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  • #1,421
  • Oct 10, 2017 3:25pm Oct 10, 2017 3:25pm
Quoting skyway
{quote} I did. It's not too different from most broad brush conclusions about bad analysis and under-intellectualised trading approach that's the core of the problem. Fix it there'll be no place for illusions, fear and greed.
Oh, I've seen many cases of individuals contradicting that, and that amongst professionals.
  • #1,422
  • Oct 10, 2017 5:15pm Oct 10, 2017 5:15pm
Quoting IenDzi
{quote} I think, that we need to flip positions, above open buy, when price gets below open flip to sell position. I tested this idea, but got a lot of flips in range condition, so there would be a lot of costs because of spread. CP said that system must be dynamic. Maybe it is possible to think money(trades) management, which opens basket trades and flipping trades in direction of current candle.
Yes, that's still a problem. Regarding MM ... I just can recommend the use of a second adaptive (and shorter-term) MA to determine exits. The general idea is imho quite simple: Buy if prize is above the both MAs and Open line. Exit if prize closes below the shorter-term exit line. Think that's the general idea which is related to CP's influx/momentum method, too.
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  • #1,423
  • Oct 10, 2017 5:25pm Oct 10, 2017 5:25pm
" It affects my understanding of how markets work!" Me too! How do they work again? lol
  • #1,424
  • Oct 10, 2017 6:04pm Oct 10, 2017 6:04pm
Vee, I was only making a joke, not judging your abilities. it was supposed to make you smile bro!
  • #1,425
  • Edited 7:10pm Oct 10, 2017 6:22pm | Edited 7:10pm
Quoting VEEFX
{quote} Sorry man. I am intense in my approach by nature. biggest bang for the buck in the shortest amount of time is my style. Folks at work just hate it. My boss calls me Mr. "0 to 60 in 10 seconds" when there is chaos for me to manage.
V..there are ways to achieve your objectives provided they are clear and specific...and with your hunger you should find them....but ensure you design the outcome as opposed to allowing market forces to decide your outcome (beta). In your search for your specific form of alpha, you need to plan for it and design for it...but you may need to look wider than the restricted offerings on this forum. That's the good thing about legends like Ed Seykota....they see the light “Win or lose, everybody gets what they want out of the market. Some people seem to like to lose, so they win by losing money"....and there lies the corollary for winning as well.
  • #1,426
  • Edited Oct 11, 2017 12:03am Oct 10, 2017 7:39pm | Edited Oct 11, 2017 12:03am
Quoting VEEFX
{quote} Thanks C for your time in writing such a elaborate response to my question. I will most certainly commit to further research and understand the underlying principles this weekend. Some of the advanced terms used are quite foreign to my current level of understanding:-)
Here is a bit of a primer for the weekend mate if you are interested in portfolio construction. There are many different approaches to portfolio management but the one that I focus my attention on is active portfolio management using principles from here plus some tweaks of my own which is a far more practical and visual approach as opposed to theoretical mathematical approach you may learn in business finance on Modern Portfolio Theory aka Markowitz and Efficient Frontier etc.. :-)
  • #1,427
  • Oct 10, 2017 8:10pm Oct 10, 2017 8:10pm
Copernicus, can you please refrain from leaving us all behind on the evolutionary scale. I mean I know how to use simple tools, I can breathe, and am able to feed myself. Your primer puts me back into the neanderthal era. I think your calling is definitely sub atomic astrophysicist, with a bit of quantum physics as a relaxant.
Me stupid feel a lot ,yes?
  • #1,428
  • Oct 10, 2017 8:45pm Oct 10, 2017 8:45pm
Quoting nealpek
Copernicus, can you please refrain from leaving us all behind on the evolutionary scale. I mean I know how to use simple tools, I can breathe, and am able to feed myself. Your primer puts me back into the neanderthal era. I think your calling is definitely sub atomic astrophysicist, with a bit of quantum physics as a relaxant. Me stupid feel a lot ,yes?
No mate. I am as stupid as you. It's just different to what you may be used to. The way I treat new concepts is to first simply have a quick read. What this does is hopefully reconfigure the brain to be more receptive on the second read....and so on and so forth. As mentioned many times before...it has little to do with intelligence and more to do with getting rid of the baggage that binds us. That brain of yours can be your best friend if used with coherent thought process or worst enemy if you simply let it do it's thing. The intro to the primer attempts to alter the mindset before you tackle the problem. Once you can get through the barrier....the light bulbs light up with your experience acquired already and then you can see clearly what is facing us in this market and how to exploit it. Cheers C
  • #1,429
  • Edited Oct 11, 2017 3:11am Oct 10, 2017 9:17pm | Edited Oct 11, 2017 3:11am
Quoting Copernicus
{quote} Here is a bit of a primer for the weekend mate if you are interested in portfolio construction. There are many different approaches to portfolio management but the one that I focus my attention on is active portfolio management using principles from here plus some tweaks of my own which is a far more practical and visual approach as opposed to theoretical mathematical...
Most definitely C. In your vast experience, is it possible to create a diversified portfolio with a targeted outcome (x% profit with y% max drawdown) with absolutely zero regard to correlation (or uncorrelation) across instruments?

