The always-in-the-market has it's difficulties when the range contracts. When a market is in a contraction phase, you have to trade it differently and there just isn't a lot to take. Mark may have refined his method to change during this time. That's the difference between a system trader and one that trades on discretion. The key to developing trading systems is to get out of the way and let the numbers do their work. Most people have to have an opinion (me included) and I once read from a very good trader: "Thinking isn't necessary and often times just gets in the way." JC That being said, the biggest detriment to an Automated Trading System is the human, ask Mark...I am certain he will tell you the same thing. I developed a platform not based on charts, but numbers with methods based on math and statistics and I am in the process of implementing that. The markets are going to move and no one knows which way.
1385 represents an optimization centerline to divide the trigger data in half - above it you go long below it you go short - simple. at the time 10 years ago the data was advancing issues of nyse. i have not been setting around doing nothing for the past 10 years so that has changed. some others have figured out some different paths as well just look what lawrence chan has done with it. http://newsletter.neoticker.com/2005/12/21/better-oddball-system/ what i am offering anyone is not the method exactly that i use but rather a framework that is an absolute dead on machine logic miracle to trade the markets. the reason i am willing to talk about it now is that i am doing some other type of trading that does not compete in the same arena as index futures. the concept in it's simplest form is that an underlying force will tell you what the futures will do. that underlying force maybe the advancing issues of the nyse, it maybe a basket of stocks that appear on the member board down in the sp pit, it could be another future index, it maybe a cash market, it could be moon cycles. then to add to all those possibilities the data maybe raw or you might massage it some by filtering, this is very powerful. example you might discount all the advancing issues below 800 and above 2100 in building a synthetic data stream. m
ok the idea of the always in the market is that in the old days thats what we had to work with. commercial traders have their money in the market working all the time. the motivation is to not only make money but to generate commissions as well. as a quant i was required to build systems that make gobs of money and if some was lost in a non directional phase so be it, it was making commissions. but the client still was making money anyway plus who are we to be setting on the bench reading a book and we decide to jump in the game and now be mvp? you have to be in the game on the field when the opportunity comes to be mvp it just happens. m besides what is the definition of spectacular? most of those systems make small profits with high winning percentages and then the lose very big when the silver bullet comes. yea i have those models as well one for the 30 bonds. makes 300 a trade 70% of the time and loses 2000+ when a loss comes. which usually is the the trade that you increased the contracts lol.
Spectacular for me is that say I predict direction somehow, and the market maybe goes big in the predicted direction 60% of the time with a large move, 15% with a medium sized move that I can still make some coin, fails big 20% of the time (a trend in the opposite direction) with enough room to make little or breakeven via stop-reverse and re-deploy the position, or 5% stays around doing nothing in chop, where the losses occur and position is exited via a time stop. Also I do not use points or $ anymore but %ROI over capital at risk, keeps me focused on what matters. I'm currently leaning on options systems, that is the only way to avoid catastrophic risk. I think an always in the market system would suffer greatly from slippage and commsions as you have said. More so as size increases. Imagine exiting or reversing a long silver position on monday, tue or wed, a nightmare. With options, you just sit back and laugh at the fireworks.
Always in systems do wonderfully during trends. And if you have a big up trend followed by a big down trend, you can cash out and go buy a new car. But when price chops around, you lose it all and more, always chasing the trend, having to be on the right side when it picks up again, and when price makes little spikes it will go just far enough so that you change your position and then it reverses in the other direction giving you a terrible entry and big loss, which is usually part of a string of losses. Basically, you're relying on price to do certain things, otherwise you lose money. I don't like that condition.
This is what the holy grail is about IMHO: knowing when to trade and when not to. Or when to trend chase or not. I hate repeating myself!. The perfect real authentic grail tells you exactly when a trend is about to start. An imperfect grail tells you the same, but it's accurate less than 100% of the time.
Hey Mark, Thanks for posting. What are the % returns like for this system? Daily? Weekly? Monthly? etc Cheers
Mark, Thanks for you posts and explanation. Now, need to do some thinking and testing. Regards, redduke