At my old hedge fund, we had one guy who did his PhD thesis on machine learning. For all the math that he knew, they had him sitting around renaming variables in the code all day long. I wasn't suggesting there was a huge math-conspiracy -- I was just suggesting that for as complex as these people like to make their trading models, they really aren't that complex. How hard is it for the guy who wrote that book I referenced to say he's just filtering data, similar to a low-pass filter, up front, rather than write 10 pages of math without saying that once? This all reminds me of those programmers who wrote crappy and convoluted code for job security. Mathematicians are no different. They'll take simple and elegant ideas and never state the point of all the math and then focus on the twisted looking math itself.
lol i guess my bmath is useless then. just 'simple ideas which have been convoluted'. its not like it took me 5 years of working extremely hard to get it. (ps. 5 year degree, not a victory lap ) you must have had a retarded phd student if he allowed himself to waste time doing a job like that. im only an undergrad and I never settled for anything under cutting edge r&d jobs. and I was only a co op student back then.
I wouldn't say useless. You are now able to talk to everyone else who studied the same thing as you. The best thing to do, when communicating with those people, is to put things in as simple terms as possible. We all like to think highly of ourselves because of our education. Especially those of us who bothered to study our asses off. However, you're only as good as the other few thousand students who also got the same degree and studied the same things and write about the same things you do. The fact that so many people are not special snowflakes compels them to take simple ideas and convolute them to make them seem more important. This is why we get so many poorly written books and research that's worth so little out of so many people. Whenever there is a simple and hard way to achieve the same thing, the simple approach is better. It does not require a PhD to know this, but the way some people act around here you'd start to think otherwise.
Frost, I have been reading this thread with interest. Are you interested in some feedback? IMO, you are trying to be a mechanical automated system trader and yet you are jumping in/out of the market, using "discretion" trying to time the better days of trading to avoid taking losses. This is not automated, mechanical trading - it is "systemessionary" trading (1/2 system + 1/2 discretionary = messy) I see this as a veiled attempt to overoptimise. Are you sure you are being honest with yourself about this? Read what you wrote above - you don't seem very committed to your automated strategy. It's obvious you don't trust it enough to trade it every day. You have a lot of "opinions" about which days to trade it - this is not very automated. Remember that big first day you had? By jumping in/out like you are, you are pretty much sure to miss the next big-ass day for your system that would make up for all of the small losers lately and add big profit to your stats. IMO, you should trade it every day for all of the trades the system wants to take - or don't trade it at all until you have made it more robust - to where you will be confident doing so. Someone correct me if I am wrong here. I am trying to be constructive, not condescending. Good luck, Paul
hah i was being sarcastic. its funny someone can be so full of themselves on the basis that they are too stupid to follow simple mathematics in an introductory systems book. fermat's last theorem didn't take 350 years and require an original 129 page proof because the 'common' mathematician wanted to make it so convoluted in order to make himself feel like a special 'snowflake' such as yourself. it took that long and was that complex because real math is often extremely complex. people spend their lives pondering ideas and trying to solve things. its nice that you can view them all as 'trying to show off to cover the fact they deal with simple ideas'. as an engineer you most likely have very little to no experience in the pure mathematics field. im guessing a little bit of simple applied mathematics here and there throughout your schooling. maybe you shouldn't be so quite to draw conclusions about things you know nothing about. i don't understand quantum gravity, but i dont try to say all these phd students doing studies in quantum mechanics are not freakin brilliant just because the subject matter is way above my head and every paper on the subject do consist of the words '|blank| for dummies'. anyways thats the last I will say on the subject in this thread, should be enough drama for bolter's dinner entertainment. lets get back to automated system related discussion. feel free to send me a private message if you want to try to convince me math is always simple, i'll send you some simple theorems from my first year textbook, and we can see if you can understand them, let alone attempt to prove them
... Says the guy who is unemployed and lives in his mother's basement trying to make money with his "complex math." You're so desperate to protect complexity that you missed the point completely. That's why idiots like you try to make things more complicated -- trying to protect your own ego.
Gotta jump in here and backup my engineering buds... You only have a batch in math? As an EE, I only needed about one more course in advanced algebra and a couple electives to ALSO get a math degree! And it is also true, that 25 years later, I forgot damn near all of it... Good trading to all.
slapshot, You are correct. However, there has only been a few times I have tinkered with the strategy throughout the day. But you are correct, I do need to stop trying to use discretion.... afterall what is the point of making an autotmated system if I still try to get invovled...... I just hope the system bounces back soon..... I only have so much capital to lose at this point....
I also have to agree here. Our system was developed with two traders and a programmer. The system does have periods of stagnation (4 or 5 days of small winners and losers) followed by large gains. This is not uncommon especially in certain market conditions. For example: last month, about half of the gains were from two specific days of trading. Granted, the first day of the month had a large winner, however had we pulled the plug or played around with which days to run we could easily have missed them and only made 50% of the profits. I get e-mails from the programmer talking about how difficult it is to stomach even the small losses when there is a streak of them. This is completely understandable and in fact expected. To me, these losses are water off a ducks back because I know from my trading experience that these things happen and you get used to them. You must become numb to the losses, confident in the fact that the next day has a higher chance of victory. I can't recall discussion on the specifics of your trading experience, but I would say if you have a history (years) of manual trading you should apply those same principles of mental resilience - that a trader must posess to survive - to your automated strategy. If you don't have enough manual trading experience it will be difficult. However, your backtesting seems (on the face of it) to be fairly accurate, so unless you are starting to seriously punch through those drawdown periods (either in length or capital) you just have to weather the storm. In all honesty if your system does not have the capability to deal with low-volatility trading, developing even a rudimentary filter should be a high priority. These words are all predicated on the fact that you have faith in the system and that the backtesting is accurate. Only you can really answer those questions.