1) Was up 544 pips in January, down from a high of 1715. Good return, yes, but many more lost open profits. Yet the 1715 came from a considered stance of willful ignorance. The stance that I don't know anything about where the market might go or will go. That the only thing I know is given the Hull MA BOs on various TFs that there is a better chance of one thing happening than another. Hang in there until the MA on your base TF chart changes color. Suffer with, deal with, accept your lack of knowledge and the world of uncertainty that is the markets. As Ed Seykota might say, embrace your fears. This would seem to be the most constructive mind set for enlightened beta trading, which is what afterall what we're really doing here, as opposed to searching for, as they say in the business, alpha.
2) And, yet, what to do if anything about so much lost open profit? What are one's options: a) use various forms of trailing stops (Pete's, a trailing MA of some value, Jocko anti-hedge, PAR SAR, etc.) b) wait for the Hull to change color against your trade c) use a smaller TF Hull MA to get out, i.e. if you got in on the 240" as your base chart, then get out on the change of color on the 60", ala the Turtles who got in on one system on a 20 day BO and out on a 10 day high/low.
3) And how about parametric optimization? The range seems to be from the original EMATrader (80,3,0 on all the charts) to Pete's various settings (see his blog). As a preface and foil to my upcoming optimization suggestion, see Fred Gehm's book, p. 143 in the 1995 hardcover edition, who posits optimization is for the birds. To cut to the chase, I once visited a hedge fund manager in London who optimized his indicators and told me that all optimizations worked for 20% of the time going forward. That means if one optimized for four months (20 trading days), one could expect the benefits of that optimization to work well going forward for 4 days. Does anyone think that would work here or would that be too complicated and too discretionary?
4) I'm continually struck by the lack of truly good objective answers to any of the most important questions: optimization, expectation, risk control, etc. In short, there seems to be no best answer to how to manage this world of complete market uncertainty except to manage oneself: what kind of heat one can take or can't, what sort of profits will mollify ones's twin beasts of fear and greed or won't.
5) How does one think of the speed or lag of this system---is it better to use 20,3,0 throughout the various timeframes or 80,3,0 throughout? Is there more to these parameters than merely the frequency of trading? Is there a qualitative aspect as well?
OK, enough. Everyone should live long and prosper.
Lenoxer
2) And, yet, what to do if anything about so much lost open profit? What are one's options: a) use various forms of trailing stops (Pete's, a trailing MA of some value, Jocko anti-hedge, PAR SAR, etc.) b) wait for the Hull to change color against your trade c) use a smaller TF Hull MA to get out, i.e. if you got in on the 240" as your base chart, then get out on the change of color on the 60", ala the Turtles who got in on one system on a 20 day BO and out on a 10 day high/low.
3) And how about parametric optimization? The range seems to be from the original EMATrader (80,3,0 on all the charts) to Pete's various settings (see his blog). As a preface and foil to my upcoming optimization suggestion, see Fred Gehm's book, p. 143 in the 1995 hardcover edition, who posits optimization is for the birds. To cut to the chase, I once visited a hedge fund manager in London who optimized his indicators and told me that all optimizations worked for 20% of the time going forward. That means if one optimized for four months (20 trading days), one could expect the benefits of that optimization to work well going forward for 4 days. Does anyone think that would work here or would that be too complicated and too discretionary?
4) I'm continually struck by the lack of truly good objective answers to any of the most important questions: optimization, expectation, risk control, etc. In short, there seems to be no best answer to how to manage this world of complete market uncertainty except to manage oneself: what kind of heat one can take or can't, what sort of profits will mollify ones's twin beasts of fear and greed or won't.
5) How does one think of the speed or lag of this system---is it better to use 20,3,0 throughout the various timeframes or 80,3,0 throughout? Is there more to these parameters than merely the frequency of trading? Is there a qualitative aspect as well?
OK, enough. Everyone should live long and prosper.
Lenoxer
