S&P Trading Model - Quite Technical - Meet the Competition
 

During the last week we have seen some very fast action in the equity and equity derivative markets. It probably won't come as much of a surprise to many to know that much of the trading action that drives these markets is executed by the online trading models used by international hedge funds and money center banks.

These models are quite complex, sometimes developed through genetic optimization, and they control the trading in hundreds of millions of shares and hundreds of thousands of equity derivative contracts around the world and around the clock.

Below is the actual code for one such model that is deployed to predict short term price for the S&P futures. Those familiar with basic technology can see at a glance that it is a working program but will not be able to discern the model inputs and thus the model can't be copied.

This particular model uses calculations from advances/declines, UpVol/DnVol, cash indexes and other sources. The model is run every 60 seconds and produces a fresh prediction every 60 seconds. As trading is different from hour to hour over the 24 hour trading day different models are developed for different time periods.

There are, of course, similar models for currency, debt and all other markets in operation today.

For online poker players with a technical background this is one place where bots are allowed and some of them earn billions for their owners and developers.

I am posting this code to give beginners an idea of the competition and stimulate discussion of technique amongst the more sophisticated traders here. Compare this to the code that drives such useless indicators as RSI, Stochastics and MACD. This is an example of one of my trading tools, what do you use?

Variables:BF1(0), BF2(0), BF3(0), BF4(0), BF5(0), BF6(0), BF7(0), BF8(0), BF9(0), BF10(0), BF11(0), BF12(0), BF14(0), BF15(0), BF16(0), BF17(0), BF18(0), BF19(0), BF20(0), BF21(0), BF22(0), BF23(0), BF25(0), BF26(0), BF27(0), BF28(0), BF29(0), BF30(0), BF32(0), BF33(0), BF34(0), BF37(0), BF38(0), BF39(0), BF40(0), BF41(0), BF42(0), BF44(0), BF45(0), BF47(0), BF48(0), BF49(0), BF50(0), BF51(0), BF52(0), BF53(0), BF55(0), BF56(0), BF57(0), BF58(0), BF59(0), BF60(0), BF61(0), BF62(0), BF63(0), BF64(0), BF66(0), BF67(0), BF68(0), BF69(0), BF70(0), BF71(0), BF72(0), BF73(0), BF74(0), BF75(0), BF77(0), BF78(0), BF79(0), BF81(0), BF83(0), BF86(0), BF87(0), BF88(0), BF90(0);

Variables:Fieldname1(0), Fieldname2(0), Fieldname3(0), Fieldname4(0), Fieldname5(0), Fieldname6(0), Fieldname7(0), Fieldname8(0), Fieldname9(0), Fieldname10(0), Fieldname11(0), Fieldname12(0), Fieldname13(0), Fieldname14(0), Fieldname15(0), Fieldname16(0), Fieldname17(0), Fieldname18(0), Fieldname19(0), Fieldname20(0), Fieldname21(0), Fieldname22(0), Fieldname23(0), Fieldname24(0), Fieldname25(0), Fieldname26(0), Fieldname27(0), Fieldname28(0);

