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HurricaneUS
Registered: Aug 2008
Posts: 750 |
04-07-12 10:43 AM
Quote from dom993:
Discipline ... here is what I am doing ... and it works pretty well:
* for each discipline error resulting in a loss, I transfer that amount from my bank account back to my trading account.
Rationale: 1) my trading account still reflects what my P&L should be
2) pulling money out of my bank account is way more material than when the loss remain "hidden" in my trading account balance
* for each discipline error resulting in a win, I transfer that amount from my trading account to my bank account, and from there to a charity.
Rationale: 1) my trading account still reflects what my P&L should be
2) I don't benefit of my discipline errors, which quickly translate into "what's the point (of taking an unplanned trade)"
that's a little overboard don't you think?...
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zdreg
Registered: Oct 2003
Posts: 8326 |
04-07-12 01:36 PM
Quote from dom993:
Discipline ... here is what I am doing ... and it works pretty well:
* for each discipline error resulting in a loss, I transfer that amount from my bank account back to my trading account.
Rationale: 1) my trading account still reflects what my P&L should be
2) pulling money out of my bank account is way more material than when the loss remain "hidden" in my trading account balance
* for each discipline error resulting in a win, I transfer that amount from my trading account to my bank account, and from there to a charity.
Rationale: 1) my trading account still reflects what my P&L should be
2) I don't benefit of my discipline errors, which quickly translate into "what's the point (of taking an unplanned trade)"
you end up fighting the market.
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logic_man
Registered: Oct 2010
Posts: 1489 |
04-07-12 03:19 PM
Quote from gmst:
Hi Logic_man - Very useful post. Thanks indeed.
Those unplanned trades were a blunder. I am confident that I won't take any such trades going forward.
I dipped my toes into E-W theory 2 yrs back but left it after working on it for a week or so. Currently, I am going through logical trader, and I do find it very useful. I am certain in future, I am going to overlay this framework upon my current trading practice.
From the way you describe and going forward if it works, what you have achieved is truly a masterpiece!! You are correct in saying I have disparate set-ups but no overarching theme to unite them => leading to discipline issues. Actually, last night, I have started thinking about classifying trading days into some groups - at the start of a day - so one classification for one day. The approach is pretty rudimentary right now, and I am hoping that overtime, I will be able to evolve it into something useful. However, its a very lofty goal indeed.
Let me ask you a question regarding your classifications into 55 different structures. Do these classifications change with intra-day data - so at 1000 EST, ES market might fall under one group and at 1100 EST, it might fall under another group OR is the classification fixed for the whole day? IMHO, classification fixed for daily data will be much easier to accomplish compared to classification that changes with intra-day data. If your classification does change intra-day, how many times on an average day, do you change the group under which ES falls? Thanks for your wisdom.
The variations are fixed in the way that Elliott Wave is fixed into patterns like flats, triangles, etc. Only, instead of a few patterns like Elliott Wave, I have 55 of them and there is no subjectivity involved in interpreting them, so that, unlike e-wave, any two people using my form of analysis would reach the same conclusion. It is possible that this number will grow in the future as the market evolves, but it has been pretty stable. I would say that my approach is "wave theory meets quant trading". One possible area of research for me would be in trying to discern subvariations within the "wildcard" pattern. It's relatively infrequent most of the time, but better understanding of it could lead to additional profitable trading opportunities.
I have another tool which enables me to classify price action with regards to time of day, so that is something separate. Since developing this tool, it has been a lifesaver in the sense that it has kept me out of numerous trades which would have been losers.
Anyway, getting back to your situation, I am glad to hear you are acquainted with both of the approaches I mentioned. One other approach which meets the same "mutually exclusive and collectively exhaustive" criteria a lot of traders swear by is DeMark Indicators, although I am not personally familiar with them.
There is a famous (well, to some people) image of Ted Williams, the greatest hitter of all time in my opinion, where he breaks down every possible pitch location and how it relates to his hitting success or failure. This is what you want to do with the markets because it directly applies to trading.
http://www.thecrosshairstrader.com/...ams-happy-zone/
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dom993
Registered: Jul 2008
Posts: 537 |
04-07-12 03:38 PM
Quote from HurricaneUS:
that's a little overboard don't you think?...
