trend following delusion shattered

NickelScalper · Mar 22, 2005

Quote from hanseng1:

First, it's not a system, it is an entry; there is a difference.

Second, it gives, on average, $150 before commissions and slippage. Notice I said on average. It makes no predictions. It does similarly well in energies and the ER2. Again, these are simple statistics from entry research; this is not a system (though I have one developed and trading using the same premise).

Third, I really don't feel too compelled to post all of my trades here in real time. What is the point? Should I give away the major points to a system on which I spent about 6-10 hours a day, 6 days per week, for about 1.5 months? Not gonna happen. I've read those type threads; why should I spend my time posting my rules with entries and exits before the trades (for about 8 different markets, no less...)? I don't feel to compelled to spend a large amount of time to hear a bunch of people telling me that I posted an entry after the fill, or any of a number of other issues. I'll keep my trade log at home, thanks.

By the way, I'm sure you're going to get a similar response from others who have put a great deal of time and effort into their systems. I noticed you kept your own journal up for about 10 days. You want to post here in real time as well?
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There's no need to reveal secrets. Any system would do. Not your best, not even your second best. Anything that demonstrates the possibility of price trend trading. Anything.

I stopped posting to that journal thread because it didn't make sense with a ping delay, inaccurate ET clock, etc.

5yrtrader · Mar 22, 2005

Quote from TSGannGalt:

In what terms are you talking about, to conclude that it works?

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it made decent profits over a 5 yr period max Drawdown was under 30% and sharpe ratio was about 1.5. Better than 90% of traders out there

TSGannGalt · Mar 22, 2005

Quote from 5yrtrader:

it made decent profits over a 5 yr period max Drawdown was under 30% and sharpe ratio was about 1.5. Better than 90% of traders out there
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So that proves trends exist?

ROFL...

Grob109 · Mar 22, 2005

Quote from hanseng1:

First, it's not a system, it is an entry; there is a difference.

Second, it gives, on average, $150 before commissions and slippage. Notice I said on average. It makes no predictions. It does similarly well in energies and the ER2. Again, these are simple statistics from entry research; this is not a system (though I have one developed and trading using the same premise).

Third, I really don't feel too compelled to post all of my trades here in real time. What is the point? Should I give away the major points to a system on which I spent about 6-10 hours a day, 6 days per week, for about 1.5 months? Not gonna happen. I've read those type threads; why should I spend my time posting my rules with entries and exits before the trades (for about 8 different markets, no less...)? I don't feel to compelled to spend a large amount of time to hear a bunch of people telling me that I posted an entry after the fill, or any of a number of other issues. I'll keep my trade log at home, thanks.

By the way, I'm sure you're going to get a similar response from others who have put a great deal of time and effort into their systems. I noticed you kept your own journal up for about 10 days. You want to post here in real time as well?
More...

To make it easy for nickel, he may want to go to a place like Bull.... and read posts for a given equity. I had a friend who suggested I post there on a stock he held (about a million bucks@ 20 bucks a share; I don't know how many shares*). I watched it for a day and set up a chart (real time). The next day, I posted about 30 times to take him out at max then in at min and hold to close. The values were 22, 11 and 16. He improved his position somewhat. For nickel the d's I used were 2, -11 and 5. I just used monitoring to go out at 22, wait for 11 and have him enter then and then hold to 16. To make it work for him I posted about 5 to 10 minutes before the market. He traded in 5k lots for partial fills (through a broker).

Nickel has a ping and clock problem. By posting 5 to 10 minutes ahead this might relieve his problem. If anyone shows him a system and posts ahead of time for him he may catch on to some new possibilities.

* I forgot the maths for figuring it out.

ProfLogic · Mar 22, 2005

Quote from NickelScalper:

Any system of trading must be capable of determining a sufficiently large (positive or negative) d, which is the difference between present price and a price to be marketable in the near future. The value of d is generated by the system in real time, and then the trader decides whether or not that d is of sufficient size to warrant a trade. If a system is incapable of generating a large enough d, or if it gives a wrong d too often, that system is bogus.

This variable d is also in the challenge question, which is repeated for purposes of reference:

What is a reliable method that can be applied to past price action to determine a usefully large positive or negative number d such that (p1-p0)>=d, where p0 is the current market price and p1 will be a marketable price in the near future?

I'm looking for an answer to be posted here in plain text form. The proof of the answer is also to be posted here, as real time trading calls that specify on what basis the proposed method is being invoked.

It's high time for someone to step up to the plate, swing and follow through.
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Asked . . . answered . . . ignored. Now you have added a Challenge to it . Cool put the money up and I'm there.

ProfLogic · Mar 22, 2005

Quote from hank rollins:

underneath myself? my opinion echos those of the finest minds in academia and the business itself.

in addition, my own unbiased extensive research into this topic bares the validity of the view.
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Clarification: "finest" (old refuse to acknowledge new theories & proofs) "minds in academia and the business itself."

Clarification: "my own (statistically based and highly biased) "unbiased" (extremely limited) "extensive research into this topic bares the validity of the view."

ProfLogic · Mar 22, 2005

Quote from NickelScalper:

All the "trendies" need to do is describe and then demonstrate a system where future price can be determined from past price. They could settle this issue once and for all by the weekend.

Yet, not a single appropriate demonstration has been made, and the challenge continues to go unmet.
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Ask . . . answered . . . ignored. Sorry, English is my first and only language. If you want I could get my 1st year college students to put it in terms you might be familiar with.

hank rollins · Mar 22, 2005

Quote from 5yrtrader:

What was wrong with the results? It was a simple system to show that trendfollowing works, which I beilieve it did.
5yr
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no offense meant...... just seeking an opinion from an actual known system trader, builder---ganngalt or whatever his name is this week.

NickelScalper · Mar 22, 2005

Quote from ProfLogic:

Ask . . . answered . . . ignored. Sorry, English is my first and only language. If you want I could get my 1st year college students to put it in terms you might be familiar with.
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That hostile attitude must be getting monotonous.

Why don't you mix it up a little?

ProfLogic · Mar 22, 2005

Quote from NickelScalper:

There's no need to reveal secrets. Any system would do. Not your best, not even your second best. Anything that demonstrates the possibility of price trend trading. Anything.

I stopped posting to that journal thread because it didn't make sense with a ping delay, inaccurate ET clock, etc.
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Asked . . . answered . . . ignored. Now you start to whine too? I'm impressed.