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BlueHorseshoe

Market Wizard
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Posts posted by BlueHorseshoe

  2. Posted

    Some easy language functions say: "This function can only be used in the evaluation of strategies." So I'm wondering how this functions can be replaced when the system start to work in a demo or in real money, specially the function marketposition.

     

    Thanks.

     

    Hello,

     

    I think it's just poor wording on behalf of TS.

     

    It means you can only use it within a strategy (whether running in sim or live mode) and not within an indicator, paintbar study etc . . .

     

    Slightly weirder are a set of reserved words that most commonly refer to the output of a strategy but can only be used outside of the strategy in indicators etc - never understood that!

     

    Hope that helps.

     

    BlueHorseshoe

  4. Posted

    Andreas,

     

    If you haven't tried it yet maybe get a demo of TradeStation. Their RadarScreen is amenable to this stack size of instruments and can handle the conditions you mentioned. In general, more of the front end work is already set up for you than in most trading suites.

    These days EasyLanguage sort of a hybrid of pascal and C#. It's not necessarily 'easy' for everyone. But there are plenty of existing source code templates to get you started and if you present it correctly, the TS support staff and other users will help you through the rough spots in completing your screener...

     

    hth

     

    Tradestation is great, but I don't think any kind of demo is available, is it?

     

    On a side note, why do you say EL is a combo of Pascal and C#? I'm not challenging you - I just didn't know that . . .

     

    BlueHorseshoe

  5. Posted

    I'm not too sure about that. I have a poodle and tried to teach him to trade. Had to give up when I realized he could only win 3 out of 5.

     

    Hi Roger,

     

    Apparently Border Collies are the best for trading with because they're used to running rings around sheep! :rofl:

     

    You might also be interested in my G.R.A.B. Index - details here.

     

    BlueHorseshoe

  6. Posted

    thanks. unlike others that get pissed because they couldn't figure out a stupid riddle so they either attack the riddle or me for posting the stupid riddle. :rofl: :rofl:

     

    could be the leash broke and the dog went lickety split around the bridge and owner saw he was going to come out on the other side so the owner continued on over the bridge.

     

    I thought the riddle was really pretty good, myself, although you could have given up the answer weeks ago :)

     

    Did anyone know that Poddles are rated the second most intelligent dog breed, scoring above German Shepherds? Now there's a suprising fact for you . . .

     

    BlueHorseshoe

  7. Posted

    Having systems that 'learn' from and adapt to changes in market behaviour seems like a great idea, but . . .

     

    • If a system is too receptive it learns too readily and curve-fits to inconsequential noise in the price data.
       
    • If a system seeks to avoid this by using large data samples to make robust generalised inferences about market behaviour, there is a risk that its resistance to change will seriously lag any significant but vital shift in behaviour.

    There is necessarily a "sweet spot" between the two that indicates the optimal learning rate for the system.

     

    However, to find this "sweet spot" one is faced with the precise same problem that I identified above. To mediate between the curve-fitted solution and the lagging solution a new variable must be introduced and it too must be mediated with some criterion for optimisation . . .

     

    I can't find anything in the machine learning literature that I've read that suggests a viable way out of this catch-22. Does anybody have any suggestions?

     

    BlueHorseshoe

  8. Posted

     

    You can easily beat the big funds. Billions of dollars cannot be moved around quickly or efficiently. In fact, they are forced to resort to very passive long-term buy and hold strategies that have been proven to not work. 80% of funds underperform the market.

     

    We like to ride the coat tails of big money, not compete against them. There is no other way.

     

    CONTRADICTION!!! :helloooo:

     

    The big money is rubbish and consistently underperforms . . . So you ride their coat tails expecting to outperform them?

     

    Doesn't really make sense when you think about it, does it?

     

    More vendor hyperbole, and the same flawed argument we've all heard a thousand times before. There are billion dollar funds that are more nimble than any trader on TL will ever be.

     

    If you can consistently outperform an average return of 20-30% with limited risk then you would have absolutely no need to be running a coaching operation and dealing with the endless hassles of marketing and trading to the general public - money from willing investors would be pouring in . . .

     

    Nice try.

     

    BlueHorseshoe

  9. Posted

     

    Many people on forums claim to be successful and making serious money in trading.....all truth be told I seriously doubt most of them are ........Remember that old saying : "Those who can .....do , those who cannot ......teach"

     

    Hi Gekko,

     

    I agree with what you're saying about success - a lot of it comes back to your own goals versus other people's expectations. I am particularly poor at managing other people's expectations and envious of those who can take a "f**k you" attitude and be genuine about it.

     

    With regard to your example, if the $250k salary bloke starts trading with all of last years income and makes $1k a week, then that's a 20% return on capital, which is pretty damn good!

     

    I used to like to throw the old "those who can . . . " quote about as a teenager (it's an especially fun thing to say to a teacher, believe me!). Is it GB Shaw? Anyway, then I thought about it. Just because a high school physics teacher doesn't work at CERN doesn't mean they don't know a damn sight more about physics than a sixteen year old.

