natedredd10

Your trying to quantify "regime change" which happens on all time frames, forever..its probly the fundamental most misunderstood property of markets... Even if I understood it, bet your ass I wouldn't tell you.. That kind of information is worth its weight in gold ^10

you are falling hopelessly behind old man...I would speculate your woman is just getting old..or at least what you see as prospective females too old to "light a fire"...Maybe its time to "trade up" to a newer model? Beyond that variable who cares... You can't even start to have this argument that you tried to put up there without book data so why did you even bother to put it forth? the sad thing is I know you already know this.

That is really cool. I think one analogy to think about is to narrow down the instruments you are trading and trade the same instruments every day. Figure if you are trying to learn to play poker it doesn't make a lot of sense to try to get good at raz, stud, omaha, and holdem while studying euchre for fun in your spare time, all at the same time. You will probably just end up not being very good at any of them. I actually think a good live player probably has a better skillset than a hardcore internet multitabler. Did you learn to play live or online starting out? I would think a good live player skills as far as patience would overcome anything learned as far as quick decisions by multitablers just because of how bored a 16 tabler would be with trading since they aren't "doing" anything most the time. I also think you have to come at trading the same way you would come at learning 2/5 no limit live as a newb, as if online poker didn't exist. Guys on 2+2 that try to learn to trade IMO don't get that they can't take 10,000 samples at "low stakes" like they did with online poker in order to figure out the game without going busto. Most important though, if you are a winning poker player, don't forget that tactically poker and the markets have <b>absolutely</b> nothing to do with each other. The best skill you learn from poker is losing money when everything in your decision process said you should have won is what drives newb traders with no poker skill off the cliff IMO. I've heard of some high stakes NYC game that Jim Simons plays in for fun...I would bet on you to beat Simon's heads up all the way. If someone made a double auction market heads up tick data game though, Rentech would be orders of magnitude harder to beat than Dwan or Ivey heads up. why? Don't confuse the rules of the game, they practically have nothing to do with each other.

You can take this a step further and simply look at SPY/DIA on a margin account. To me the problem with futures is to put on any kind of sophisticated position sizing/risk management strategy you need an extremely well funded account otherwise you quickly run into having to put on .3 contracts and then have to fudge up or down so why bother with the sophisticated strategy. The limits on leverage also act as a hard risk manager..not being able to "go for the jugular" when "you know you are right" with 10X leverage is a good thing.

Then its some physist talking down to you because he doesn't think he can communicate what he knows to you. "Chaos" is a completely bogus concept... There is bayesian probability vs stochastic process...some would argue stochastic process itself is "make believe" and simply a subset of bayesian probability....i'm not quite to that level of bayesian religion, yet....

old man Blowfish, getting further from the real action everyday...No way anything with the word "alpha" in it isn't a recount of some bullshit street party that happened in the past... There is some book i wanted to tell you about but forget what it is at the library...its like "tactical trading" something..."strategies" buzz word is in there too, basically a micro structure and WVAP/transaction cost baddass book as in instutional... This book will just blow your mind though old man: Amazon.com: Financial Modelling with Jump Processes (Chapman & Hall/CRC Financial Mathematics Series) (9781584884132): Peter Tankov: Books

Ditmar, how much your shitty poker book sold? Its totally useless. your traders are made up of what??? 20 tableing mindless nits you can game off a hand everytime...I posted here awhile back and you told me to learn poker, I have. I'll have beat you in 5 years easy, maybe 4... I do respect you though to some degree because no way I tell these morons 10% of what you have.... [ame=http://www.youtube.com/watch?v=rjCyZ2P9bCA]YouTube - Obi-Wan Kenobi Vs Darth Vader[/ame] Hard to figure out that the outliers of two arbitrary data points, and two other nonsense data points, are just some kind of weird asian fetish......

childs play to bait you into a reaction Pat... TS with nice timestamps if true is great...amazing actually...I had assumed they were not just watching Ninja walk all over them then **** up this bad without a response... good stuff..

Fading a losing trading system will not work because of transaction cost. Its nearly impossible to build random trading system that loses 10% over a good sample size. If you did this then you could hone in on what market mechanics you may have captured and reverse it. Obviously things are not so simple. Anyone who would claim to have a winning automated system with a few lines of code is lieing or extremely lucky for now. There is no way you could handle order entry and risk management with just a few lines. People in general are afraid of what they don't understand and most people are just lazy IMO. If I said I was a quant and trade strats based around this formula I'm sure a moving average trader would chime in that they don't need such "sophisticated tools".. high frequency/quant/arbitrage are just the buzz words last years cool street kids used that got invited to the cool highschool parties. Don't confused that human social nonsense though with the actual tactics that simply use the massive cpu power that sits under your desk that tradtional TA does not. Like the analogy a few pages back of using a bike instead of a car...Everyone has a car, why try to enter the daytona 500 on a bike when you don't have to. Augmented Dickey–Fuller test isn't that much more complex than a moving average when your computer can run both blindly fast. Just like there are micro organisms all around me right now, some would do me harm but don't since they are locked in a battle with other micro organisms, we actually probly all benefit with how tight spreads are from HFT. The real deal, not some dude running tradestation and claiming to be a high frequency trader.