Correlation is not a constant in my opinion. as they can change based on market conditions either temporarily or permanently. If you believe in this logic then would you also believe that any reliance on correlation or uncorrelation. will skew or decay the consistency of strategy in the long term?

One of my foundational approach to systemic trading is the elimination of known and unknown variations as input to my strategy to the maximum possible. I cannot predict shit when it comes to anything in the market. What's in my control is what i can chose to make trading decisions on! What is chose is what I can consistently leverage even if that life cycle of consistency is known for a short duration which I csn define consistently across the range of parameters within my control. Correlation is neither i can predict nor I can tame or control. That is why I think all the well known basket trading approaches tend to fail in the long run. They fail because they focus on the intended outcome rather than on the conditions that lead to the intended outcome.
I decide based on what my automation tells me. Manual trading focuses on outcome, automated trading does NOT as it relies on over 35Million data points for each month.

With that said, you have given me more to think about so thanks for the weekend reading. In my research, I love reading things that attempt to challenge my core understanding.
Staying in my lane...
  • #1,430
  • Oct 10, 2017 9:32pm Oct 10, 2017 9:32pm
Quoting nealpek
Vee, I was only making a joke, not judging your abilities. it was supposed to make you smile bro!
Speaking of which, have you got veefx's affliction?
Good Trading
  • #1,431
  • Edited 11:29pm Oct 10, 2017 9:36pm | Edited 11:29pm
Quoting VEEFX
{quote} Most definitely C. In your vast experience, is it possible to create a diversified portfolio with a targeted outcome (x% profit with y% max drawdown) with absolutely zero regard to correlation (or uncorrelation) across instruments? Correlation is not a constant in my opinion. as they can change based on market conditions either temporarily or permanently. If you believe in this logic then would you also believe that any reliance on correlation or uncorrelation. will skew or decay the consistency of strategy in the long term? One of my foundational...
No mate..correlation is the weapon you use..but the trick to dealing with correlation is not to look at the isolated correlation statistic (coefficient) as this just tells you how something is correlated over a given timeframe. This is what the theorists do and can lead to lots of dead ends. The way to deal with comparing correlated return series is simply to superimpose the entire equity curve over one another and then over the market itself. This gives you far deeper insight into what correlation is and why it is different at different times. For example correlation over a given timeframe may simply be from random chance as opposed to a correlation residing in a deeper connection between the return streams.

If you think about it, the reason something is correlated with another thing is in the connection that lies between them. There is logic in there, that you cannot see or deduce from the correlation stat itself. You can clearly see it however through the superposition of equity curves on top of each other. At certain times dependent on the return streams, they are more correlated than at other times. For example when the equity market S**TS itself you see a sea of red on the Exchange boards...but during a bull run, this is not the case. Why?.......The why's are what we are getting to with the solution we are looking for as solutions to the why's allow you to confidently manage risk. The stats themselves meaning very little.

The shady art of Portfolio Construction is much more aligned to FA than you might think but it is attacking controllable risk rather than the actual FA drivers to alter the R:R relationship.... but the approach does this by interrogating return streams and finding out the reasons why they may or may not be connected, testing the logic for the connection and if the tests conclude in the affirmative, then designing a solution accordingly. PM is really simply the application of the scientific method to understanding these markets.

