BlueHorseshoe

You'll have a hard time explicitly testing any of it, unless you have access to some special indicators that Steve has created (and to the best of my knowledge hasn't shared). Nevertheless, the gist of what Steve says is reasonable enough - he doesn't generally spout the same tired claptrap that many vendors do - take the comment above that forex tends to undergo more sustained trending behaviour than indices, which tend to be more cyclical. Seems fair enough, doesn't it? BlueHorseshoe

For anyone interested in looking at this, ProRealtime (which is a fantastic charting package - also white-labelled by most of the UK spreadbet firms - IG Index, CityIndex etc), is free for end of day charting. Thanks, ed_inacloud. BlueHorseshoe

I think that's pretty much what OptionTimer does, isn't it? Thanks for the millipede link! BlueHorseshoe

I don't know who Bernanke is, to be honest. He must control some element of fiscal policy in the US - someone at the Fed or the Treasury? Is he Alan Greenspan's successor? I'm not sure . . . Economics ain't my forte. So "Bernanke" is just a name, and you used it to reference conveniently the entire global financial system . . . But it's not a good substitution . . . Bernanke did not step in to support the entire global financial system . . . . . . has a very different ring to . . . The entire global financial system did not step in to support the entire global financial system . . . Sorry if I'm sounding petty, but like the OP, I labour under the assumption that viable trading strategies will survive most economic turbulence, but not complete failure of the financial system. Maybe it's needlessly pedantic to quibble over this. BlueHorseshoe

Compare your typical comments along the lines of "most people here don't really trade" and "if you haven't worked it out after a few months then give it up", with your comment above. How long does due diligence take, exactly? BlueHorseshoe

I'm not sure that the OP will do much to sway anyone (or that he'she won't try to sell something sooner or later), but there are ideas there that I think are both true, and worthy of further consideration. BlueHorseshoe

I agree with your comments RE pros and cons of this and any other approach and how it may or may not be suitable for others . . . Confused about your Mean Reversion comment though - Mean Reversion is a product of Random Distribution - but we're not going to have another coin-flipping discussion Also, regarding backtesting . . . if you want the general flavour of this rather than whatever specific criteria with fibs etc the OP apparently relies on . . . Buy SPY after 2 Down Years . . . Buy SPY after 2 Down Months following 2 Down Years . . . Buy SPY after 3 Down Days after a Down Month following 2 Down Years . . . Cut it any way you like: it's always better to buy it when it's falling if you have a mechanism - zero leverage - to weather the drawdown. BlueHorseshoe

Bernanke did not "provide a floor". The fact that the world financial system did not completely collapse provided a floor, as this is pretty much the only concievable scenario (ie. one of a doomsday type) where the S&P goes to Zero. As the OP acknowledges, such a scenario would leave all of us with bigger things to worry about than a blown account. I am sure that countless competent fund managers were scooping up equities at exactly the same time (some using leverage) - did they know what they were doing? Were they just lucky? Maybe if you take the stance of the OP - that price is random - then "lucky" is the best that you can hope for? An interesting exercise for confronting ego - how do you react to each of the following? - "You just got lucky, that's why you made money . . ." - "You made that money because you know how to trade . . ." BlueHorseshoe

If you'd done what I described above and exited on the close yesterday you would have netted something like 30 points, or $1500 per ES contract. I didn't count the drawdown, but it wouldn't have been much. Or do you still think that the stock market has "broken down"? BlueHorseshoe

Hi, I'm pretty sure the guy is, or was, TL admin. So, if he doesn't respond to a personal message you could always try asking someone else who is admin if there's an easy way to get in touch with him. BlueHorseshoe

Besides which, your message isn't really aimed at the likes of TradeRunner, is it? Apart from a couple of dozen cynical and jaded TL members who've been here for years and probably never hear anything they haven't heard before, you never know who's reading . . . Someone who just started trading last week, perhaps . . . whose whole learning path could be positively (or negatively) directed by a post such as this. I'm happy enough to hear the same stuff repeated on the off-chance someone else might benefit. BlueHorseshoe

Hi Suby, As promised, an example of what I was trying to explain. The first image shows strat applied with signals from primary market only (buy dips in uptrend; sell rallies in downtrend). Over a ten year test period . . . Profit Factor is 2.50 (Longs: 2.3, Shorts: 2.93) The second image shows strat applied with signals from primary market filtered with data from three additional related markets (only buy dip in uptrend when related markets either have not dipped or are not in uptrend etc). Notice how five trades drop out over the period shown? Over the course of the test period this is sufficient to have the following effect: Profit Factor is 5.97 (Longs: 10.80, Shorts: 4.32) This is just an example, so I put no effort into selecting the markets used as filters. I hope that's enough to get you thinking and researching if this is something of interest. Regards, BlueHorseshoe

