Yes, Jack is good at producing papers that have no bearing on trading algorithms. There is nothing remotely useful in the paper for trading and I don't even need to read it to know. It's his MO: If it's not profitable, it's not his system. Smoke and mirrors, and fiction. Statistical analysis is more vital to success than bullshit philosophical induction. Rationality rules, which is exactly why philosophical induction never helps when it comes to trading now or 1 minute or 1 day from now. <b>Do the math! I guarantee it will get you further than mental masterbation.
Well I'm done arguing with you as you're clearly not able the grasp the extent of the problem at hand. Someone mentioned earlier that Soros did a lot of philosophy. He certainly did. In fact his book "The New Paradigm for Financial Markets" reads somewhat like an undergraduate's paper from a philosophy course with references to Wittgenstein and what not. I even inserted an argument that could be developed from "The Alchemy of Finance" in a paper that I wrote a while ago as a sort of wink to that other major part of my life. The argument had it that laws in the social sciences couldn't possibly be identified because any model in which they are described would have to contain a model of the model builder, which in it's turn would have to contain model builders ad infinitum. Soros' trading succes can be mostly attributed to a strong instinct though and an ability to grasp markets in a way similar to how one grasps a developing narrative. The only systematic approach he took towards the market was that of uncertainty. A funny quirk is that as I read biographies of succesful traders alot of them apparently majored in philosophy. Carl Icahn, Richard Dennis and John W. Henry come to mind.
My simple plea was to address how systems are built from a core that has a proper construction. As shown in the Cash Cow there were four themes at play. One of the major subjects in the leadership training program of IBM in the 50's was Philosophy. Obviously the Professors were from top schools and they did alot of evaluation as well. Each of the themes developed from the HS and it PM's. THE core HAS to be related to the reason for the deductive paradigm that avoids statisitcs and induction. The core reason for being in markets it to extract the continuing offer of the market. Price change is dictated as the means of extraction. It is a binary vector. The HS MUST address the core function exhibited by the market. Again in Keynesian terms these must be "in kind" and they are, of course, causally related. The result of a complete HS is very unusual and might be termed "counterintuitive" if one were to abide by the majority. The majority does not control. Also the majority in the financial industry is commission and fee oriented. Blowinki is hustling to for fees and commission via client accounts. This is NOT counterintuitive and he is in the CW box. Compare this profit motivation with the motivation to extract the market's offer. These motivations are, fortunately, orthogonal and have least effect on each other. With respect to the cash cow which is "out of the box", CW wise, it would be difficult for a person to see the four themes if he were fee and commission oriented. How a core is surrounded by shells is more related to critical thinking than anything else. I noticed at the NSF annual program awards, I was most likely to see my past econ and physics profs than others. But I do remember my philosophy prof was the guy who drove the Rolls. To extract the capital ofered involves more the relationship of the adjacent shells as "to filter" or "not to filter". The 31 core signals rose in number to about 70 by the time the extraction became optimal. Functions one one shell would be delivered to more precise shell as opposites filterwise. So degrees ofeedom on coarser levels became filters in the form of gates or "NOT" gates. you can see early on in the thread on the cash cow that the red and green zones which deined what was understood and what wasn't understood, was strickly related to in the box and out of the box. Ir probably is easy to see why you mention the guys you did and see how they traded on various money velocities all according to the capital involved. Look at the major delineation in ET as it regards rends and chop. you see than most people's minds cannot differentiate one from the other until it is a hindsight issue only. Foresight is THE virtue of a core and surrounding shells. Critical thinking comes more from philosophy than anything else. Danto at Columbia was a major influence because of his philosophy of history themes. He loved to compare and contrast various philosphies of history. The markets are a terrific example of the application of various philosophies of history. So how does a series of shells go to the point of optimizing more and more of the market's offer. One of my recent drills was to do 3D Excel maps of the frequency of possible adjacent bar cases as a function of market pace. Knowing which side of the mean of the distribution you are on becomes an important filter when optimizing extracting the offer. By working through the binary vector nature of the independent and dependent variables of the market, A person can deduce the pattern of the market and the rigorous interlocking structure of the nested fractals. In terms of ATR the core is slow and only extrcts a low multiple of ATR. as you proceed to apply the filtering aspect of indicators, you get to wind pu three shells later at about 6 times the ATR. About 10 to 12 leading indicators of the trades price emeege by that time. In terms of the order of events, you get to "see" the market 2 to 3 minutes ahead of the Present and some indicators are just 20 seconds ahead of the harmonically based partial fills window appearing. Blowinski is defintiely "in the box" and it is the CW induction tripe.
