Yes, it's in her street smart book but also pretty much free on her website. You mean Larry Connors' vix... Thanks for reminding me. At this point I have not done anything with it.
I also want to say the 60% accuracy is actually way BELOW what I heard from other people so you have to take everything with a grain of salt. I learned my setup from a friend (a techie from MIT) and now I wonder how he tested it then again the market changes.
Marty, I know this isn't the Holy Grail, but instead Linda's Short Skirt trade. From her website: Patterns, Set-ups, Analysis What is the Short Skirt Trade? A SHORT SKIRT is a quick scalp trade made in the direction of the short-term trend. The setup occurs after the S&P has made a sharp "impulse" move. The pattern tends to look like a continuation flag on a 1-minute chart. We call it a "Short Skirt" because the trade usually lasts between 3 - 10 minutes. The concept is - "quick in and quick out without getting caught." We try to look for Short Skirt setups that have the potential for a minimum of three points in the trade. This is to allow for a minimum of ? point slippage in and ? point slippage out. A 3-point STOP is placed from the trade entry price. The objective for the trade is a retest of the previous wing high or low, even though the market often makes a new leg up or down. Our mechanical system that we run on Trade Station has a win/loss ratio of 66%. However, through proprietary volatility filters and some basic pattern recognition, our real time track record for the past three years in our online trading room, as documented by the room members, has been 90%. http://www.lbrgroup.com/index.asp?page=FAQ This is the only one I've seen her test results on, although I'm not surprised that the Grail trades are testing to about the same percentage, as they are similar in their 'retracement' entries. These agree closely with the various tests I've done on those types of systems over the years. I also agree based on experience that basic pattern recognition, etc. can be very helpful.
That's what I heard 80-90% from people. I just cannot get anything close to that kind of number in testing. I do agree volatility filter helps and have yet to test with any pattern recognition but 90%??? (Of course, Linda is a great trader.) Do you find problem in profitability on the long side in testing for recent years? Thanks.
Hi Dave, Actually I can get the accuracy way up but either it is not tradeable (too much open risks) or it doesn't generate enough opportunities... and I start to wonder if it is worth it. Just want to double check the result of the long side with you... I always wonder about the asymmetric performance for the past three years... maybe I have a bug. Regards, William
Hi William, I actually haven't tested it in a while, but the approach is the underpinning of my trading style. Of course, I trade only index futures which seem to have better 'snap' on retracements than do equities. In my actual results, I haven't seen a discernable difference between the long and short sides, although I believe that most of the difference is made in the upside of the 65%--that is the discretionary piece. Fortunately... <grin> sometimes it does and other times it doesn't cover a lot of deficiencies and irregularities.
Thanks for the insights. I am gonna try a few more things on the same theme... Still scratching my head about the asymmetric result.
I have just tested two emini intraday strategies on Larry Connor's tradingmarkets website using the past three years data on YM 5 min assuming $2.50 per trade one contract. These are discretionary strategies and I have to make some assumptions on how to exit a trade such as absolute profit taking or twice the risks etc so the computer results might not be representative to the actual results: The first strategy is an intraday strategy use 3 period RSI to identify overbought and oversold condition during a pullback on a trend (20 period moving average). It is basically a money loser for the past three years but if I enforce the overbought/oversold being at the same times as the trigger condition, it does make a couple of hundred bucks because it does not generate a lot of trades. The second strategy is the Senters squeeze (by Hubert Senters) using crossover between the fast Bollinger Band and slow Keltner channel to identify volatility expansion and take the trades in the direction of the momentum. It loses some money even though Hubert seems friendly enough and serious in helping people to understand his stuff and trading in general. Is it possible to trade them profitably? Maybe but I know I probably can't. Again, there could be bugs in my programs and certainly I made some assumptions in order to test these discretionary strategies. I have nothing against tradingmarkets.com in fact I test their stuff because I am their customer and enjoyed many of their educational materials whenever I can get them cheap. My point is you should get your hands dirty and do the testing yourself especially when even good systems can blow up.
This somewhat summarizes my trading experience up to this point: 1) No amount of disciplines can help me if I am trading a losing strategy. I took a little time to test a few intraday discretionary trading strategies on the market and most of the results looks pretty bad in my opinions even though their premises seem sounded! 2) Without doing the backtesting and forward testing, I might have the wrong type of expectations as to how the strategy should behave over time. I would interfere with the process by trying to "improve" the system with extraneous efforts due to insecurity. "Freedom from hope and fear" is the natural state difficult to maintain. I think at least I should shoot for the "proper" hopes and fears in my trading in which the statistical information about my trading systems can be helpful in filling the void. 3) I should get rid of the compulsory gambling elements in my trading. Is it worth to sacrifice sanity for imaginary wins? I love using this checklist to evaluate the gambling-ness of my trading program: http://www.gamblersanonymous.org/20questions.html 4) I have to leverage my strengths and manage my weaknesses. There is a Chinese proverb "To increase success, one should sharpen the tool before the task." I have to redesign my trading program in such a way that I can leverage my strengths and avoid my weaknesses.
Marty, I think you are touching upon a very deep area of trading, IMHO. Six or seven years ago, I was a pure systematic trader. Since then I've faced and explored many of the issues that you are raising. As I had been an active trader since '94, I figured I had a pretty good sense of it all. How wrong I was.... That whole side of trading is truly fascinating. Coming from a systems perspective I was indeed a total newbie. Fears, freeze, reaction, elation, etc. were all new things to deal with. Trading did often feel much like gambling-being so new to this aspect, I felt a bit out of control and less certain of my trading. I had to be careful to separate my underlying knowledge and sense of market behaviour, which was pretty well developed, with these new, unfamiliar feelings. Working on these, and it is a continual work in process, has been profoundly satisfying, not only for my trading, but also from a personal perspective. In many ways, trading forces me to face a lot of less-desireable aspects of my personality and psyche. Understanding, managing, and sometimes mastering some of these has been powerfully liberating. I feel that the markets are offering me more than money. Consider that sometimes weaknesses are merely undeveloped strengths.