I'm intrigued that you seem to be distinguishing between "the mean"and MAs here? BlueHorseshoe

You've circled three pullbacks in an uptrend on your S&P chart. I don't really see how this one looks much different, just a little more volatile. And you're at horizontal support as well, if you believe in such things. Why not buy it? If this particular correction runs deeper or leads to a reversal and you had to exit with a loss . . . well the other two worked out so it wouldn't be a problem. Or . . . you can try and call a market top every time things get twitchy BlueHorseshoe.

A few thoughts above. I also thought AddChild's comments were extremely helpful. BlueHorseshoe

Please can you tell me a bit more about Blessing and Indo? Thanks, BlueHorseshoe

I have tried doing so in the past with intraday stuff, but without any success. I also went through all the $tick, $trin, $vix "market internals" stuff years back (before I was backtesting - so I lost real money trying that stuff out), and then the Larry Williams indicators based around bond/stock index relationships . . . There was nothing there for me. One thing I have noted, but have yet to properly investigate, is that when a group of correlated markets are trending (and they need only be loosely correlated), and one market pulls back where the others don't, then an entry in this market has better probability of a successful outcome than when multiple markets undergo a correction together. Not only is such an instrument reacting against its own long term trend, but against the trend of the broader market. A reaction that will become a reversal is more likely to unify behaviour ("when the shit hits the fan, all correlations go to 1 . . . !"). What I am describing is possibly an aspect of what OneSmith has in mind with the 'M' of CANSLIM. BlueHorseshoe

The ticker VIN is already taken! BlueHorseshoe

That's enough over-thinking for me for one day BlueHorseshoe

Not answers, but various thoughts . . . If you muddle up the data in a time series (monte carlo), then the way that each member of the series relates to all other members is random, but . . . the time series will still have the same outcome, or sum to the same total. The process is random; the outcome is fixed. Suppose you have a known price now, and you think you can predict a future price. Assuming you can, then that still isn't the same as saying that you can predict the path involved in getting there. That would involve a hell of a lot more prediction. Which is one reason that people doing fancy things with trailing stops etc confounds me . . . A lot of the references to 'non-random' structures appear to be rooted purely in price, and how it relates to itself visually within a chart. Is it any wonder if such a limited view of structure should turn out to hide all manner of randomness? What about Mandelbrot - tiny differences in even the simplest and most benign systems can have diverse outcomes over many iterations . . . and a fat-finger error from a one contract retail trader can trigger a market crash . . . Does anyone actually believe this? Talk of footprints - just because an order is not randomly placed doesn't mean that the individual placing it has any kind of directional motive. If someone is operating within a completely different structure of behaviour to yourself, then are their actions really in any worthwhile sense any different to those of someone/thing behaving randomly? Non-random behaviour is predictable if you know the cause. Random behaviour is predictable if you know that there is no cause . . . BlueHorseshoe

Don't worry though, because it's also really incorrect! Take a look at Thomas Stridsman or Emilio Tomassini. Also, the theory underlying a lot of the more high speed trading is widely published in academic papers. You could start searching around Hidden Markov models and Genetic Algorithms, if that kind of thing interests you. Hope that helps! BlueHorseshoe

I can't show you this, not at all . . . therefore, please feel free to ignore everything I have said hitherto in this post or any other. It's for the best . . . BlueHorseshoe ps. truth comes in very, very small chunks, and from a thousand sources - it is unreasonable to expect the gospel from one man with screenshot proof that he is the messiah!

This is very true - but it is on the list, I promise! BlueHorseshoe

Within reason/ability to pay fines, yes. We're re-treading old ground here though, and it doesn't have much to do with whether or not price movement is random . . . Both short term and long term participants react to price. I would contend that price movement is more random in the shorter term. Which must come first, the random price movement to which shorter term participants react, or the misguided reaction that leads to random price movement in the short term? And are longer term price movements really as non-random as they seem? If your outlook is "forever", the stock market always seems to trend up. But what if you enlarge your perspective proportionately? What will an equity chart for the past 100 years and the next 900 look like? "Prices always revert to their mean, and over a long enough timeframe that mean is always zero" BlueHorseshoe BlueHorseshoe

What seems pointless, I debate at length; what seems point-ful . . . I just get on with. That way you never risk throwing out a gem with the trash ; BlueHorseshoe