Looking at things I'm sure we both share some of the same thoughts about model selection... I should be covering most of those basis... Interesting thought you have about ... " End of day a good model seems to translate some dimensions a good discretionary trader is looking at into something quantifiable and allow models to test/estimate the intuitive linkage more precisely" It's actually why I pair trade currencies so much...Banks do it on large scale everyday. And thanks I'll keep it coming
I've had to forgoe this for the last two weeks because I ran into some more interesting possibilities with some software source code I'd been hoping to come across. By luck of the draw and the nature of what networking on ET can bring. I have hold of it... QuantStudio(QuantDeveloper,DataCenter,and CATS2) what QuantHouse is today... I'd been so interested in it because I spent some time looking over some of the higher end software you could use to trade with, and almost all of them seemed like something that could have been created using their orignal api's. I'd been kicking myself for not getting a source code license when I had the chance, and almost forgot about the idea of it...Well... then.. as I said... it found its way to me. Of course not to make it sound as though I've just found the lost city of gold, but fortunately good software design is the same reason why you don't see a lot of boats or planes shaped much differently than they've been for centuries and decades respectively. So it's definetley an added plus in my arsenal, although I need to give it a good bit of updating. It's taken me a couple days to get it in .NET 4 and run on a 64 bit OS, but it's not just the way I want it yet. I trade in the cloud, use matlab and high performace computing software everyday. So now that I've got some worthwhile code to use... I've got some rather big plans for it. Although as I spent the week grinding it out. I came to realize how my time needs to be better spent. Afterall, businesses don't run because one guy sits at a desk all day. So I've placed a few adds for others to work on such a project, including one here in the classifieds section of ET found here. http://www.elitetrader.com/vb/showthread.php?s=&threadid=218999 I'm choosing to post on ET as well for some obvious reasons...One, there are a lot of software people here, probably as many as there are in the financial field in general. Two, I tend to hate having to explain everything to a person that's never traded before but develops software, and three, we both might share some alterior motives and interests. So, if you fit the bill, or know someone who does, private message me. As for my humble beginings, of my journal here, I plan on getting this started again this week hopefully. Provided the best journals I've seen have lasted many months or even years. I'm hoping on lookers will give me a little time so I can insure this is one of the better ones. I had first planned to show you some of what I do, but now it's turning into some of what I'm going to be doing is well. So sit tight and I'll have some good material for you very soon. Cheers
Nahhh, I haven't even begun... Thanks for that gentleman, and sorry for my latent reply. Well, two good things to note... No flames,yet, and I'm not talking to myself apparently. So I'll continue on... @njrookie I also welcome you to chime in where you see it fit. I had this on hiatus a bit, because I've been pretty much jacked in to some of the other things I've been doing with infrastructure. I seem to have some of the right people in place now. So this should be a little less of a challenge to do more frequently. So it begins... Now Playing Maggot Brain Funkadelic http://www.youtube.com/watch?v=dh3bleXWaCk I recall in my days, when I was in my younger 20's, that there were a lot of odd balls doing this...Traders, that is... When I say that, I don't necessarily mean bad things...More like eccentric people... I had the good fortune of knowing the institutional sales V.P., of the company I was working for, very well. He kind of took me under his wing, in the respect, that he did a lot of b.s.ing around with me, for a guy that didn't have to. I had a knack for raising money too. So that surely helped in his interest of me, but he definitely pointed me in a lot of good directions because he knew all the real trading programs from the fake ones... Along the way, I heard all the stories, and I mean there were plenty. The things I recall most though were the traders that were out of the ordinary successful. At least at trading. It didn't always mean they had their personal lives together, but that also didn't mean everyone knew about it. He just had the inside. Of course not everyone was like that. Some were pretty level headed, but most or all of them had some oddities personally. One I'm thinking of, that was more level headed... He had a wife and kids, a big house in Dallas, went on trips occasionally, talked normally etc.. but all he did otherwise was trade. You wouldn't think anything wrong of that of course, but I mean literally unless he had some off time planned the guy was in front of a computer trading. To the point he'd jog around his neighborhood 2 miles everyday, after he was done. Then he'd go to sleep, wake for the E.U. open and do it again. Literally, go nowhere else for months at a time. Even weekends he was planning things out for next week. I imagine I'd call that your garden variety OCD trader, when I think of him. Another was a walking wonder to still be living. He had a lung disease he was born with, but kept living anyway. Still going till this day. That wasn't his oddity though... Now I've seen guys take big risks all the time, but I never saw anybody that just continuously did it like he did. He'd use at least 50% of the account on every trade he made. He was great at it though. He could take 3-400k and run the account up to a million plus in a few weeks. I mean in less than a month too. Only thing... he'd only trade a couple months at a time, stop, collect his 50%... Then he was off on some wild excursion. He'd come back a few months later nearly broke looking for action again. Now the caveat was...he had a drinking problem and he blew up more than once because of it. Although he was known for