Fieldname1 = aaaOBVPulse - aaaOBVPulse[3]; {OBV3}
Fieldname2 = aaaINXPulse - aaaINXPUlse[3]; {INX3}
Fieldname3 = aaaPulse500; {P500F}
Fieldname4 = aaaINXPulse; {INXP}
Fieldname5 = aaaDnVolPulse - aaaDnVolPulse[9]; {DNVOL9}
Fieldname6 = aaaOBVPulse; {OBVP}
Fieldname7 = aaaOEXPulse - aaaOEXPulse[9]; {OEX9}
Fieldname8 = aaaINXPulse - aaaINXPulse[9]; {INX9}
Fieldname9 = aaaPricePulse - aaaPricePulse[3]; {PRICE3}
Fieldname10 = aaaOBVinxTPulse - aaaOBVinxTPulse[9]; {OBVINXT9}
Fieldname11 = aaaINXPulse - aaaINXPulse[6]; {INX6}
Fieldname12 = aaaDnVolPulse; {DNVOLP}
Fieldname13 = aaaDecPulse; {DECP}
Fieldname14 = aaaDecPulse - aaaDecPulse[9]; {DEC9}
Fieldname15 = aaaPricePulse - aaaPricePulse[6]; {PRICE6}
Fieldname16 = aaaAdvPulse; {ADVP}
Fieldname17 = aaaAdvPulse - aaaAdvPulse[9]; {ADV9}
Fieldname18 = aaaTickPulse; {TICKP}
Fieldname19 = aaaTickPulse - aaaTickPulse[6]; {TICK6}
Fieldname20 = aaaUpVolPulse; {UPVOLP}
Fieldname21 = aaaTrinPulse - aaaTrinPulse[9]; {TRIN9}
Fieldname22 = aaaTrinPulse - aaaTrinPulse[6]; {TRIN6}
Fieldname23 = aaaOBVinxTPulse - aaaOBVinxTPulse[6]; {OBVINXT6}
Fieldname24 = aaaOBVinxTPulse; {OBVINXP}
Fieldname25 = aaaPricePulse; {PRICEP}
Fieldname26 = aaaUpVolPulse - aaaUpVolPulse[6]; {UPVOL6}
Fieldname27 = aaaTrinPulse - aaaTrinPulse[3]; {TRIN3}
Fieldname28 = aaaAdvPulse - aaaAdvPulse[6]; {ADV6}
BF1 = MaxList(0, Fieldname1 -41.46400);
BF2 = MaxList(0, -Fieldname1 +41.46400);
BF3 = MaxList(0, Fieldname2 +40.38000);
BF4 = MaxList(0, -Fieldname2 -40.38000);
BF5 = MaxList(0, Fieldname3 -1423.74805) * BF2;
BF6 = MaxList(0, -Fieldname3 +1423.74805) * BF2;
BF7 = MaxList(0, Fieldname4 -94.52000) * BF6;
BF8 = MaxList(0, -Fieldname4 +94.52000) * BF6;
BF9 = MaxList(0, Fieldname5 +137.72099) * BF2;
BF10 = MaxList(0, -Fieldname5 -137.72099) * BF2;
BF11 = MaxList(0, Fieldname6 +19.12000) * BF10;
BF12 = MaxList(0, -Fieldname6 -19.12000) * BF10;
BF14 = MaxList(0, -Fieldname4 -44.36000) * BF1;
BF15 = MaxList(0, Fieldname4 -0.58000) * BF2;
BF16 = MaxList(0, -Fieldname4 +0.58000) * BF2;
BF17 = MaxList(0, Fieldname7 -82.18800) * BF16;
BF18 = MaxList(0, -Fieldname7 +82.18800) * BF16;
BF19 = MaxList(0, Fieldname8 +32.94000) * BF9;
BF20 = MaxList(0, -Fieldname8 -32.94000) * BF9;
BF21 = MaxList(0, Fieldname9 -89.50000) * BF15;
BF22 = MaxList(0, -Fieldname9 +89.50000) * BF15;
BF23 = MaxList(0, Fieldname10 +65.33300) * BF10;
BF25 = MaxList(0, Fieldname3 +1734.56897);
BF26 = MaxList(0, -Fieldname3 -1734.56897);
BF27 = MaxList(0, Fieldname11 -87.62000) * BF25;
BF28 = MaxList(0, -Fieldname11 +87.62000) * BF25;
BF29 = MaxList(0, Fieldname12 +33.25200) * BF3;
BF30 = MaxList(0, -Fieldname12 -33.25200) * BF3;
BF32 = MaxList(0, -Fieldname13 -97.06701) * BF30;
BF33 = MaxList(0, Fieldname14 +1.93300) * BF6;
BF34 = MaxList(0, -Fieldname14 -1.93300) * BF6;
BF37 = MaxList(0, Fieldname15 -98.50000) * BF16;
BF38 = MaxList(0, -Fieldname15 +98.50000) * BF16;
BF39 = MaxList(0, Fieldname16 +6.33300) * BF3;
BF40 = MaxList(0, -Fieldname16 -6.33300) * BF3;
BF41 = MaxList(0, Fieldname17 +3.53300) * BF28;
BF42 = MaxList(0, -Fieldname17 -3.53300) * BF28;
BF44 = MaxList(0, -Fieldname18 +52.81000);
BF45 = MaxList(0, Fieldname5 +0.00000) * BF30;
BF47 = MaxList(0, Fieldname17 -58.00000) * BF4;
BF48 = MaxList(0, -Fieldname17 +58.00000) * BF4;
BF49 = MaxList(0, Fieldname19 +78.13000) * BF47;
BF50 = MaxList(0, -Fieldname19 -78.13000) * BF47;
BF51 = MaxList(0, Fieldname20 +82.61800) * BF30;
BF52 = MaxList(0, -Fieldname20 -82.61800) * BF30;
BF53 = MaxList(0, Fieldname19 -95.69001) * BF40;
BF55 = MaxList(0, Fieldname4 -25.42000) * BF44;
BF56 = MaxList(0, -Fieldname4 +25.42000) * BF44;
BF57 = MaxList(0, Fieldname3 +699.52899) * BF44;
BF58 = MaxList(0, -Fieldname3 -699.52899) * BF44;
BF59 = MaxList(0, Fieldname2 -85.59999) * BF56;
BF60 = MaxList(0, -Fieldname2 +85.59999) * BF56;
BF61 = MaxList(0, Fieldname17 -114.86700) * BF56;
BF62 = MaxList(0, -Fieldname17 +114.86700) * BF56;
BF63 = MaxList(0, Fieldname21 +79.71400) * BF28;

