Avarice

Stelvio. The Stelvio pass

J, you will find a summarized description of the system in post #344. I wouldn't get too hung up about finding the "right" indicator parameters. One of the main points that has been made in this threat is that the technical manner in which you enter a trade (i.e. stuff like stochRSI settings, even the usage of stochRSI or any other oscillator) is a personal choice and pretty irrelevant. As long as your trade selection method complies to OT's rules (enter on a weakening pullback of an ongoing trend) you should be good with respect to this thread. I know this didn't help much but if you want to dig deeper you should really read the entire thread, it's pretty instructive (at least it was for me). :missy:

"In the new economy, there were three kinds of people: the haves, the have-nots, and the have-not-paid-for-what-they-haves." Satyajit Das on the credit binge leading up to the 2008 bust in his book "Extreme Money"

No it hasn't. In fact there are ever more proponents of the efficient-market hypothesis claiming that future price movements are indeed random in nature and that it is impossible to consistently beat the market over a long period of time. On the other hand the fairly new field of behavioural finance claims that irrational behaviours of market participants have an impact on prices -- which would imply that price movements are not random. But up until now none of these theories have been proven to be correct, so keep searching

I rip my data off an eSignal data stream. I thought a long time about creating a database for storage and analysis but I came to the conclusion that simple text files offer the most benefits: (1) the data is human readable (great for bug hunting and cross-checking), (2) offline storage and backup is a non issue, (3) the data is universally accessible and easily transformable. As for data organization, I have a folder per security with a file per contract (i.e. ZC\Z2011_D.txt is daily settlement prices for December corn, ES\H2012_1.txt is one minute data for March ES, you get the picture.) It's not very sexy but it works. A word about ripping data off streams - if you want real tick data check with your provider first. IB for instance does NOT provide realtime tick data, they stream snapshots. Also, check how far back your provider's historical data goes. With eSignal some contracts go back 30+ years on EOD data but intraday prices are backward available for a few years at most. If you need more you'll need to buy your data from a specialized vendor (this can get expensive real fast, so check if you really need it.) Once you got the data on your hard drive you'll need to think about scrubbing it (filtering out bad ticks / quotes.) You'll find some pretty technical stuff on the web, google it; then decide whether it's really worth the hassle. Obviously this really depends on your strategy, if you trade long-term trends this is gonna be easy (just ignore the errors), if you scalp this is going to be a major pain. If you'd like to trade futures you'll probably need to construct a perpetual contract for backtesting purposes. I found Ed Seykota's article pretty useful (while you're there do check out his article on risk management, it's a good read.) As for software I'd recommend MATLAB. It's simply a fantastic peace of software. It's very flexible, the online community is huge and very helpful. The learning curve is a bit steep (especially if you don't have prior programming experience) but it's doable, given the right motivation :missy:. Caveat: you'll have to program most of your indicators yourself, there aren't that many that come standard out of the box. But, strange as it might seem, I found this rather helpful -- it made me *think* about what those shiny lines on my screen actually meant instead of just trusting them because They Told Me To use them. This is me though, I don't really know R or Octave (a free MATLAB clone.) Hope this helps, A

I haven't watched the video so I'm not endorsing anything. But discussing investment strategies in the current environment without at least a certain degree of consciousness of events that brought us here seems an exercise in futility to me. Maybe you'd be better off trying another venture, riches galore await the bold.

A professor stood before his philosophy class and had some items in front of him. When the class began, wordlessly he picked up a very large and empty jar and proceeded to fill it with golf balls. He then asked the students if the jar was full. They agreed that it was. So the professor then picked up a box of pebbles and poured them into the jar. He shook the jar lightly. The pebbles rolled into the open areas between the golf balls. He then asked the students again if the jar was full. They agreed it was. The professor next picked up a box of sand and poured it into the jar. Of course, the sand filled up everything else. He asked once more if the jar was full. The students responded with a unanimous "Yes!" The professor then produced two cups of coffee from under the table and poured the entire contents into the jar, effectively filling the empty space between the sand. The students laughed. "Now," said the professor, as the laughter subsided, "I want you to recognize that this jar represents your life. The golf balls are the important things--your family, your children, your health, your friends, your favorite passions--things that if everything else was lost and only they remained, your life would still be full. The pebbles are the other things that matter like your job, your house, your car. The sand is everything else--the small stuff." "If you put the sand into the jar first," he continued, "there is no room for the pebbles or the golf balls. The same goes for life. ! If you spend all your time and energy on the small stuff, you will never have room for the things that are important to you. Pay attention to the things that are critical to your happiness. Play with your children. Take time to get medical checkups. Take your partner out to dinner. Play another 18. There will always be time to clean the house and fix the disposal. "Take care of the golf balls first, the things that really matter. Set your priorities. The rest is just sand." One of the students raised her hand and inquired what the coffee represented. The professor smiled. "I'm glad you asked. It just goes to show you that no matter how full your life may seem, there's always room for a couple of cups of coffee with a friend."

