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Webinar: The Quantitative Discretionary Trader - Art and Science w/Adam Grimes
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Webinar: The Quantitative Discretionary Trader - Art and Science w/Adam Grimes

  #121 (permalink)
Market Wizard
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Big Mike View Post
I believe the point is Adam (and others) have done statistical analysis and documented their process, basically proving their theory.

What have you done to disprove their theory, and prove yours?

Mike

I have been building and testing strategies for about 1-1/2 years now. Not much of a track record compared to others, so I am certainly aware of that. But you have to start somewhere. I am trying to do my own thing, and am trying to bend price with momentum and trend to see if I can generate a mechanical system for short-term intraday trading.

I can certainly take the time to document the reversals at previous market profile levels, VAH/VAL/POC/VWAP and document this for the crude market during the past six months or year. The problem I have with back testing is market context. A strategy that works or back tested during a huge down trend (August - December) will not work in a ranging market (Jan - March). For example. But I do believe the algos are tied to these levels, at least on a short-term intraday level, so it would be a good exercise for me to go back and see when these reversals occurred, and how much of an intraday move was generated from them.

I think Adam's work is great. I am here to learn. And especially would like to turn my learning into a profitable way of life.

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  #122 (permalink)
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Big Mike View Post
I believe the point is Adam (and others) have done statistical analysis and documented their process, basically proving their theory.

What have you done to disprove their theory, and prove yours?

Mike

By viewing the markets through the lens of an understanding of Auction Market Theory principals i can not agree with his results. As a discretionary trader i give very little faith to these statistics. I prefer to trade what MAKES SENSE. Think about it, If you believe that all lines are created equal because some authority says so then you can not subscribe to the idea that the markets behaves like an auction. An auction implies extreme price levels that attract sellers or buyers because of their meaning in terms of value.

What have you done to disprove the markets act like a big auction?

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  #123 (permalink)
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jlwade123 View Post
My example was from yesterday in crude. A very real world, every day trading example that the algos are tied to VAH/VAL/POC, especially the globex and previous RTH session values. Just like I see price reverse at VWAP and VWAP standard deviation bands for short term intraday moves. I am not suggesting that a price bouncing at a level creates a singular trading system. But these reversals can often cause a 100 tick move in crude. You just never know.

My methodology makes extensive use of some of these same "landmarks," and I use context as an edge; for example, on some days a val/vah or a vwap make great points of reference, on other days I completely ignore these.

But the point here is that you have not quantified anything. You've given one example, and for every one time it works, you can find more where it does not. You have seen it, yes. But you have not quantified it. And that's just it--quantifying forces us to look at facts and data; without some measure of that, our brains will play all sorts of games, and our natural cognitive biases can take over (the hindsight bias is a particularly common one in this business).

For example, without ever having written an automated trading system, or even seeing code that a large trading entity controlling millions of dollars would use, you have attributed the cause of the two reversals on your crude chart to "algos." It's not that there were no algos trading at those points; but it's just that you have no facts or data to support the claim.

So it goes; people see something happen, they see it happen again later, and they then draw a conclusion. Most of them skip, however, any fact-finding, testing, or analysis of actual data.

So I'll reiterate just to be very clear--I'm not claiming you're wrong. But you have given no quantitative basis to show you're right.

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  #124 (permalink)
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trendisyourfriend View Post
What have you done to disprove the markets act like a big auction?

I'll remind you, my view is there are fundamental reasons for going from Point "A" to Point "D". What happens in between, points B and C for instance, is largely a random walk. I do believe the market performs as an auction, I do believe the market is fundamentally driven, and I do believe the market has emotional reactions (its participants are driven by fear and greed).

Each of these scenarios can be "predicted behavior" to a certain extent, allowing one to formulate an edge.

I also believe that the smaller time frame you trade, the more random noise you trade, and the more you remove any of the above (the real auction process, the fundamental news driving the market). There is a discernible pattern of behavior on futures.io (formerly BMT) where the majority of the smaller retail participants are focused on tiny charts and lots of indicators, which is why they also largely fail.

Mike

Due to time constraints, please do not PM me if your question can be resolved or answered on the forum.

Need help?
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4) Accept responsibility for your actions. Stop looking elsewhere to explain away poor performance.
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  #125 (permalink)
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trendisyourfriend View Post
What have you done to disprove the markets act like a big auction?