aaaFinSoL1min8x1 = -0.35648 -0.00311 * BF3 -0.03182 * BF4 -0.00012 * BF5 +0.00001 * BF6 +0.00001 * BF7 -0.000000056 * BF8 -0.00010 * BF9 +0.00190 * BF10 -0.00040 * BF11 -0.00006 * BF12 +0.00405 * BF14 +0.00040 * BF16 +0.00006 * BF17 -0.0000016 * BF18 +0.0000003 * BF19 +0.0000011 * BF20 -0.00020 * BF21 +0.0000007 * BF22 -0.00031 * BF23 +0.00031 * BF25 +0.00406 * BF26 +0.0000061 * BF27 -0.0000017 * BF28 -0.00017 * BF30 +0.00023 * BF32 -0.000000059 * BF33 -0.000000020 * BF34 +0.00193 * BF37 -0.0000008 * BF38 -0.00007 * BF39 -0.00014 * BF40 +0.000000029 * BF41 +0.000000026 * BF42 -0.01078 * BF44 -0.00003 * BF45 +0.00559 * BF47 +0.00040 * BF48 -0.00014 * BF49 -0.00011 * BF50 +0.0000076 * BF51 +0.00007 * BF52 +0.00001 * BF53 -0.00045 * BF55 +0.00039 * BF56 +0.00001 * BF57 -0.0000088 * BF58 +0.00164 * BF59 -0.0000007 * BF60 -0.00009 * BF61 -0.0000006 * BF62 +0.000000016 * BF63 +0.000000052 * BF64 +0.00012 * BF66 -0.00066 * BF67 +0.00028 * BF68 +0.00005 * BF69 +0.00001 * BF70 +0.0000001 * BF71 +0.000000089 * BF72 -0.000000097 * BF73 -0.000000039 * BF74 -0.00007 * BF75 +0.0000036 * BF77 +0.00002 * BF78 -0.0000075 * BF79 +0.00020 * BF81 -0.03978 * BF83 +0.00001 * BF86 +0.0000093 * BF87 +0.000000031 * BF88 -0.0000011 * BF90 ;

Re: S&P Trading Model - Quite Technical - Meet the Competition
 

[ QUOTE ]
what do you use?

[/ QUOTE ]

Support,ressistance, trendlines, chart patterns, breakouts, divergances etc.

[ QUOTE ]
As trading is different from hour to hour over the 24 hour trading day different models are developed for different time periods.

[/ QUOTE ]

Translated this means it works until it doesn't [img]/images/graemlins/smile.gif[/img] The action over the past two weeks is "abnormal". Particularly the speed of market action recently. Order books getting swept and snapping right back (or not) in the blink of an eye. What works in that environment might not work at all in another. And you never know when the environment is gonna change. Knowing what kind of market you are in is what is most important.

There is no "holy grail". Just solid repeatable ideas that work more often than not if you have the type of market you are in pegged correctly and can stick to a strict disciplined plan of attack.

Adaptive, artificially intelligent technologies
 

Modern modeling technologies have the ability to adapt to changing conditions if properly trained, developed and backtested.

The classic technical analysis you reference can be extremely effective in the hands of an expert.

