I'm Art Collins, a published book author, lecturer, and a frequent contributor to Futures Magazine. I'm also a 20-year Chicago Board of Trade member, professional futures trader and mechanical system advocate and co-partner in the Trireme Capital hedge fund. 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. These are all derived from historical summaries in Trade Station. Anything that didn't perform well enough historically is not something I'd consider trading. I want edges, and I want to derive them in a rote, mechanical ("boring?) manner--no guesswork. 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. _________________________________________ The following are results of testing that spanned from January 2 through December 19, 2008. (I then went on vacation). They incorporate the same methodology that I post every year (attachment) as well as details of exactly how itâs constructed but first, a little well-deserved crowing. Once again, this past year proves to be a most impressive winner to the point where Iâm wondering why I donât just trade in this fashion with no other systems. Consider what we haveâall results for single contracts. Solid performance in the three indices that vault past the $20-per-trade we customarily apply against a mini contract. The other markets may not yield enough to overcome trading costs, but they do verify the concept. There was only one near break-even loser. The 30-year bond actually exceeded the customary $100-per-full-sized-contract barrier. Again, with all due modesty, Iâm offering a kind of âtransparencyâ I never see anywhere else. This is a winning methodology that has proven itself in real time for the last three years. Thatâs on top of how it theoretically performed in all the prior years used to develop the system. My daily postings include two different signal category boxes for the bonds and currencies. Seasonals are particularly repetitive in the indices, so that complex uses three boxes. Iâm offering the top one which is the easiest for me to summarize. The system contains six indicators. Each one signals long (1) or short (-1) every day, barring the rare instance where a number is exactly tied. The positive and numbers are then added together. Sometimes the cumulative total is zero in which case no action is called for. When the total is positive, the idea is to buy the next day on the regular session open and then exit on the close. For a negative reading, you sell short the open and buy it back on the close. No stops are included in the results although as Iâve mentioned, 66 percent of the previous three day average range can be an historically effective stop. (At the very least, it doesnât make the results significantly worse). When the 66 percent distance is determined, it is subtracted from any long entry price (or the opening priceâsame number in this instance). That new point is the long stop exit. For shorts, you add the number to the opening-entry. The six individual components within are: 1. A bullish reading (+1) if the close was above a 40 day average close. 2. Bullish if the 2 day average close is lower than the 5 day. 3. Bullish if within the last 50 closes, the highest occurred before the lowest. 4. Bullish if the range was smaller than the 10 day average range and the close was higher OR the range was larger than the 10 day average range and the close was lower. 5. Bullish if the close is greater than 15 days worth of highs and lows averaged out. 6. Bullish if at least two out of the last three closes were lower than the opens. Anything opposite the above conditions are negative(-1). Results reflect going in the direction of the simple majority. I don't see any reason to change the format this year. We may be getting close to where more concentration on the indices and bonds may be prudent. the currencies continue to lag in the performance department and may get the proverbial stage hook soon if they don't shape up. Iâll have additional material on traderinsight.com, which I share with Dr. Adrian Manz and Tom Incorvia. I love sharing ideas and as always, I encourage feedback. I try to answer all correspondences. (I have occasionally let some get by during particularly harried times. I apologize for thatâit was inadvertent. Iâll do better). Thereâs an old expression âMay you live in interesting times.â They may be even more âinterestingâ than weâve bargained for, but at any rate, they have and will present enormous opportunity. Hereâs hoping we all stay on the right side of it. Happy (and prosperous) New Year.
Art ... Simple, clear, transparent. Win, lose or draw no one can ask for more. I will watch and listen with great interest. Thanks.
