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A Systematic Approach to Markets

  • #41
  • Apr 25, 2009 4:36am Apr 25, 2009 4:36am
Posting to subscribe
  • #42
  • Apr 25, 2009 6:14pm Apr 25, 2009 6:14pm
I think I'm home. This thread seems like a great place for me to spend my time when I feel the urge to...well, to talk on a thread.

I love your approach Jupiter! It's about time someone started quantifying things. My training is in mathematics (hence the name). Let me know if I can be of assistance in any way.

By the way, I just installed R. It's about time I familiarized myself with it.

I agree with your views on psychology in trading. I remember reading something like this: "Most traders spend all of their time trying to find the perfect trading system. The trading systems is actually the least important part of trading." Then they would go on to say that psychology and money management were much more important. I always thought this was funny. Now don't get me wrong. I see what these people were trying to say, and I agree that psychology and money management are very important parts of trading. But that doesn't mean we should brush aside the trading system. It's just as important. Without any one of those three aspects, you will fail. I mean what would someone be like who is great at the psychological issues and has great money management but no trading system? I guess they would be losing their money very slowly, and they would be very calm about this.
  • #43
  • Apr 26, 2009 10:38am Apr 26, 2009 10:38am
I have this bad feeling Jupiter is not coming back !!!
The future depends on what we do in the present.
  • #44
  • Apr 26, 2009 4:01pm Apr 26, 2009 4:01pm
Quoting jtrade
the markets are mostly inefficient and chaotic with small periods of stable predictability but with large periods of stable recurring strategic themes...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.
I'm that 20-something. It's called support and resistance. That's it. Just a few lines, some fundamentals and a bunch of patience. After 18 months of testing every indicator and magic system on this forum and some that weren't, S/R is the keenest edge there is. Keep it simple.
  • #45
  • May 6, 2009 4:59pm May 6, 2009 4:59pm
So after seeing this thread I went to check out acrary's work over at ET. Based on what I saw, I have come to the conclusion that Jupiter is either acrary himself, or someone else who is posting acrary's material. I do not want to stir anything up here, and if this is in violation of anything I apologize, however I though it was interesting nonetheless. Plus, after the mention of acray's name in this thread Jupitor has not posted anything...

Again, I dont want to turn this into a big deal, we have plenty of those on this site, so I will probably not reply much to this thread. You all can come to your own conclusions, but here is a little of what I found either way.

Below in quotations are Jupiters quotes from this thread, and in red are acrary's words from THIS POST HERE.

Good trading to all.


Quoting JupiterOGX

I believe that an edge is simply taking advantage of the non-random occurences in the market. All of these occurences are quantifiable and persistent through time.
Acrary: Edge is simply taking advantage of the non-random nature of a market. They are quantifiable and persistent through time.

Quote
A very simplistic example of an edge is a price "trend". Every market I've analyzed has some trending tendency, some of course more than others, but incorporating that tendency by placing orders in the direction of the trend would be a proper exploitation.
Acrary: A simple example of a edge in price data is "trend". Every market I've ever checked has a trending tendency beyond random. Some more than others. Incorporating that tendency would be to simply place trades in the direction of the trend.


Quote
That being said, the best edges are driven by the most defined non-random occurences found external from the actual price data. When I was a trader for an IB, one of the best edges we had was knowing when mutual funds would rebalance their portfolios. Measuring the in/outflows of money into specific instruments gave us a deep insight on how these operations were investing.
Acrary: The best edges (largest degree of non-random behavior) are found external from price data, however. Something as simple as observing money flows into or out of mutual funds several days prior to price moves has been a exploitable edge for myself.


Quote
Most people believe that an edge in a specific trading strategy is anything that can give positive expectancy. Sometimes this could be the case, but in my opinion it is important that you understand if the strategy is exploiting non-random occurences in a persistent manner; if the strategy is not doing this, the short-term "fitted" model will fail when the market reverts to its true, more random, behavior. -- Just look at, I'd venture out to say, 95% of the automated models published here.
Acrary: Some people believe edge is nothing more than positive expectancy in a trading strategy. While this could be the case, you should satisfy yourself that the model captures persistent, and non-random opportunities. Otherwise the model will go under when the short-term "fitted" data reverts to it's more random nature.
All I ask for is a chance to prove that money cannot make me happy.
  • #46
  • May 6, 2009 5:09pm May 6, 2009 5:09pm
His stuff is quite brilliant so it's a real shame if Jupiter is indeed acrary and he has decided not to continue writing this thread.
  • #47
  • May 7, 2009 5:31am May 7, 2009 5:31am
LOL. You can run but you can't hide.

There is no law against having different aliases on different forums. A lot of people do that. It would only add to the value of this forum to have people like acrary post here.
  • #48
  • May 7, 2009 5:37am May 7, 2009 5:37am
Quoting BlackMage
LOL. You can run but you can't hide.

