Flat line of trading systems since QE

Discussion in 'Strategy Development' started by wolftrader1, Mar 3, 2013.

  1. Hi everyone,

    I just have an interesting video I wanted to share regarding the automated trading systems before and after 2009. It seems like some very basic algorithms stopped responding to the market since March 2009. The program used in this video to optimize is multicharts 64 bit.


  2. It sounds like the upshot is that the fed is messing up his astrology-based trading strategies.
  3. Astrology based forecasting is definitely effected by Quantitative Easing. But the system test shown has nothing to do with astrology. It is a very basic mathematical algorithm that flat lined after March 2009. The market has changed it behavior since 2009. Automatic systems have to be smarter and more nimble to make money now.
  4. We could use some clarification about what kind of system it is.

    One poster started a thread about an automated system that worked fine for a few years then gave all the gains back and moreso in December. All the economic news coming out of the Eurozone and Wall Street had made the chart of the daily bars for December looked like that of a very low volume OTC stock or something, it was obvious that the conditions had been disrupted for that entire month.

    I've seen stuff that just makes me shake my head... I think one interesting thing that might lead to some understanding of some underlying conditions about a market is the phase of Bid/Ask volumes to trends.. I've seen a day where the Bid/Ask volume ratio made sense, uptrends would have trades going off at the ask and vice verse, and that was followed by a day where the Bid/Ask volume ratios were reversed from that! Wyckoff would be scratching his head... It raised a question in my thinking about market manipulation and whether trends could be initiated and sustained with little capital... It's almost science fiction but it made me believe that somebody could time a lot of high frequency trades, or maybe use the tricks they use wherein they place a lot of fake trades and pull them and control the direction of the trend to be against the nature of supply and demand...
  5. hmmm too low vol for it?
  6. Are you sure the system had an edge to start with? It is possible, but all this talk of "astrology" would imply that anything but the scientific method has been used, which would lead me to conclude that no real edge ever existed.
  7. are you trading with end of day systems?

    if yes, then its true. such systems will fail. not because of QE.
    They are just totally NOT responsive to changing prices!!!

    your models wait a WHOLE day to enter/exit the market?
    be prepared for a total carnage.

    100,000s of robots try to capture small moves minute by minute and these are the ones which take money from long term trend following delusional folks...
  8. Again, the system shown is Metastock and Multicharts. This has nothing to do with astrology. I have seen a number of other traders and hedgefunds flat line after 2009 too. The point is that automated trading systems just have to be much better now to make money.

    Astrology is another topic all together. It works very well in of itself but not when the Fed is involved. The software that I run astrology cycles in is Airsoftware. It can be very good for general market turning points. Generally, it is not as reliable as a mathematical algorithm for trading.
  9. My guess is....

    Winton is making markets more and more difficult to profit from.

    They had "only" $4B in 2009, now the firm manages $26B with thousands of efficient automated strategies.

    Folks, its $22B more assets!
    Equivalent of 220,000 retail traders each with $100k to trade!
  10. Quote from Winton manager and trend Follower David Harding :

    "If you put in stops and run your profits and trade randomly you make money; and if you put in targets and no stops, and you trade randomly you lose money. So the old saw about cutting losses and running profits has some truth to it."
    #10     Mar 6, 2013