Reasons for failur in automatic trading systems

Atlantic · May 22, 2006

Quote from Grob109:

I expect to have most of my stuff public within 2 to 6 months as shareware to those committed to helping others and solving community problems with their newfound increased performance. Taker types will not be involved.

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trade the markets - make billions - and save the world.

anybody who believes one tiny piece of it is lost. trading for almost 50 years - making how many $$$? what happend to all that money? why are there still hungry people in the world if that method is dedicatet to make things better?

why is it that all that crap appeared only few years ago on the web?

i've always been impressed by people who don't talk much but take action and produce great results - but always stay humble nevertheless.

and then there are idiots who talk and talk and produce endless articles with absolutely zero substance.

anybody who has enough money and time and wants to make a change - study the life of the former actor karl heinz bÃ¶hm - he is my hero.

Hombre · May 22, 2006

Quote from Cheesy:

How am I supposed to know if my target is going to get hit this time or not? so I had the system programmed to choose it's own exit points as soon as it entered the trade and gave it multiple options on how it can exit. The system might choose to exit at 50 points some trades and then other trades it's ten points, I don't know what it's going to be just as i did not know how many points it would travel when I used the fixed point targets. it also sets it's own stoploss points now, and they are also different every trade.

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The way you wrote it , it doesn't make sense. How is it possible for system to choose different outcomes when initial data are the same ?

jerryz · May 22, 2006

cliff notes please!

Quote from Grob109:

My intention was to just pass on some information on the topic.

I knew that most people who use maths to solve problems are involved in the conventional gaming theory and its branches. I was a key speaker in the field (ISAGA) in the 70's.

People who have long involvements in particular endeavors do trace a path through several levels of change.

Gaming is surrounded by technological innovation and a broadening of infomation supplies.

The power of the maths, however, may be stagnating as you see from the responses here by those who have noted the names of things. Most who have been using those names have also gone to other places with differing lists.

A Lo citation was made recently. He goes for AMH and it is in contrast to EMH.

I was taken by the threads commentary as it represented a collective group coming up against a limiting condition. Man stepped over the line somewhat (meaning he announced that better Sharpes lay elsewhere), so I sat down and tapped a spectrum of comments that characterized some considerations that either were on the mark or that represented common traps encountered by a good portion of practitioners. I passed on the airhead stuff.

The OP was was very significant and "seeking" in the brief articulation he scoped and bounded the "problem" or in a way the "opportunity". I liked it.

My tapped list also correlated with the five topics of the OP.

On a yellow pad I made a schematic of an operating system that has Sharpes that greatly exceed man's experienced observations and I knew the other contributor's Sharpes as well.

So I sat down with a yellow pad and drafted a set of paragraphs. Dictated them. Got the transcription. And posted it. It was a rough (below draft) and not paragraphed not checked for syntax or clarity.

What I didn't do was use the 28 comments as referenced footnotes by adding them to my words as direct references for your convenience. I didn't reread anything. I didn't use the schematic as an illustration. I ddn't add a list of the 70 DF's that is laying on my drafting board. I didn't add a list of the 61 signals that emerge from the DF's that is also laying on my drafting board.

This unsatisfactory effort was just a pick up job where I tucked in facts parenthetically. If I had buzzsawed the backup as the attachment; it would look like the construction drawings for a commercial building. ET can't handle infomation to any extent as we know.

I don't believe teaching works. At best learning can be supported in several ways. So I do not teach.

Here what you see is a compare and contrast where I make some points in a given OP context that has 5 elements.

The better math for making money is not Pascalian; in contrast, it is logic.

I posted a first pass and got a request for what I thought was a very brief abstract. The bullshit response I got for the effort was three words. Then it was backed up with a comparison of the five lines to the normal fare of scamming. I saw this after your evaluation of my poor exposition.

My attachment to which you refer was just a very staccatto response to a person at inquiry on the contents of a black box.
I filled the box and compared it to the boxes of the respondents here. The way boxes are now filled is to use a standard pile of hardware and code up the operation of the hardware.

If you want better results, you look in the existing box and make changes. The mete on the output is a Sharpe ratio and a clock that shows time in the market getting the Sharpe results.

Lets look.

Pascal, et al constrains unbearably and it representts a win/lose application to a full blown continuous varying opportunity. The Sharpe is _______ and the time in the market is ______.

These two values can be determined to be of a quality that is not close to what the potential of the market offers. What is the fix?
Run parallel sharpes? Yes of course and be sure capital is used alternatively. How many? With 80 choices, just go down the list (ranked by Sharpes) and keep a little space in between or use a cross over or priority strategy.

I jacked up the math and replaced it many years ago (Google papers in the early 70's, US and Europe, principally GER and SWI) and turned to modelling (logic) and "switches". This was a direct result of learning that the market operating point migrates instead of jumps and that the migration is a result of "blocking". See the "nine" comment in this thread.

The gaming goal sets were the causal problem. Extracting the potential offered is the replacement. The most significant logical hazard is that the relationships are orthagonal and not, like Boolean folk,desire, opposites. Gaming is played with opposites and the market does not operate in opposites.

Markets exhibit many parallels to electromagnetic theory (the orthagonal relationship of electric and magnetic fileds) and in particular alternating current theory.

Radar systems used quadratics (three separate radars) to send timing signals by solving two quadratics simultanoeusly (conic sections of Pascal).

Bandwidth was a key to accuracy and Braithwaite made a lot of stuff clear.

That stuff gets left behind too as better tools come into view mathematically speaking.

So a person can build on Pascal, periodic functions of field theory, bandwidth, et al. That gets us through the 50's.

