Ok I know I said no more... but this does need to be said... to bwolinsky: Hey Beau (seriously?) of course I googled you days ago... or rather one of my TA's did when she read your posts and said "who is this idiot?" I said good question and 5 minutes later she discovered: -You live in Missouri (where all the great stock traders do) -I won't tell you her comment about the profile picture you posted, but she was not impressed with the "fashion sense". Maybe not fair since she was in fashion before trading and has some strong opinions, but I digress... -Have been in the business less than 3 years -Got started playing with "6 figures" of family money in college -Failed level 2 of the CFA. Bummer dude... level 2 isn't the hard one. -Claim to be "One of the best trading strategy developers in the world. I have built trading strategies verified on wl4.wealth-lab.com" which is a joke. Serious system testing is done in Matlab, SAS, R, C++, C# or maybe VBA. Wealthlab is for the uneducated public. -You publish a lot of "systems" on websites like Collective2 and WealthLab, which are not serious venues. You publicly admit that your "best" strategy (and considering the above statement that would be the BEST strategy from the BEST developer) isn't really tradable. http://www.collective2.com/cgi-perl...110&session=643887459435416745915892906026704 those don't look so good Beau! You're THE BEST??? -You also write things like this about yourself: "I now personally control a lot of money... I mean being three years out of college I'm really proud of my accomplishments." -You also say "I went to College, had a few internships, spent a day on the NYSE" Cool dude. Did you get one of those I heart NYC shirts too? Wow! -What is the point of this? "No one is better at pairs trading than I am. I would probably see so many things wrong with your pairs models that it doesn't benefit me to give away secrets." No one is better? You're the best? -"And if you didn't notice, I was spot on calling the market stupid for dropping recently, and I did make money at it, unlike the system here. " Words of a silly child. The market wasn't stupid that was a perfectly and normal pullback. -She also looked at the Superbands system which you say is fantastic. It has an error in it that any of our trainees would not make after the second week on the job. You can't build a system that references the open and expect it to work. -You work as an Investment Advisor, which means you make money from management fees, not from trading. Beau (seriously?) let me say something to you. I started in this business, not as an arrogant kid with six figures of family money, but as a guy who knew he didn't know anything with $5,000. Through a lot of misteps, constantly seeking out people who knew more than I did and being humbled over and over... I kind of figured some things out. Just like you, I now manage "millions of dollars", but I don't manage any client money. I pay rent on the office in downtown Manhattan a few blocks south of the stock exchange, a lot of infrastructure, etc etc etc with my TRADING PROFITS and there are 10 people who have worked with me who now also make their living trading. The one constant I have looked for in people I have worked with or trained is attitude. Your attitude sucks. You're an arrogant kid and whatever potential you might have is offset by your attitude. I wish you were able to read the things you write about yourself like someone else reads them. Saying things like you're the best system developer, best pairs trader, the first person to do portfolio testing, etc... geeze... if you're trying to provoke a reaction then you can accomplish that. You're lucky you're in the backwoods where your clients don't have a lot of choices because if you were in the Big Leagues you would be a joke. And your obsession with the S&P adds/drops is amazing. What a petty closed minded little person (in the figurative sense) you are Beau! One trade... that is still open and within 2 standard deviations of the mean expectation for the system. That's the definition of no big deal... and I specifically told you that 10% of capital in each position was WAY too much, remember? Oh, and your math on the APR (lol) is wrong... your annualization factor is wrong and your prices are not even close. Wipe the cheetos off your pudgy little fingers (http://www.facebook.com/bwolinsky1984) and dig up that CFA book you should have studied harder (btw it's not that I don't respect the curriculum... it's that I don't think it's relevant to trading... it's good for people who are going to spend their careers in short sleeve shirts and ties sitting in a cubical working for someone else.) Long after you have tired of being the joke you are on the internet, and when you discover 5 years down the road your systems won't work like you think they do... I'll still be doing what I do. Have a nice day. Good luck with the CFA next time you attempt level 2. Good news is, you can keep trying until you pass.
