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KJ Trading Systems Kevin Davey - Ask Me Anything (AMA)


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KJ Trading Systems Kevin Davey - Ask Me Anything (AMA)

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  #101 (permalink)
Market Wizard
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FABRICATORX View Post
Thank you Kevin @kevinkdog for your time.

I am very novice. I have a managed acct with an algo trader (5 years now), and have been interested for some time. Now I have the career that gives me the time to make this a hobby. The owner of the algo shop has been a mentor for me, so while my learning has been very succinct (cutting out BS) I am still in the early stages.

I have a background in cognitive psychology (hobby, not professionally) and know that we can't be trusted to be consistent, so algo has been my focus.

I'm in the reading phase, and have been devouring your blog and others. I have most of the books you mentioned on your site on my list, but haven't pulled the trigger on yours yet. Those 1 star reviews have quite the effect, being that we're innately risk averse lol. After speaking with you, however, I will download soon.

I will look at the SF program in the next year.

Thanks for being awesome. You're a family man and I'm proud of you for keeping your family in focus. Good work

Thanks for the kind words. If you are happy with the managed acct, and the person running it wants to be your mentor, I would pursue that route big time. Nothing beats someone to guide you through the trading morass...

On another note, glad you decided to ignore the few 1 star reviews of my book. There are people out there who would give 1 star to a book that had $50 bills in between each page. These folks probably also give 1 stars to folks like Pardo and Kauffman, and those guys are legends...

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  #102 (permalink)
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kevinkdog View Post
On another note, glad you decided to ignore the few 1 star reviews of my book. There are people out there who would give 1 star to a book that had $50 bills in between each page. These folks probably also give 1 stars to folks like Pardo and Kauffman, and those guys are legends...

I can certainly attest to Kevin's book being excellent. I purchased it two weeks ago and finished it in one weekend, I just didn't want to put it down (while taking lots of notes). I will certainly read it again sometime.

The only thing I disagree with is Monte Carlo analysis. However that has nothing to do with the quality of Kevin's book. It is just me not agreeing with the value of Monte Carlo. Kevin, i've been meaning to pop you a pm sometime to hear your thoughts on why I do not think it has any real value. I would like to hear your take after hearing my reasoning.


kevinkdog View Post
By the way, if you order my book, shoot me an e-mail with the order confirmation. I'll give you 5 bonus reports free, as part of the 1st anniversary of the book release.

Kevin, does this just apply to new purchases going forward,...or could I shoot you an email with my order confirmation from a couple weeks ago?

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  #103 (permalink)
Market Wizard
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DarkPoolTrading View Post
I can certainly attest to Kevin's book being excellent. I purchased it two weeks ago and finished it in one weekend, I just didn't want to put it down (while taking lots of notes). I will certainly read it again sometime.

The only thing I disagree with is Monte Carlo analysis. However that has nothing to do with the quality of Kevin's book. It is just me not agreeing with the value of Monte Carlo. Kevin, i've been meaning to pop you a pm sometime to hear your thoughts on why I do not think it has any real value. I would like to hear your take after hearing my reasoning.



Kevin, does this just apply to new purchases going forward,...or could I shoot you an email with my order confirmation from a couple weeks ago?

Check your PM.

Thanks!

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  #104 (permalink)
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DarkPoolTrading View Post
I can certainly attest to Kevin's book being excellent. I purchased it two weeks ago and finished it in one weekend, I just didn't want to put it down (while taking lots of notes). I will certainly read it again sometime.

The only thing I disagree with is Monte Carlo analysis. However that has nothing to do with the quality of Kevin's book. It is just me not agreeing with the value of Monte Carlo. Kevin, i've been meaning to pop you a pm sometime to hear your thoughts on why I do not think it has any real value. I would like to hear your take after hearing my reasoning.



Kevin, does this just apply to new purchases going forward,...or could I shoot you an email with my order confirmation from a couple weeks ago?

@DarkPoolTrading I'm also curious on your take on Monte Carlo Sim. As we know, the pragmatic approach is to view one concept from multiple very different viewpoints.