Throop and MIT guys beat Las Vegas and my records there are measured in how many times an hour they cricket to change the dealer and how pissed off others at the table get with me. I learned to be on the right side of the deck. Counting an unshuffled pile of descrete elements. Don't get carried away with anything here. This is pascal and rules intersecting and the outcome is being on the right side of the action.

Human behavior is the consideration for making money. Markets connect humans each having objectives and voting with capital.
in Blackjack I watch the cards, in poker I watch the players.

So my mathematics is just an extention of how I watch the players. An input of 6 degrees of freedom gives me a very good continuous deep look.

I need about 70 clusters of functions to "see" well enough. What I watch is "when". I can only look at NOW and the past. I watch "when" come along by regarding "migration" and "blocking" of alternatives.

Everything that is done is calibrated to human levels of action and interaction. I am always at the front of the line for executing.

I feel it is logical to always stay on the right side of the market and to extract profits by giving up the spread. This is done by using conventional logic in ways that primarily mimic what is or will be going on. I look at what is going on and what has just happened. These thre items which are symmetric about the present are the sufficient setting for the future to move to the present.

My objective is to be on the right side of the market at all times and as time passes periodically extract from the market what is bing offered. This is a high Sharpe set. For me "drawdown" is on the other side of the market.

Primarily, I use vectors for signals. Adding another dimension to a slug of info is helpful.

Three differing duration MLR's have pairs of angular velocities (divergence/convergence). It would be like the red, green and blue of InvestTools index indicator display charts. The various duration colors move about and, in concert, they have meaning for practioners. Today, they say the next pitch willlet you hit a few homeruns.

My MLR's pinwheel to tell me what to do when I am at bat. An FBO is fun to watch, for example.

My lousey post, roughly stated is not a teaching deal. It is just a way of showing how using an altenative to Pacal et al stuff gives a much much higher sharpe result and much much more time in the markets making money. A common goal of traders.

It is a paradigm that addresses continually effectivenss and efficiency of extracting the continuously changing potential that the market offers.

My being from Mars ((or outer spece, more generally speaking), you can just read the top of my posts and chuck it in the recycle bin. I am just a pragmatic person now wedded to anything and I continue to enjoy improving what I do and so it is all unbelievable until you have the software and run it.
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:eek:

Cheesy · May 22, 2006

Quote from Hombre:

The way you wrote it , it doesn't make sense. How is it possible for system to choose different outcomes when initial data are the same ?
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It chooses it's exits based on recent trading range averages and volatility. so if the average of a range has been x number of points over x number of days, it will assume that, unless there is a break out, it should go for x number of points right now.

Cheesy · May 22, 2006

Quote from jerryz:

I feel it is logical to always stay on the right side of the market and to extract profits by giving up the spread.
:eek:
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Out of everything Jerry has articulated, that quote above is the single most important aspect of any system, being on the right side of the market, it also keeps drawdowns and losses to insignificant amounts.

jerryz · May 23, 2006

wtf i didn't write that. i was quoting grob.

Quote from Cheesy:

Out of everything Jerry has articulated, that quote above is the single most important aspect of any system, being on the right side of the market, it also keeps drawdowns and losses to insignificant amounts.
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newbunch · May 23, 2006

Quote from Cheesy:

Out of everything Jerry has articulated, that quote above is the single most important aspect of any system, being on the right side of the market, it also keeps drawdowns and losses to insignificant amounts.
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"They say there are two sides to everything. But there is only one side to the stock market; and it is not the bull side or the bear side, but the right side. It took me longer to get that general principle fixed firmly in my mind than it did most of the more technical phases of the game of stock speculation." Reminiscences of a Stock Operator

Don Bright · May 23, 2006

Quote from Cheesy:

Out of everything Jerry has articulated, that quote above is the single most important aspect of any system, being on the right side of the market, it also keeps drawdowns and losses to insignificant amounts.
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Yes, it would seem that "being on the right side of the market" is the ultimate goal....let me know when someone has figured that out....LOL. Perhaps pairs traders with long/short positions.

Don

Trader666 · May 23, 2006

Quote from Grob109:

I expect to have most of my stuff public within 2 to 6 months as shareware to those committed to helping others and solving community problems with their newfound increased performance. Taker types will not be involved. This stuff works on all fractals.
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For those not familiar with your background, you've been luring the unwary with this for at least six years, possibly much longer. Why is this time any different? Automating the Hershey System

Cheesy · May 23, 2006

Quote from Don Bright:

Yes, it would seem that "being on the right side of the market" is the ultimate goal....let me know when someone has figured that out....LOL. Perhaps pairs traders with long/short positions.

Don
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It does seem ridiculous to think that you could actually figure out what side is the right side of the market after it's been said, but during the heat of the moment it just seems to happen, I can't imagine that you "DON", has made money without figuring out what side has a higher probabilty to be the right side at any given moment you enter a trade, obviously you will be statistically wrong a certain percentage of trades but nonetheless, you must figure out what side of the market to be on, Right? (no pun intended)

I talked to you on the phone once and you did tell me I would never make any money trading futures, and stocks were the only way to go, back then 2 years ago, being the young duck I was, really screwed with my head, advice like that comming from someone of your stature was not taken lightly, I thought maybe you had a point, but after I pulled my head out of my ass so I could think clearly, it turns out you were dead wrong about that, I am no DON BRIGHT yet, but I was able to quit my part time job and I can support myself and family trading futures.

You are a tough one to relate to, you seem to be pessimistic, but yet very successful?? are you really Don Bright, or is this an imposter? I did like your article on Adapt or Die, that was insightful and just from reading your commentaries you seem to have a talent to assume a nuetral mind frame for trading, I would imagine that is why you frown when people become to dependent upon 1 method, 1 way or automated systems and the like because their is not room for flexibilty or adaptibilty. But on the flip side you cannot be taking random trades? you must depend on some systematic strategy?