leeson system

Discussion in 'Strategy Development' started by aus_SPIder, Oct 13, 2006.

  1. This is a system me and a bunch of other traders made based on a long discussion of barings bank and in particular nick leeson's trading system and the problems which led to baring's collapse. We all concluded that given proper management and a set of assumptions the method of trading which was undertaken by leeson could have been made into a slightly profitable systematic system.

    We made a few assumptions which in the case of leeson are entirely reasonable

    1) Approximately unlimited margin
    2) Minimal Slippage.

    Here is a systematic trading system based on nick lesson's trading ideology.

    At the beginning of the week take 50% of the average daily range of the previous week. We will call this value A

    At the start of the day randomly pick any time between the open and 2hrs before the close

    When you have picked your time randomly choose whether you will buy or sell

    Enter on market at the nominated time in the nominated direction. Set Profit target = A and Stop equal to A

    If today was a loss then double the amount of contracts traded tommorow.

    Repeat until a series of losses leads to a win which will win back all the prior losses. If you are leeson, then proceed to bankrupt the bank
     
  2. No such thing as a winning system in the stock market
    If there was, everyone would be rich.
    The stock market never does what people think it will.
    And it doesn't give a shiit about anyone or any system either.
     
  3. Chosing whether to go long or short is the key. I would think you would always want to be with the trend. For example now you would be long the US indexes.

    Against the trend you could get cooked. For example, during this current strong uptrend dips have been shallow. Would have likely never reached profit "A" on the short side.

    Would be interesting to backtest and see how many string of losses before you martingale your way back up.

    Oh yea, try to contemplate the feeling of your gut as you go through 8,9,10L down 1024R just to get 1R.
     
  4. lol but then remember your nick leeson. You have a fetish for losing money :p and big chunks of it. Well ill add a little discretionary element to it: if it looks liek its going up you may buy, if it looks a little down then you may sell. :D
     
  5. Try this, join a mayor bank, and try your system [just make sure you let us know which bank so we can short it...]
     
  6. :D and ull pay my bail?
     
  7. Controlling trading and the back office is a powerful combo when staked by a bank. He was trading horribly, but may have muscled the NK had the quake not hit.
     
  8. sure, why not?
     
  9. :D Goldman sachs HERE I COME!!!!!!!
     
  10. booking

    booking

    You'll find plenty of discussions on doubling up - a sure fire way to lose your shirt if you ask me...
     
    #10     Oct 17, 2006