For the new 2007 thread, I'll repost my original introduction for new readers. -------------------------------------------------------------------------------- I'm Art Collins, a published book author, lecturer, and a frequent contributor to Futures Magazine. I'm also a 17-year Chicago Board of Trade member, professional futures trader and mechanical system advocate. I'm here to share system ideas and for camaraderie, something I miss from my days on the floor. I've decided to keep a daily journal on Elite Trader as a way to generate more feedback on my system ideas. Each day, I will post my daily market biases to keep the discussion going. Here are some of my core beliefs. Feel free to add feedback, call foul on me, or whatever. 1. The average trader can't succeed unless he or she is 100% mechanical. Most of us can not "hear what the markets are telling us" because for all practical purposes, the markets ain't saying squat. 2. Human psychology tends to be drastically out of synch with what is needed to trade successfully. 3. When one combines mechanical with discretionary, one tends to get the worst of both worlds. 4. Simple is best. 5. Basic elements can be combined to create greater wholes. 6. Day trading can work, but there are inherent problems compared to other types of trading. The main problem lies in the relatively small trading arcs compared to trading costs. 7. Ideas have to test well over a fairly wide array of times and markets in order to be considered trustworthy. 8. When you do decide to trade a mechanical system, you must adequately budget for it. You must also follow all signals exactly as mandated. How do I go about building mechanical systems? I identify simple market biases, some of which are not good enough to overcome trading edges. By assigning them +1/-1 strength/weakness values, however, and combining them with other such indicators, you can often get a whole significantly greater than the sum of the parts. I will be showing this on a step-by-step basis, using TradeStation performance summaries to substantiate my contentions. Undoubtedly, my programming skills are short of the levels many of you are at. I intend to keep expanding my abilities rather than justify my limitations. Just to reiterate though, Iâve been privy to some very esoteric complex systems and some very basic ones. The lion's share of profits has come from the latter, at least in my humble experience. --------------------------------------------------- More stuff I'd like to share with you: Hey! I've got a webpage! Go to... http://pardocapital.com/pgl_consult_collins.html Also, as always, feel free to email me. I don't bite and i don't respond with unwanted soliciations and come-ons. I'm just a trading fan who is always eager to share information. artcollins@ameritech.net Here's wishing everyone profitable trading in the new year. Art
CZARCHART PERFORMANCES--INDEXES--2006 I get periodic requests to disclose how my indicators have been performing in real time. Since Iâve never flat out specified how they could best be combined and quantified into an actual stand-alone system, Iâve resisted doing the extra work, fair enough as the queries are. Itâs just something that could become a never-ending road if you let it and besides, Iâve always advocated people getting involved in their own research anyway. Itâs not hard to go back and look at how various indicator combos would have done over a given period of time. 2006 was a barn-burning year for most mechanical index systems. My partner and I had our best performance since 2000. As has been the case for many years, the stock futures have far and away provided the best trading opportunities, largely because they are currently the only markets with both superior volatility and liquidity thresholds. While Iâll continue to resist being goaded in doing work that should be up to the individual, (again, because time and effort are finite), I canât help but share the following with you as we head into 2007. As you know, I use three broad indicator categories for the indexes. 1. The either-or. 2. The less-frequent signals. 3. The calendar biases. I would like to proudly show you how you would have fared in all three targeted markets (mini contracts) had you followed the majority indicator direction for each category on a strict mechanical basis, buying on the open every day that flashed a net positive number and selling short off negative composites. One mini contract in each would have produced the following results, (granted, without slippage-commission). These were all day tradesâexit on the close. Whatever else you can say about the signals, I canât imagine arguing that theyâve âlost their effectiveness.â They were all developed prior to 2006, so what youâre seeing here is actual real-time performance. Going into 2007, youâll notice I am not altering anything in the Czarcharts even though I do re-examine at the end of each year. I see no reason to suspect the climate is going to radically shift into the next year. Please accept my 2007 postings in the spirit I offer them. Someday in the not-too-distant future, I may be selling goods or services I believe to be economically viable. For now, Iâm just offering findings as I discover them. Happy New Year everyone!