And the trades list: Position Symbol Quantity Entry Date Entry Price Exit Date Exit Price Profit % Profit $ Bars Held Profit per Bar Entry Name Exit Name MAE % MFE % Long SDS 298 9/2/2008 10:30 AM 63.56 9/2/2008 12:15 PM 64.22 0.95 $180.68 8 $22.58 Jacks friend scott d says to sellshort here HERSHEY STOCHD -0.11 1.26 Long SSO 364 9/16/2008 3:00 PM 53.16 9/17/2008 1:15 PM 51.19 -3.79 ($733.08) 20 ($36.65) Jacks friend scott d says to buy here HERSHEY STOCHD -5.84 3.10 Long SSO 345 9/17/2008 3:00 PM 52.00 9/19/2008 10:15 AM 57.38 10.26 $1,840.10 34 $54.12 Jacks friend scott d says to buy here -8.70 15.34 Long SSO 454 10/2/2008 10:15 AM 47.13 10/2/2008 3:00 PM 45.34 -3.88 ($829.57) 20 ($41.48) Jacks friend scott d says to buy here HERSHEY STOCHD -4.11 0.11 Long SDS 209 10/9/2008 10:15 AM 94.60 10/9/2008 11:15 AM 98.48 4.02 $795.59 5 $159.12 Jacks friend scott d says to sellshort here -0.92 4.39 Long SSO 785 10/10/2008 12:45 PM 27.22 10/13/2008 1:45 PM 33.13 21.63 $4,621.78 31 $149.09 Jacks friend scott d says to buy here -8.01 22.30 Long SSO 1,144 10/27/2008 10:30 AM 26.37 10/27/2008 2:00 PM 27.65 4.80 $1,448.32 15 $96.55 Jacks friend scott d says to buy here -2.76 5.02 Long SSO 1,087 10/29/2008 2:45 PM 30.28 10/31/2008 2:00 PM 32.71 7.98 $2,625.41 50 $52.51 Jacks friend scott d says to buy here -4.09 8.93 Long SSO 1,527 11/13/2008 2:30 PM 24.81 11/13/2008 3:00 PM 26.04 4.92 $1,862.21 3 $620.74 Jacks friend scott d says to buy here -0.67 5.58 Long SDS 389 11/18/2008 3:30 PM 106.48 11/20/2008 10:45 AM 118.87 11.60 $4,803.71 34 $141.29 Jacks friend scott d says to sellshort here -6.16 14.90 Long SSO 2,295 11/20/2008 12:45 PM 22.04 11/25/2008 11:45 AM 24.06 9.13 $4,619.90 75 $61.60 Jacks friend scott d says to buy here HERSHEY STOCHD -18.35 14.00 Long SSO 2,285 12/16/2008 3:00 PM 25.96 12/17/2008 9:45 AM 26.58 2.35 $1,394.76 6 $232.46 Jacks friend scott d says to buy here -0.83 4.87 Long SSO 2,525 1/28/2009 2:45 PM 24.54 1/29/2009 12:00 PM 23.61 -3.82 ($2,364.25) 16 ($147.77) Jacks friend scott d says to buy here HERSHEY STOCHD -4.45 0.60 Long SSO 2,636 2/5/2009 10:45 AM 21.80 2/5/2009 2:15 PM 22.83 4.70 $2,699.08 15 $179.94 Jacks friend scott d says to buy here HERSHEY STOCHD -0.34 6.45 Long SSO 3,308 2/20/2009 2:45 PM 18.93 2/24/2009 11:15 AM 18.25 -3.62 ($2,265.77) 39 ($58.10) Jacks friend scott d says to buy here HERSHEY STOCHD -6.67 3.10 Long SDS 609 2/27/2009 2:30 PM 95.58 3/2/2009 12:30 PM 106.16 11.04 $6,427.22 19 $338.27 Jacks friend scott d says to sellshort here -0.44 11.41 Long SDS 661 3/4/2009 10:15 AM 106.73 3/5/2009 10:45 AM 108.63 1.75 $1,237.25 29 $42.66 Jacks friend scott d says to sellshort here -5.83 2.42 Long SSO 4,104 