people who do TA have information feeds that make records of every trade and its contribution to what they are displaying on various panes. Who's platform do you lease? You may have a cheap data processing system.
Donna, your posts do clarify that it is possible to have a defined coded system for trading. I took an alternate path since I am very risk adverse. Completing as system that defines the market's operation came first. Because of this I deduced that markets have no noise, no flaws and no anomalies. If a person examining markets sees noise, he is not finished working. The same is true for anomalies and potential flaws. I feel it is very important to understand the characterisitcs of market variables. All have granularity. You built a combo of statisitcally proven edges. Statisitics has p and p must be good enough to contain a proper sample. You use risk analysis to carry on trades that got through reliable testing procedures. Surf posted a list of marginal HF's who do not have the benefits you achieve. I looked at the list in terms of annual size of results. Most represented minutes or an hour of trading. One represneted 10 days of stock trading. It must be strange to life in surf's world where making mooney is so slow and based on ill chosen mud like stats. Certainty on each bar of bar by bar analysis really always allows the full offer to be taken in any liquid market. There is so much money in the offer, no one really trades full time. Anyone who must be a full time trader is sorely handicapped.
LOL. No mystical power is needed to realize world's top markets are heavily dominated by large players anyway and small players hardly can move ES, NQ or 6E much (as examples). Having said that, I want to add that price action clearly tells when odds favor continuation in a pretty objective manner.
define what you mean in a testable format. otherwise its rhetoric designed to attract the uneducated, naive and/or willfully ignorant desperadoes. surf
So you don't believe in repeating price patterns? After all, the market is just a series of squeezes on liquidity, however you look at it. This process plays out on a chart just as it does on the DOM, and both are susceptible to being 'read' incorrectly.
I have no goal to attract anyone as I don't mentor anyone nor do I sell any educational services. Example of a testable format is say: last high is "a" if price tests it again no sooner than "b" number of bars and no later than "c" number of bars, place sell stop entry order under last completed (closed) bar if that bar has it's close equal or below it's opening. Such sort of things are what successful TA systems made from. Probably possible to automate, never tried it, because I really enjoy watching the market, my programming skills suck and consider micro management to be an additional edge. Not critical though, just additional.
No one is saying that its not possible to code a rule based system based on "contextual clues", but I believe that it must be extremely difficult. I would imagine the problem would lie in culling the logic down to a level of complexity where it is codable yet keeping the system functional and at a point where you are comfortable letting it run. Congrats Nodoji if you managed to accomplish that because I'm sure it was a tough job to get there! When I was working the energy desk on the west coast a few years back, I was lucky enough to meet a guy who did a bunch of mean reversion stuff on the side and he let me work with him once in a while... way over my head, but I did pick up enough on the programming end to get a feel for the time and effort it would take to put a quant strategy together. Difference is that type of system is black and white, either it worked or not. For example: if the system took 100 trades and they were all losers - there is no "qualifying" of trades. If the code was functioning properly, then the strategy was flawed - all trades qualified. If the code was broken, all trades were disqualified and you went back to testing. Now assume you are a manual trader working on a system, trying to determine if its viable. You take 100 trades according to various rules. 50 winners and 50 losers to breakeven. Now the subjective part comes into play and this is where I assume most get into trouble? Going back over your trades, maybe you decide all 50 losses were executed according to your rules and count them towards your statistical analysis of the system - its a scratch. Or maybe 10 of the winners were poor trades so they should be excluded - now its a loser. Lastly, maybe 10 of the losers shouldn't have been taken - now its a winner. My point is, a statistical analysis is only so scientific if the data being analyzed is being subjectively selected by an individual person. How do you guys manage to avoid sort of curve fitting your results and get your rule base to the point where you are able to automate successfully (since I see several of you have apparently done so). I would really like to have some guidance here if I ever do try and attempt it in the future. And seriously, get a grip Jack. Annual Hedge fund returns in minutes?? It used to only be 4x the daily range, now you're really getting greedy...
It depends which hedge funds are considered... http://www.elitetrader.com/vb/showthread.php?s=&threadid=257482