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Mechanical trading vs. discretionary trading
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Mechanical trading vs. discretionary trading

  #71 (permalink)
Elite Member
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Lornz View Post
You are right, I used to scalp rate hikes etc. I rarely do anymore, unless there is an opportunity too big to pass up.

I was not necessarily talking about news, I was also referring to longer term directional plays based on macroeconomics and other fundamental analysis.
I held CL for about a year after I got in at around $50 in February 07. It was pretty clear it would be going up. Well, at least I thought so. China was busy acquiring strategic oil reserves, the economy was, according to the "experts" booming and you had speculators itching to create a new bubble.

The crash in 08 presented extreme opportunities where one could buy several quality stocks at an considerable discount. When I saw one of my favorite companies, Seadrill, trade in the 40's (NOK), I bought with no stop. My most profitable day of trading the ES was the day of the "Flash Crash". The idea of betting heavily when things align, is not necessarily a bad thing. It requires a completely different mindset than daytrading, though.

The Nikkei had some massive moves in the days of the tsunami, and subsequently the nuclear scare. It went down almost 2000 points, if I remember correctly.

To say that macroeconomics has no effect on the markets long-term would be erroneous. The problem is more that "the market can stay irrational longer than you can stay solvent" (Keynes).

Are you trying to imply that hundreds of millions of Chinese and Indians becoming middle class won't have an effect on finite resources?

However, I agree with you that "big money" is usually in the know, and we are not. Therefore I recommend trading what one sees.
The crux of my trading is price action, statistics and probability!

I have a background as a "professional gambler", though. Thus I tend to take advantage of situations where I find value...


Lornz,


Thanks for clearing that up, Boss. I thought you were referring to the simple news items.... I love flexing margin when things are right. I am no professional gambler though, but I know I can make a 30% return in an hour with little risk when those opportunites do arise. So I think we may be on the same thought process. Maybe it was just a nomenclature issue.

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  #72 (permalink)
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nirajkrishna View Post
I never made my first trade of any kind until march 2009. So I apparently got in like 20 minutes after the bottom was put in. I remember using part of my tax return to open my account. So I started with 2500 at most. By the end of the month I was over 10k and 2 months later.. over 25k. And now I wish I would have lost to begin my career, because I think it caused me to expect too much. But I look back at charts of the last crash and can only imagine what that was like. Wow.... I just wonder how long it takes before people stop bottom fishing. It had to be the biggest, easiest opportunity in 2 or 3 generations....

Yes, you should have started a few months earlier... There were some "unbelievable" opportunities during that crash, it really cemented my position as a trader.

But there is still a lot to come, I think oil will be particularly interesting over the next years...



nirajkrishna View Post
Lornz,


Thanks for clearing that up, Boss. I thought you were referring to the simple news items.... I love flexing margin when things are right. I am no professional gambler though, but I know I can make a 30% return in an hour with little risk when those opportunites do arise. So I think we may be on the same thought process. Maybe it was just a nomenclature issue.

Keep in mind that English is my second language... I think we are on the same page.

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  #73 (permalink)
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ProfLogic View Post
I've attached a detailed performance report covering the last year of the CL symbol. The report covers all trades during a 24 hours period. The second report covers the same period but only trades taken between 7 am and 2:30 pm EST. These results are typical but are from a single increment of just one symbol.

This is just a backtest yes? You didn't take all these trades cash?

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  #74 (permalink)
Fortitudo et Honor
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Big Mike View Post
This is just a backtest yes? You didn't take all these trades cash?

Mike

I could post similar reports, but BMG won't let me post MHTML or HTML files

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  #75 (permalink)
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RM99 View Post
I could post similar reports, but BMG won't let me post MHTML or HTML files

ZIP it. What I meant was I know it's a MultiCharts performance report exported to Excel, but the question was is it just a backtest, or did he take the trades cash. Based on the post I am quite certain not all the trades (1-year) were taken cash, so I am not sure that the post proves anything.

Mike

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  #76 (permalink)
Fortitudo et Honor
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Zipped

Attached Files
Register to download File Type: zip TradeStation Performance Report.zip (948 Bytes, 14 views)
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  #77 (permalink)
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RM99 View Post
Zipped

Didn't work, your missing some files.

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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6)
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  #78 (permalink)
Fortitudo et Honor
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Big Mike View Post
ZIP it. What I meant was I know it's a MultiCharts performance report exported to Excel, but the question was is it just a backtest, or did he take the trades cash. Based on the post I am quite certain not all the trades (1-year) were taken cash, so I am not sure that the post proves anything.

Mike

I agree, partially. Unless you've put skin in the game, then a performance report and equity curve don't hold much water.

Then again, chances are, if you can produce a nice smooth equity curve in backtest and it's not fundamentally flawed, it shows that you can probably make at least SOME money trading it forward.

I've seen some backtests that were truly divine, only to discover that they were fundamentally flawed.

A perfect example is backtesting using a trailing stop, but without looking intrabar. The backtest automatically assumes the best case scenario (i.e. that the bar went OHLC perfectly smoothly and didn't do any traveling in between). Then you backtest to discover, your perfect backtest is garbage when you look under the microscope.

That's exactly why I posted that file, because it's fairly easy to generate a divine looking strategy.

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  #79 (permalink)
Fortitudo et Honor
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Not sure if this is relevant to the original thread topic, but I'll try to tie it in.

The above posts got me thinking. So I tested it out.

Create this strategy: "Divine Strategy Presentation."

If C > O then buy next bar at market;

If C < O then sell next bar at market;

setstopcontract;

setdollartrailing(1);

Now use the strategy on the instrument of your choice (I used CL) and a larger time frame bar/candle chart (like 180 minute) and backtest with no inside bar looking.

The results will make you laugh. (essentially the backtest assumes that your trail follows to the tip of the wick and then is filled with no movement in between).

Backtest results like this are the reason that a lot of guys are skeptical of backtesting in general. Very deceiving.

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  #80 (permalink)
Membership Revoked
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Big Mike View Post
This is just a backtest yes? You didn't take all these trades cash?

Mike

I would assume so, otherwise he would be better off posting his actual statements. But you have to keep in mind that he is, or at least used to be, a vendor. His site is PricePhysics.com.

I backtested a system on the CL which produced around $250 000 yearly per contract after commissions. The MDD was around $2000. It does not work live, though.

Maybe I should post the results and sell my "system" to the unknowing public?

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