This is one can I've been kicking down the road for some time now, seems like yet another good argument to get that LLC finally rolling.

How is everyone doing here? It's been awfully quiet over the past weeks Quick heads up from me, I trade OT's strategy mainly on the pool of instruments he posted on page 1 of this thread (agriculturals, currencies, debt, energy, indices and metals). I went live on August 1st and I'm happy to report that after almost 2 months of trading I'm up some 3% of base equity which I judge, considering recent market performance, to be pretty robust. Max drawdown is in the 3.5% region, also a figure I can live with without losing sleep. Since I'm still evaluating the strategy I only trade one contract per shot. That''ll change at the end of the year, once pyramiding is in place I'll be able to evaluate the strategy's true profit potential. For the moment I'm still working on how to do that, there's an awful lot of positive correlation out there at the moment. Big kudos to OT for starting this thread, and a big thanks to SIUYA, Ingot, PWP, russel and all you guys that make this thread a mine of information for newbie traders. Keep them posts coming!

We're all young and healthy. The world is our oyster. So quite naturally none of us like to think about the inevitable. I for one plan to outlive y'all but -- just for the sake of argument -- let's suppose you drive off a cliff in that new Maserati you bought with last week's proceeds. :helloooo: What happens to your trading account? Your open positions won't close themselves magically, how do you handle this? My broker doesn't permit physical delivery so I guess my positions will get auto-closed once the contracts start expiring. But how do stock people manage this eventuality? How do you make sure your spouse and/or kids have access to your funds after you start pushing up daisies? Will your trading account be handled like any other bank account? I guess I should talk to my broker about these things. But I thought it couldn't hurt to throw the question at you guys first. So, any thoughts?

I humbly disagree. Profitability of a trading system is defined by your ability to press winners and to run fast in the face of adversity. Mathematicians (or any scholar, for that matter) make for terrible traders. Most think they have to be right in order to win, hence they fail to bail if the trade turns bad. Yep, wide generalizations FTW :rofl: But we disgress...

It is empirically impossible to prove that something is behaving in a "random" way. For something to be perfectly random it has to lack inherent order - so trying to prove market randomness equals trying to prove that it lacks underlying order. Proving such a negative proposition is impossible - it's like trying to prove that there are no cakes in space. While this might be highly probable, providing mathematical proof of said proposition is a different pair of shoes. I remember reading a passage in some book (I think it was Schwager) that a trainee was sitting next to his boss in some firm, looking at commodity quotes. After a couple of hours the trainee asked his boss how he managed to make so much money out of random price movements. The boss picked up the phone, told his trading floor to short the commodity pretty heavily - 30 seconds later prices printed lower. "If one man with a telephone", the boss answered his trainee, "can move the markets with a single phone call, how can it be random?" (I think this was Dennis, not sure tho...) In any case. As always SIUYA has the right of it, randomness or not: it's trade management that makes or breaks your account. To answer your question would I trade a truly random stream of data? Sure, I would. Would I recommend investing in such an instrument? Hell no.

Hey SIUYA, good to hear from you You mention two concepts in your post which I feel need clarification. 1) Context. You repeatedly said that the "default mode" of a trader should be to follow his system's signals except when the current context indicates otherwise. Overriding my system in such a way presupposes that I know what context my system is supposed to work in - for OT's strategy that would be an ongoing long-term trend where this ongoing trend must have a realistic chance to continue. The last part of this definition tells us to override the system (i.e. not take an entry) if our trade would need to violate obvious support or resistance zones in order to be profitable. My question here is, what other considerations should we take into account in order to decide whether context is not right? What about flatlining EMA65s? What about low (or high?) volatility? What about crisscrossing EMAs that switch from long to short every other week? Not that I'd be fishing for a pre-fabricated recipe but I've got a feeling that this concept is quite important stuff. Do I need more experience in reading prices? 2) Pyramiding. The general concept of it seems easy... at first. But doing it right is a different pair of shoes: if I want to have a realistic chance of being able to add to a position I need to work with a pretty wide stop. I tend to trail my stops at approximately 2 to 4 ATRs, and upon closer inspection I can see that this is way too close - I will always be stopped out by the pullback towards the next (possible) add point. Conclusion: I need to widen my stop. But now greed kicks in - in the form of fear of losing too much paper profit. So I start asking myself when I should start to tighten my stop in order to get out? How do I see that I sucked the trend dry and that it's ripe for a reversal? I know I can't. But I still want to! Do I need more experience? What are you guys' thoughts on all this? A

Just got slapped in the face by Canadian $, 1.5k loss. Both entry and exit at the worst possible moment. How's that for timing the market :applaud:

Man that's harsh :cinema: Trade update, I got stopped out of Sept GBP for a $900 profit the day before yesterday. No open position left. I have standing orders to short Cocoa, Soybean Oil and the CAD. None of these have been filled yet, we'll see how it goes. I've attached the (sept) CAD chart for your perusal. A