Self control is not one of my strong points lol.. I said no more posting but this is a legit question. "If you don't have a lot of capital to begin with, you have to allocate a large percentage to a single trade. " You MUST MUST MUST MUST MUST have enough money that you DO NOT overtrade and take too much risk on each trade. I cannot emphasize that enough. If you have to trade in odd lots, then that's what you have to do. How badly can you get blown out by short selling a stock for about a month? What about a week? Potentially? Completely blown out. I have seen random stocks open up much more than 100% and trade higher on the day. This is obviously more of a risk with stocks that are acquisition candidates (but you don't always know that until after the fact lol) or stocks that are very cheap. (You want to short a 0.20 stock? Go with God...) Remember the risks of longs are understated in most tests because of survivorship bias. Yes it's a risk and it's one you should carefully consider. However, the public has a huge long bias that makes it a little bit easier for us to make money on the short side... usually.
Lol. 3 minutes after she goes to work googling him I hear hysterical laughter from her computer and muttering about "an extra from the Sopranos".
Bwahahahahahahahahahahahahahha â¦.. Laughed as if I was reading Don Rickles lay in to some poor piece of shit drunken heckler slob in Vegas. You know how Don roughs them up and then pats them on the head and says itâs all in fun and then does it a again and again and again? Thank you so very much!! This thread needed that. I read one of Beauâs posts a long time ago and never read another. I instantly branded him another Schofield Kid. Remember him from âUnforgivenâ? The Cheetos part killed me. Reminded me of the story of this youngish baby faced soft fat double chin guy who constantly complains that his âFat muscles hurtâ after a little bit of exercise. Anyway, the Kid goes to see his Doctor because heâs concerned about his pecker being slightly yellow. His pecker doesnât hurt mind you, but heâs concerned. The Doc does an exam and a few tests, scratches his head and asks the Kid what he liked to do for fun â Kid says âI like to watch porno on the internet and eat Cheetos.â
Yes, this was exactly what I was interested in. Talon just has a problem with verification, despite the premise of the thread being how to research and verify trading ideas. If someone were to go back and read my posts, they would understand that.
This is the first trade I've seen, and I do not see a complete tradeslist with ticker symbols in the backtest, so the backtest is still lacking in verification of the original idea. I'm in no way interested in working for you, so attitude is irrelevant. There are some inconsistencies in the backtest. Particularly adding something about price action that was not mentioned in the original post. You can keep going ahead with the walk forward results now. Currently PCLN is at 198, down about $5, but still down from the 166 you shorted at. Still long SPY. Without a complete tradeslist of exact entry prices and exit prices as well as dates with ticker symbols, I don't take the excel spreadsheet as a backtest, as it's sorely lacking. If you have a pairs model that turns $25k into $1 million in three years, you're welcome to post that model.