As one of the biggest proponents of auction theory for years on this site, hopefully you understand I'm playing devil's advocate and that I'm not arguing for any side here.

No one is arguing that XYZ doesn't work (amt, ma's, fibs, etc). It's simply been stated that without a quantitative approach to back claims that price movements are non-random, that such claims are nothing more than claims.

As is so often the case in markets, what "makes sense" is not what actually happens. So while it is very good to have a logical ("makes sense") approach, that in no way guarantees that this approach will yield anything but random results.

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  #126 (permalink)
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josh View Post
No one is arguing that XYZ doesn't work (amt, ma's, fibs, etc).

I would argue they don't provide an edge. They work, they don't work. It's a coin flip. I believe everyone knows that to be the truth deep down, which is why they add "filters". More filters to give them more information (they think) and weed out the bad signals/trades. It doesn't work.


josh View Post
As one of the biggest proponents of auction theory for years on this site

Auction theory makes a lot of sense. I also think VWAP with simple +/- 2 SD makes a lot of sense. But there is danger in both of them, if you assign too much weight to them and give them properties they simply do not posses. I really love the work that FT71 does in the industry and have a huge amount of respect for his work, but he seems to have an explanation for every single turn and twist in the market which he can explain away on his chart using some sort of auction theory.

This is where he and I greatly disagree, and I also think this is where the danger lies. A lot of traders are lured in by these explanations. It feels good to be able to explain everything. I think that is a false sense of security. While FT71 is a good trader, I believe he is in spite of some of his tools, not because of them. I don't mean to shit on FT71 so please understand -- he is firmly rooted in sound principal, statistics, and risk analysis. My point is that I think he leans towards assigning properties to certain values on a chart when they simply don't mean as much as he thinks they do.

And that is a tempting thing for a huge number of far less experienced traders. If you start assigning too much weight to certain tools, you can talk yourself out of a good trade, or in to a bad one.

That happens with everyone, but I would encourage everyone to try and draw conclusions from a more simplistic and larger time frame fundamentally driven reasoning/approach, and fill in the gaps (intraday moves) with simple 'pullback' math/equations which could also be said "searching for value".

I've seen countless times where people won't enter a trade because they have a rule that prohibits them from doing so. Countless times people are afraid to buy a market that has already moved up. I've been there, done that, myself. I've tried to dispose of as many of those rules or "bullshit axioms" ( wink @tigertrader ) as possible over the years, and I find it helps tremendously if you take a step back and look at what the larger participants are trying to do in the much bigger picture.

I guess my whole point is, trade a big enough time frame where you give your trade a chance to work. Admit you do not have perfect foresight, and therefore you need to scale in, and out. Buy retracements. If you focus your energy on simply understanding what the market is trying to do on a bigger picture (weekly/quarterly, etc) then the rest is far simpler. Don't tie your hands behind your back with "random" lines on a chart that odds are have no better than 50/50 odds.

Mike

Due to time constraints, please do not PM me if your question can be resolved or answered on the forum.

Need help?
1) Stop changing things. No new indicators, charts, or methods. Be consistent with what is in front of you first.
2) Start a journal and post to it daily with the trades you made to show your strengths and weaknesses.
3) Set goals for yourself to reach daily. Make them about how you trade, not how much money you make.
4) Accept responsibility for your actions. Stop looking elsewhere to explain away poor performance.
5) Where to start as a trader? Watch this webinar and read this thread for hundreds of questions and answers.
6)
Help using the forum? Watch this video to learn general tips on using the site.

If you want
to support our community, become an Elite Member.

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  #127 (permalink)
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josh View Post
My methodology makes extensive use of some of these same "landmarks," and I use context as an edge; for example, on some days a val/vah or a vwap make great points of reference, on other days I completely ignore these.

But the point here is that you have not quantified anything. You've given one example, and for every one time it works, you can find more where it does not. You have seen it, yes. But you have not quantified it. And that's just it--quantifying forces us to look at facts and data; without some measure of that, our brains will play all sorts of games, and our natural cognitive biases can take over (the hindsight bias is a particularly common one in this business).

For example, without ever having written an automated trading system, or even seeing code that a large trading entity controlling millions of dollars would use, you have attributed the cause of the two reversals on your crude chart to "algos." It's not that there were no algos trading at those points; but it's just that you have no facts or data to support the claim.

