I think the OP has me on ignore... oh well... basically his loss. And he'll continue to use Excel even though his stats are wrong. We shouldn't quibble over 3rd decimal places, but the well known statistical issues with Excel can sometimes cause real issues. Here are the correct stats: Mean 0.0067438 Std. Dev. 0.0399266 Median 0.0039 Variance 0.0015941 Skewness 1.180723 Kurtosis 16.12929 And, if these returns are net of costs, this looks like a perfectly serviceable intraday system. BoWo just doesn't know how to evaluate something outside of Wealth Lab. Congrats and good luck.
Hello, and welcome, ArmchairTrader9. I am quite honored to have played a role in your decision to become a first time poster. Out of the tens of thousands of threads, you chose to speak in an Elite Trader's Thread. Good decision, and I'm sure by now you've realized how unique my credentials are. I'm having trouble converting the text into a spreadsheet. Could you please try to compile it into a data table? I attempted to convert to a space delimited file so that I could open it, but there were extra spaces where there should not have been, and I don't believe what data I have to analyze is representative of your actual trading statistics, as measured by standard deviation, average, kurtosis, and skew. -0.056 -0.094 -0.796 -0.471 -0.055 -0.243 -0.216 0.236 -0.882 -0.864 -0.068 -0.028 -0.017 -0.026 -0.071 -0.019 -0.234 0.002 0.317 -0.452 2.896 0.108 -0.201 0.233 -0.195 -0.237 1.645 1.842 0.158 0.069 0.041 0.004 -0.045 -0.227 0.057 0.143 0.049 -0.098 0.033 -0.097 -0.1 -0.001 -0.029 -0.125 0.033 -0.004 -0.172 -0.037 0.039 0.033 -0.125 -0.019 -0.05 -0.026 -0.068 0.006 -0.036 -0.1 -0.05 0.021 -0.012 -0.035 -0.011 -0.015 0.013 -0.052 -0.054 0.184 0.113 0.142 0.015 0.144 0.09 -0.016 -0.126 -0.063 0.024 0.052 0.073 0.123 0.149 0.009 0.101 0.009 0.206 -0.038 -0.053 0.178 0.195 0.048 -0.19 -0.055 0.015 -0.067 0.094 0.162 As I said, I cannot convert the plain text into a spreadsheet, but while you're doing that I have some questions regarding this dataset. Are you presenting these as decimalized percentages? I see a 2.896 in the dataset, and I wanted to verify that that is implying a 289.6% profit? I also see .1's and above, implying 10% profits. Could you verify for me that you have submitted decimalized percentages? I can't actually tell if you've submitted percentages, or decimalized percentages, on top of the fact that I couldn't load it into excel. Like I said, I can't tell for sure, but on a second look I think you're presenting whole percentages, whereas the distribution from Mike was converted to decimalized percentages. It's just with things like .006, I'm not sure if that means 0.6% or 0.00006. The .053 I'm not sure if you mean 5.3% or 0.00053. Again, welcome, and I hope the thread has helped you understand the nature of the game you're playing when you trade or invest in the capital markets. I'm sure you'll follow this for a lot longer, and I thank you for posting. It is cold and rainy here, and I do apologize for not posting earlier, but it is the weekend, and I was just buying games for my new Wii.-- Sincerely, Beau Wolinsky
I really don't feel like reading a million posts, so, can anyone tell me if this is working? By working I would figure something in excess of 10% a week. For some reason I would like to see this guy find a winning system. Thanks in advance.
Trying to continue the dialog re this system development and the pitfalls in this approach, but the OP seems determined to ignore me. Shame, because I have a bit of experience trading and specifically trading pairs. Let me go one small step further than last night. I made the claim that the QID QLD "Pairs" approach is profoundly flawed. Rather than leaving that hanging where it might look like a mean-spirited attack, let me explain what I mean. I also haven't taken the time to wade through the OP's self serving drivel to really carefully understand the system. Let me say what I understand it to be, and why that approach is doomed... perhaps I am mistaken in my assumptions (which would be my fault for not reading carefully enough).. then my conclusions would also be wrong. I believe this is not pairs trading at all because it only trades one leg of QID QLD when he believes the market is overbought / oversold. Thus, there is no ratio relationship or reduction of market risk like one would normally expect from pairs trading. It is a simple overbought / oversold system using leveraged products. And therein lies the problem. These leveraged products are designed to reflect X times the 1 day return of the underlying. Without going into a math lesson, this means they "reset" each night because they are rebalanced. Tomorrow's QLD is a significantly different instrument than todays! Any analyses based on levels, averages, etc are not valid from day to day on these products because you are comparing apples to oranges. It is possible to construct a mathematical simulation showing how these double and triple leveraged products seem to flex, but it is illusion and does not offer profitable trading opportunities. It would be easy for someone using primitive retail system development tools (Tradestation, wealth lab, etc) to be deceived if they really don't understand the mechanics at work here. I believe this is what happened to the OP due to lack of experience, which is certainly in itself nothing to be ashamed of. We all started with no experience but I find people who are successful in this business maintain a pretty consistent air of humility that is quite at odds with BoWo's chest thumping. The OP should also check out the settlement prices he is using since these products do not settle like regular stocks and that procedure has changed and evolved as they became more popular. In other words, he is unlikely to be able to execute at his backtested prices because the lookback data won't carry forward. We could also discuss the logic of presenting levels for a stock to the 10th decimal place, but that's just a matter of experience. I could go on, but I know some people are reading this thread and wanted to offer them a bigger picture perspective on the "system" that is being discussed. The rebalance issue seems like a simple one, but it is at the very core of the concept... and sadly, that concept is profoundly flawed. Shame the OP will never read this since he has me on ignore, but I'm offering this as a public service message... it's not for him any more than last night's stats lesson was for him... if someone else reading this can carry a lesson away then my time was well spent.
