generic strategies

Discussion in 'Automated Trading' started by kotika, Oct 3, 2005.

  1. That's not saying anything. What is "the grain?"
    Reminds me of "the Trend".
    :D
     
    #11     Oct 9, 2005
  2. Vince1

    Vince1

    So basically you use a trend following system as a filter to your counter trend system - you don't want to fade the market unless the trend following system is "neutral" (e.g. ADX < 20). Seems natural to me. The difficulty is then (as always) to find an efficient trend filter++
     
    #12     Oct 9, 2005
  3. kotika

    kotika

    i think its alright what mahras is saying, maybe one can use the longer term trends and short term mean-reversion. but it seems very very weird... the whole idea of mean-reversion is to go counter when trend-followers are piling in. Sometimes they win sometimes they lose, but ...

    Mahras, thanks for letting us know, finally some intelligent discussion about strategies. And i dont think your performance will suffer even if people try using your method.

    What about everybody else on this thread? Care to tell us if you're a trend follower or contrarian?

    and please stop flaming people by telling them they must be loosers if you dont like what they say.
     
    #13     Oct 9, 2005
  4. Another generic style of trading is "insurance selling", which people often implement by shorting far-out-of-the-money naked options, either outright or in spreads. Don Fishback & ODDS, for example.

    Yet another generic style of trading is "calendar plays", which attempt to exploit price patterns that occurred reliably in the past. Stuff like: (1) Buy on Rosh Hashana, sell on Yom Kippur; (2) "Sell in May and Go Away"... buy on October 1st, sell on May 1st; (3) Buy on the last calendar day of the month, sell on the third calendar day of the next month; (4) Buy the day before a US market holiday such as Thanksgiving, Independence Day, Labor Day... and sell the second day afterward. Some people prefer to call these "Seasonal plays", especially if implemented using futures rather than stocks.
     
    #14     Oct 9, 2005
  5. ig0r

    ig0r

    The idea behind selling insurance is to do so when it appears overpriced (mean reversion, or more specifically reversion to preceived actual value), otherwise where's the edge.
     
    #15     Oct 9, 2005
  6. mahras2

    mahras2

    Go view my journal "Systematic FX trading". I have been posting there since August as well as posting account screenshots.
    It does not go against the grain of logic. You are just not understanding what I am talking about.

    This thread was about talking and successful generic strategies. Not disclosing the integrity of my models. I dont gain anything doing this nor do I lose much. Its just a matter of presenting a method of thinking which has worked for me.
     
    #16     Oct 9, 2005
  7. mahras2

    mahras2

    You are exactly correct. And yes as always the key is to find efficient trend filters. This is the area which took me quite a while to develop.

    Kotika>Yes I use a longer term trend to create a bias on a shorter term basis.
     
    #17     Oct 9, 2005
  8. “This doesnt make any sense.. mean reversion is the opposite of trend following . . . To incorporate both in a single doesnt really make sense.. goes against the grain of what each style is supposed to do..”

    If one analyzes a mean reversion system one will find that it has more losing trades when the market is trending. The opposite is true with a trend following system, i.e.; it has more losing trading when the market is choppy. Using regime switching logic between the two strategies a valid approach to reduce the number of losing trades, and improve one’s equity curve.

    Analyzing why a system has losing trades and then identifying approaches to reduce them does make sense.
     
    #18     Oct 9, 2005
  9. For what timeframe are you calculating the mean? Daily, hourly, tick-by-tick, monthly? More than 1? If more than one, how do you determine what weight to assign to each mean?
     
    #19     Oct 10, 2005
  10. kotika

    kotika

    let him be, he has said enough...
     
    #20     Oct 10, 2005