There is no law against having different aliases on different forums. A lot of people do that. It would only add to the value of this forum to have people like acrary post here.
I 2nd that, and Im sure the coming posts will 3rd and 4th it...
Living the adventure in my head.
  • #49
  • May 7, 2009 1:41pm May 7, 2009 1:41pm
I would also like to see somebody like acrary post here, but I suspect it is more likely somebody copying his material than acrary coming to another forum just to repeat himself. Either way, the psychology post was a good one. To be frank, all the information you need on system development is already floating around on the net, the real question is what are you going to do with it?
The breaking of a wave cannot explain the whole sea.
  • #50
  • May 11, 2009 2:25am May 11, 2009 2:25am
Quoting Craig
I would also like to see somebody like acrary post here, but I suspect it is more likely somebody copying his material than acrary coming to another forum just to repeat himself. Either way, the psychology post was a good one. To be frank, all the information you need on system development is already floating around on the net, the real question is what are you going to do with it?
+1
  • #51
  • May 19, 2009 1:53pm May 19, 2009 1:53pm
Helou,
i want to learn more about systematic approach to markets.. so.. waiting for Jupiter back..

Best,
Tom
  • #52
  • May 21, 2009 4:56pm May 21, 2009 4:56pm
mikkom,
i've read 1 of your posts. It lead me to these (a & b) & subsequently this thread.
Excellent stats! & this is an excellent thread.
Thanks a lot.

To u & jtrade, thanks too for posting the acrary "quotes", as Dopey mentioned above.



Marsh,
fantastic observation!

whether Jupiter is indeed acrary, it's beyond me. If he has only good intentions, he should get over with this "alias" issue, then he'd be back.
  • #53
  • Oct 31, 2009 7:04am Oct 31, 2009 7:04am
Quoting compro99
I have this bad feeling Jupiter is not coming back !!!
Hi People,

Kindly check this thread out.

Someone is still missing in action.
The Thief of Wall Street
  • #54
  • Dec 4, 2009 7:25pm Dec 4, 2009 7:25pm
Good.
"If The Fool persists in his Folly he will become wise." - William Blake
  • #55
  • Mar 2, 2010 4:10pm Mar 2, 2010 4:10pm
It is a pity Jupiter has stopped. I find his approach very reasonable, if a bit too complicated. I have been through similar research on ranges and volatility years ago, and since I have been using that in intraday trading, I preferred to keep things simple, as my results told me, that it was pretty much useless to be right to the 5th decimal point, as spot was quoted in whole pips on EBS anyway... As to the volatlity forcasting, nothing can beat the market anyway, so it is sufficient to look up the overnight vol quotes from brokers, rather than resorting to complex formulas.
I am just wondering why he still likes to do discressionary stuff if he is so smart in coding and automating. For me, discressionary trading only makes sense if you scalp one market intensely all day. For anything else, systems are better, not because they are smarter, but because they run on many markets at the same time, and never have to go to the loo.
  • #56
  • Mar 2, 2010 5:06pm Mar 2, 2010 5:06pm
Quoting takef586
I am just wondering why he still likes to do discressionary stuff if he is so smart in coding and automating. For me, discressionary trading only makes sense if you scalp one market intensely all day. For anything else, systems are better, not because they are smarter, but because they run on many markets at the same time, and never have to go to the loo.
Macro funds use automated systems only for position entry/exit. The decision on what position to take is made by humans.
  • #57
  • Mar 2, 2010 10:04pm Mar 2, 2010 10:04pm
Quoting takef586
... and never have to go to the loo.
Damn I knew I was forgetting something....
"If The Fool persists in his Folly he will become wise." - William Blake
  • #58
  • Mar 14, 2010 8:24am Mar 14, 2010 8:24am
Quoting takef586
For anything else, systems are better, not because they are smarter, but because they run on many markets at the same time, and never have to go to the loo.
Did you find a working system that can be automated and makes more profit than drawdown every month (or at least every quarter)? I have not seen such a thing yet, I'm still searching.
  • #59
  • Mar 14, 2010 8:44am Mar 14, 2010 8:44am
The best approach to market is to have no approach.
Once you play by the book, you have become the 95% majority that fails.

Gamblers buy blackjack and poker books all the time.
Guess what, the casino wins most of the time.
They remodel and expand all the time.

I wonder who hired all them authors to write those winning edge
books in the first place?

Start from no approach. All them books are for losers.
  • #60
  • Mar 14, 2010 12:41pm Mar 14, 2010 12:41pm
Quoting charlyher
The best approach to market is to have no approach.
Once you play by the book, you have become the 95% majority that fails.

Gamblers buy blackjack and poker books all the time.
Guess what, the casino wins most of the time.
They remodel and expand all the time.

I wonder who hired all them authors to write those winning edge
books in the first place?

Start from no approach. All them books are for losers.

actually, casinos hate succesful card counters, and charge a rake for poker(so poker player's skill is irrelavent). the money to expand and remodel come from ppl like you=)
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