FORUMS BROKERS SOFTWARE
Home
 
    Forums > Main > Trading > The case for ultra-selectivity


Reply
 
Thread Tools
Old Apr 23rd, 2012, 03:02 PM   #25
etile
 
 
Join Date: Mar 2007
Posts: 134
Go for the doubles to tithe you over until the fat pitch comes. The doubles keep you in the game. The home-runs make you a winner.
    Quote
Old Apr 23rd, 2012, 11:01 PM   #26
Swan Noir
 
 
Join Date: Jun 2009
Location: NYC
Posts: 2,377
Not holding overnight means that I am going for more singles than even doubles. For me the fat pitch has more to do with finding trades that generate a high enough W/L ratio in addition to the expectancy so that I can be comfortable increasing size.

Lots of this stuff relates to personality. some guys could be comfortable with a 25% win rate to generate the expectancy they need. I have found out that waiting to long between winning trades makes me uncomfortable even when I know intellectually that it is all part of the plan. I need a different plan.

Quote:
Quote from etile:

Go for the doubles to tithe you over until the fat pitch comes. The doubles keep you in the game. The home-runs make you a winner.
    Quote
Old Jun 21st, 2012, 11:17 AM   #27
Ghost of Cutten
 
 
Join Date: Aug 2009
Posts: 2,869
Quote:
Quote from Martinghoul:

There's a case to be made for being very selective, but there's also a case to be made for being less selective, if you have capacity. Sometimes it's optimal to accept a lower Sharpe to generate a better gross return.
Wouldn't it be optimal to allocate more size to the higher Sharpe strategy? CAGR to max DD is after all the main measure of trading performance. The only way I can see this not being possible is if you run out of liquidity in the high Sharpe strategies. If you have too much size and not enough opportunity, then yes I agree you need to be less picky almost by definition.
    Quote
Old Jun 21st, 2012, 11:21 AM   #28
Ghost of Cutten
 
 
Join Date: Aug 2009
Posts: 2,869
Quote:
Quote from Swan Noir:

I think the poker analogy is not correct. .
Poker analogies are rarely correct on anything other than the most simple and trivial truths, because trading is meaningfully different to poker. In fact, analogies have no logical validity whatsoever, they are only useful as blunt tools to explain to people who don't understand the subject at hand (e.g. non-traders, novices). For some reason people seem to love arguing by analogy, I guess it saves having to write down a proper explanation. But, the market doesn't reward those with the cutest analogy, it rewards those with the most accurate model of the nature of future market behaviour.
    Quote
Old Jun 21st, 2012, 11:41 AM   #29
Ghost of Cutten
 
 
Join Date: Aug 2009
Posts: 2,869
Quote:
Quote from etile:

Go for the doubles to tithe you over until the fat pitch comes. The doubles keep you in the game. The home-runs make you a winner.
Bad analogy. In baseball, 3 strikes and you're out. Not in trading, rather the opposite - 'doubles' are much more likely to turn into bad trades, which are the type that strike you out.

People really need to stop with the sport & game analogies.
    Quote
Old Jun 21st, 2012, 11:44 AM   #30
Ghost of Cutten
 
 
Join Date: Aug 2009
Posts: 2,869
Quote:
Quote from Martinghoul:

I was only trying to use mkt-making as an illustration of a principle that being not selective at all in a higher frequency context can work too.
That's why I described a certain type of trading in the initial post, I assumed it would be obvious I wasn't talking about market-making, HFT, daytrading and other approaches where you just grind out an edge.
    Quote
 
Reply
Thread Tools

Forum Jump



   Conduct Rules   Privacy Policy   Sitemap Copyright © 2014, Elite Trader. All rights reserved.   

WHILE YOU'RE HERE, TAKE A MINUTE TO VISIT SOME OF OUR SPONSORS:
Advantage Futures
Futures Trading & Clearing
AMP Global Clearing
Futures and FX Trading
Collective2
Automated Trading Services
CTS
Futures Trading Software
dom993trading.com
NinjaTrader Consulting
eSignal
Trading Software Provider
FXCM
Forex Trading Services
Global Futures
Futures, Options & FX Trading
Interactive Brokers
Pro Gateway to World Markets
JC Trading Group
Direct Access Trading
MB Trading
Direct Access Trading
NinjaTrader
Trading Software Provider
optionshouse
Option Trading & Education
Rithmic
Futures Trade Execution Platform
SpeedTrader
Direct Access Trading
SpreadProfessor
Spread Trading Instruction
thenut-trader.com
FX, Gold, & Stock Signals
TradersStudio
System Building & Backtesting
Tradier
Equity and Options Trading
Trading Technologies
Trading Software Provider