I was not sure on the pairs trade concept on QLD and QID for longer than a day either, due to the fact that it tracks the QQQQs on a daily basis...may B can explain?
I read it. And, yes, he is on ignore. My system is based on a ratio of QLD to QID. The reason daily systems are superior to any intraday system is because no matter which time frame you're in, the ratio will be the same in any one of those periods. What daily pair trading offers is the chance for the normalized ratio to extend beyond the "magic levels" that trigger trades in both QID and QLD. The daily scale, marked as the closing prices, means that intraday, you don't take trades immediately as you would with severely flawed intraday pairs models. I have worked my models at the intraday level, with the exact same parameters. What happens is that some of the time when you approach these levels, the price comes back or reverts, but sometimes, it keeps going past the levels. Then, once you're "intraday pairs system is in place" the nature of the intraday pairs model is to "only be able to scalp", when a daily system allows you longer hold times and great increases in profitability. So no matter what time frame you're in, you always have the same ratio of the two securities. By trading at the daily level, you allow for the indicator to go much further beyond the threshold levels, either overbought or oversold. Then, that offers much greater profitability potential taken over a few days, 2-3 in most cases, but allows for profits to run considerably through the programming of situations that look for reversals into trends, which gives rise to about 10% of the trades profiting more than 10% and up to above 16%. This is specifically what creates the fat tails at the positive end of the spectrum, as my stops and the selling methods through the use of the thresholds prevent many losses much beyond 6%. Again, idiocy is all it amounts to, to say I don't know what a pairs trade is. These models work on any perfectly correlated security pair. They do require mods and optimization of certain trading parameters, but absolutely at the core, the script is the same every single time. His logic as to the use of leveraged products is tantamount to ignorance of what they are. QID and QLD are the inverse double leveraged Q's and double leveraged Q's. Their price is derived from the Q's. That means, that you don't have to short QID and go long QLD when we are oversold, and you don't have to short QLD and go long QID when we are overbought, because, as talon is admitting he hasn't read the entire thread, it is a waste of commission. The use of only one product is all that's required to complete the pairs trade. Which brings us to the point that Talon is only using what he's been taught by the Wall Street models already out there. When these perfectly negatively correlated products appeared, they became game changers in the nature of pairs trading. <i>The OP should also check out the settlement prices he is using since these products do not settle like regular stocks and that procedure has changed and evolved as they became more popular. In other words, he is unlikely to be able to execute at his backtested prices because the lookback data won't carry forward. We could also discuss the logic of presenting levels for a stock to the 10th decimal place, but that's just a matter of experience. </i> This statement specifically is an outright lie. Nothing about the way QID, QLD, and the other ETF's settle prevents me from receiving best execution on my trades. If he wants proof, he can refer to my system on c2, or on covestor. Levels to the 10th decimal place are due to Perl programming issues, that do not allow for rounded off numbers, and I don't bother taking the time to format them, because there would be too many lines to modify. C2 reported my last two trades as BTO 47.81 and STC 48.94, because this trade was at the time when I had modified the system, we only see that the exit, 48.94 is what I received on covestor, and the C2 prices are identical to the price in my backtest. While QID and QLD are composed of swaps, futures, and the underlying, they are still a fund that trades like a stock. Prices are consistent and unbiased just like my indicator.
Anyway. I don't like having to re-explain my entire system. It's quite annoying. I don't know how many times I've covered those topics on the internet, but I guarantee they were covered in this thread already. So, someone once commented "Why I was on ET when I should be trading?" Well, when you've programmed an algorithm, all you got to do is start it up at the beginning of the day or even the night before, and it does your trading for you. Currently in SSO through Cash Cow, and what will need to happen is a little bit of a rise, followed by any dip, and that should trigger the exit. I'm pretty sure it will be profitable, as it was in at 37.27, but we'll see, as always.
Did no one ever read this? I thought it would be an inspiration? The $2,000 question was Suze Orman, but after hearing this individuals view of himself from an early age, I discovered a previously unknown, profound respect for this man. Suze Orman was talking about her friend, Muhammed Ali.... ...... ....... So, when I describe myself as the best, it's confidence. You have to first believe in yourself before anyone else will. I know it's a little cheesy, but it's true, and it's helped gather millions in assets so far from clients.-- Sincerely, Beau Wolinsky