Ok so the idea is to sell and buy right around the current price as long as the market is undecided ... the main concpet is to cancel all teh positions and to exit ass soon as there is any signal that the market is exiting its channel ..... he was trading with lots of 10 ....
there was nothing more interesting he says during this video
You know what you know but you do not know what you do not know.
You do not see things how they are, you see things how you are.
In life you do what you want but you do not want what you want.
have read the document you posted. The authors claim that mean reversion strategies beat trend following strategies. Their model relies on 1-minute-data for stocks traded at the Shanghai Stock Exchange.
No word about fills/slippage or transaction costs. No filters used for trend following. No details given on their methodology. I believe that those guys have been contaminated by main-stream economists, creating models that have not been verified empirically, that is not yet actually traded under different market conditions.
Last edited by Fat Tails; April 27th, 2010 at 11:21 AM.
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Been there. If you can find a market that moves sideways and be preparded to hang onto the trade long enough, then you might have something. But you need the right market and enough equity in your account to handle the open position(s). This is a thinking outside of the box type of trading.
Otherwise maybe looking at buying/selling when price moves a certain percentage into a volatility band of some sort (and then maybe turns around a certain amount). But I'de back test it carefully first and many instruments.
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I just found this thread thanks to gabga. Very interesting. I agree with the others you're not missing anything in the French. He's just saying how easy it is.
He wouldn't get those fills with a real account so that's the first hurdle. and if he can make $5k in 6 minutes he would have been trading a real account. He didn't cause it wouldn't work.
Now if you think about this strategy, he's simply selling the unfair lows and buying the unfair highs. This is the essence of trading any trading range. His range just happens to be 1 or 2 ticks!
So the concept is good just not possible in such a tight range IMHO. But if you're interested in the technique look for trading ranges a bit larger (a point or two) and give it a try on sim.
Speaking of realistic sim fills, anyone have any comparison with ninja fills on sim to real? I notice that on sim i usually don't get filled until price ticks up past my limit, but sometimes if it stalls long enough at my price it'll fill. I don't know if ninja is evaluating my place in the queue or not. I've always been curious about that. i think he had his simulator set to "fill if touched" which never happens with ES.
It's amazing how someone can make a video and get tons of publicity. Time to start working on my video. I figure if this strategy works 1 in 20 times I just make 20 videos, 19 will show me losing $20k and one video will show me making $5k and that's the one I post to you tube.
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