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BlowFish
Market Wizard-
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Everything posted by BlowFish
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I take a look now and then. I don't bother with entries on how he actually trades (too much information to decipher) but I enjoy the entries on the other aspects of trading.
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That is not concordant with my observations. Not something I use personaly but I know a few successful traders that do. (Well I guess they are successful as they don't get fired). I'm kind of interested in what you are basing your opinion on.
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I think you misunderstand what FT wanted. He was after a plot type where a new candle starts painting after a nnnnn delta change. So similar to a constant volume, or constant range chart but with new bars triggered on delta change.
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Seems the consensus is re-sample (or interpolate).
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Do you find VT's 'bookie' feed matches MB on the whole? I guess so as you are using it for charts.
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Market Manipulation and Technical Perspectives
BlowFish replied to Eric Johnson's topic in Technical Analysis
[quote name=DugDug;88782 This may boil down to definitions..... In this discussion I would separate the quants' date=' the arbs and the market makers a little....just as a matter of definition - totally up for debate of course. was LTCM a quant or an arb player? .[/quote] I rather like Harris' definitions (categorisation really) of market participants,why they trade and how they trade. Seems comprehensive to me. Personally I don't see ' a quant' as a type of participant. I see it/them as a technique of analysis rather than a type of participant in its own right. So Arbs might use quantative techniques (and almost certainly do). Dealers trading other peoples order flow might use quantative techniques (almost certainly do to measure performance if not to actually trade). etc. etc. -
Is Optimizing Profit Target & Stop Loss Curve Fitting?
BlowFish replied to cunparis's topic in Automated Trading
You probably (definitely) want to test out of sample. Probably wise to pick different market conditions for that out of sample data. Intuitively the results will vary with volatility....the best settings for 10 point days is likely to be different to 30 point days. -
Is Optimizing Profit Target & Stop Loss Curve Fitting?
BlowFish replied to cunparis's topic in Automated Trading
The way it is generally done is detect swings and store them, see if you get N within a user definable proximity. It is not too daunting and results can be 'not bad'. -
Market Manipulation and Technical Perspectives
BlowFish replied to Eric Johnson's topic in Technical Analysis
On the whole arbs make money on there hedge portfolio returning to parity. The question is how out of lines things need to get before you trigger. Other arbs will be competing. I am not sure anyone 'initates moves' per se. (I guess MP terminology could encourage this way of thinking of things with initiating/responsive categories). Traders tend to work orders to get positioned without moving the markets. Sure there are more sophisticated instruments and al sorts of tools nowadays but I think the game. You mention quants, well they simply use mathematical models to detect disparity in pricing, it's just another form of information asymmetry with a particular characteristic. -
What one that sells when you press buy :D:D
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Are you weighting by time or actually by position in the time series? Will later data effect weights of earlier data (that becomes processor intensive). Just a couple of things to consider. What platform btw?
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Like putting your hand in a fire you will do it less once you have been burnt. Edit: a practical suggestion see if your platform has 'fat finger' settings.
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Market Manipulation and Technical Perspectives
BlowFish replied to Eric Johnson's topic in Technical Analysis
I think it's a common mis conception that high frequency traders move markets a large part of their volume is arbitrage. This ensures correlated markets are not mis priced their actions do not increase volatility. High frequency traders are de facto market makers, competition between them narrows spreads increases liquidity and is an all round good thing. Flash trades are a different matter but if they have any sense the SEC will ban them (which they are considering apparently) If you read something like reminiscences of a stock operator you can see the players have changed but the game remains the same. If you want to learn about the game in detail a good book on market microstructure would serve you well. -
I found the Jim Rogers interview interesting (he formed Quantum with Sorros, broadly speaking he decided the plays, Sorros executed them analyst & trader if you like). Interesting on all sorts of levels but just not something you or I (or anyone else probably) could emulate. Tudor Jones was another (though he perhaps was less discretionary basing a lot on Elliot) That is the big appeal with simple trend following systems they are something anyone can learn, probably in no more than a day. Of course having the confidence and discipline to follow one is a different matter, particularly with the lumpy equity curve.