A well developed model based strategy can be even more effective even when run by a complete rube.

Plus - sweeping generalizations by someone not expert in advanced genetically optimized artificially intelligent modeling technologies are often incorrect.

Re: Adaptive, artificially intelligent technologies
 

[ QUOTE ]
Plus - sweeping generalizations by someone not expert in advanced genetically optimized artificially intelligent modeling technologies are often incorrect.

[/ QUOTE ]

I wanted to discuss your thread last week but it got locked very quickly for no apparent reason before I could comment.

First I was interested in exactly what that crossover and oscillator were? It looked like some variation of a 3-6 MA crossover system. I was also intersted in what kind of execution you use. Meaning do you use an automatic entry system? With sub one minute bars physical entry on those signals can be trying at best with the speed of the market moves meaning if it isn't the computer itself putting in the order you miss many of them. Also that section of chart seemed tailormade for such a crossover system yet those experienced in similar methods realize there are plenty of periods where such an approach is a chop shop. How do you avoid the mincemeat when the market is whipsawing in a narrower range as it often does?

Noise discriminiation
 

Your are correct about order entry, with sometimes as many as 12 bars per minute, manual execution/order entry is impossible.

The chart below is a bit slow compared to what I/my software normally trades and yet still it only shows 25 minutes and includes 14 or more plainly indentifiable trades/28 transactions.

The zero phase adaptive moving averages on price are there only for reference.

The histogram based oscillator on the bottom of the chart is based on my own proprietary micro time frame volume analysis algorithms.

As you may have already read I put little stock in indicators based on price. It is my belief that it is buying and selling volumes that predict price and not price itself. Also, micro analysis of certain volumes can predict noise as well as trend in almost every time frame.

While the chart below shows remarkable organization even at this very low time frame this is not the output from any modeling technology but merely a couple of the inputs and demonstrated here as a reference.

Of course MA systems suffer greatly in noisy periods so one of the first responsibilities of any effective model is to recognize periods of noise and either avoid them or take advantage of them depending on the model's utilization.


http://www.tradepointtechnologies.com/1kBar.jpg

2 Basic Principles - Macro
 

EVERYTHING I do in the market is based on 2 basic priciples:

1 - Information = Equity. Everytime a trade is entered a certain equity is assumed. If the information that is the basis for the trade is good then the equity will increase.

2. Buying and Selling Pressure. It is buying and selling pressure that drives price. If you can precisely measure the net buying and selling pressure in any time frame then you can predict the price.

Re: 2 Basic Principles - Macro
 

[ QUOTE ]
EVERYTHING I do in the market is based on 2 basic priciples:

1 - Information = Equity. Everytime a trade is entered a certain equity is assumed. If the information that is the basis for the trade is good then the equity will increase.

2. Buying and Selling Pressure. It is buying and selling pressure that drives price. If you can precisely measure the net buying and selling pressure in any time frame then you can predict the price.

[/ QUOTE ]

1) how long have you done this? i.e. when was the system started?

2) can you provide a return stream for your system? i'd like to see how it does.

thanks,
Barron

Posts Speak
 

1. I started doing volume analysis on the CBOT Bond Futures during the late 70's.

2. Have you ever seen ANYONE post commercial trading results for the public to see? I also will not.

I believe my posts present information not generally available to the public. My purpose here is to discuss/share and in some cases mentor.

I might even give away an egg or two but the goose is mine and it is not for sale or lease.

This isn't about the TED spread.

Re: Posts Speak
 

[ QUOTE ]
1. I started doing volume analysis on the CBOT Bond Futures during the late 70's.

2. Have you ever seen ANYONE post commercial trading results for the public to see? I also will not.

I believe my posts present information not generally available to the public. My purpose here is to discuss/share and in some cases mentor.

I might even give away an egg or two but the goose is mine and it is not for sale or lease.

This isn't about the TED spread.

[/ QUOTE ]

how would anybody be able to recursively construct anything based solely on your return stream.

i basically wanted to see the information ratio you generated as well as the overall return stream and analyze any and all of the big jumps and basically look into it.

it wouldn't be giving the goose away at all. look at teh CSFB tremont index. there are some of the most sccessful hedge fund return streams.

i'm asking because i'm curious. if you want i'll sign an NDA and you can email it to me b/c i like looking into this stuff.

i don't see the harm in posting a return stream since a) you can't determine total returns to capital based on it, and b) you can't reconstruct your trading system based onit.

i also don't get the comment about the TED spread? did i miss a post on it or something?