3/13/2009 11:30 AM 17.76 3/16/2009 12:15 PM 18.68 5.17 $3,764.60 30 $125.49 Jacks friend scott d says to buy here HERSHEY STOCHD -1.74 6.03 Long SDS 917 3/16/2009 3:00 PM 87.29 3/17/2009 10:15 AM 90.75 3.94 $3,156.82 8 $394.60 Jacks friend scott d says to sellshort here -0.37 5.19 Long SDS 1,045 3/19/2009 11:30 AM 82.29 3/19/2009 1:30 PM 82.89 0.71 $611.00 9 $67.89 Jacks friend scott d says to sellshort here HERSHEY STOCHD -0.65 1.89 Long SDS 1,180 3/25/2009 11:00 AM 73.89 3/25/2009 3:15 PM 79.88 8.09 $7,056.92 18 $392.05 Jacks friend scott d says to sellshort here -0.29 8.50 Long SSO 5,058 4/1/2009 10:45 AM 19.89 4/1/2009 2:45 PM 20.48 2.95 $2,968.22 17 $174.60 Jacks friend scott d says to buy here -0.41 3.71 Long SSO 5,262 4/1/2009 3:30 PM 20.19 4/2/2009 10:30 AM 21.66 7.27 $7,724.40 7 $1,103.49 Jacks friend scott d says to buy here -0.55 8.21 Long SSO 5,412 4/13/2009 10:15 AM 22.33 4/13/2009 4:00 PM 23.28 4.24 $5,126.48 24 $213.60 Jacks friend scott d says to buy here -0.19 4.43 Long SSO 5,807 4/14/2009 10:30 AM 22.49 4/14/2009 10:45 AM 22.68 0.83 $1,081.52 2 $540.76 Jacks friend scott d says to buy here HERSHEY STOCHD -0.18 0.84 Long SDS 1,956 4/14/2009 11:30 AM 67.84 4/14/2009 1:30 PM 69.41 2.30 $3,051.20 9 $339.02 Jacks friend scott d says to sellshort here HERSHEY STOCHD -0.07 2.88 Long SDS 2,103 4/22/2009 3:30 PM 65.82 4/23/2009 9:45 AM 68.21 3.62 $5,010.17 4 $1,252.54 Jacks friend scott d says to sellshort here -0.14 4.60 Long SSO 6,464 4/24/2009 2:30 PM 22.91 4/27/2009 12:00 PM 23.31 1.74 $2,570.25 17 $151.19 Jacks friend scott d says to buy here -1.01 3.14 Long SSO 6,710 4/28/2009 10:30 AM 22.79 4/29/2009 11:15 AM 23.66 3.81 $5,822.37 30 $194.08 Jacks friend scott d says to buy here -0.58 4.16 Long SDS 2,565 5/1/2009 10:15 AM 63.92 5/1/2009 10:45 AM 64.59 1.04 $1,702.55 3 $567.52 Jacks friend scott d says to sellshort here HERSHEY STOCHD -0.32 1.48 Long SDS 2,859 5/6/2009 10:30 AM 58.47 5/7/2009 9:45 AM 56.07 -4.11 ($6,877.31) 24 ($286.55) Jacks friend scott d says to sellshort here HERSHEY STOCHD -4.11 1.26 Long SDS 2,663 5/7/2009 10:45 AM 57.88 5/7/2009 2:15 PM 58.74 1.48 $2,273.91 15 $151.59 Jacks friend scott d says to sellshort here HERSHEY STOCHD -0.78 2.12 Long SDS 2,811 5/8/2009 3:30 PM 56.36 5/11/2009 2:15 PM 57.45 1.92 $3,045.46 22 $138.43 Jacks friend scott d says to sellshort here HERSHEY STOCHD -0.79 3.53 Long SSO 6,628 5/13/2009 10:15 AM 24.77 5/13/2009 11:00 AM 24.75 -0.09 ($148.56) 4 ($37.14) Jacks friend scott d says to buy here HERSHEY STOCHD -0.73 1.00 Long SSO 6,687 5/14/2009 10:30 AM 24.53 5/14/2009 11:45 AM 24.68 0.60 $987.72 6 $164.62 Jacks friend scott d says to buy here HERSHEY STOCHD -0.78 0.77 Long SDS 