So it goes; people see something happen, they see it happen again later, and they then draw a conclusion. Most of them skip, however, any fact-finding, testing, or analysis of actual data.

So I'll reiterate just to be very clear--I'm not claiming you're wrong. But you have given no quantitative basis to show you're right.

I think you guys are picking on me and I don't know why. I said at the very beginning of my first post that it was my emperical experience. I have been developing trading strategies for over a year and a half. I am no expert. But I know what I see when I trade and I have been trading for money - not sim - for several years. I came to futures.io (formerly BMT) to learn. I have said that over and over. But there is no support here from the top guys on the forum. There is just bickering.

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  #128 (permalink)
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jlwade123 View Post
I think you guys are picking on me and I don't know why.

Don't take it personally. I think you are drawing attention because you basically said you disagree with Adam, and you believe in your own results, but you haven't provided any type of research or proof that your results have any meaning. Adam has.

It's just a discussion.

Personally, I only spend time replying because I try to help. I am not here to piss anyone off. I am just trying to help. Anyone is free to discount my posts or my trading style, but I've spent significant time trying to demonstrate my results so people can reach their own conclusions based on facts regarding my own trading, and when comparing those results to their own they might find a little insight or something of value.

Mike

Due to time constraints, please do not PM me if your question can be resolved or answered on the forum.

Need help?
1) Stop changing things. No new indicators, charts, or methods. Be consistent with what is in front of you first.
2) Start a journal and post to it daily with the trades you made to show your strengths and weaknesses.
3) Set goals for yourself to reach daily. Make them about how you trade, not how much money you make.
4) Accept responsibility for your actions. Stop looking elsewhere to explain away poor performance.
5) Where to start as a trader? Watch this webinar and read this thread for hundreds of questions and answers.
6)
Help using the forum? Watch this video to learn general tips on using the site.

If you want
to support our community, become an Elite Member.

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  #129 (permalink)
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jlwade123 View Post
there is no support here from the top guys on the forum. There is just bickering.

I would never classify it as bickering, but apologize nonetheless. If you view the "top guys" as against your beliefs, then that might at least give you reason for a slight pause. There may be a possibility they have more experience that would tend to lead them to different conclusions.

At the end of the day, if you (or anyone reading) is making money, then you've already beaten the odds. My posts are really not aimed at anyone making money, but rather the overwhelming majority of those that aren't.

Mike

Due to time constraints, please do not PM me if your question can be resolved or answered on the forum.

Need help?
1) Stop changing things. No new indicators, charts, or methods. Be consistent with what is in front of you first.
2) Start a journal and post to it daily with the trades you made to show your strengths and weaknesses.
3) Set goals for yourself to reach daily. Make them about how you trade, not how much money you make.
4) Accept responsibility for your actions. Stop looking elsewhere to explain away poor performance.
5) Where to start as a trader? Watch this webinar and read this thread for hundreds of questions and answers.
6)
Help using the forum? Watch this video to learn general tips on using the site.

If you want
to support our community, become an Elite Member.

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  #130 (permalink)
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I'd also like to say that people evolve with time. I have countless posts on futures.io (formerly BMT) that I would love to delete because they are embarrassingly wrong and misguided. Thankfully most of them are many years old and mostly buried.

At the time, I felt they weren't misguided obviously. Now I do. This tells us that people continue to evolve and gain experience.

I think you could look into your own trading history and find examples where you used to believe something wholeheartedly, but no longer do today, having proven yourself to be incorrect. Once you prove to yourself that a previous notion was flat wrong, you really gain a lot.

I think it best for me to bow out of this thread for now. It seems my posts upset a lot of people, and my goal is not to win an argument. At some point it is not worth my time to continue.

Mike

Due to time constraints, please do not PM me if your question can be resolved or answered on the forum.

Need help?
1) Stop changing things. No new indicators, charts, or methods. Be consistent with what is in front of you first.
2) Start a journal and post to it daily with the trades you made to show your strengths and weaknesses.
3) Set goals for yourself to reach daily. Make them about how you trade, not how much money you make.
4) Accept responsibility for your actions. Stop looking elsewhere to explain away poor performance.
5) Where to start as a trader? Watch this webinar and read this thread for hundreds of questions and answers.
6)
Help using the forum? Watch this video to learn general tips on using the site.

If you want
to support our community, become an Elite Member.

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