You don't....Hedging is a very strange concept when it comes to markets. The only guys that hedge properly I've seen are sports betters arbing out different books and straight up high frequency arbitrage.. If you aren't doing some kind of arbitrage, its ammusing to think that the perfect hedging strategy would simply eat transaction cost and be a -EV bet... If I ran 6 mil I would have some kind of long/short portfolio that has a directional bias...the leg that is opposition to my directional bias would simply be to smooth out "being wrong"...Even then though there is a natural bias towards getting too fancy...I doubt that would be better than simply dollar cost averaging the most hammered asset on some time frame. OPM wise though thats not a very marketable strategy..."Tell you what I'm going to do...we are going to buy the shit no one wants for the wrest of your life and if done properly everyone you talk to should be beating you YOY performance wise." 6 million is still vastly liquid enough to not bring in 10 other dimensions to your analysis with derivatives.

The hardest part about trying to go purely algorithmic is it quickly shows you how nonsensical what you think you know about markets are...Before deciding to go automated i would have said im a tape reader and trade price levels...ok...define what that means...... Its an easy cop out to pretend my brain is doing something that can't be put in code there but the reality is my strategies are simply too fraught with noise to put to code..muddled thinking and out right nonsense. You can't find excuses with "trader psychology", "knowing yourself", ect as to why your trades have negative expectation... There is also the aspect that I think you can make an arguement that algorithmic trading your own money is about the hardest problem to tackle there is...The skill set needed is so vast. A software engineer will tend to come at the problem wrong and try to paint the canvas with a hammer...while the "artist" will try to pound nails into the wall with a paint brush. It strikes me though as a logical step as a trader as far as progression that you have to ask yourself eventually why you don't go algorithmic and take head on the elephant in the room of muddled thinking with discretionary setups...

diversification is a good startegy on paper, but 30 years of everone knowing this strategy has wrecked it and essentially made all assets highly correlated. Buy and hold though isn't dead..I think that is a very dangerous idea if your a trader.Average joe money manager has an almost impossible task. If he follows the optimal long term strategy he will almost certainly lose clients in the short term and kill his business. People though seem to have a natural bias though when it comes to games involving minimax and "irrationaly" sway towards trying to the maximize gains. Minimax - Wikipedia, the free encyclopedia All you have to do long term is focus on not losing much and the gains take care of themselves, easier said than done though.

Good stuff... Only a fool would try to go offshore without a great tax lawyer on retainer..personally I think its just lame..Taxes are the cover charge to this party...if everyone gets on the VIP list and doesn't pay, then the party can't continue. If you want to be a 2 bit pirate instead a business man, then move physically to a place with a history of piracy like the carribean.

I would start by getting up to speed on probability and statistics..Probability Without Tears and Statistics Without Tears are great places to start for non math geeks. ...most retail backtesting software and concepts are just a marketting con, bringing a butter knife to a statistical/machine learning nuclear war.

I get the feeling NT7 is going to basically be a disaster...After working on it for so long they should not be at the stage they are at with beta testing. Putting in a new db engine and giving it 1 second time stamps is just mind blowingly stupid. I think its going to be real hard for NT7 to be much more than 6.5 + new bugs...

Voted the colts too. It would be cool to see the Saints win. Honestly, I really don't care as long as its a good close game.

I haven't bothered with Rush poker, to me it seems kind of stupid. From what I've read so far, the way to play this game is basically jam or fold preflop. I believe they started this to try to combat HUDs and tracking software but the tracking software has already adjusted itself to include rush... Its cool full tilt tries new things, like their HU game but i doubt these things will catch on much.

To me another interesting aspect that traders can take from pro online poker players is learning more about sample size. If you look on the poker forums, people will post equity curves just like on trading forums. The huge difference though is you will see someone post having played 1500 hands and everyone will chime in that the sample size is simply too small to know if you are simply viewing variance itself. The other end of this is that you can't really wait in a SIM to make 10,000 trades and get a good sample size, not to mention the market is a moving target so it won't mean much anyway by the time you are done. Faith is super important because at some point you need an aspect to your mind of being a degen gambler who knows they are right and can push an edge but also disciplined enough to cut losers fast.

I bet small time on MMA fights. If you pick and choose your spots sometimes really strange lines will come up, especially when you have an older name fighter against an up and comer. Its also nice because it doesn't lend itself to quantitative analysis at all. Sample size for fighters is vastly too small and 2 year old data is basically meaningless because the sport is so young and evolving.