what he was capable of he was also known for falling asleep at the wheel before. For instance, there was a time somebody backed him a million... He was drinking one night, put on some big trade, fell asleep and woke up down 300k in a few hours. That's a serious problem when you're known for 10 pip trades. I don't know exactly how many times, but it happened more than once. So it was risky to give the guy a shot anyhow, but then you also had to deal with those possibilities as well. Plus he was a prima donna, and would tell you who he didn't want to work with in a heartbeat. He was looking for individuals, not several clients. So it took him months at a time to find somebody willing to take the risk again. Eventually they put him in a in patient treatment and got him a trading psychologist. He was worth a small fortune in broker fees. So, it was worth spending a month's worth or two on him. He got out and he finally lived up to his favorite closing line " I'm the kind of guy that will trade your few hundred thousand and turn it into the 40 million you're dreaming about. All while you're sitting in the Barbados"... I don't know much else about him these days other than he's healthy, sober, and doesn't have to trade anymore...Cheers to that... I guess I'd call him the miracle trader. Then another comes to mind, that was much more astute. The guy was MIT educated, well dressed, looked normal for all intensive purposes, and had a near riskless automated program, that would pull in 3 percent or so a month compound. The thing so amazing or peculiar about his program was that there was little to no drawdown. It was something like .25% max usually, and he hadn't had a down month yet, at the time. I remember one day it was down a little more than .5% and quite a few clients called in that day to see if everything was alright... It didn't trade massive amounts of money. It just traded a lot, and he was selective about who could participate. It could probably be considered one of the first HFT programs that I was aware of. The guy was so sure of himself he turned down a 40 million spend from a hedgefund because they wouldn't agree to giving him 50% of the profits. His caveat was more of a fetish or something. You'd think he'd be socking his money away back into his system or at least the majority. He had other plans though. Every weekend he consistently went to tiddy bars and spent thousands upon thousands there. It never failed... he'd even invite his friends out so he could blow even more money, and I mean literally that's what he did with his profits. I'm sure there were plenty of after parties at his house too. Although I'll end it there, and just call him the smart trader behind closed doors... There were a lot of others with tax problems, wild partiers, power trips etc.. but when it came Monday morning. It was a story forgotten. There were a couple characteristics about everyone that stuck out though. Everyone was fearless, confident, had a plan and was in it for the money... Cheers to that... I took those things with me in my pursuit of what I'd be ultimately doing, and I thought of those 3 traders for a particular reason. 1. I like to play big. 2. I focus on low drawdown 3. I like to always be trading... I'm certain I share some of the oddities too. Certainly on the more level headed side of things though. I'm definitely a candidate for OCD, probably a little ADD and bipolar as well. I say that half jokingly. Although its made me good at what I do. Most of that list of things to read up on is because of the OCD factor in me. Having knowledge of what others are doing keeps me obsessed to be on the edge of possibilities. Now much could be done, with some decent band pass filters and moving averages, but my mind simply doesn't work that way. Caveat being that since I know simple things work I don't over do it. I've traded successfully by hand and eye for years. I enjoy it some days still, but I like knowing I can have my mind always working for me instead. I must say that my actual physical trading experience is why I know the things I do will work and will continue to. So I'm not keen on the idea of creating automated systems if you can't answer yourself why it will work... Just realized how much of a book this post is. So I'll leave it here momentarily and come back this afternoon.
Understandable from your perspective. I haven't been able to keep up with what I planned on doing for this of late. I'm in one of my servers now copying screenshots and source code. I could just forgo all this and just post trades rather than explain anything if you like? Might be a better option. At least you won't have to so say I'm talking too much. I'm not going to be able to make everyone happy.
Hmmm you might be right there intradaybill. How about I try for a weeks worth of trades before I post anything else. It takes me too long to write things anyhow. Not being sarcastic here. Just wondering if that would be more feasible?
I am enjoying your writing actually. Good market intuition is self-evident. No need to post records to convince anyone. I am reading it like "Pit Bull". We will get to hard core some day. The suspense made it more fun. There is not much I can chime in intellectually right now, especially nothing about tiddy bars . After trading discretionally for 2 years, I developed a PCA/WL/ML based model at the begining of the year for trading equity stat arb, and had a ytd sharpe>8 with max DD of 1.1%, and gain of 20%. So we probably are looking for similar risk-return tradeoffs/comfort zones. I am eager to extend the model framework to FX and believe it should work even better than equity due to continuity of the market. This overnight jump due to corporate event is hard to model. I will chime in more once we get to the modeling side if I can understand enough of your approach. njrookie
Im enjoying your writing or talking as someone above said. There are many journals on here if someone is looking for a way to trade, but we never hear about stories like these. Keep them coming, gives me something else to think about. Im always curious to know the behind the scenes stuff of traders who are killing it day in and day out. Like what their mindset is like. Its always good to know what kind of personalities traders have.