dude, you are arguing with someone who has never made a dime. That guy should keep on doing what he is doing but he clearly has zero clue about risk and money management, this is apparently clear from his comments on stops, martingales, and his latest blow, reversion.
anyone saying "markets always retrace to about the 50% level" has no business posting about how the market functions. If that were a true, always rule, then EVERYONE could wait for it to hit a near bottom/top, and wait for the 50% or so retrace and bank your profits. Yes, markets retraced after the last fall stock market collapse. But it wiped out a lot of traders while "retracing" How many people who went long while oil was over $140, got wiped out when it plunged? How many leveraged traders could hang on while it retraces 50%??? Logic 101 "There is no such thing as "always" or "never."
You are making very serious accusations against Ernest Chan, who is one of the great traders of our time. To say that a person "has never made a single cent trading", especially Ernest Chan, is a serious allegation. And where exactly is the proof that he "has never made a single cent trading"? Chan is a star. We all know that. His fame has only increased after the publication of his book, about to become the standard intro text for algo trading. "I can recommend Perry Kaufman." And why should your recommendation carry any weight? How can we trust Kaufman, someone who recommends using Moon cycles for trading? This is serious stuff. People's money are at stake. Be very careful about what you're recommending, dude.
kaufman is a serious, thorough scholar, but this moon thing is ridiculous! anyone who recommends kaufman's work MUST warn people about this. i personally prefer chan's work, chan is the best. i've read his book several times, each time i discover new layers of the meaning. ernest chan is role model for very large number of the traders!
He self confessed to never having made money for the companies he worked for. His book is a copy-and-paste of his blog. That's not a star.
Chan's book is great and his 8th chapter gives a very reasonable answer to the initial post of this thread (the chapter talks about "capacity" and other reasons why retail traders can actually do better than big firms at automated trading). Now, here's another question for Ed and Wayne, if they are still reading, but also a question for E.P.Chan's fans. I would like to know your opinion on whether it makes sense to apply to all my 33 systems the following requirement for trading real money: the overall profit of the last 10 trades must be more than zero. My hope is avoid big drawdowns and avoid using systems that have stopped working.
We overpaid for something we could have read from his blog. Admit it to yourselves: http://en.wikipedia.org/wiki/Post-purchase_rationalization
You MUST be E. Chan ;-) Whoever you are are a) who is "we". Don't make it sound as if everyone agrees with you. b) I make this serious allegation because I know people who E.Chan worked for as quant (yes, not with, but for). Perry Kaufman is an acclaimed writer and practitioner in his field, consulting with some of the largest hedge funds in the industries, the info is freely available on the net. (by the way he does not recomment moon phases as you claim, the book i referred to merely lists all TA used nowadays and there is crap such as moon phases, no shame in including it in the book, he does criticize such TA even in his book). Maybe you can name some larger funds Chan is working with and possibly some sources? c) who says Chan is a star and one of the "greatest traders of our time"? He has hardly every traded for ANY institution (he was a quant analyst) and even admitted himself he lost money almost all the time when trading his own account. You are either completely misinformed or you are Chan himself and still cannot get over the fact that you failed in the institutional environment and for whatever reason cannot move on but have an axe to grind. (by the way, this notion also becomes very apparent in Chan's book)
You are delusional. Anyone who knows Perry, knows that he is a mental lightweight, who (like Ernie Chan and many others) has never made money trading. Ernie, on the other hand, is fairly bright, at least one sigma smarter than Kaufman, probably two. Perry worked for John Deuss for quite some time. I once asked John if Perry had ever come up with an idea or system that made money. Not once, Deuss answered. You are correct about Ernie's lack of trading success (so far!), he freely admits as much. Not every quant with something valuable to say makes money trading -- c.f. Fischer Black or Espen Haug, for example.
Much of the material in the book came from the gated portion of his site, not the free blog. The gated section cost $4.95 per month prior to the publication of the book. Now it is free if you read the book, as a login/password pair is printed therein. The book is a brief introduction to the field. It is being dissed for not being something it was never intended to be.