Article Trade ?Futures? not ?Histories?

T2W Bot

Staff member
1,456 58
Throughout the years I?ve been trading and writing I’ve often written about mind set?having  the right frame of mind for your trading so you become a winner.
I’ve stated that it is our job to trade "futures," not "histories."
The future is the next bar on your chart.  You can’t possibly know how it will develop, how fast prices will move, or where it will end up.  Since none of us know where the very next tick will be, it’s impossible to know where the tick after that will be, or the tick after that, etc.  All we know at any one time is what we’re seeing.  Interestingly, what we’re seeing may not be true.
Trouble With Data
If we are day trading, we are not sure that what we’re seeing is a bad tick, especially if it is not too far astray from the price action.
The daily bar chart doesn’t always tell the truth, either.  The open may not be where the first trade took place.  The close is merely a consensus, and may be quite a bit distant from where the last trade took place. ...
Continue reading...
 
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SOCRATES

Veteren member
4,966 134
Well meaning no doubt ~ but dreadfully disorientating and confusing as the result of muddled thinking.
 

Tuffty

Well-known member
442 8
I agree with the article in that if the data quality is poor, doing any back testing on it may be problematic.

However, it does not mean that the methodology of back testing is useless (although scientifically you can argue the methodology is flawed. This is because when back testing you don't touch/move the market with actual trades as you would in real life - rather like trying to measure the temperature of something with a hot hand as the hand will heat the object up).
 
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danfreek

Active member
184 2
Did somebody mention Heisenburgs uncertainty principle?? Oh only me.

I think that back testing is valuable, although I do not disagree with the article, I think that it only stands to explain why backtested results are not repeatable, but by backtesting it is possible to see if there is an edge in the system, and while the results will be different when the system is traded, at least it's possible to have some idea of how it will perform, rather than trading it blind.
 

ale

Active member
108 1
OK, Joe.
If you don't look back (except in anger that hindsight is always 20-20) from where do you get your crystal ball?
Please provide something positive for the newcomer to take away.
ps Danfreek, Heisenberg was right (probably)
 

charliechan

Experienced member
1,008 119
these comments were probably relevant in the days of pit traded contracts, but electronic platforms have improved reliability a lot. this addresses some, but not all of the points ross makes.
 

tradermaji

Junior member
27 0
I am in general a skeptic of the Joe Ross' tidbits. I have a few of his books and from that it appears that he is a discretionary trader. I wonder how successul a trader he is. However, I think he is a good teacher and have explained his gut feelings into word quite well. Just am not a fan of Joe, so thought I will vent.

Maji
 

SOCRATES

Veteren member
4,966 134
Tuffty said:
I agree with the article in that if the data quality is poor, doing any back testing on it may be problematic.

However, it does not mean that the methodology of back testing is useless (although scientifically you can argue the methodology is floored. This is because when back testing you don't touch/move the market with actual trades as you would in real life - rather like trying to measure the temperature of something with a hot hand as the hand will heat the object up).
Cork tiles or carpet ?
 

jmreeve

Well-known member
432 13
I am very surprised at this article as it clearly demonstrates Joe Ross is very very out of touch with the latest technology. For someone with such a reputation I would have expected him to better informed.

The section telling you that you don't know what the volatility is or how fast things are moving with tick data is just wrong.
 

Kardinal

Junior member
29 0
For example if the exchange has reported that a back month they opened at 9755, with a high of 9802, a low of 9760, and a close of 9784. Does that make any sense? How can the low be higher than the open? How can the close be higher than the high?
Open : 9755
High : 9802
Low : 9760
Close : 9784

Low be higher than open - agreed
Close be higher than high - disagree - since when has 9784 > 9802 ?! {Quality of data?}

I get the point of what Joe is trying to say about data quality - but the occurance of such discrepancies is rare in my experience and often easily spotted when examining charts. (Messed around with some excel code a while back to do some data clean up but there were so few inaccuracies that it wasn't worth the time to parse the numbers every day).

And even if there are small inaccuracies - they are just another small part of the many ways in which trading can be 'inefficient' - spreads, commissions, slippage etc - but we all take these into our strides as part of our trading. Several traders I know often say that they allow a margin of error on any price quote, but that in the bigger picture these errors tend to be smoothed out.

You could always do as one charlatan did and run the biorhythm for each market based on the day it first started to trade.
Anyone know who this might be referring too?
 

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