use for charting). I follow the ES and EC more closely intra-day, so I have a good idea what these are doing, but I have no idea about my likely position in timber ETFs or REITs, say - maybe I'm long, maybe I'm flat, maybe I'm short . . . maybe I'm rich, maybe I'm broke . . . .

The only thing I know is that if I'm directly involved I'll sabotage it

Hope that helps someone.

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Old 11-25-2013, 03:01 PM   #24

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Re: Become a WINNER today!!!

Quote:
Originally Posted by mitsubishi »
How different would it be with a 10k marker?

Casino Blackjack Scene - YouTube
I love the fact that the 2 minute clip ends with the following dialogue:

"DEAL!"

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