Here is a systematic method for asset allocation. Obviously you could add other bells and whistles such as risk parity and additional asset classes, etc. . . http://ssrn.com/abstract=962461
Admittedly I only have what you wrote to go on, but it is apparent to me that you did not understand my analogy. Thanks for the education into human nature, including your own - it is most enlightening.
Let me ask everyone on ET reading this Forum: Why did the guy who figured out his edge on blackjack by counting the cards reveal (write a book) on it? Why would he do something as stupid as that? Would seem to me, the only logical reason would be that he felt he could make more money selling the money making strategy with books than he could single handedly playing blackjack himself. Correct? Maybe that would be a reason someone would publish a proven money making edge with trading. As you can clearly see with my analogy, the card counter is well known, but card counting has become almost impossible to do nowadays. The casinos know if the count is bad they could lose money, so they do this: 1) all dealers announce "checks play" when someone makes unusually large bet which may indicate a card counter. 2) the casinos use 8 decks thus reducing the chances of the count becoming largely distorted in the card counters favor. 3) Many casinos now use auto-shufflers that completely eliminate the use of card counting. 4) Casinos bar any known card counters from their casinos! 5) Lastly, it is well known that even the group of MIT card counters had big losing streaks even playing exactly to the system, and they were also barred from the casinos.
What breaks down is your assertion that everyone will eventually move into the fast lane. While this is true on the road, it does not translate to trading, If it did, there would not be so many threads by people seeking new indicators or ways to tweak old ones. I do not know how you trade, but do you really think the majority of people here can do what you do, as you do it? Part of your edge is that you are you. By definition that does not transfer. So let them know to buy here or sell there. Tell them what cross to look for. If they don't have your internal map, they can't do as you do. If you follow Jack (as his post would imply) do you think you trade just like him? Do you believe that any difference is solely based on his superior knowledge? Sure to a small extent. But mainly, you are not Jack and cannot trade like Jack. Lastly, with more than 4 journals about Jack's method, it doesn't seem he and his followers care much about exposing a method. P.S. my first post was opinion and not an attack. Yours, however, claerly is an attack. So whose nature was really exposed?
There are some strategies that can be affected by liquidity issues, and there are others that are not. For 4 years I had an automated system that I had to keep quiet, and it was like an ATM until NYSE started making changes last year. Now I trade another even more profitable system that could probably be traded by dozens of traders without any affect on my P&L...although I wouldn't lay it out for everyone without any possible benefit. Since instinct/experience are often a big factor in a profitable strategy, others would trade it differently to match their own ability thereby eliminating most liquidity issues...
Maybe he gets a kick out of teaching people, letting others know how clever he is and enjoys writing. Anyway we all know the real pros at casinos operate an infallible system. They approach the winning high-rollers (they are easily identifiable with big piles of chips on the table in front of them) and stand next to them, watching closely, slowly revealing their charms and murmuring their approval at opportune moments. They follow the money and let someone else worry about beating the house. Their tactics are blatant but with the right preparation and talent it continues to work.
I did not assert this. The point is even if people know your edge, use your edge and thereby prevent you from using your edge as you used to then you adapt to the present conditions. It is like the difference between saying "I always change lanes 300 metres from the junction, no matter what" to "I change lanes if it is beneficial to me to do so given present conditions". Reflexivity is a cornerstone of market behaviour. This is not true on the road per se. It is an analogy, full of emotional imagery (most people drive and know the situation I'm describing), not a literal mapping. Who said it did? Do you not see any parallels in the imagery? Do you appreciate Picasso or find his paintings to be "incorrect"? This is a non-sequitur. On the contrary, there is a remarkable process of transference going on right now on this forum for those who care to do the work (and can put their egos aside for long enough). I can't control what Jack writes. (Jack can barely control what Jack writes.) Here's some more imagery: I became an expert off-piste skier in my late 20s. I know how to learn: a lot of it was observing experts but more important was the doing with constant feedback, making mistakes and carrying on. Having the right tools (fat skis) also helped in my chosen terrain. Having fun too was important. This is so far off the mark! Why not ask some questions? Listen, would you say to my face "Your analogy is incorrect." as your opening statement? No, thought not. Why? Because it comes across as arrogant and hostile. Do you not see that? How did I attack you? Again you are adding to my knowledge of human behaviour under conditions of confusion.
traderich, appreciate you sharing that strategy. I don't think you have to worry because most people couldn't backtest the top % gainers stuff and get a warm feeling about the system. Secondly, it takes nerves of steel and a lot of money to trade it. I'm gonna follow it for a couple weeks then make a decision. Sorry you don't take PM's and also closed the thread, had a couple questions, but that's cool. As for the bigger picture, I think what were really dealing with is some very serious money manipulating the market with the sole purpose of gunning stops. To me that means that the black box programs of these large accounts don't give a damn about any trading method any of us have. If I had their kind of money I would envision the ultimate blackbox with random frequencies and amplitudes to take out as many stops and little guy's as possible, very simple and effective strategy. In a couple days I'll post a fully disclosed swing trading system. I suspect most people want instant gratification and swing trading is considered lame at ET. Not sure if it will be in a Journal or this section, but I'll contribute. --jeff
Incorrect. Thorp was first and foremost a college professor. It's publish or perish in his world. Second, Thorp didn't invent card counting. A rudimentary form of it was already being used by some professional gamblers in Las Vegas since the late Fifties. Thorp found out about it, and perfected it via computer analysis, as written up in his book BEAT THE DEALER. Remember: the only places that had computers (mainframes) back then were big institutions: the military, Fortune 500 corporations and the better universities, like MIT where Thorp worked.