Index arbs are the elephant in the room in this discussion. The idea of thinking about index arbs inventory is senseless IMO because they may as well transact at the speed of light from our position...I don't see how it makes any sense to even bother trying to get a read on index arbs inventory as a liquidity provider...you will already be looking in the past the moment the data hits your screen. I would love to know though what you think about index option market makers..I'm years away from fitting them into my optimal trading strategy but I would bet it all you can get a nice read on position sizing on index futures bets from the ability to read the volatility surface of index option market makers. Vastly better than something as absurd as ATR, or something you can even see inverse correlation with the naked eye by pulling up a chart of the VIX.

Totally agree that the absolute most poisoned trading term is predictability... I really like the idea of "false positive"..False positives are why most people have a hard time strategically in trading. My only problem though is that idea is too exact, too medical almost.. How do you control for the stochastic part of markets in your research?

I do think its helpfull in a discussion such as this that we toss poisoned trading terms like S/R, "momentum" in the trash can..even "value" is a bit poisoned with bias on this board because of MP ideas. Even "intrinsic value" is a poisoned term from too much economics literature...as if there is a machine locked away in Antwerp that knows the exact value of things and everyone is voting on what this machine has come up with. Its probly a heuristic hardwired in our brain to seek a leader such as this, even though none exists outside the illusion of the consensus in markets. The consensus does form sometimes though, which to me is what traders call S/R...the problem with that line of thought though is its like thinking the ocean's function is to create waves...the ocean is not trying to create waves, but waves are a property that emerges in a system like the ocean. Traditional ideas of S/R are poisoned by this bias that at that point exists some binomial distribution on what price is going to do above/below that point. I don't see how you explain markets better than the concept of the minority game. It doesn't defy common sense, is not overly complex and exhibits exactly what we see in markets with the payoffs flowing to the minority. With that in mind its hard to view myself as either a liquidity provider/taker..Part of the problem is the microstructure literature is not thinking about what we are doing as retail traders. The liquidity offered to me as a trader is basically infinite, the liquidty i offer is basically meaningless. 2 bit pirate surfing waves of liquidity, that the microstructure literature doesn't need to bother with.

bravo, bravo...I barely know where to start in this discussion its so great. I would like to first ask if you could do a more technical post on your software setup..This is very inline with the trading path I'm on but the biggest problem I've found is a) retail trading software is shit b) statistical analysis software like matlab and R are amazing because its not harder to learn than "trading scripting lanuguages". c) since most retail traders don't use these packages though there is a HUGE interface problem with these packages to retail data vendors. Basically an API hurdle with your data provider of choice. Are you actually interfacing to R via your data providers API? While this is a great theoretical discussion, like urmablue's stuff on here...its vastly less usefull if you can't play with the actual toys yourself.

Well I think it first helps in this discussion to not get confused by poker math as just being 1+1=2... pot/implied odds == x then I do y as a strategy...Poker is ripe for game theory experiments and just like the markets, with the amount of money on the line people are going to bust their ass to find optimal strategies and theory. No limit holdem is a finite game that we simply do not have the computing power currently to solve, which is why its interesting vs something like chess. Fold equity is certainly a huge part of the game..to me part of what makes low limit poker interesting is that since the villain is not thinking about what you are thinking, optimal strategies against better players become sub optimal vs unthinking players. Thats why the guy above who loves to slow play is correct since he is probly playing against unthinking players who are not going to fold or bother with a read on what he is thinking if they bet. Or more specific he is correct until the opponents he is playing changes and gets better. Calling variance in poker, luck in trading to me still misses something huge. If all traders place trades actually rolling dice that would be true. 1 - short x amount, 2 - short y amount, 3 short z amount, 4 long x mount, 5 long y amount, 6 long z amount. Keynes analogy on markets and beauty contests to me is a great model. No one votes for the most beautiful woman in the contest on what they think, they vote based on who they think the other judges will vote for as most beautiful and act accordingly. Mis and flat out wrong information about the other judges voting habits though creates "noise". Which to me is why you almost can't seperate the idea of "luck" and "noise" when it comes to markets.

There are actually good game theoretic underpinnings for this. I only use two opening raises, 3X the big blind in earlier position and 3.5x BB from the highjack,cutoff and button. Limping is just senseless because you are giving the big blind a good chance to see a free flop and increasing the chance of a multiway pot. I'm trying to get into then also only using the same % of pot bets on the remaining streets to hide any information gained from my betting. I believe this is not optimal play but should be good enough at lower limits. The biggest thing that has helped my game lately is nailing down your range cold. I play these cards and I dont play these other cards. Then when you get a hand your either thinking play or you are thinking bluff, and not should I or should I not play this. Tight aggressive is certainly the way to go at lower limits but can easily be exploited at higher limits by looser players but most players suck at the low limits so straight forward strategy works to profit from their mistakes. I think these series of posts are actually vastly superiour to 99% of poker books. Poker books are just getting kind of long in tooth vs modern playing. ****Concept of the Week" Schedule and Table of Contents**** - Micro Stakes Full Ring Games - Micro Stakes Poker Strategy Forum