Perhaps another thread where it can be debated? @kevinkdog

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  #105 (permalink)
NGP MS India
 
 
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hi kevin!

i am using ur monte carlo sheet. Thanks for it.

have some query on the same.

do monte carlo sim results fools us? or backtesting.

i did backtesting with few years data, hiding some data , did monte carlo but results where bad.

incubation was best but when i repeated the process with walk forward,incubation and again back testing with unseen data it was good but not in monte carlo.

only one positives i found with monte carlo,it can predict or advice best capital amt to be employed with less ruin and dd.

which data is correct which is fooling us?

thanks

 
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  #106 (permalink)
Market Wizard
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haraj View Post
hi kevin!

i am using ur monte carlo sheet. Thanks for it.

have some query on the same.

do monte carlo sim results fools us? or backtesting.

i did backtesting with few years data, hiding some data , did monte carlo but results where bad.

incubation was best but when i repeated the process with walk forward,incubation and again back testing with unseen data it was good but not in monte carlo.

only one positives i found with monte carlo,it can predict or advice best capital amt to be employed with less ruin and dd.

which data is correct which is fooling us?

thanks


If you build your system incorrectly, and use data from it in Monte Carlo, then the results will be bogus.

If you build your system correctly, especially with walkforward analysis (again, done correctly), then my experience is that Monte Carlo can be a big benefit.

But if you believe your results are suspect before MC, I certainly would not use them.

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  #107 (permalink)
NGP MS India
 
 
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kevinkdog View Post
If you build your system incorrectly, and use data from it in Monte Carlo, then the results will be bogus.

If you build your system correctly, especially with walk forward analysis (again, done correctly), then my experience is that Monte Carlo can be a big benefit.

But if you believe your results are suspect before MC, I certainly would not use them.

thanks kevin!

i mean i am working on strategy, its complete visual with no programming.. i did paper trade , simulation trades and is in incubation period. I have incubation data of 3 years with different market sentiments


can i directly use data from incubation to monte carlo sim!

infact i tried and results are amazing.

 
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  #108 (permalink)
Market Wizard
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haraj View Post
thanks kevin!

i mean i am working on strategy, its complete visual with no programming.. i did paper trade , simulation trades and is in incubation period. I have incubation data of 3 years with different market sentiments


can i directly use data from incubation to monte carlo sim!

infact i tried and results are amazing.

I would say 3 years is not enough data for MC simulation, but then again, I don;t use incubation data when I run the MC (I use walkforward out of sample results). Although after having 3 years of incubation data, do you really need more confirmation of your system's performance? How much more incubation data do you need?

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  #109 (permalink)
Seattle,WA
 
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In your book you mention testing a strategy on 10 minute bars and then varying the test by 1 minute to see how it changes the performance of the system. How do you decide how much of a performance decrease is acceptable when changing the bar timeframe by 1 minute? For example if a strategy makes 200% profit but drops to 50% would you still feel it is ok to trade?

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  #110 (permalink)
Market Wizard
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Aufidius View Post
In your book you mention testing a strategy on 10 minute bars and then varying the test by 1 minute to see how it changes the performance of the system. How do you decide how much of a performance decrease is acceptable when changing the bar timeframe by 1 minute? For example if a strategy makes 200% profit but drops to 50% would you still feel it is ok to trade?

Thanks for the question. I still do this kind of testing on occasion, but nowadays I don't normally do it as part of my development process. Why not? Well, I guess I have seen too many times where a 10 minute bar creates a great strategy, but a 9 minute or even 11 minute doesn't. I have concluded that some of that performance difference could be real, since many more people are using 10 minute charts to be entering and exiting, and my strategy may have caught some of that actual price behavior.

So, I guess I am saying I would not be turned off any longer by the case you present. I would likely still find it acceptable.

What I would not do is try the system with 8, 9, 10, 11, and 12 minute bars, and then pick the best one overall. I think that is bad optimizing.

Hope this helps!

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