Filters & KISS methods

OddTrader · Oct 13, 2003

Quote from T-REX:

Hate to burst your bubble but that is a bunch of CRAP excreted from the anus of academia!!! Please do not take this as an attack against you personally. I mean no disrespect.

Just because something sounds good doesnt mean its deep or makes sense. Though eloquent non the less.

Lets cut through the BS:

"The more a strategy becomes profitable and well known, the more it is traded, the more itâs execution prices worsen. Alternatively, more sophisticated participants may catch on to a popular system and recognize that the ones trading it are risk adverse, then step into the markets to fade it, purposely causing others to hit their stops or get squeezed, causing predictable breakouts or mean reversions. Again, a popular strategy becomes less profitable."

You are asuming an effecient market hypothesis?
WRONG! ..............Example: FOREX market is traded about 100x the NYSE volume on a daily basis. NO market makers, no order matching.

As for fills. you would need to control a vast fortune of the underlining contract or stock in order to move the market and "Run Stops"!
"Running Stops" is the biggest myth created by losing traders everywhere!!! AS if there is a BIG BAD WOLF on the trading floor just waiting to "stop you out" at a loss. Come on Dude! you have to do better than that.

The only true statement made above is the fact that many want success without risk. Profit without loss. They will continue to lose.
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Terrific!

OddTrader · Oct 13, 2003

Quote from peterfigliozzi:

I agree with T-REX. Fact is, there is not one documented case of secret system that worked great, then stopped working once it was revealed (if you don't count illegal insider trading ).

In fact you can find just the opposite. LBR group posts their good trades and methods on their website. The same good trades appear over and over again.

It's really silly if you think about it in the context of a particular method. For example, gap fading. One of the most basic trades. It doesn't work because everyone knows about it? That's a laugh. Can't get a good execution price? Bigger laugh. Doesn't work? 30% of the time, something like that. Became less profitable? Less profitable than the first guy who faded a gap back in 1753 on the tulip market, or whatever? How did that go?

"Daaaaaammn, Nikolai, we all thought it would still go up!"

"Hahah, I saw you all looking at each other wondering who would buy next! So I sold! Bwahahahah!"

True, I guess gap fading is less profitable now.

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Excellent!

momotrdr · Oct 13, 2003

Nah..... never happens, they wouldn't be trying to rip us off, would they? LOL!

http://www.securitiesfraudfyi.com/knight_trading_group.html

This is just one tiny sliver of an example of some of the crap they pull on a daily basis. KITE is one of the worst. Sad thing is that it is cheaper to keep pulling this on the public and pay the fines, than stop their illegal behavior.

-momo

Quote from T-REX:

>>"Running Stops" is the biggest myth created by losing traders everywhere!!! AS if there is a BIG BAD WOLF on the trading floor just waiting to "stop you out" at a loss. <<

>>Come on Dude! you have to do better than that.<<

He probably couldn't. But I could easily crush you under the weight of hard documented evidence.

no need though. Since your're a good trader, these facts won't pertain to you.

The only true statement made above is the fact that many want success without risk. Profit without loss. They will continue to lose.
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OddTrader · Oct 13, 2003

Quote from momotrdr:

Nah..... never happens, they wouldn't be trying to rip us off, would they? LOL!

http://www.securitiesfraudfyi.com/knight_trading_group.html

This is just one tiny sliver of an example of some of the crap they pull on a daily basis. KITE is one of the worst. Sad thing is that it is cheaper to keep pulling this on the public and pay the fines, than stop their illegal behavior.

-momo

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True!

prophet · Oct 13, 2003

Quote from T-REX:

Hate to burst your bubble but that is a bunch of CRAP excreted from the anus of academia!!! Please do not take this as an attack against you personally. I mean no disrespect.

Please avoid the childish metaphors and language.

Just because something sounds good doesnt mean its deep or makes sense. Though eloquent non the less.

Totally irrelevant whether it sounds good or not. Just present facts and analysis. Let everything fall as it may.

Lets cut through the BS:

"The more a strategy becomes profitable and well known, the more it is traded, the more itâs execution prices worsen. Alternatively, more sophisticated participants may catch on to a popular system and recognize that the ones trading it are risk adverse, then step into the markets to fade it, purposely causing others to hit their stops or get squeezed, causing predictable breakouts or mean reversions. Again, a popular strategy becomes less profitable."

You are asuming an effecient market hypothesis?
WRONG! ..............Example: FOREX market is traded about 100x the NYSE volume on a daily basis. NO market makers, no order matching.

Why must things be black and white? Some aspects of the market are efficient. Some are not. If I see a predictable pattern in the market caused specifically from the entering or exiting by certain participants, I may be able to trade or fade it. The more there are obvious patterns that work, the more they are traded. This is pretty much common sense. Traders want to make money. Collectively they will trade the maximum size the market can allow for their strategyâ¦ i.e. they will move the market. I know one trader, and a firm who does specifically this.

