No.. it really isnt continual re-optimization, go read up on filtering theory. When I say 'true' parameters, that means the 'true' parameters according to your desired criteria. I gaurantee you that there is some tweak to your parameters that would have made the performance more closely match your goal (given past data). Now, it isn't possible in reality to know the perfect parameters at the time when they are needed, but it is possible to find the optimal set of parameters at every point in time and then model how those parameters change at every instant. A continual optimization is re-optimising, only your frequency is much higher. The "true/most profitible/perfect" parameters (which cant be reached in reality, but that is what you are shooting for) are time-varying. [/QUOTE] That is your opinion, but that doesn't have to be the truth. Drawdown and return are objective criteria to judge on. Based on these criteria i am sure they are NOT time-varying. My parameters NEVER changed over time. But i agree that the optimal indicators don't exist. All we can do is try to reach the highest level of perfection. [/QUOTE]
That is your opinion, but that doesn't have to be the truth. Drawdown and return are objective criteria to judge on. Based on these criteria i am sure they are NOT time-varying. My parameters NEVER changed over time. But i agree that the optimal indicators don't exist. All we can do is try to reach the highest level of perfection. [/QUOTE] [/B][/QUOTE] So if i understand you well, you adapt the parameters to get the optimal setup. As you don't talk about multiple timeframes i suppose you trade in 1 timeframe only? I don't look for optimal setups continually. I created a number of setups with fix parameters. Depending on the trend i use the according system. So i don't have to search for the optimal parameters, i just have to pick the correct system for that market. I trade in multiple timeframes. This gives the most accurate signals to trade on and also the most optimal setup that i ever came across.
Well, I never hold overnight.. but depending on what i put into the model, the timeframe is anywhere from a few minutes to a few hours (average holding time). Basically, the trend is completely removed from the things i trade and im always in 'chop mode' and try to avoid the gaps. I don't decide upon timeframes ahead of time, I find what is optimal and trade that.. the optimal balance between overtrading and missing oppurtunity. Simply the passage of time in my model is a source of risk and I also have some time-based stops to exit a position if it doesnt turn profitible.
Go and ask pit traders at the merc if anyone of them is going for return of 1% a day or even close!They are the closest to the information flow and can pull the trigger and get out of position in a second. If you use that much margin for such a return they will carry you out one day!Do you really want that! Good trading to You all!
Well, interestingly, some of the automated trading systems that I know that are currently producing 1% a day belong professional trading firms which are Merc members. The pit action is thinning out (I am a Merc member), with the market making for eurodollar options recently introduced on Globex. Keep in mind the original question was if there are any *system* (singular) that produces 1% on a daily basis with no down weeks, most professional trading systems run at least half a dozen automated systems or more (for instance, some for automated market making, some for stat arb, etc), so while some of the top systems would produce 1% or more, while some of other system would produce more normal returns, so the firm as a whole will not be producing 1% daily, similar situation exist for hedge funds, etc.
interestingly (read the book Taboo by jon Entine) not a single person in the entire world has broken the 10 sec 100 meters who is not of west african descent. running is a universal sport, yet only one group has ever achieved that pinnacle, and they have done it representing countries from all over the world. china, which fields elite athletes in most sports can't do it, etc. 484 out of the top 500 times in the 100m overall are from people who are of west african origin just an aside, for those who don;'t think there is at least some genetic component in many skillsets