commodity futures, index futures, stock sector etfs, spot fx and/or options, short rates, 10 year/30 year bond futures. Its more macro driven rather than limited to stock baskets because the diversification effects are higher.
I dont curve fit anything. And the reduction factor is not a function of whether I am long or short but a function of how long the the trend has already lasted and also a function of the velocity/strength of the trend. I reduce the more I have already extracted from the move, which obviously does not mean anything about how long the trend may continue. I am fully aware that I often exit prematurely, but this is where I found my risk/reward to be the most favorable. The rotation comes into play when exchanging names that have made money and when the strength of the trend exhausts itself. The system cuts losers early on, purely as a function of p&l. This is part of one of my systems I run automatically and it works for me, but its a medium-term system, average holding period on US equities was until recently 22 days. Currently we came out of basing period and thats where I overrode the system to take smaller sized positions. Its very hard (to impossible) for an automated system to anticipate basing and reversals and thus I dont call my system "fully"automated. Hope it helps..
Goodness gracious, gentlemen. Why don't you just have a trading contest and settle this? I only trade FX in the short-term, and don't have a dog in this fight, so I don't have much interest in competing. However, a 4-6 week ES day trading contest would prove or disprove methodologies better than all this bickering, no?
Oh believe me, I do. Though I get sometimes carried away when I hear people who argue out of their stomach and have nothing to show for other than emotions or snake oil which surely does not work. As soon as I hear the term "fractal", "neuronal networks", and other funny terms I know it stinks, I have just worked too long in the markets to believe in this crap.
And that from ET's biggest slimiest cockroach! How's the brain transplant going, still on the waiting list I see. Why is it that when I hear "FrothLogic" I think of the words "Pathological Liar, Charlatan, Fraud, Crook, BS artist..."? I wonder?
LOL, "neuronal" !!! Always worth a laugh. I'm still waiting for some schlep to tell us how his/her "neurotic networks" are making a killing! And yes, "fractal" is another one these epsilon-semi-morons use with abandon. Surely they can do better than that, I mean with their Nobel prize level work and all that. How about "Sobolev space" or "Symplectic manifold"? Unfortunately ET is a magnet for these muppets and charlatans peddling (in many cases posing as stealth vendors) their two-bit wares to the stupid wackos who are ready to believe. The alarming bit is the "cult/disciple" like behaviour with some of these phuckwitts.
At any time, somethings are trending and some consolidating. Simply looking at charts will tell you which for the time scale you are interested in. Where you can get balled up is at those points where, say, a consolidation moves to trending or vice versa. For the past few weeks the broader market (S&P) has been consolidating with large amplitude (high volatility) on low volume. These are characteristics of a summertime indecisive market that can eventually break out of the consolidation in either direction. One also should discount events during expiration week as being less reliable indicators of market sentiment. Currently, if you are trading the broader market, as opposed to individual issues, you will find it most productive to fade market extremes. When that stops working it will be because the market has decided to move higher or lower out of its consolidation band. P.S. Thank you, Asiaprop, for saying what needed to be said.
You've never heard me be a proponent of fractals or "neural networks" in trading so why attack me? Is it I'm using terms you aren't unfamiliar with? Why not simply validate what the terms meaning instead of summarily dismissing them as "funny terms". I would imagine most terms describing cancer treatment would fall into your category as "funny terms" too huh?
Why do you ass-ume he is referring to yourself? Clearly you missed the joke as he used the term "neuronal" and not "neural" (which is what is should be). Maybe a smiley was required for those bereft of humour.