Looking at the way you tick mate in the way you interrogate queries....I think this is right down your alley...but only you can be the judge of that.
  • #1,432
  • Oct 10, 2017 10:00pm Oct 10, 2017 10:00pm
Fun read. On the opening post -- for every candle at a peak, another is at a midpoint. Thus, so-called candle start and end times seem mostly meaningless as price and what drives it short-term have little to do with time. However, some sessions, profit taking/loss cutting periods, and times people are awake globally and/or have other innate time-based programming biases may have some merit. Anyway, what matters: first, what price is doing now, second, price to exit, and, third, how these "times" affect executing the earlier two, if at all.
  • #1,433
  • Oct 10, 2017 10:35pm Oct 10, 2017 10:35pm
Quoting Copernicus
{quote} No mate. I am as stupid as you. It's just different to what you may be used to. The way I treat new concepts is to first simply have a quick read. What this does is hopefully reconfigure the brain to be more receptive on the second read....and so on and so forth. As mentioned many times before...it has little to do with intelligence and more to do with getting rid of the baggage that binds us. That brain of yours can be your best friend if used with coherent thought process or worst enemy if you simply let it do it's thing. The intro to...
Well said friend.
IMPROVISE ADAPT OVERCOME
  • #1,434
  • Edited 11:21pm Oct 10, 2017 11:09pm | Edited 11:21pm
SOMETHING TO PONDER ON
SOMETIMES WE NEED TO STEP BACK AND BREATHE IN THAT WHICH IS TRYING TO HELP US
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IMPROVISE ADAPT OVERCOME
  • #1,435
  • Oct 11, 2017 12:48am Oct 11, 2017 12:48am
Quoting RondaRousey
{quote} When you win at a trade, someone has lost.
Trader A buys a lot of EURUSD at 1.17475 and sell their lot at 1.17571.

Trader B buys Trader A's lot at 1.17571 and sell it at 1.17940.

Did Trader B lose money?
  • #1,436
  • Oct 11, 2017 1:34am Oct 11, 2017 1:34am
Quoting albern
{quote} Trader A buys a lot of EURUSD at 1.17475 and sell their lot at 1.17571. Trader B buys Trader A's lot at 1.17571 and sell it at 1.17940. Did Trader B lose money?
Of course not. As long as the price moves in the same direction everyone has the chance to extract profit. Unfortunately Forex is zero(negative) sum game. So the prices never move in the same direction for long. In general all zero sum games are wealth destroying for most participants in the game.

So it doesn't matter if Trader A and Trader B make profit on the same trend. This is irrelevant.
The important question you should ask is - what happens after both traders make 1000 or more trades? Most likely both traders will be deep in the red!

For comparison, the stock market is NOT zero sum! There is long term positive drift. And dividends. That's why the stock market creates wealth for everyone who buys low and stays with the trend. This does not work on FX. Especially with the current situation with low interest rates.
  • #1,437
  • Oct 11, 2017 1:34am Oct 11, 2017 1:34am
Quoting albern
Trader A buys a lot of EURUSD at 1.17475 and sell their lot at 1.17571. Trader B buys Trader A's lot at 1.17571 and sell it at 1.17940. Did Trader B lose money?
Trader A made +9.6 pips

Trader B made +36.9 pips

The trader who originally sold to A at 1.17475 is now has an open sell position that is down 9.6+36.9=46.5 pips. Or if you prefer, 1.17475-1.17940 is -46.5 pips.
[+9.6] + [+36.9] + [-46.5] = 0, i.e. it all nets out to zero sum.

Of course that doesn't take costs into account. One or more br0kers made some money also.

Actually, it's more complex than that, but I'm just using your example.
  • #1,438
  • Oct 11, 2017 1:54am Oct 11, 2017 1:54am
Quoting VEEFX
{quote} This thread focuses on HOW CP trades. That's a completely wrong approach imo. It's a 1000 page story that only CP knows and understand and folks are focusing only on few pages written in maroon font color ! More important to me is the process and the journey and the controls and the guidelines we have to implement to limit drawdown and incorporate consistency. Three Years of consistent consistency with less than 15% max Drawdown and growth targets of 5% per month is my objective. What's yours? {quote} Focus on Drawdowns stupid is what I...
Thanks VEEFX for the explanations...

Could you please attach the movers and shakers indicator...
  • #1,439
  • Oct 11, 2017 2:51am Oct 11, 2017 2:51am
Quoting VEEFX
{quote} This thread focuses on HOW CP trades. That's a completely wrong approach imo. It's a 1000 page story that only CP knows and understand and folks are focusing only on few pages written in maroon font color ! More important to me is the process and the journey and the controls and the guidelines we have to implement to limit drawdown and incorporate consistency. Three Years of consistent consistency with less than 15% max Drawdown and growth targets of 5% per month is my objective. What's yours? {quote} Focus on Drawdowns stupid is what I...
You have realistic expectations and this already is an important step forward.
You just need to get rid of mental biases and open your mind to see what is right under your nose: everything is simple but human mind.
Everytime you find yourself elaborating complicated solutions it means your mind is trying to reach the goal without getting rid of false beliefs and biases to which it is so close.
  • #1,440
  • Oct 11, 2017 3:28am Oct 11, 2017 3:28am
Quoting strongtrader
{quote} You have realistic expectations and this already is an important step forward. You just need to get rid of mental biases and open your mind to see what is right under your nose: everything is simple but human mind. Everytime you find yourself elaborating complicated solutions it means your mind is trying to reach the goal without getting rid of false beliefs and biases to which it is so close.
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