Why discuss things you could never implement? This is a garbage strategy, Wayne is optimizing his entries and position sizing based on MAE of the security. What he fails to incorporate is the path dependency of the MAE and the significant magnitude of them, especially in FX. If you optimize for the worst case you will simply not make enough return on the small position sizes for the other 95% of the time when the security trades 'normally'. Maybe you could incorporate something with some discretionary ability (its much easier for a person to recognize panic selling then a computer model) You don't even need to be that good due to the small position sizing of each position as the probability that price will retraces SOME amount increases as the return becomes more and more of an outlier. If I/We are wrong I'm sure he'll be back to rub it in
Again, it's a fascinating thread. Prior to this thread, it was my belief that the most profitable strategies were hidden secrets that only the most successful investors knew and never, never, ever shared with the public. Those strategies, I thought, were absent from books and impossible to purchase at any affordable price. While, it's true that situation remains mostly unchanged, another opportunity arises through these forums online, it seems. It appears that investors who kept their strategies quiet and lived like kings for most of their lives become philanthropic in their later years. That continues to be a strongly human nature among the wealthy. Take the Carnegie foundation or the Bill and Melinda Gates foundation, etc. So successful senior traders become altruistic and very open about sharing their secrets. However, there's a catch, they quickly discover that if their techniques don't match the public's preconceived notions about how trading works, they get treated most impolitely, rudely, or even cruelly. Those kindly motivated traders realize that, in order to learn, people must have a certain quality to make them teachable. A quality that is sorely lacking in today's world: Humility. After a time, these traders seek only those who have enough knowledge to comprehend and sufficient humility to learn the most powerful trading techniques. You can frequently find these types of teachers on elitetrader and other forums. Additionally, if you, the reader, focus not only on trading but also developing humility, you may find those teachers will even seek you, posting replies, PM you, and offer extremely practical and specific help. It occurred to me today, that the title of this thread tended to attract some of those benevolent individuals like the earlier posters and those who PM'd me. You probably agree than many very important posts were added to this thread. Most of the early posts were critical to the platform I built for trading multiple models simultaneously. Even Acrary graced us with a few posts in spite of his limited time on the internet these days. One intriguing person stands out to me. He never posted, only PM'd. He definately falls in the category above. He said in a PM that he is a "walker" rather than a "talker", referring to those who talk the talk but can't walk the walk. He has many decades of experience trading everything. He even reminisced what happened during Black Friday (discussed earlier in the thread). I'm struck with incomprehension at most of what he says about trading. But after I spend some time deciphering and reply with what I think I understood and what I'm clueless about, he patiently confirms, corrects, and clarifies. He specifically prevents me from posting the techniques publicly or identifying who he is for reasons above. His techniques are quite radical to "conventional" thinking. I am steadily verifying them with testing and finding them to be accurate. One of the most valuable to me at present will take a month or two at least to collect the data to test it. Since I can't share the ideas, this post is a sincere effort to point you, whoever you are, in the right general direction. In conclusion, I find that the most important quality in trading is humility and the ability to distinguish to whom you must pay attention whom you must ignore entirely. Obviously, there are some of both who posted in this thread. I thank all of you for making it a most interesting experience. If you're wondering, I haven't been running the strategy above yesterday or today due to a lot of technical (software development) work to collect additional data for correlation research that he explained for eliminating the MAE on this strategy. That data will help also with other strategies he presented. This reminds me alot of S.C.O.R.E. Are you familiar with them? When starting a business I went there for advice. It was amazing. The CFO of an international, billion dollar corporation spent over an hour with me discussing financial strategy for my business without cost (not trading related). He was older and mostly retired. Among traders, it appears there's no established venue for the very experienced to benevolently assist younger ones other than online forums. But in some of the threads where he posted on different forums, I felt shocked, embarrassed, and disgusted by the arrogance and downright meanness of some of the replies to this gracious gentleman's ideas. But, there's always a consistent thread of people who say they were able to quit their day jobs and make a great living at trading following his ideas. The contrast between pride and humility in those threads is a most interesting and sad case study in human psychology. It would seem that the potential rewards of humility would make everyone humble. Obviously, that's a pipe dream. Sincerely, Wayne
Wayne, You gotta make some money before you can give it away How do I switch off these email alerts, way too tempting to respond with these markets....
Very clever observation, knocks420. I know you're kidding but I would hate for anyone to feel that way. Maybe it's better to never post anything about the results. That's fine with me. I only started posting some live results because someone earlier asked for updates. Wayne
Go to Your Account, Edit Options, and I think it's about the 4th item down. I think there's a way to ignore specific people too (like myself?). Just click on their name, I guess. Sincerely, Wayne
Wayne, I don't hate you brother, I just think your getting ahead of yourself. I've seen many iterations of what your talking about but eventually all end with the same results (save 2, those that employed discretion in their entries and adjusted MM accordingly). Start trading first and put up some numbers, then start thinking about donating to charity, lol.
knocks420, Believe me, I understand. We've all seen those posts of gushing newbies with a great automated strategy. Okay, I'll post back some numbers. Wayne
Oh, you must have sped read my earlier post. My charity discussion was about the amazing trader who started PM'ing me during this thread. He's the successful trader who I refered to in that post (not ME!)
greaterreturn must be drunk... I feel like I'm in a bar with a bunch of football player crying over each other screaming, "DUDE, I love you MAN!". "No man, I love you DUDE!" back and forth... I'm glad that he's found Martingale(-type) betting... (only suspecting... I don't know everything...) but he shouldn't be too optimistic until he makes actual cash. Run more tests... Google Martingale convergence.... Think about super/sub-convergence... Trading random (non-bias) under a random condition is the same thing as trading a bias under a biased condition. Don't stick to an idea... Be diverse... etc. etc. Good luck with your trading.