3,023 6/30/2009 10:30 AM 54.85 6/30/2009 12:30 PM 55.74 1.61 $2,674.47 9 $297.16 Jacks friend scott d says to sellshort here HERSHEY STOCHD 0.00 2.29 Long SDS 2,940 7/7/2009 10:15 AM 58.15 7/7/2009 12:30 PM 59.06 1.56 $2,659.40 10 $265.94 Jacks friend scott d says to sellshort here HERSHEY STOCHD -0.02 1.75 Long SDS 2,902 7/8/2009 3:30 PM 60.65 7/10/2009 12:00 PM 61.00 0.57 $999.70 39 $25.63 Jacks friend scott d says to sellshort here -2.77 0.74 Long SDS 3,340 7/15/2009 3:30 PM 53.25 7/16/2009 12:15 PM 53.29 0.07 $116.60 14 $8.33 Jacks friend scott d says to sellshort here HERSHEY STOCHD -0.49 1.07 Long SSO 6,411 7/21/2009 10:30 AM 27.79 7/21/2009 1:15 PM 27.53 -0.94 ($1,682.86) 12 ($140.24) Jacks friend scott d says to buy here HERSHEY STOCHD -1.16 1.08 Long SDS 3,626 7/27/2009 10:15 AM 48.21 7/27/2009 11:15 AM 48.59 0.78 $1,361.88 5 $272.38 Jacks friend scott d says to sellshort here -1.04 1.12 Long SDS 3,851 8/3/2009 11:00 AM 46.08 8/3/2009 2:30 PM 45.80 -0.62 ($1,094.28) 15 ($72.95) Jacks friend scott d says to sellshort here HERSHEY STOCHD -0.76 0.84 Long SDS 3,822 8/4/2009 10:30 AM 45.89 8/4/2009 11:00 AM 45.96 0.14 $251.54 3 $83.85 Jacks friend scott d says to sellshort here HERSHEY STOCHD -0.09 0.69 Long SSO 5,742 8/5/2009 10:30 AM 30.62 8/5/2009 3:15 PM 31.07 1.46 $2,567.90 20 $128.40 Jacks friend scott d says to buy here HERSHEY STOCHD -0.63 1.60 Long SDS 3,936 8/6/2009 10:15 AM 45.93 8/6/2009 2:15 PM 46.30 0.80 $1,440.32 17 $84.72 Jacks friend scott d says to sellshort here HERSHEY STOCHD -0.24 1.02 Long SSO 5,883 8/7/2009 10:45 AM 31.19 8/7/2009 11:45 AM 31.63 1.40 $2,572.52 5 $514.50 Jacks friend scott d says to buy here -0.04 1.82 Long SSO 5,971 8/7/2009 3:30 PM 31.55 8/10/2009 9:45 AM 31.16 -1.24 ($2,344.69) 4 ($586.17) Jacks friend scott d says to buy here HERSHEY STOCHD -1.24 0.31 Long SSO 5,884 8/10/2009 10:15 AM 31.26 8/10/2009 11:45 AM 31.27 0.02 $43.43 7 $6.20 Jacks friend scott d says to buy here HERSHEY STOCHD -0.36 0.54 Long SSO 6,019 8/11/2009 11:00 AM 30.57 8/12/2009 11:15 AM 31.26 2.25 $4,137.11 28 $147.75 Jacks friend scott d says to buy here -0.72 2.55 Long SDS 4,499 8/25/2009 10:30 AM 42.65 8/25/2009 11:15 AM 42.77 0.27 $523.88 4 $130.97 Jacks friend scott d says to sellshort here HERSHEY STOCHD -0.19 1.03 Long SSO 5,966 8/26/2009 10:15 AM 32.33 8/27/2009 3:00 PM 32.93 1.85 $3,563.60 46 $77.47 Jacks friend scott d says to buy here -1.58 1.88 Now why is this version so much more robust? There's no sell on close, and if I added that, the system wouldn't even be profitable. Why has no one published this? Everything to do with a lack of transparency. No one needs to bother about thinking outside the box, really.