Holy tamoles. I was editing the above entry, but was not allowed to post the changes as I exceeded to the 30 minute limit. Hereâs what I wanted you all to see. Hello everybody. Art Collins, back again for another fun-filled, thrill packed year of futures trading. I'll start off this time with what everyone seems to want the most--a recap of the previous year performance of the Czar biases. For the first time out of the four years I've been posting, the top box either-or signals booked a net loser. (So, maybe not-so-co-incidentally, did my personal trading. Feel free to check prior year threads for better news!). I can't give definitive advice on what that means. I think we're probably at least a year early for re-optimization--the best systems do have drawdowns after all. Some of the experts I've interviewed for my books said that they're strategies were to increase their committment after a losing string--not that I urge anyone to try that at home. But there is always that possibility that an underperforming system will roar back in spectacular fashion, thereby normalizing the overall performances. In any event, as always, I urge skepticism, personal verification, commitment etc. We are ultimately responsible for our own trading decisions. Either-Ors--2009 mini S&P 137 trades, -$5113. 51.45% correct. mini NAS 115 trades, -$1690. 46.09% correct. mini Rusl 138 trades, -$5330. 51.09% correct. 30 yr bnd 148 trades, -$500. 50.68% correct. 10 yr note 134 trades, -$8875. 52.24% correct. 5 yr note 162 trades, -$4484. 43.21% correct. J yen 158 trades, -$2375. 23.42% correct. Euro 160 trades, $7725. 40.63% correct. S franc 167 trades, -$4913. 17.50% correct. Yikes, one winner out of nine! The second box, less-frequent indicators fared better. (again, assume going in the direction of the simple majority). mini S&P 153 trades, -$213. 49.34% correct. mini NAS 164 trades, -$2405. 46.34% correct. mini Rusl 161 trades, $12,940. 56.52% correct. 30 yr bnd 153 trades, $1968. 49.34% correct. 10 yr note 158 trades, -$3984. 50.00% correct. 5 yr note 146 trades, -$1633. 45.89% correct. J yen 99 trades, $3063. 25.25% correct. Euro 125 trades, $6275. 38.40% correct. S franc 93 trades, $163. 21.51% correct. Now for the standard preamble I post annually. (My Trading Manifesto as it were). I'm Art Collins, a published book author, lecturer, and a frequent contributor to Futures Magazine. I'm also a 20-year Chicago Board of Trade member, professional futures trader and mechanical system advocate and co-partner in the Trireme Capital hedge fund. 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. These are all derived from historical summaries in Trade Station. Anything that didn't perform well enough historically is not something I'd consider trading. I want edges, and I want to derive them in a rote, mechanical ("boring?) manner--no guesswork. 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. _________________________________________ The following are results of testing that spanned from January 2 through December 19, 2008. (I then went on vacation). They incorporate the same methodology that I post every year (attachment) as well as details of exactly how itâs constructed but first, a little well-deserved crowing. Once again, this past year proves to be a most impressive winner to the point where Iâm wondering why I donât just trade in this fashion with no other systems. Consider what we haveâall results for single contracts. Solid performance in the three indices that vault past the $20-per-trade we customarily apply against a mini contract. The other markets may not yield enough to overcome trading costs, but they do verify the concept. There was only one near break-even loser. The 30-year bond actually exceeded the customary $100-per-full-sized-contract barrier. Again, with all due modesty, Iâm offering a kind of âtransparencyâ I never see anywhere else. This is a winning methodology that has proven itself in real time for the last three years. Thatâs on top of how it theoretically performed in all the prior years used to develop the system. My daily postings include two different signal category boxes for the bonds and currencies. Seasonals are particularly repetitive in the indices, so that complex uses three boxes. Iâm offering the top one which is the easiest for me to summarize. The system contains six indicators. Each one signals long (1) or short (-1) every day, barring the rare instance where a number is exactly tied. The positive and numbers are then added together. Sometimes the cumulative total is zero in which case no action is called for. When the total is positive, the idea is to buy the next day on the regular session open and then exit on the close. For a negative reading, you sell short the open and buy it back on the close. No stops are included in the results although as Iâve mentioned, 66 percent of the previous three day average range can be an historically effective stop. (At the very least, it doesnât make the results significantly worse). When the 66 percent distance is determined, it is subtracted from any long entry price (or the opening priceâsame number in this instance). That new point is the long stop exit. For shorts, you add the number to the opening-entry. The six individual components within are: 1. A bullish reading (+1) if the close was above a 40 day average close. 2. Bullish if the 2 day average close is lower than the 5 day. 3. Bullish if within the last 50 closes, the highest occurred before the lowest. 4. Bullish if the range was smaller than the 10 day average range and the close was higher OR the range was larger than the 10 day average range and the close was lower. 5. Bullish if the close is greater than 15 days worth of highs and lows averaged out. 6. Bullish if at least two out of the last three closes were lower than the opens. Anything opposite the above conditions are negative(-1). Results reflect going in the direction of the simple majority. I don't see any reason to change the format this year. We may be getting close to where more concentration on the indices and bonds may be prudent. the currencies continue to lag in the performance department and may get the proverbial stage hook soon if they don't shape up. Iâll have additional material on traderinsight.com, which I share with Dr. Adrian Manz and Tom Incorvia. I love sharing ideas and as always, I encourage feedback. I try to answer all correspondences. The daily postings will resume on Tuesday. Happy New Year everyone.
Art, how about some simple analysis about "what went wrong in 2009". For example, could you give performance for your short and long signals separately?
I apologize if this may have been answered elsewhere. When you say buy/short at open and sell/cover at close, does this intend to mean the Globex open/close or cash open/close? Thanks! Best wishes for 2010!