Art's futures biases for Jan 4. A "1" means bullish bias. A "-1" means bearish bias. The total is the sum of biases. A positive sum will be long bias. A negative sum will be a short bias. A sum of zero will be a neutral bias.
Apparently, there will be pit trading on Jan 2 in everything but the indexes. Mr. collins regrets the error
#4: This is flying against the trend of high-frequency systems employed by hedge funds. Demand for PhD system-builders is phenomenal. If simple were better, there would be no demand for these gurus. #6: Now even retail futures firms are offering incredibly low commission rates for high volume trading....as low as $3 to $4 per RT for e-mini contracts. 20 trades per day under $100 !
syswizard wrote Quote from Art Collins: 4. Simple is best. 6. Day trading can work, but there are inherent problems.... -------------------------------------------------------------------------------- #4: This is flying against the trend of high-frequency systems employed by hedge funds. Demand for PhD system-builders is phenomenal. If simple were better, there would be no demand for these gurus. #6: Now even retail futures firms are offering incredibly low commission rates for high volume trading....as low as $3 to $4 per RT for e-mini contracts. 20 trades per day under $100 ! _______________________________ your observations are a bit hard to respond to because there are apples/oranges elements to them. i don't know the exact logistics of how complex investment models work, but that's not an exact analogy to trading anyway. but i can address what i do know. 1. simple makes it more difficult for over-optimization to occur. as you get more complex, your approach becomes more targeted and quantified and therefore, more likely to contain cherry-picked components that have little chance of persisting into the future. 2. there are a myriad of psychological reasons why people don't utilize demonstrably simple and profitable ideas. maybe that's why i don't subscribe to the "if-it's-so-simple, why-doesn't-everybody-do-it?" line of reasoning. i trade only on what i can demonstrate. if the phds are concocting great formulas in their labs, great. maybe they'll help someone who doesn't mind trading on blind faith.
http://www.cis.upenn.edu/~mkearns/papers/plat.pdf Check it out. Notice the mention of "microstructure" of the market. These guys are attempting to exploit minor and temporary market inefficiencies in an automated fashion...thus, they are going after ticks, and short-duration trades. SOBI for one, has proven to be a consistent winner...in fact, last I heard, Lehman hired the professor and is running it live.
Art's futures biases for Jan 3. A "1" means bullish bias. A "-1" means bearish bias. The total is the sum of biases. A positive sum will be long bias. A negative sum will be a short bias. A sum of zero will be a neutral bias. __________________________________________________ Calendar biases tend to be especially trustworthy this time of year. Despite the lack of unanimity in the signals, we should see an up-move in the indexes on Wednesday. One cautionary flag, however, is that the markets have already moved significantly higher in off-hours trade. I would be inclined to take no action if any of the markets open higher than their Friday daily highs.
Art's futures biases for Jan 4. A "1" means bullish bias. A "-1" means bearish bias. The total is the sum of biases. A positive sum will be long bias. A negative sum will be a short bias. A sum of zero will be a neutral bias. ____________________________________________________ Despite Nasdaq either-or signals to the contrary, weâll probably see an up-move in the indexes on Thursday consistent with the majority of the other readings. Remember that weâre following an unusually volatile day. Whichever way the market breaks, the move is likely to be smallish, non-dramatic and probably choppy.
Art's futures biases for Jan 5. A "1" means bullish bias. A "-1" means bearish bias. The total is the sum of biases. A positive sum will be long bias. A negative sum will be a short bias. A sum of zero will be a neutral bias. _____________________________________________ Weâre starting to see some committed directional trading as is customary for this time of year. The holiday vacationers have pretty much all straggled back to work by now. For Friday, the indexes are continuing to show solid upward biases while the bonds are all pointing southward. Note the -6 rating in the 30-year either-or signals.