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THREE SET UPS
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Created: by Jeff Castille Attachments:243

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THREE SET UPS

  #791 (permalink)
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cunparis View Post

I have never seen a mechanical method that was profitable without any discretion. I do not believe such a thing exists. If it did we'd automate it and drive Ferrari's.

Your first sentence is fair based on your limited knowledge.

Your second sentence is a deduction from the first.

Your third sentence is a display of ego and arrogance.

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  #792 (permalink)
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Zoethecus View Post
Your first sentence is fair based on your limited knowledge.

Your second sentence is a deduction from the first.

Your third sentence is a display of ego and arrogance.

I would have used different words, but I do agree with the comment on the first and the second sentence.

Explanation: It is difficult to conceive profitable mechanical systems. Mechanical systems exploit repetitive behaviour. They can be exploited themselves by other systems or traders, which explains that most of them have a limited lifespan.

I do not agree with the comment on the third sentence. If we were capable of designing mechanical systems and running them, we would certainly do that and watch them working. If we don't, this points to our limited means and limited experience, which is insufficient to achieve that difficult task. I think cunparis put this sentence quite right.

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  #793 (permalink)
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cunparis View Post
............................................... I have never seen a mechanical method that was profitable without any discretion. I do not believe such a thing exists. If it did we'd automate it and drive Ferrari's.

I'm agree, I never seen a full mechanical strategy that give the same results as discretion, or that works more than some month. If it exists everyone would want to use it and the market will no longer exists. ( Or if exist such Holy Grail who has it surely want not share it).

Luke.

Take your Pips, go out and Live.
Luke.
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  #794 (permalink)
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Fat Tails View Post
I would have used different words, but I do agree with the comment on the first and the second sentence.

Explanation: It is difficult to conceive profitable mechanical systems. Mechanical systems exploit repetitive behaviour. They can be exploited themselves by other systems or traders, which explains that most of them have a limited lifespan.

I do not agree with the comment on the third sentence. If we were capable of designing mechanical systems and running them, we would certainly do that and watch them working. If we don't, this points to our limited means and limited experience, which is insufficient to achieve that difficult task. I think cunparis put this sentence quite right.

Let's agree to disagree on the third sentence.

It's hard for smart people to think others can achieve what they can't. This is where the ego takes over.

For example:

1) I have never seen a mechanical system that is consistently profitable.

2) Therefore, such a system doesn't exist.

3) For if it did, I would be rich because I'm smart.

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  #795 (permalink)
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LukeGeniol View Post
( Or if exist such Holy Grail who has it surely want not share it).

Luke.

Correct Luke.

Those who have it are not sharing nor selling it. The may lease it, but never reveal the source code.

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  #796 (permalink)
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Zoethecus View Post
Let's agree to disagree on the third sentence.

It's hard for smart people to think others can achieve what they can't. This is where the ego takes over.

For example:

1) I have never seen a mechanical system that is consistently profitable.

2) Therefore, such a system doesn't exist.

3) For if it did, I would be rich because I'm smart.

(1) Just a statement.

(2) cunparis did not say that such as system does not exist. He just stated a belief. There are other professional traders who share this belief.

(3) cunparis did not say "I", he said "we". This includes most of us, for example myself. This is not arrogance, but just common sense. If you read through the journals in this forum, I consider that he is 99% right. I believe in fat tails, which are rare events. A working mechanical system is such a rare event.

Your conclusions were a bit malicious. That is why I am answering here. I understand that you were looking for the intellectual challenge and did not want to offend anyone, or did you? .

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  #797 (permalink)
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Moderator Note
Back to the topic guys!?!


Take your Pips, go out and Live.
Luke.
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  #798 (permalink)
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LukeGeniol View Post
Moderator Note
Back to the topic guys!?!


Your comment is like an inside bar. Reduced volatility. So somebody should use this as a setup.

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  #799 (permalink)
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Back to the backtests - trading the IB range

IBs
CL 15min, enter on 1-range bars
Measure the size of the IB
Take first breakout
Target = IB size
Stop loss = IB size
Risk/Reward = 1/1
Avoid lunch
No news filters
See attached spreadsheet, CL-03 through CL-08, one sheet for each contract

Trade accordingly.

Regarding IBs in the AM vs PM, I did one small comparison on the CL-03 contract

Before lunch - 24 wins, 12 losses
After lunch - 8 wins, 5 losses

So for at least that one contract the morning only has a slightly better win rate. This hypothesis needs more testing.

Please register on futures.io to view futures trading content such as post attachment(s), image(s), and screenshot(s).

Attached Files
Register to download File Type: xlsx CL-testing-target-IB-size.xlsx (18.4 KB, 36 views)
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  #800 (permalink)
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Testing 1-2-3


Hey Shodson,

Nice work!!

Are you going to be able to add a news filter?

Also, are you going to be able to test different money management strategies?

Thanks, Jeff

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