Hypostomus Tests Jack

Discussion in 'Strategy Building' started by hypostomus, May 17, 2004.

  1. The Great Hypostomus, famed system developer extraordinaire, of late has fallen on hard times. He has not had an original system idea in over three months, and worse, the systems he does have are not making him rich nearly fast enough. The only alternative is to become a guru.

    Therefore given the drought in ideas, he must resort to plagiarism. But who to plagiarize? Why, of course, his hero and role model, Jack. But there is a slight problem. He does not understand most of Jack. Hence the need to translate the Delphic pronouncements into code.

    To wit, the Two-Bar-Jack system, the only one the Great Hypostomus currently understands:

    Chart in 5 minute bars

    Test on NQ #F, the continuous NQ contract (Jack designed for ES, but I am leaving him a graceful demurrer by not testing on ES)

    Start at 9:35 ET.

    Long (short) at the market on the next bar after the first green (red) bar

    Reverse short (long) at the market within the bar whose low (high) exceeds the low (high) of the previous bar.

    Dont reverse after 15:50 ET (not a Jack rule, but reasonable)

    Continue reversing until 16:00 ET or until your account is drained (Jack doesn't tell you that part).

    E-Signal .efs code is attached for your amazement and admiration. Conversion to an uploadable .doc file unavoidably spoils the elegant symmetry of the code, but the basic info is there. You will no doubt wonder at the +/-0.75 fill offset from the exceedance value. Think about it.

    Test results will be in a follow-up post.
  2. ...the system is a dog. With real-people commissions of $4.80 round trip (IB), and theoretical slippage of one tick per round trip, over six months the system took 3290 trades for a net loss per trade of -$23.83. The net loss was -$78,403, the drawdown was the same (basically no winning runs), and the gross loss was -$120,597. Maybe that is why Hypostomus is not getting rich.

    The basic problem is the whipsaws, as you can see from the attached .jpg of yesterday's trades, which are fairly representative. Even with no slippage, IB would have to pay Jack for this system to work (do you suppose they do, sort of a payment for order flow?).

    Jack devotees, please prove that the Great Hypostomus is wrong (he is already well known to be an idiot, so you get no points for proving that)!

    For my next miracle I would like to test another Jack system, but I don't understand any others. Can someone help me?
  3. taigong


    Hmm, I wonder if doing the exact opposite would help Jack...
  4. Yes the system is a dog. It is really an elementary whipsaw type system that has very low level logic.

    Now the question I ask you, Hypostomus is if your intent for posting this thread is to prove that Jack don't know Jack, or to develop profitable ideas out of Jack-like conepts? I ask because the two motives are mutually exclusive in my book and will determine to a great degree how much others (me) wish to contribute to the cause.

    Just to make my own point about the logic of the system: It is overly simplistic. It assumes price moves back and forth SMOOTHLY in trends on a 5 minute basis. Those who have done more than a cursory study of 5 minute bars know that this simply isn't the case. But with a bit of clever thinking, these basic ideas may be able to be developed into logic that is a bit more elegant and that can yield more favorable results than you are realizing currently with the posted system. I'm not promising profitability because the whipsaw factor is going to be an obstacle for a system like this, and index futures do whipsaws good. Then again, it might not be able to be salvaged, but the process of refinement might get the old wheels turning and the ideas churning.
  5. No, even the commision free / slippage free version hasn't got enough profitability to make the opposite system worthwhile.
  6. ...you have pierced the thin scrim veil of my intentions. I have a four inch ring binder full of Jack intraday trading posts. I have convinced myself that there is madness in the method. I have made significant changes in how I view market action, and believe that adopting Jack's idiosyncratic monitoring approach to the market has dramatically improved my own understanding of the underlying mechanics. HOWEVER, I AM NOT RAKING IN THE PROMISED MILLIONS. In answer to the legendary Bernie Kornfeld's rhetorical question, "I do sincerely want to be rich!"

    So I have embarked on this quixotic journey to parse the madness into provable methods. I did not bother to post that rockets are no Holy Grable. The most elementary testing sufficed to prove that it is impossible to distinguish whether a move at the open is a rocket or just a lead-in to a congestion or a strong reversal.

    I am tempted to test VDU on one minute bars, but by the most casual inspection I think it is clear that it doesn't work. Ditto for preferential direction in the BO of FBPs and FTPs.

    I figure that some faithful disciple will come forth with an exegesis of Jack. I WANT the madness to work! I believe! If I have to rely on my own pissant little 2 NQ point systems, I will never get rich!

    It is also a manhood issue. I too can make multiples of the daily range, but only with multiple contracts. What's wrong with me? I am arrogant, supercilious, delphic, obtuse, egocentric, grandiose, nearly senile, and partially arthritic. In short fully qualified to execute the madness, if only I understood the method.
  7. (No I am not a Jack alias)

    I'll contribute to this thread because I sense that you are being
    more court jester-ish than malicious here with Jack.

    This is how I can sum up the stuff that Jack preaches -- he really
    only hammers a handful of high concepts when it comes to
    "making money" -- forget about rockets and icebergs and
    str/squ and 2bar stuff... none of it works on its own!
    None! It wasn't designed for being backtested.

    But! if you look at the situations where it does work it teaches
    you something about the way the market can work for you.
    It is meant to teach you -- to reinforce those high concepts.

    Rockets work when there is fast pace... hmmmmmmm
    *scratch head* if the pace is fast I'm more likely to have a
    rocket? If the pace breaks down I'm more likely to have a
    failed rocket? You are learning about pace. F*ck rockets -
    it's pace you care about.

    You must master the high concepts that Jack talks about
    (over and over and over) -- wire them into your brain (or your
    system) and apply them en masse. You are putting the
    proverbial cart before the horse with your current line of

  8. Your post was really funny, by the way :D
    I've definitely been there
  9. I feel your pain. Perhaps you can draw inspiration from the following true story:

    While sitting in the lecture hall at the last MTA (Market Technicians Association) conference, I made eye contact with none other than Ralph Bloch, chief market technician at Raymond James & Associates, who was sitting at the guest table on the stage. I had been in correspondence with him regarding some thorny issues I was having with my system methodology, not unlike yours. To my delight, I saw him scribbling something on a piece of paper which he handed to an attendant, after giving me a friendly wink of the eye.

    370HSSV 0773H

    That's what he wrote. I spent the next 3 weeks trying to decipher it, without success. Finally, I couldn't take it any longer and after arguing 10 minutes with his personal secretary, I managed to get hold of him on the phone. You know what he told me? I was looking at it upside down.
  10. mind


    must be a nice guy. you are still having these fruitful conversations with him once in a while?
    #10     May 18, 2004