     

    I come here to try and offer help (teach?) those who might know less than I do, and to learn from those who know more than I do. The way I figure it, the more time I spend explaining the diference between an SMA and an EMA to complete newbies, the more time people like MysticForex or MightyMouse posting above will have to spend helping me.

     

    There are probably no real 'experts' in trading, and you don't have to be an expert to help someone out - you just need to have a bit more knowledge or experience than they do.

     

    BlueHorseshoe

  10. Posted

    Imagine taking a regular Forex trade where you put your stop at 100 pips away to make only 70 pips on your target. Some traders on these forums don't want to know anything about Risk/Reward ratios and that's ok but i have yet to see anybody making money with a strategy where you can loose more money when you lose then when you can win money when you win.

     

    Hi JMB,

     

    As a general rule, all else being equal, you'll find that the larger your stop-loss the higher your win-rate. A risk/reward ratio of 10:1 where the stop is ten times the size of the target can push a win rate well above 80%. The converse is also true - as the ratio swings the other way then the win rate will typically decrease below 50%.

     

    Consider Trend Followers who have very small stops and (theoretically) very large profit targets. They have a low win rate.

     

    Now consider scalping strategies that will risk a full point to make a single tick. They have a high win rate.

     

    Correctly compared (disregarding trading frequency etc) neither strategy is inherently more likely to be profitable than the other. So inverse risk/reward ratios are not in my opinion a good reason not to trade binary options.

     

    BlueHorseshoe

  11. Posted

    I think risk management, and position sizing are intertwined. Quite inextricably.

     

    Here are my seven cents worth:

     

    Trade small.

     

    No, trade tiny.

     

    Trade over many, many systems.

     

    Manage your systems, dynamically distribute your money based on their performance (position sizing).

     

    Try to find systems that are not correlated. Try the best you can. It's not easy. Distribute your funds based on their relative correlation. So not too many eggs in a correlated basket.

     

    2:1, 3:1, 1:1 has no meaning beyond expectancy. Learn and understand expectancy, then expect it. When you don't get it, reduce the funds that system gets till you do get it.

     

    Trade tiny.

     

    Trade tiny.

     

    Trade tiny.

     

    Want to trade more money, find more systems.

     

    Trade tiny.

     

    "Trade Tiny" - I agree with. Greedy people with short-term outlooks tend to over-leverage.

     

    However, I don't agree that risk management and position sizing are intertwined.

     

    Risk management (knowing where a stop-loss, a profit target, etc are placed) is part of developing a trading strategy.

     

    Money management is all about getting the most out of that strategy (once you have it) through position sizing.

     

    Think of it this way: risk management (entry, exit, stoploss, breakeven, trail, profit target, risk reward ratio etc) is like crafting a weighted dice; money management is all about knowing how often to roll the dice to maximise profits without the risk of going bust.

     

    With poor money management you can go bust even though your risk management is impeccable. With great money management you can avoid going bust even though your risk management is terrible.

     

    BlueHorseshoe

  12. Posted

    I am seeing the average daily volume of ES dropping for the most part of the past 12-18 months.

     

    I am not sure if it was because of HFT but I would argue that at some breaking point the HFT would not be able to find enough trading profits if the volume of ES is low enough?

     

    That is, if there are enough HFT going on, wouldn't they trade against each other and eventually they would find no real edges / not enough profits in their systems? :2c: As such, the ever decreasing daily volume is a sign of this? :2c:

     

    HFTs have always traded against one another, I think, but a drop in volume would certainly be difficult for them, as you suggest. While they could adapt to pretty much any other type of change in the behaviour of a market's participants, if there's nobody there to trade with then it's got to affect their performance.

     

    Discussing HFT in relation to the ES is a little tricky - due to the nature of the CME order book it's not immediately obvious how any substantial advantage could be gained through speed. Or not obvious to me.

     

    BlueHorseshoe

  14. Posted

    Well I totally agree with a majority of the folks here. I am going back on all that Bull!@#$ I said earlier. Yep all that crap about algos being insignificant. I think the best thing for every one to do right now is first off do not panic. Second quickly and quietly go and make a phone call to whatever brokerage you use and tell then to completely liquidate all funds and have them sent by check to your residence. And then finally join the community on the newly established forum "Former Traders Laboratory."

     

    This is new community where former traders go to talk about the good ole days before the algos came along and ruined it for everyone. You can go there and let your old trading forum buddies know how the job search is going. You can let everyone there know about the extra overtime you got at the warehouse you work at. You can even let everyone know how you just got on the company's 401k. Instead of talking about trading you can talk about that gardening project you started in your backyard. Share recipes and that kind of stuff. I look forward to seeing you all there.

     

     

     

     

     

    o.O? Still here? Yea me to. Time to quit complaining and time to get back to work. Time to quit feeling sorry for yourselves and trying to relive the old days and get back to work. QQ some moar on the other forum. If you think its unfair or you think its not for you anymore. YOU ARE RIGHT!!!! Its not fair and its not for you anymore.

     

    Hi Colonel BS,

     

    You have me on 'ignore', I figure, so it doesn't matter what I call you . . .

