Deadline June

This is a discussion on Deadline June within the Trading Journals forums, part of the Reception category; Ok, you sound like you know what you're talking about. I'll defer to your superior experience on this....

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Old Jan 23, 2011, 9:38pm   #691
Joined Jan 2009
Re: Deadline June

Ok, you sound like you know what you're talking about. I'll defer to your superior experience on this.
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Old Jan 23, 2011, 10:13pm   #692
 
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Fundamental reasons

Adamus started this thread
Quote:
Originally Posted by meanreversion View Post
I have to say, this sounds very tenuous. When do you trade, at the close on Friday? How do you decide which way to trade?

IG provide normal prices from 9pm, but your system is in suspension until 10.15pm. It seems a little bizarre.. just because you've found a pattern, what's the justification for it continuing? This reminds me a little of people who go hunting for patterns, e.g. EUR/USD spot rallies first week of September for the last 14 years out of 15, thus go long EUR/USD 1st September..

Or is there something else? I can see that prices often gap on Monday, but how are you calling the direction?
Personally I would love to have a fundamental reason why a system worked, something that explained it in real life.

But I don't require it and I don't even benefit from it if I do have it.

So yes I am one of these people who look for patterns that repeat themselves.

Perhaps this illustrates my point - or perhaps it's lateral thinking that's too lateral - but recent research has shown that patients in medical trials who are given the placebo are almost as likely to be cured as those receiving the real medicine. Further research showed that even those test patients who knew they were being given the placebo were almost as likely to be cured.

Markets are only human.
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Old Jan 23, 2011, 10:48pm   #693
 
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re: Gap Filler - out-of-sample comes good

Adamus started this thread Optimised result - 2001 - 2008 disktrading data:

HTML Code:
Instrument	Total Net Profit	Average Trade	Total # of Trades
$AUDJPY_DTC	22660.00	70.37	322
$AUDUSD_DTC	12080.00	36.06	335
$CHFJPY_DTC	15930.00	48.72	327
$EURCHF_DTC	13385.00	52.08	257
$EURGBP_DTC	7475.00	25.78	290
$EURJPY_DTC	22795.00	70.57	323
$EURUSD_DTC	11045.00	32.97	335
$GBPCHF_DTC	26655.00	87.97	303
$GBPJPY_DTC	27770.00	84.41	329
$GBPUSD_DTC	10850.00	34.01	319
$USDCAD_DTC	10495.00	34.30	306
$USDCHF_DTC	12140.00	36.46	333
$USDJPY_DTC	17685.00	50.67	349
COMBINED RESULTS	210965.00	51.11	4128
Out-of-sample, 2009 - 2010

HTML Code:
Instrument	Total Net Profit	Average Trade	Total # of Trades
$AUDJPY_DTC	-1355.00	-33.88	40
$AUDUSD_DTC	2305.00	52.39	44
$CHFJPY_DTC	1340.00	34.36	39
$EURCHF_DTC	3530.00	84.05	42
$EURGBP_DTC	2130.00	50.71	42
$EURJPY_DTC	1150.00	27.38	42
$EURUSD_DTC	835.00	18.15	46
$GBPCHF_DTC	11315.00	257.16	44
$GBPJPY_DTC	10320.00	234.55	44
$GBPUSD_DTC	2055.00	66.29	31
$USDCAD_DTC	380.00	10.86	35
$USDCHF_DTC	2275.00	54.17	42
$USDJPY_DTC	1600.00	37.21	43
COMBINED RESULTS	37880.00	70.94	534
Apparently the only way to improve the implementation in the script is to use a 1 tick series for the backtest so I might do that later.

Quote:
Originally Posted by Brettus
If it gaps down more than 25 points i'll buy from fridays price and if its 25 above, i'll sell.
Of course! I Stupido! My system takes every gap, even the 1 point gaps. I need to filter out the tiny gaps that don't even offer enough reward to cover the commission and slippage.

In the meantime I'm going to set these off tonight on the simulation account to see whether the NinjaTrader code I wrote works live.
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Old Jan 23, 2011, 10:57pm   #694
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Re: Deadline June

There's a problem with causality here.

First of all, there are an infinite number of patterns. You don't need to look very hard to find one. I've seen an entire presentation from a trader who spends his entire day looking for patterns, and then assumes they'll repeat.

For example, over the last 10 years, the FTSE has rallied on the second Tuesday of March 85% of the time (I just made that up, but it might be true).

So, next time it's the second Tuesday of March, he'll buy the at-the-money binary at 55% at the start of the day (or whatever the offer is), GENUINELY believing that it is "undervalued". Of course it is not undervalued, as the seller can quite easily hedge it and perhaps lock in the 5% from the true mid, which is 50%.