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After re-reading wizards it made me think too. I figured use a spread bet account so you can trade small size and diversify. Diversification is another important factor imho, these systems tend to use diversification to smooth the equity curve. The thinking being that all you need is one or two instruments on a roll to offset any whipsawing in others. If you approach it from a portfolio point of view trading different systems on the portfolio is likely to help but simply taking 20 fairly un corelated instruments in the first place is likely to be simpler). The turtle document lists there basket for example. Actually there is quite a lot to be learnt about other aspects of trend following from it.
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Kiwi, from your previous posts you said pretty much what I expected. However your "trend based" strategies I don't think I would classify as 'old fashioned trend following'. OFTF Just out of interest will your system catch every trend without fail or do some slip through (presumably by missing 1 or 2 trends you miss 3 ,4 or more whipsaws)? Personally I tend to think of pullbacks after a trend is established somewhat differently to OFTF. I guess as long as there is a pullback somewhere you will get a position? If there is not an 'acceptable' (deep enough and close enough to the start of the trend) I guess you don't? it all depends on how one defines a trend and then how one chooses to enter. Waiting for a pulback is certainly a valid approach, I am just not sure I would call that 'trend following' in the 'old fashioned' sense. I am not sure I am contributing much here, though if I can coax stuff out of Kiwi maybe so
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On point one a 'time stop' is perhaps not a bad idea. With a BO momentum should develop quickly after all. On the second point I work on a 17" macbook pro running windows (through bootcamp). It is kind of cramped. I did try posting a couple of sequences but as they where fast charts (2 min DAX) it didn't feel to good. I did find benefit in annotating but it was hard to keep up.
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Seconded. Though as usual I am a couple of days behind and the drama has been erased. (i don't mind drama once in a while)
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Aren't sampling and smoothing different issues? Not sure exactly what you want to end up with. The 'normal' way of dealing with the data would be to sample it (highest high lowest low of sample period) then smooth it. You could of course smooth the data in each sample first (e.g. take an hours data average it and use that price as your sample value for that discrete period) As to actual smoothing algorithms there are whole bunch here (and other places too).
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One thing to bear in mind is that if relying on weekly data you will probably need a fairly long time horizon. As an aside I read that the CME now provide an hourly LDB (liquidity database) report, it sounds hugely expensive (price on application) anyone have experience of that?
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I think there have been one or two. Richard springs to mind, apologies to R if I have misremembered. More importantly there are a couple of vendors here who are not sponsors but make valuable contributions to the community. Win win situation.
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Interesting question my hunch would be yes though it is just a hunch really. It would certainly improve things if it is a 'real' trend following system. I guess it depends what you call a 'trend following system'. I actually have a personal category 'old fashioned trend following system' which might be different to other peoples definitions. One of the characteristics (for me) is ensuring you are positioned for every single trend (so channel break out PA break out or similar) by taking every single BO you will get whipsawed somewhat and hence the 60 65% figure. To me this epitomises trend following systems. Of course there are all sorts of methods that attempt to trade with the trend or 'run one unit' that are perhaps more discretionary but I view those as 'methods that trade with the trend' rather than 'trend following systems'.Could be that I am talking at cross purposes. Kiwi would be better qualified to comment and may very well tell me that I cam completely wrong. I should say it is more a hunch based on lots of anecdotal evidence. I should say if you are scaling out then those portions that you scale at 1:1, 2:1 and even 3:1 I would evaluate separately and would not classify those portions as 'trend following' even if they where entered 'with the trend'. Incidentally I re-read Market Wizards over Xmas and was surprised the rather high number of the wizzes that used good old fashioned trend following (simple trigger, solid money management).
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Really it is the only quantitative measure of who is doing what and how heavily they are committed to doing it. Whether you can piece together anything useful I couldn't say, but it seems like a reasonable place to start. There are a couple of well known rules of thumb using price volume and OI to anticipate what the market might do next.
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Yeah indeed very sharp, he also seems to have a really good grasp of trading issues and needs. One option of course is to string together a bunch of more general components and tools. Database, some sort of data adapter, maybe matlab or R for analysis. I really don't have the inclination for that scale of project right now. Actually I'd use MC just for fast testing I am trying to get them to implement reading historic bids/ask info. Having said that there are some question marks over processing integrity.
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Trading the Grains - Soy, Corn, Wheat
BlowFish replied to brownsfan019's topic in The Candlestick Corner
Fantastic! I'm all over that. Martingale for the win.