Is There Such a Thing as a CONSISTENTLY Profitable Trading System?

Discussion in 'Trading' started by catmango, May 27, 2003.

  1. MR.NBBO

    MR.NBBO

    Trader99 is correct on it getting tougher with size....I now trade about 125 symbols at once (40-50 are very active). I used to trade only 2 when i first started, and now barely hanging on with 125. The % gain/loss number smooths out even more stable.....but doubling a $1mm or $10mm does indeed get harder....so the % gain does drop over time.

    Previous poster was also correct....I spend about $2-3k a day on commissions...but more like $4k today.

    Holy Grail??? I've tried many other things in the early days....but lost my butt on them...and vowed to never set foot again outside of my "fishing holes" that I've been in for so long.

    The previous stats posted are correct...no BS.

    Worst day:-$4300
    Best day: $12,100 (today)

    Market is irrelevant..... I'm 52% long & 48% short all the time.

    Best of luck to everyone!! Glad I stirred up some conversation!
     
    #31     May 28, 2003
  2. MR.NBBO

    MR.NBBO

    Rolegario: Back to your first post on this thread:

    "In my quest to define a winning trading strategy, I'm obviously worried that all my work will be wasted, and that trading is more of an art form than anything else. So, you can backtest as much as you want, but in the end there is zero bearing on your potential future profits."

    I remember backtesting years ago until 4am night after night , I about went blind and crazy.
    I found many interesting strategies that where statistically significant...but none worked in real time consistently. What I learned over time is that trading IS an art....and yes indeed my backtesting was for naught.

    Need Direction?

    Ask yourself....who makes the money on Wallstreet???!!!!
     
    #32     May 28, 2003
  3. I've often wondered where the 'dumb money' is on a one-minute timeframe. I understand who the players are on the long-term, intermediate, and swing trade setups are - atleast in general - and I think I could envision "beating" them. But from whom are you making $ on a 30 minute basis?
    I suppose I can figure some are handling market inconsistencies, such as were explained in the Market Wizards with the options markets way back when. And these it seems would be moderately simple to automate and do via computer alone.

    I must be missing something here because how can so many people trade this timeframe without anyone being profitable, right? I would honestly love to hear, for example, how one plays a "trend" lasting less than an hour - even if only on theoretical grounds.
     
    #33     May 28, 2003
  4. If you are into long term trend trading and have a robust system, you would probably be cranking out profits with it 10 years later with zero modifications.

    If you are focussed on shorter term systems that are tailored to a particular market, I think it becomes a little trickier. It is easier to find something that looks like the holy grail on a single market, but much harder to get something that is robust.

    For short term systems, the best approach might be to develop a handful that trade different markets and are non-correlating. That way if one stops working, the others should offset it. Have a strategy in place to deal with a non-performing system (eg if average of last 30 trades goes negative, stop trading).

    I think you will need to be always tinkering, fine tuning and adapting your systems.

    So to answer your question, I am not sure that there is a consistently profitable trading system, but I am 100% sure that you can be a consistently profitable system trader.
     
    #34     May 28, 2003
  5. My 2cents:

    Markets have always trended and they always will. Trend following systems are the most robust and will always work.

    If, on the other hand, your system exploits some minute, arbitrary, short-term inefficiency, then you can expect it to stop working eventually.
     
    #35     May 28, 2003
  6. DT-waw

    DT-waw

    Yes, but the trends/noise ratio is changing over time. There are periods with trends = noise. The important thing is what market(s) you choose to trade.

    Same here, the level of inefficiencies changes over time. I believe in diversification as a way to get consistent returns. Use different time frames, short-, medium-, long- term systems, different methods: MAs, Breakouts, arbitrage, etc. - on many markets.

    Next topic is curve-fitting. In trend-following systems you'll always determinate trends using some set of parameters. You can easily do it on past data, however how_market_will_trend in the future is an unknown thing. I attach the equity curve of a short-term Dax strategy with position size management. 2 years of data. It's so easy to turn 100k into 3M! hehehe. I'm sure that set of parameters used in this strategy won't work that good in the future. That's the reason why we can use parameters which were less profitable in the past for actual trading.

    Consistent returns is a goal for many CTAs, hedge funds and individual traders. Yet only few of them can do this. If you also demand scalability, ask these two funds :)
    http://www.iasg.com/SnapshotPT.asp?ID=156
    http://www.iasg.com/SnapshotPT.asp?ID=94

    For high returns ask Mr. NBBO... no losing week hmm. I suspect his success can rely on trading multiple stocks (40-50). Every day there're inefficiencies on few of the 40 stocks and he just exploit them. Mr. NBBO: what broker do you use? What commissions you pay? Looks like your avg daily net profit is equal to comm paid.
     
    #36     May 28, 2003
  7. bone

    bone

    There is alot of art to the science of trading. That is what makes the craft unique, and what keeps me employed. All the computing power and quantitative analysis in the world has not been able to solve the markets on a truly consistent basis. And that puts food on my table and pays the bills.
     
    #38     May 28, 2003
  8. #39     May 28, 2003
  9. OK, let me get this straight. You say you have been trading for 7 years and you have no more than 5 losing days "handful of losing days". That is complete and utter BS. Is your real name Steve Cohen? Unless you are him I really doubt your statement. Come on, you may be successful but to post that in seven years you have never had a losing month! Geez. I know fund managers who make 20% - 40% +++ year in and out and have losing months.
     
    #40     May 28, 2003