I'm intrigued by your thread. But, you keep making this statement: You will have to prove to yourself and others that "such and such" will yield an extra tic per day average profit. So, I have two questions: 1) Is there an answer that you are looking for that (in your mind) doesn't require much proof (as far as back-testing is concerned)? Kind-a like some sort of riddle..... 2) What are you looking to achieve with this thread? Entertainment? Learning experience? Meet new people? Or a way to figure out how to by dildos more cheaply? Jason
Answers: 1-Answers/suggestions either require proof or not. 2+2=4, and other self-evident statements do not require proof in my book. Mopping floors, shoving coins up ass, buying breakouts, selling breakdowns, buying on full moon, etc, etc, etc, require some sort of proof or at least backtesting statistical anecdotal evidence. 2-Answered in the first post of this thread: "The intention of this thread is to improve logically from this, by definition, 50-50 minus commissions LOSING METHOD." I see you also have a fascination with dildos. Our resident expert on that matter is the oraclewanker or something like that.
-------------------------------------------------------------------------------- Quote from Whisky: It seems you are talking about exits. Any concrete suggestions to improve over the original rules?. -------------------------------------------------------------------------------- Here are the rule suggestions that will insure the system is profitable including fixed costs(coins) and inflation, etc. Change to two fractals in series: RTH's and non RTH's and holidays and weekends. Add an exit strategy to assure the two fractals are uncoupled. The exit strategy is to exit each trade using a time out. The time out is at the end of each fractal segment. Add an entry identical the the original for each fractal. To compare backtesting results to the actual market take the starting value of any interval and the ending value and determine the absolute diffference. Then divide by two to take into account the inefficiency of coin tossing. This value is the net profit of this rule adjusted system. From a historical interest viewpoint you will get the same absolute value by taking the profits of just trading the non RTH's and subracting the losses from just trading the RTH's to get the actual net gain. Using a coin to guarantee 50% net of each is an interesting risk reduction mechanism and it eliminates inductive thinking from entering the methodology. To replace the coin aspect is tricky but very possible. If the coin is replaced to have cetainty of entries, then a timing adjustment must be made to eliminate the problem of inflexibility of the "time out" requirement above, i. e., using end of bar timing on any fractal severely limits profitability. My suggestion implies that there is one bar during RTH and one BAR during non RTH and a coin determines whether the person trades with or against the one bar trend. What makes the system profitable is the known fact that the gains after hours over long periods always outweight the evident net losses during the long term for RTH. So I used the market kurtosis to assure a winning system. I took gambling to the sidelines and used a "certainty" (non inductive) that is not commonly considered. The deduced certainty is that as the world turns, the lot of mankind improves. For US markets during RTH the long term net losses show that when Americans are awake and being "deciders", they tend to stilt the progress made in the world while they were sleeping. Timeouts of trades are a function of market pace. I can hardly wait until the academic community begins to consider this a decade from now.
Could you rewrite the above, so that an 8 year old would understand it?. If you can't, then you will have to prove to yourself and others that your suggestions will bring an extra tic or more average per day over the original rules.
Market hours for this 'system' were 15 minutes after the market opened to 16:00 (tied to cash market more than just futures) once the equities markets closed the randomness of the trades was reduced. The 15 minute delay in starting was necessary to give you a 15 minute breakout channel once the market opened. 375 minutes.... (sorry for the error!!) Kelly to begin with can be backtested with few weeks of data. This system will be at 1 contract a long time so you will have plenty of data before you need it. Good luck!
You nedd a backup homeles guy..Why? Shit happens...he does not show up,....out sick breaks his good tossing arm, is arrested, etc,etc you need a backup.... WHY NOT A HOMELESS WOMEN? you do want to be seen as a equal opportunity enployer. Who knows you may get lucky Cheers john
You will have to prove to yourself and others that your suggestions will yield an extra tic per day average profit over the original method rules.
OK thanks. What you suggest is to randomize the entry time and then use a range breakout to trigger the entry. You also suggest changing the exits in a rather arbitrary fashion. Lots of changes. My gut feeling is that your new rules will underperform the original method, and they also require quite a lot of extra work and monitoring during the day. I also notice that you do not take directional input from your coin/numbers/etc., so improving the coin algorithm is out of the question. I also notice that as your entry has been modified to a range breakout, many days will leave with no trade, and no risk, and no reward. For all this effort the new rules better make more than 1 extra tic per day average profit. I doubt that will be the case. Do you want to test it and prove it to yourself and others?.
The rules below are better than the coin toss rules described in this thread because: 1. No cost 2. You can backtest these rules 3. Random numbers of the Lottery site are probably as close to random as you are going to get. 4. No homeless person needed. The rules as I remember them are: Each Saturday Night the California Lotto numbers will be used to identify market entry times for the following week. Use the first 5 numbers in the lottery pick, 1 number for each day of the week. Monday = 1 number, Tuesday = 2nd lotto number, etc., etc., Market Hours are 9:45 am 4:00 EST. or 375 minutes The trading period is 15 minutes after the market starts to give you your first 15 minute breakout channel. The end of the trading period is tied to the equites market close rather than futures. Lotto Minute Offset = 375/100 = 3.75 TradeTime = Start of 9:45 each day + California Lotto Number for that day of the week times the Lotto Minute Offset. Example: If the Lottery number for the day = 6: then 6 * 3.75 = 22.7 minutes. Then add to 9:45 (begin trade period) to get price channel at 10:07 TradeTime On the day of a trade, the market high and low of the TradeTime - 15 minutes will be used as a channel breakout entry. Direction for the trade is determined when the high or low channel price is breached. If the high is reached first, go long. Opposite for shorts. Start with 1 contract and use 1/6 Kelly to increase position size. Market Exits: 20 pt. stop exit all. At 20 pt target take 40% lot profit move stop to breakeven At 40 pt target take 40% lot profit trail stop at 20 pt If long exit all if low of the day - 5 exceeded. If short exit all if high of the day + 5 exceeded.