Yes, all that's true, and you're trainees as well as you are incorrect in stating you can't trade off of the open price, because you can. It just shows you have no idea how to backtest properly. If you've ever seen my resume, I am an expert in Excel, SAS, STATA, MATLAB, R, Wealth Lab Pro, TradeStation, NinjaTrader, and JAVA. So I would know how to code systems. As to the management fees, they were over 40% higher this quarter than the same quarter last year. I just got paid at the end of October for several thousand dollars. My clients pay for performance because the asset managers at my disposal are out of reach for any other advisor. I use Envestnet, and $100k gets you with a manager that would require $10 million to be with. At $250k, you can get with managers who would only take $30 million. That has been a real edge, and saying that I don't make money is false, because my clients are now at all time highs despite having invested at 25% higher levels 2 years ago for most of them, some right when I started at 3 years ago. You ask: -What is the point of this? "No one is better at pairs trading than I am. I would probably see so many things wrong with your pairs models that it doesn't benefit me to give away secrets." No one is better? You're the best? OH, do tell how much your pairs models make. Please post a complete backtest, but you don't have to go any further than answering which time frame your pairs models trade in. Nothing about what you're saying is embarassing. You're the one coming on here expecting to be followed, because you lay out ground rules and make bold proclamations that they should follow you. I was only interested in seeing the backtest, whether we actually have one, I'm not sure about, because I can't verify numbers only. When people come on talking about a system, it has to be systematic, and I get that it is, but the backtest as was stated using some "price action" filters, which are not described in your original system, so we still don't have any backtest. Mainly, I'm interested in the backtest. I actually believe backtests with enough data are sufficiently signficant to base trading decisions off of. Now, if 10% is too much, would you suggest 0.25%? I mean, what was the backtest based on? Because I don't see a 1% position making as much as it shows, so I'm still a little leary of what you claim is your backtest. The backtest is on you, Talon, and until you're able to produce one yourself, we're still at an impasse. Criticizing me takes you no closer to what should be your goal of producing this backtest. Once you have that, and assuming you have properly automated your process, there's not much to be said, as I just see the PCLN trade and the spy trade as your first trade, which doesn't leave much room to say it's profitable or not. <i>PS: Thanks for posting links to my systems. You'll notice that 6 out of 7 of them have beaten the S&P 500.
It tells you something about our work culture here that someone who, 6 months ago didn't know what a bid / ask spread was (who is now daytrading profitably 19 days out of 20 btw) can walk in the door this morning and having read the ET thread on the train can tell me I was "acting like a 10 year old." Point taken, and she's right. I was going to publicly apologize to Beau but I can't bring myself to do it after his latest string of posts. I mean, if a guy stands up and screams "I'm a douchebag!" how can I apologize for saying "Dude you're a douchebag?" So... planned apology retracted. Some points Beau. Please address them: 1. It's cool that the best pairs trader / systems trader in the world can take 20 mins out of his morning on the open to post to ET. Most traders would be trading or focusing on the market during that time so I guess that shows his dedication to ET. Normally I wouldn't expect a trader to have that kind of time on the open, so thank you. 2. Why is it SO FUCKING HARD for you to understand that the point of this thread was to create the backtest? I don't think you're actually stupid but why do you refuse to grasp that? I could have picked any system... buy 50 day highs, buy moving average crossovers, buy stochastic crossovers, but I chose something simple that I had good P&L history on to show it had an edge. For me to produce a backtest would have eliminated the whole point of the thread. I don't expect anyone to follow me. WHY CAN'T YOU GRASP THIS? 3. Trading on the open. Does your data source reference 930 print or primary market open as the opening print? Answer that and we'll move to the next step. If you don't know... well... hmmmm.... 4. Pairs. You asked for our pairs backtests (go fuck yourself), but said you would be happy to know what timeframes we trade. Ok... We trade 3 pairs systems here. A. Cross border arbitrage listings that execute on a daily timeframe. This one is difficult because of financing costs and a huge potential for asynchronous quoting issues. B. Domestic relative value pairs. These are primarily fundamentally driven with intraday entries timed from technicals. Average holding period 2-5 days. C. We run some multidimensional arbs. Think a program that looks at SPY, ES, SSO, options on all of the above, with the possibility of also actually physically executing the whole basket of S&P 500 stocks... so you're actually looking at 7-8 instruments and have to work off bid / ask spreads because of asynchronous quotes. (Do you know what that means Beau? It's not in the CFA manual.) This one is transaction intensive and works at the tick level. (We are colocated NYSE and Chicago for this one.) Do you find that answer "acceptable"? 5. You're so focused on models and backtests because you aren't a trader and it's what you have. A model is only one small piece of the development process for us, and a model with position sizing is several steps down the road. If you had not derailed this thread with your bullshit, we would have covered all of that. There is a tremendous gulf between model and execution... almost nowhere more so than pairs. You sum it up when you said "Mainly, I'm interested in the backtests." Mainly.. I'm interested in trading.