The points you've made, were really refreshing, especially those you made with regard to Mr.or Mrs. bwolinsky, whoever it was( who didn't even notice that the topic of discussion was deduction and not induction). I bet he wouldn't understand why Jack misspelled its (I'm trying to stay indifferent here) name. I have to interject though, that to my knowledge Soros is one of the astute devotee of deduction. Just check his love for Popper and critical rationality topic. And opinions of a lot of people who had to work with him. Most of them describe him as a person, who was able to change his desicions by the first sign that would indicate they are wrong. Edit: By the way in his book (the Alchemy of Finance)he makes it clear..
I never said that Soros doesn't approach the market deductively. I would also like to remark that I respect Soros as a philosopher. I've even cited The Alchemy of Finance in a philosophical paper I wrote on the possibility of identifying laws in the social sciences. Soros refers to his paradigm as "Falibility". His starting point is that of an agent consciously acting to change his environment. He then proceeds deductively and establishes his principle of reflexivity. Reflexivity is a rejection of the dichotomy between thought and reality. The rejection of this dichotomy leads him to accept a form of radical uncertainty where all absolute knowledge is denied. This is from his essay "The capitalist threat": "I was driven to delve deeper into Karl Popper's philosophy, and to ask, Why does nobody have access to the ultimate truth? The answer became clear: We live in the same universe that we are trying to understand, and our perceptions can influence the events in which we participate." Soros approach to the problem of induction is really Popper's. He accepts Popper's idea of falsification as a succesful solution to the problem of induction combined with the concept of fallibility.
I have never wanted to prove you wrong, Ferdinandalx... Perhaps, I just understand Soros in my own awkward way. But this statement (that you quoted) of Soros does give me a trouble. Correct me if I'm wrong here. I've read his book some time ago, so bear with me: "Reflexivity is a rejection of the dichotomy between thought and reality." Actually this is something I wouldn't be able to understand now. In a sense, that... I'm quoting: "The rejection of this dichotomy leads him to accept a form of radical uncertainty where all absolute knowledge is denied. " How can you deny all absolute knowledge and at the same time suggest another one ?
I would do a driveby on Soros' comments and say that it represents an appreciation for risk. Theres some underlying element of phenomenology there, but nothing that would contaminate him as a trader. Also, the dichotomy between thought and reality is really just the appreciation of discourse (by this I mean various themes which the public has, followed by experts, as well as those counter to the public), which he has characterized with his own sense of risk and domain specificity. With that framework intact, Soros should have been able to trade well, as he has.
I should rephrase my comment about Soros and philosophy. As a philosophy major, I didn't want to make it sound like the road to trading success was through a philosophy degree, or any degree in any subject for that matter. That would obviously be naive. But I think developing a trading philosophy is very important, and applying a philosophical attitude towards trading is probably a substantial piece of the trading puzzle. It is for me at least.