The case for ultra-selectivity

Discussion in 'Trading' started by Ghost of Cutten, Apr 22, 2012.

  1. No, I am not a mkt-maker in the traditional sense... I am saying that because I used to be ultra-selective and concluded that it's not efficient.
     
    #21     Apr 23, 2012
  2. Fair enough ... it does depend. But it does not depend for 95% of those here on ET ... lol.

     
    #22     Apr 23, 2012
  3. I'm curious as to how far you have strayed from "ultra". In rough terms would you say you went from ultra to very or a good deal further down the pole.


     
    #23     Apr 23, 2012
  4. Ultra to very and it's been a struggle all the way. Going further down the quality spectrum is proving a little too difficult.
     
    #24     Apr 23, 2012
  5. etile

    etile

    Go for the doubles to tithe you over until the fat pitch comes. The doubles keep you in the game. The home-runs make you a winner.
     
    #25     Apr 23, 2012
  6. Not holding overnight means that I am going for more singles than even doubles. For me the fat pitch has more to do with finding trades that generate a high enough W/L ratio in addition to the expectancy so that I can be comfortable increasing size.

    Lots of this stuff relates to personality. some guys could be comfortable with a 25% win rate to generate the expectancy they need. I have found out that waiting to long between winning trades makes me uncomfortable even when I know intellectually that it is all part of the plan. I need a different plan.

     
    #26     Apr 23, 2012
  7. Wouldn't it be optimal to allocate more size to the higher Sharpe strategy? CAGR to max DD is after all the main measure of trading performance. The only way I can see this not being possible is if you run out of liquidity in the high Sharpe strategies. If you have too much size and not enough opportunity, then yes I agree you need to be less picky almost by definition.
     
    #27     Jun 21, 2012
  8. Poker analogies are rarely correct on anything other than the most simple and trivial truths, because trading is meaningfully different to poker. In fact, analogies have no logical validity whatsoever, they are only useful as blunt tools to explain to people who don't understand the subject at hand (e.g. non-traders, novices). For some reason people seem to love arguing by analogy, I guess it saves having to write down a proper explanation. But, the market doesn't reward those with the cutest analogy, it rewards those with the most accurate model of the nature of future market behaviour.
     
    #28     Jun 21, 2012
  9. Bad analogy. In baseball, 3 strikes and you're out. Not in trading, rather the opposite - 'doubles' are much more likely to turn into bad trades, which are the type that strike you out.

    People really need to stop with the sport & game analogies.
     
    #29     Jun 21, 2012
  10. That's why I described a certain type of trading in the initial post, I assumed it would be obvious I wasn't talking about market-making, HFT, daytrading and other approaches where you just grind out an edge.
     
    #30     Jun 21, 2012