Backtesting: Excel VS Wealthlab for intraday strategies

Discussion in 'Trading' started by etfarb, Feb 3, 2013.

  1. baro-san

    baro-san

    Your post reminds of Jose Silva's Mental Video and Mental Screen.
     
    #31     Feb 12, 2013
  2. all i get out of all that is that.. small time frames to large time frames.. are different fractals..

    if i find a pattern that is significant on a 5 minute time frame.. and it follows the statistically significant pattern on the 15 minute time frame on top of the hourly and daily matching up.. i not find certainty nor add probabilities.. something less then that probably.. but none the less its additive in some fashion.
     
    #32     Feb 13, 2013
  3. etfarb

    etfarb

    Jack,

    Your postings are extremely intriguing and interesting. I have two things that need to be addressed... First... do you have an old handle on ET by GROB? If so you wrote an amazing thread in regards to sector rotation theory and I would really appreciate it if you could provide your insights and opinion on developing and trading a sector rotation model in the current trading environment.

    Secondly, pertains to your interest and methods towards fractals. I cannot refute whether fractals work or not. It is my belief that the simplest methods often work best. It is argued that in order for Fractals to hold any validty... the subject under examination for fractals must have variance that is infinite... Some great minds in trading have argued against the validity of using fractals in trading (i.e. Victor Neiderhoffer).

    I'm willing to give Fractals further consideration in my trading and I really do appreciate your insight and thought on them Jack but in order for me to even give something serious consideration it must hold up in my testing period... How do you test fractals in a backtest?
     
    #33     Feb 14, 2013
  4. I flew a Grob109 for many years.

    It ws my custom to fly twice a week from about 45 minutes after close until after sunset (when solar energy no longer creates thermals).

    the cases for price and volume are invariant and each and everyone is defined in the dictated mathematics of the markets.

    The definite and certain aspect of monitoring and analysis hinges on how values in market variables are dictated.

    For whatever reasom the financial industry setled on creating income streams as a consequence of marketing and sales.

    I chose differently and am an amateur and find costs of trading to be trivial.

    The beginning of the SEC's computerization afforded the SEC a real wakeup call. Communications from these halfwits was priceless.

    VN was profiled in the New Yorker. Cassidy is just a writer. But in the article you got to see VN assigning sophomoric tasks to lackeys.

    VN cannot argue for or against anything.

    There is a requirement vis a vis rigour to not violate the rules of logic, paradigm theory or algebra. The market uses price change for making money in markets. This, price, is the dependent variable.

    Trend drivers are found in the indepentent variable of markets. The independent variable is volume and the market paradigm provides this basis in the Hypothesis Set of the paradigm. Consequently, the variables are NOT scalor Parametric Measures.

    Almost no one "gets it".

    I was required to have three applications of the Pool Extraction Paradigm (PEP). The precipitating issue is the size of markets.

    sweeping weekly is a requirement for me vis avis "taking the offer of the market". It is not possible to be efficient and effective if you trade more than five times the capacity.

    All HF's, F of F's, and mutual funds and banks violate this capacity rule. So fee's and commissions become their lot.

    I have only been active for 55 years and nothing of principle has changed.

    I remember having to invent seven new sectors for dealing with the end of the manufacturing era and moving into the information era. My graduate major in college changed from Tecnical Writing to something new long after I graduated and no longer had a job doing that major.

    Now it is the common double major of most forwward looking students.

    Sector Stock Rotation is the infinite sink for swept capital. The period is still about the same. The money velociy of earnings is as usual.

    The ttheory of markets as a system Analysis stems form the micro. The 1nterlocking nesting of elements is primal.

    as we sw at one point, the Spanish currency rebellion of the days of gaining independence was finally extinguished and decimals came into being.

    I know that HFT is now just another "game" to obtain fees and commisions. Some information providers are using even irrational numbers to step infront of others. All they do, in effect, is smooth.

    Orders in markets have finite types and finite rules of application.

    Information is processed in slugs, however small as microcosims.

    This creates trend overlap which begins and ends. The overlap begins with a trend failure caused by pre trading information sets.

    For the independent variable all the cases become "false" concurrently. The test procedure has three parts that must be done is a fixed sequence.

    As you can fathom at some point, trend failure is a tough context to measure after the independent variable test procedure has been completed. Wonderfully the market's dictated algebra, by it very nature and by not violating it, does resolve the situation conditions and circomstances (context) by introducing what I call the n+1 concept.

    Think in trms of the minds three most prevalent "operators".

    Ultimately, he mind works to build its inference in an invariant manner. A person is asleep as the mind does its thing. This means nothing can interfer with human survival as rest is attained for use of enregy in the future.

    My mind went through this boundary (the looking glass named by aa mathematician), i. e., nightly I finish the merging of my conscious inference and my subconscious (unknown to me) inference merger.

    The days when this is beginning to happen, you notice a new experience never had before. as you awaken, you want to take notes to solve what was difficult before. You feel AHA's.

    At some point this awakening becomes consciously routine and you feel support, comfort and confidence.

    your mind became different. You are now automatically formulating questions to deal with weaker spots in the spectrum of your mental differentiation.

    In trading, you understand the sytemmic nature of mental differentiation as a spectrum in any field of knowledge and skills.

    RDBMS becomes in effect. relativity, becomes the standard of intellect. 10 cases for price appear. 11 cases for volume appear.

    Furthermore, you can deploy these mathematically defined elements to create space, shapes and movement.

    I have said to persons in the Financialk industry:"here is the time and place where you recover 40 million in today's losses" They cannot do the recovery. They simply do not have a mental capacity.

    Tjhere is an invariant nature in humans. This creates the granularity of values and eliminates "continuous change".

    IBM granted me an education in theoretical physics with the supreme leaders of that era. I like the field's ways. But market's are the embodiment of human nature which as eons go by is invariant.

    On the 13th w walked to our car to go to a Mardi Gras evening. The space station was lit by the sundy after dark. So was something just near it, both following the same arc.

    Five years frrom now, I will have wrapped up a public record of making money. years ago I showed the record of trading 100,000 shares to net 17 points a share on a given day. It was only believable to those who got the FEDEX directly. Gary Smith knew it was true because he had come as close and 800,000 to doing that. Fractals work. P and V have 21 elements between them.

    BE DO HAVE.
     
    #34     Feb 14, 2013