As for fills. you would need to control a vast fortune of the underlining contract or stock in order to move the market and "Run Stops"!
"Running Stops" is the biggest myth created by losing traders everywhere!!! AS if there is a BIG BAD WOLF on the trading floor just waiting to "stop you out" at a loss. Come on Dude! you have to do better than that.

This isnât just about traditional stop losses. Every speculator has a hard stop, mental stop or point at which they capitulate. This is part of the reason we see breakouts when S/R is broken. Now I donât know where youâve beenâ¦ but plenty of traders and quantitative systems pay attention to levels of support/resistance (on multiple time frames), and the point at which S/R is broken leading to capitulation and breakout. They trade accordingly. Why wouldnât they? Iâve tested indicators and models that attempt to calculate short term P/L for various trades in the T&S, and successfully forecast price. This works very well... much better than many indications. So clearly these short term S/R levels exist and are profitable to know.

If you have evidence to counter the âmythâ that stops are intentionally run. Please supply it! And while you're at it, why not counter the "myth" that S/R breakouts happen. These things are one and the same. Perhaps you just don't see the big picture.
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prophet · Oct 13, 2003

Quote from peterfigliozzi:

I agree with T-REX. Fact is, there is not one documented case of secret system that worked great, then stopped working once it was revealed (if you don't count illegal insider trading ).

So then every profitable system (mechanical or discretionary) should be revealed to the public since it wonât have any effect anyway? So all this secrecy is a waste of time?

In fact you can find just the opposite. LBR group posts their good trades and methods on their website. The same good trades appear over and over again.

The more who take the trades, the more they push price, the more it becomes a race of speed to get in first.

And donât tell me âyou canât push price with less than a billion $â. One only has to push price locally, over a few minute period to worsen the entries and exits of others taking the execution. So you just attribute the bad entry to market volatility, when in fact itâs others trading your system.

It's really silly if you think about it in the context of a particular method. For example, gap fading. One of the most basic trades. It doesn't work because everyone knows about it? That's a laugh. Can't get a good execution price? Bigger laugh. Doesn't work? 30% of the time, something like that. Became less profitable? Less profitable than the first guy who faded a gap back in 1753 on the tulip market, or whatever? How did that go?

Gap fading isnât a purely-technical strategy. Fundamentals and news matter quite a bit. So not everyone fades the gap or goes against it on a given day. It isnât a set-in stone strategy. It canât be âknownâ because itâs highly subjective and not of high accuracy. If some have a high probability gap fade system, then theyâre keeping it secret.

Iâm talking about high probability, reliable systems, that may be kept secret because obviously every trader would like to have a higher probability trade.
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prophet · Oct 13, 2003

Quote from T-REX:

You are asuming an effecient market hypothesis?
WRONG! ..............Example: FOREX market is traded about 100x the NYSE volume on a daily basis. NO market makers, no order matching.

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So what if Forex has more volume? So what if there are no formalized market makers? There are still bids and offers. Itâs just a very different marketâ¦ multiple quotes, over the counter, different participants.

What if anything does this say about the efficient market hypothesis? I just can't seem to follow your logic.

prophet · Oct 13, 2003

Quote from peterfigliozzi:

It's really silly if you think about it in the context of a particular method. For example, gap fading. One of the most basic trades. It doesn't work because everyone knows about it? That's a laugh. Can't get a good execution price? Bigger laugh. Doesn't work? 30% of the time, something like that. Became less profitable? Less profitable than the first guy who faded a gap back in 1753 on the tulip market, or whatever? How did that go?

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Like I said earlier, how can you expect something to stop working when itâs highly subjective and the win probability isnât high enough to attract enough participation?

All speculators and traders try to avoid uncertainty and make the highest probability trades. The higher probability setups and predictive patterns are gradually found and traded to their limit, until the probabilities drop and traders move on to something else. Either that or the market changes in other ways and the setups/patterns stop working.

Since short term trading volume is a large component of total volume, there is a good chance that traders are moving the market enough to degrade the high probability setups and patterns.

OddTrader · Oct 13, 2003

Very well said, Prophet!

OddTrader · Oct 13, 2003

http://www.elitetrader.com/vb/showthread.php?s=&threadid=9799&perpage=6&pagenumber=97

08-20-03 10:59 PM
Re: Judge

Judge, A, B, Secretary

Judge: OK. Now who is right?
A: I'm right, B is wrong.
B: I'm right , A is wrong.
Judge: OK. Let me talk to A alone first.

Secretary leads B to stay outside.

A: ... ... ...
Judge: (After a while) I'd think you're right. You have all the reasons and evidences. Now I understand the situation. I'd think B is wrong. After talking to B alone, we'll settle the case.

Secretary leads A to stay outside, and asks B to come in.

B: ... ... ...
Judge: (After a while) I'd think you're right. Actually you have many more better reasons and evidences. I'd think A is wrong. Give me 20 minutes, we all will settle the case.

Secretary leads B to stay outside.

Judge: Secretary, do you have any opinions after hearing both of them?
Secretary: Judge, I don't know. So which one you really think is right, which wrong?
Judge: (After a while) I'd think you're right.

__________________
Trading the odds and getting out timely, as I can be wrong but the market is always right.