I seem combative to you because you're a prey. Seriously, you can't expect me to accept some bullshit statement, and agree to something I don't believe in. Discussions are about discussing different opinions, it's not about having a bunch of people saying the same ol' shit agreeing to each other. Plus, I think I'm being nice. I didn't call you a retard or a brainless monkey. :eek:
why don't you just ask me yourself BRIGHT GUY pun intended "i know who you are" 1.) i have a complicated business. a.) others trade some of my systems for a fee. b.) others are partners with me and we split a fee. c.) others want to own a one off system and for that a fee. d.) my personal trading is done by myself using an omnibus (cause people know me) account and fully automated computer HIVE with redundant locations. e.) i spend every moment of my life as a multi dimensional thinker. able to carry on a conversation and interact with others but yet anyone who knows me will tell you i seem aloof. in fact i am physically in this world yet mentally and spiritually in another world where the pursuit of divine mathematics consumes me. i think mathematically in layers of matrices, a blend of finite and non linear equations churn in my conciseness all but the 4 hours or so a day i rest. even then i dream dynamic pulses of flowing monetary waves which are to be harnessed into the solutions i so desperately have to understand. i am actually possessed by the pursuit of perfection. 2.) nothing i do for a fee can match what i have done for FREE and give to the trading community over and over again. if you aren't making money it isn't my fault. ------------ so there was a time when i might even get upset at someone trying to bash me here or there - that was a time when i was at the bottom - now i am pretty close to the top and you look really small down there - however i pray that you can find your passion and pursue it - hopefully you passion is something other than bashing others who are pursuing their passion. Mark Brown
... So... I was just writing about how it is very probable that mass opinions of the market exist. Generally speaking, having a lot people having the same opinion is a good thing. You have potential driving force behind the market opinion you have. That is if you've place your order before everyone else. In another words, to be in the 5% profitable group, you need to place orders faster than everyone else. Actually, that's where the contrarian mindset, which a lot discretionary traders mention about comes in. You place orders before the general public acts on the general opinion generated by the charts or the market. (... there's a lot of ways to look at this... some may say by the time people see it, it's done and markets only moves in 2 directions so you profit off that... etc. etc. etc. but you're doing the same thing) ... All that mentioned, I go back to systematic trading... You have a bunch of algos fighting over each other. You have AIs and expert systems fighting over each other, trying to find patterns and tendencies faster than everyone else. Honestly, I study and use alot of machine learning stuff to keep up with the competition. But I started testing and researching a different approach from the AI and model race. I figured that I should be be contrarian just how a discretionary trader makes a contrarian trade against the general analysis of the market... Hopefully, I can start writing and posting stuff regarding the framework for Contra-Optimization. And I'm the first to write about this for the public mass. Thank me bia--------tches!!!! More coming sooner or later...
It sucks that I have to do this but I need to write about the basics optimization paradigm systematic traders use so that I don't confuse people: When I mention about the basic components of the optimization: - Optimization & Programming. (For example, when I mention Genetic, it can either be optimization or programming... usually when my example's parameter is a logic, it's a Prog. ) - Parametric Value or Logic. (Value is value 1...x Logic would be like case 1: x > y; case 2: x < y...) - Fitness Function / Measure. (The value I use to measure the validity of the test like Sharpe, %Profitability, Rx3, GenProg derived etc. etc.) - Trigger Function. (The bool triggering a sub-test like walk-forward like Windowed, Market, Fitness) - Algo. (The underlying algorithm used for the optimization or prog. like Genetic, AIS, Ant/Part. Swarm, SHIAI, etc. etc.) - Hedge Sets. (The sub-data of your optimization. It's never the traded instrument or the actual performance equity). - Xnd-Level. (X is each of the step within the algo. involved in the optimization. Ex. "1st level fitness measure for NN" = "The fitness function the Neural Net uses as a measure when being taught.") - Underlying tendency. (A subjective condition of the market. May not be the rules, code or any other logical response of the market. ex. "Only 30% of the market trends.", "When the volatility of the market is stable", "Prices move up when the OptimIS is triggered.") Whenever I chat or talk to people I start getting into an argument, most of it's from misunderstanding each other's semantics like when I'm talking about Genetic Algo., I may have Gen. Prog in mind but the other guy might be thinking of Optimization. So whenever I talk about the tested parameter, we start disagreeing about how we should set up the fitness measure. Another would be hedge sets and trigger. My trigger maybe on the controlled trade result, but the other person may have his trigger on sub-legged market data.
TS, ,do you think a trader sould match his personality with his trading style, , a musical talent and a piano....a mathemetician and quant trading... an agreeable person with trend following... a contrarian with top and bottom picking
... (continuing)... First things first... Optimization is a good thing. It's just that people don't know how to use it. Looking at what the retail packages are offering, they're 4-5 generations behind what most of us use. So whatever I write here is meant to coded by the trader or have the IT dude code it for you. I like to use driving as an analogy. We still don't have an automated driving technology for cars yet. Last I've read, there's a auto-driving system within limited condition but not all. The reason why is that there's alot of dynamic conditions that the computer can't detect that affects the overall safety of the driving. You have weather conditions like snow, rain that affects you and how others drive. Driving Areas like School zones where you can have kids running or freeways with change of speed and cars changing lanes. Road conditions like no roads or no lines telling you the lanes. etc. etc. But there are some things that are automated. Transmissions are automated. Anti-lock breaks. Fuel injection. Parking. Front lights (well 90% of all electic stuff)... there's plenty of stuff that are automated, here and there. The same goes with automated trading. By understanding the different parts of the vehicle and driving (trading), the better you can automate. Back to the topic. There is no perfect optimization process that can provide you with the best results on any market or model. So you need to have an optimization process and a paradigm to develop them that caters the models you are optimizing. It's very similar to Slip-Forward where you have 2 tasks, figuring out how to deal with a model and actually dealing with it. But in terms of Contra-Opt., both processes are automated. Actually, this seems to be the major trend in Systematic trading. Automating trade orders are a routine and hit the limit with High Frequency. Automating model development has "kinda" hit the limit with multiple AI agents on expert systems. The current thing is model management.... Next big thing??? I dunno... ... To be continued....
Another side note... About my discretionary contrarian post. I think I've read and seen a study done by Steidlmayer or some other Market Profile guru... Anways, some guy did a research about Market Profile and concluded that traders who makes the trades on the 70 percentile of the Daily bar consistantly loses and people who made the trades on the 30% of the percentile makes money. I haven't done alot of tests on MP or don't have the links the paper (and I maybe wrong because it's from the back of my head) but doing a Google search about Auction Theory and MP may help... That's all...
imo, you're being a little pretentious and specific in your particular and personal use of the word 'backtest'. a backtest is just that: a test on historical data. it can be anything imaginable, including but not limited to risk assessment, but also expectation. your indicator research was a 'backtest'. there is no singular 'proper' way, as the 'proper' way can only be defined by the hypotheses of the test in question. i get your point on one level, but you're contradicting yourself by communicating it as specifically as you do. ps also, maybe this is a case of differing semantics like you mentioned earlier, but, assessing risk without expectation is a bit meaningless. there is always an expectation for any given risk, or else why asses or take the risk?