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A Systematic Approach to Markets

  • #21
  • Apr 16, 2009 4:59pm Apr 16, 2009 4:59pm
Nice post JupiterOGX, I must say you sound remarkably similar to acrary.
The breaking of a wave cannot explain the whole sea.
  • #22
  • Apr 16, 2009 5:41pm Apr 16, 2009 5:41pm
Quoting Craig
Nice post JupiterOGX, I must say you sound remarkably similar to acrary.
This part specifically...

Sadly, this desensitized mindset has penetrated other aspects of my life, and I don’t quite enjoy the spectrum of emotions like other people do, but that is another topic.
Living the adventure in my head.
  • #23
  • Apr 16, 2009 9:02pm Apr 16, 2009 9:02pm
JupiterOGX,

From the perspective of a new-ish spot and prop trader on a Treasury Risk Management desk... this information will be invaluable for me. I appreciate your generosity, and encourage you to continue.

I will be following closely.

Cheers,
MM
"If it bleeds ... we can kill it"
  • #24
  • Apr 17, 2009 3:45am Apr 17, 2009 3:45am
hey JupiterOGX .. great article ! (psychology)
i just started real trading last tues.. i hope u could share more of your wisdom and experience during your early days of trading.. thanks in advance!
  • #25
  • Apr 20, 2009 3:42am Apr 20, 2009 3:42am
Hi JupiterOGX,

Hope to see your updates soon
The future depends on what we do in the present.
  • #26
  • Apr 20, 2009 4:38am Apr 20, 2009 4:38am
Quoting JupiterOGX
http://en.wikipedia.org/wiki/Spline_(mathematics)

Specifically, I'm doing cubic spline smoothing. I've found splines to be very superior to standard moving averages, especially for reversion to mean strategies.
I realize this is jumping the gun on your to-do list, but this idea sounds fascinating and MT4-indicator doable (not me.)
When you say 'reversion to mean strategies', I guess you're talking about having a line run thru the center of every candle, like a COG channel or using a moving average to run thru an area to observe the weight of prices on either side of the line. 'Splines', cubic or no, sound like just breaking up a curve into line segments to approximate how long the curve is, which I saw on t.v. about Archimedes is basic calculus of derivatives.

Just reflecting aloud, and sorry if wrong. Been interested in the mean idea, didn't know where to go with it. Thanks for this.
  • #27
  • Apr 20, 2009 4:56am Apr 20, 2009 4:56am
Hi JupiterOGX,

Thank you for the excellent information shared so far with such eloquence, depth and poise. I look forward to benefiting from your expertise. Already, the information shared here has cause me to initiate an assessment of my trading strategy and self. Truly outstanding!

fxpilot
  • #28
  • Apr 20, 2009 6:14am Apr 20, 2009 6:14am
Your piece on psychology alone is worth the price of admission...!

Kudos!
  • #29
  • Apr 20, 2009 6:27am Apr 20, 2009 6:27am
Quoting Craig
Nice post JupiterOGX, I must say you sound remarkably similar to acrary.
acrary who used to post on Elite ?

I don't see him on the members list at FF. I ask because my all time favourite forum post was by him sometime back. He also shared a vast amount of invaluable system information.

Sorry to go off topic...
  • #30
  • Apr 20, 2009 7:19am Apr 20, 2009 7:19am
Quoting jtrade
I ask because my all time favourite forum post was by him sometime back. He also shared a vast amount of invaluable system information.
jtrade, do you mind pointing to the post. I have been reading up a bit on acrary lately and I am curious to which post you are referring to.

Now, back to topic...
  • #31
  • Apr 20, 2009 8:20am Apr 20, 2009 8:20am
I only have the 2006 post, which I saved. To those who know nothing about acrary, he posted a huge amount of sophisticated information in a very understandable way. And then he posted this shortly before he stopped posting for over a year (I understand he has posted a little since); it brought me to a turning point in my own trading :


Yes, I've fooled myself with the "perception is reality" argument.

My work with my model on immunologic response has forced me to completely change my views on the markets. I used to think the markets were mostly random and chaotic with periods of stable recurring predictability. I couldn't prove this theory because I hadn't come up with a really good way of segmenting market movements and the sample sizes were always statistically small. This was my perception ... and I acted on it so it must have been my reality.

I quickly realized if I wanted to come up to speed on immunologic work I'd have to abandon pattern matching and concentrate on letting the algo work on finding the best strategy for a market. To do this I built a handful of basic strategies and forced the market activity into a time box (1 day, 2 days, etc.). I then used the model (I call it Doron) to determine which of the available strategies should be used for the market in the time period. Anytime a large losing period was found I'd look at the data and determine that I didn't have a strategy for the model to use. So I'd code up a new simple strategy for it to sample (much like your immune system getting fooled the first time it faces a new disease...sample it...become resistant to future occurrences).

In short what I found was a handful of simple strategies in a couple of markets were just as effective as all the years of work I did on finding market inefficiencies, measuring them, and exploiting them with tight edges. I had to give up my basic market premise and now go with "the markets are mostly inefficient and chaotic with small periods of stable predictability but with large periods of stable recurring strategic themes."

In short, at 50 I feel like an old fool. Squandering my time trying to figure out the optimal way to fish in a pond when all I had to do was turn my back and throw out my line into a ocean full of opportunities. Maybe some 20 something will learn something from this and not waste his life like I have with the false perceptions I bought into. Our perceptions are indeed our reality.
  • #32
  • Apr 20, 2009 8:47am Apr 20, 2009 8:47am
I did a small google search and found this page, more of his writings from the same thread. Excellent stuff.

http://www.humblemoney.com/?p=91
  • #33
  • Apr 21, 2009 3:44pm Apr 21, 2009 3:44pm
Quoting JupiterOGX
.... In my next post, I’ll go over some techniques to overcome making these mistakes.
Still looking forward to that next post...

J.
  • #34
  • Apr 21, 2009 4:23pm Apr 21, 2009 4:23pm
Quoting JupiterOGX
Psychology

A lot of traders truly believe that they’re not performing because they’re hindered by emotional and psychological issues, while I would claim that all of that stress and tension is caused by poor trading, not the other way around. In other words, you can have all the psychology you want, but unless you have a quantifiable edge with positive expectancy along with proper money management system, you’re going to fail. From my institutional experience, I’ve seen a lot of traders come and go, and a lot of them blamed their inadequancy on...
superb
  • #35
  • Apr 21, 2009 4:27pm Apr 21, 2009 4:27pm
Likewise...


Quoting jtrade
Still looking forward to that next post...

J.
"If it bleeds ... we can kill it"
  • #36
  • Apr 23, 2009 9:20am Apr 23, 2009 9:20am
Hey Jupiter,

Its been almost a week since your last post. I hope you are busy trading rather than thinking this thread might be too big a diversion for you or worse, that you have some family issues.

Take care and come back soon!
  • #37
  • Edited 4:34am Apr 24, 2009 4:19am | Edited 4:34am
Thanks for the details statistics..can you also post for other currencies pls?
  • #38
  • Apr 24, 2009 2:37pm Apr 24, 2009 2:37pm
update please! =) you r doin fine job!
  • #39
  • Apr 25, 2009 2:29am Apr 25, 2009 2:29am
jtrade and mikkom, thanks for posting that stuff.
  • #40
  • Apr 25, 2009 4:18am Apr 25, 2009 4:18am
Great thread! Thanks Jupitor and All!
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