Of course, to each his own ... it works for me, contrary to everything I had tried before. For years, I had this "Cost of error" column in my trading log spreadsheet, which didn't do much in itself to motivate me to stay disciplined.
The idea is similar to getting a ticket for speed limit infraction. Nobody likes it, but after a few most become more disciplined on that front.
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gmst
Registered: Jul 2011
Posts: 3695 |
04-07-12 11:52 PM
Quote from logic_man:
The variations are fixed in the way that Elliott Wave is fixed into patterns like flats, triangles, etc. Only, instead of a few patterns like Elliott Wave, I have 55 of them and there is no subjectivity involved in interpreting them, so that, unlike e-wave, any two people using my form of analysis would reach the same conclusion. It is possible that this number will grow in the future as the market evolves, but it has been pretty stable. I would say that my approach is "wave theory meets quant trading". One possible area of research for me would be in trying to discern subvariations within the "wildcard" pattern. It's relatively infrequent most of the time, but better understanding of it could lead to additional profitable trading opportunities.
I have another tool which enables me to classify price action with regards to time of day, so that is something separate. Since developing this tool, it has been a lifesaver in the sense that it has kept me out of numerous trades which would have been losers.
Anyway, getting back to your situation, I am glad to hear you are acquainted with both of the approaches I mentioned. One other approach which meets the same "mutually exclusive and collectively exhaustive" criteria a lot of traders swear by is DeMark Indicators, although I am not personally familiar with them.
There is a famous (well, to some people) image of Ted Williams, the greatest hitter of all time in my opinion, where he breaks down every possible pitch location and how it relates to his hitting success or failure. This is what you want to do with the markets because it directly applies to trading.
http://www.thecrosshairstrader.com/...ams-happy-zone/
I like a lot of your ideas - especially your approach of amalgamation of subjective and quant trading, your emphasis on time of day, your approach of market classification based on "mutually exclusive and collectively exhaustive" criteria etc. These ideas resonate with me, as I currently employ first two above points and just few days ago have started looking at the third point. That Ted Williams image is very illuminating.
Probably I will take a serious look on DeMark indicators in 2013. My aim for 2012 is to study and incorporate ACD principles in my trading, apart from flawlessly running the program that I have already developed. The whole idea of classifying market states into "mutually exclusive and collectively exhaustive" framework is a great idea IMO. Even though I don't really understand how you do it, but I guess it must be possible to partition market states in different ways - so your and my approach might differ. Definitely sounds like you are much further than I am as far as having a complete market framework is concerned. Good Trading.
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Zen Student
Registered: May 2010
Posts: 117 |
04-08-12 11:14 PM
Quote from gmst:
Not doing anything currently. Will share once I spot something. Will be mostly intermarket spreads so like CL against ES kind of stuff.
Will share once I spot something: generally not a good idea. If you spotted a true arb, would you publish it on the Internet or would you get as much as you could done before your counterparties got wise? If you found a temporary correlation or edge, publishing it could cause it to disappear.
Spreading is not my niche. However, the suggestion to specialise is useful. If you want to specialise in spreads, do so. If you are trying to directionally trade futures then investigating spread relationships and trying to trade ES against CL is like proposing to fly two jets simultaneously, and attempting this before you've done your pilot qualifications.
Similar diversions can be observed in your attempts to investigate ACD this year, another method next year, all the while trying to refine an existing strategy. I'm nudging you to start from scratch with your own thoughts, data from a market you wish to specialise in, and a commitment to logic and reason to ask the right questions.
What is lacking so far is focus and a definite purpose. You would do better to focus on one market, one trading methodology (ie directional), and from that proceed to evidence based analysis.
Until you know the questions you need to ask, you will not be able to filter the usefulness of other information which has been presented. You will not know until you test its validity for yourself...but again without knowing the questions to ask, how do you propose to do this? This is why many here sample, in the manner of a buffet, from all the information available however they do not get anywhere as they do not know what they are looking for or how to recognise when they have found it.
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