Read "Fooled by randomness" for a more mathematical explanation of this. You're seeing a pattern, but true randomness itself does not look random, it will have patterns within it that look non-random.

Now, brettus offers another explanation, namely that these gaps are the result of stop hunting and other such activity. I have no idea if this is true, but even if it is, it doesn't tell you where to stop loss or take profit (you'll get this from optimizing, probably). I would imagine the person with the real edge here is the trader in Aus/NZ who can see where the stops are, and just jam them before Tokyo gets in.
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Old Jan 23, 2011, 11:22pm   #695
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Re: Deadline June

Quote:
Originally Posted by meanreversion View Post
There's a problem with causality here.

First of all, there are an infinite number of patterns. You don't need to look very hard to find one. I've seen an entire presentation from a trader who spends his entire day looking for patterns, and then assumes they'll repeat.

For example, over the last 10 years, the FTSE has rallied on the second Tuesday of March 85% of the time (I just made that up, but it might be true).

So, next time it's the second Tuesday of March, he'll buy the at-the-money binary at 55% at the start of the day (or whatever the offer is), GENUINELY believing that it is "undervalued". Of course it is not undervalued, as the seller can quite easily hedge it and perhaps lock in the 5% from the true mid, which is 50%.

Read "Fooled by randomness" for a more mathematical explanation of this. You're seeing a pattern, but true randomness itself does not look random, it will have patterns within it that look non-random.

Now, brettus offers another explanation, namely that these gaps are the result of stop hunting and other such activity. I have no idea if this is true, but even if it is, it doesn't tell you where to stop loss or take profit (you'll get this from optimizing, probably). I would imagine the person with the real edge here is the trader in Aus/NZ who can see where the stops are, and just jam them before Tokyo gets in.
Yea. It's an ege that i have used for the last 6 months without a loss, and as soon as it does lose, i will probably stop using it. The same as trading momentum into the close. Some small edges i have picked up from some ex floor traders and clients.
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Old Jan 23, 2011, 11:23pm   #696
Joined Jan 2009
Re: Deadline June

http://en.wikipedia.org/wiki/Correla...mply_causation

Now, the question then becomes, is all backtesting redundant?

Well, is it punk?

(Who knows?!)
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Old Jan 23, 2011, 11:28pm   #697
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Re: Deadline June

Actually, that link is pretty good. Here's one extract -

The more firemen fighting a fire, the bigger the fire is going to be.
Therefore firemen cause fire.
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Old Jan 24, 2011, 12:02am   #698
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Re: Deadline June

Quote:
Originally Posted by meanreversion View Post
Actually, that link is pretty good. Here's one extract -

The more firemen fighting a fire, the bigger the fire is going to be.
Therefore firemen cause fire.
Have you read Freakonomics or Super Freakonomics? It covers the below.

Which is more dangerous, a gun or a swimming pool? What do schoolteachers and sumo wrestlers have in common? Why do drug dealers still live with their moms? How much do parents really matter? How did the legalization of abortion affect the rate of violent crime?
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Thanks! The following members like this post: Adamus , DionysusToast
Old Jan 24, 2011, 12:03am   #699
 
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Re: causality

Adamus started this thread Yes, I understand that, but I'm not worried, after all, I'm a kangaroo. I mean, kangaroos have 2 legs.

But seriously, although Taleb is brilliant, in some places he does have blind spots. This being one of them. Travis is worth quoting on this one. Regarding implementing systems based on patterns:

Quote:
Originally Posted by Travis
The way to do this is years and years of work and also accepting that 75% of your systems, after all this hard work, will still not be good enough to be traded.
That for me is the bottom line. Some patterns will, some patterns won't.

Do you still have a problem with that?

I know what you're thinking. Did I make 5 logical steps there, or 6?

By the way, which is more important: whether you can detect the causality in your pattern, or whether the system makes money?
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Last edited by Adamus; Jan 24, 2011 at 12:14am.
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Old Jan 24, 2011, 12:45am   #700
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Re: causality

Quote:
Originally Posted by Adamus View Post
Yes, I understand that, but I'm not worried, after all, I'm a kangaroo. I mean, kangaroos have 2 legs.

But seriously, although Taleb is brilliant, in some places he does have blind spots. This being one of them. Travis is worth quoting on this one. Regarding implementing systems based on patterns:



That for me is the bottom line. Some patterns will, some patterns won't.

Do you still have a problem with that?

I know what you're thinking. Did I make 5 logical steps there, or 6?

By the way, which is more important: whether you can detect the causality in your pattern, or whether the system makes money?
I only believe in patterns if i can understand the trading mentality behind them. I could easily make up a pattern that works, only for price to do the exact opposite the next year. I think the problem with systems that most people dont realise is that there is probably 1million systems that have worked backtested.
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