     

    Unfortunately 'positive thinking' won't help you much when you come up against the cold, hard facts of the algo-dominated reality the daytrader must inhabit. I know it's an asset in pretty much every other vocation, but not this one. Doesn't matter how much positive energy you have, if you go one way and the market repeatedly goes the other you're screwed . . .

     

    Write down all your trades this month. Now add the value of two ticks per trade to your net profit (that's $25 per round trip in the ES). Does that look any better? That's what your profits would look like if you didn't have to keep paying the spread because you could know when you'll get filled on a limit and when a market order is the only way to get set.

     

    Traders with decent winning strategies systematically underestimate the impact of spread and commission on their performance (post #50).

     

    BlueHorseshoe

  16. Posted

    I read Mandelbrots " The Misbehavior of Markets" and enjoyed it, but I did not necessarily agree with or understand it fully. Could you take a moment to visually show me what Mandelbrots fractal theory would inspire in a trade setup. I would love to see how you would produce that on a chart.

     

    Regards

     

    Hello,

     

    Mandelbrot's fractal theory might cause you to assess probabilities using power laws of exponentiation rather than assuming a Gaussian distribution of outcomes (as one would expect flipping a coin as the article describes). You would price an Option completely differently to the prevalent Merton-Scholes model, for instance. You wouldn't rely on linear regression methods and concepts like GARCH. You would anticipate the occurrence of 'outliers' with far greater frequency than that predicted by a bell curve approach. And you wouldn't work with an artificially imposed two sigma threshold such as that imposed by Bollinger Bands.

     

    Hope that helps.

     

    BlueHorseshoe

  17. Posted

    There are many variations of this type of approach (see Optiontimer's thread, for example) and very good reasons to believe that trading pullbacks in trends can be a great tack.

     

    If you want to trade in this way you have two distinct tasks to undertake (which is really far less than many other strategies demand), both of which are more difficult than they sound - here they are:

     

    1. You need a method to identify whether the market is trending and, if so, whether the trend is up or down.

     

    2. You need an objective method to identify a pullback, and you need to know how deep a pullback needs to be to provide you with an optimal entry.

     

    In my opinion one of the keys (and it's market specific) is knowing whether to 'buy into' a pullback using a limit order, or to await a 'confirmation' thrust back in the direction of the underlying trend as is shown in the examples above (where a buy order is presumably placed at the prior bar high).

     

    I hope this post is of help to someone.

     

    BlueHorseshoe

  18. Posted

    All those Fab Turbos ,Sharks or Million Dollars Pips stop giving any more profits cause markets dont remain the same while the EA's dont have the ability to change themselves according to market conditions..

     

    There is absolutely no reason (apart for the intellectual limits and programming capabilities of the typical commercial EA vendor) why a strategy can't be made to adapt to changing market conditions.

     

    From the A.I. sophistication of genetic algorithms and neural nets to the simple regime switches and volatility filters, there are countless ways to do this . . .

     

    If you invest the time to learn about such approaches then find a programmer to implement them for you, you'll probably find you have a far better strategy in hand than anything you can buy from a commercial vendor, and for less expense.

     

    Hope that helps.

     

    BlueHorseshoe

  21. Posted

    …with infinitely variable fx sizing as acct net asset increases ( to 7050:4010….then …. 12000:6996 …. ... ) couldn’t you can stay very close to your sweet spot size instead of continuously operating mis/over sized and ‘suffering’ between and during the quantum sizing jumps that ‘contract sizes’ impose on you ?…

     

    ZDO's advice here is all very generous, but I think the value of this particular point is massively under-emphasized.

     

    One way to see exactly how it affects an equity curve for something with fixed contract sizes is to test using 1000 x equity, and then divide the trade-by-trade results by 1000. This will simulate the outcome you would get if you were able to trade fractions (thousandths) of a contract.

     

    BlueHorseshoe

  22. Posted

    I just happened to stumble upon this thread. I am actually writing a paper about this right now in a class for my Masters program.

     

    I'm probably stating the bleeding obvious here, but have you read 'Dark Pools'?

     

    One of the issues is that HFT is an umbrella term, and the only thing that all such operations have in common is the frequency with which they trade. Some use traditional strategies such as stat arb but at lightning speeds, where others exploit new loopholes that are only available with the advantage of speed (and often strong relationships with the exchange), relating to latency, server jamming, and gaming the order book.

     

    There's another good book written by someone who worked at Citadel setting up the HFT infrastructure, but I can't remember the title or author - I'll try and post this tomorrow for you.

     

    BlueHorseshoe

  25. Posted

    competing in this environment is very difficult if not impossible.

     

    Hi Sunshinejim,

     

    It's great to have seasoned traders with experience on the floor of an exchange contibuting here - I hope you'll find the time to contribute to TL often.

     

    Given your thoughts above, and the fact that you continue to trade, where do you feel that the possible advantage now lies for retail traders without vast amounts of capital and Aurora rackspace?

     

    Regards,

     

    BlueHorseshoe

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