Barron

Re: Posts Speak
 

You need to shrink your images before you post them. When I see these threads I don't even read them because the scrolling is a PITA.

You mean like this
 

Partners & NDA
 

NDA's are worthless in this arena.

I have certain trading relationships and some of them are p*ssed that I post at all.

Re: Partners & NDA
 

I am an expert in Genetic Algorithms. I could publish in the field since I used it for years. You're right that it can provide an edge, but the code you posted has nothing to do with GA. You just posted a system that uses a lot of inputs.
Actually, it is kind of contradictory with you using GA, because with that many inputs you'd need years of data to avoid overfitting. But like you said a fitted system loses effectiveness over time...

Survival of the fittest
 

GA can be applied in many areas. While this particular model doesn't reflect GA, survival of the fittest algorithms were used when selecting the inputs.

To avoid overfitting is modeling 101. As to the amount of data, it is not the amount of time that is required, it is the quantity of records/facts for training/development that is relavant. If you create one record/fact per day you would indeed need many years of data. If you create 500/1000 records per trading session then you would need considerably less than 1 year.

I use a ratio of 100-300 records per input, not including test data, in the developement process.

Inputs for these types of operations require normalization both historically and as to time of day.

For all those years of experience you seem to have missed the most effective uses of GA in this arena.

Also, I didn't post any system. I only posted the algorithm for one model that is but a part of a system.

Re: Posts Speak
 

[ QUOTE ]
I believe my posts present information not generally available to the public. My purpose here is to discuss/share and in some cases mentor.


[/ QUOTE ]

I haven't seen much information? Just vague references to some sort of (possibly) automated trading system using methods you aren't willing to discuss which doesn't really lend itself to discussion.

Re: Survival of the fittest
 

[ QUOTE ]
GA can be applied in many areas.

[/ QUOTE ]

Yes, but it is always just an optimizer, and often not even the best choice of one. GA is a totally uninteresting topic for a trading board, because the choice of optimizer is mundane and beside the point. What are you optimizing, is the question. Let me guess: you aren't saying.

Snooze.

eastbay

For just a few
 

Relative to trading you can use GA to optimize: inputs to neural networks, settings to neural networks, time frames, stttings to MA's & ADA's & other oscillators, stop losses, take profits, holding periods, exit times, legs in & legs out, options spreads, ratio spreads and that's just to name a few.

What is the real Snooze is a total lack of vision and imagination as regards powerful algorithms and how they are deployed.

Re: For just a few
 

[ QUOTE ]
Relative to trading you can use GA to optimize: inputs to neural networks, settings to neural networks, time frames, stttings to MA's & ADA's & other oscillators, stop losses, take profits, holding periods, exit times, legs in & legs out, options spreads, ratio spreads and that's just to name a few.


[/ QUOTE ]

Actually you can use GA to optimize anything. The question is: what works.

[ QUOTE ]

What is the real Snooze is a total lack of vision and imagination as regards powerful algorithms and how they are deployed.

[/ QUOTE ]

Assumptions, assumptions.

eastbay

Re: Survival of the fittest
 

[ QUOTE ]
GA can be applied in many areas. While this particular model doesn't reflect GA, survival of the fittest algorithms were used when selecting the inputs.

To avoid overfitting is modeling 101. As to the amount of data, it is not the amount of time that is required, it is the quantity of records/facts for training/development that is relavant. If you create one record/fact per day you would indeed need many years of data. If you create 500/1000 records per trading session then you would need considerably less than 1 year.

[/ QUOTE ]


GA is useful, however in most cases it is far from an ideal method for input selection (as eastbay said). It is much better to do a principal component analysis to make sure the inputs are not correlated.

And it is terrible for input selection for neural networks. NNs tend to overfit even without optimizing for input. And cross-validation using "training/test/test" samples is not very effective. Might work, but again it is not ideal.

Also, I was trying to point out that I don't get the purpose of your post. It didn't give any useful info for somebody trying to implement a system.

Re: S&P Trading Model - Quite Technical - Meet the Competition
 

[ QUOTE ]
This particular model uses calculations from advances/declines, UpVol/DnVol, cash indexes and other sources. The model is run every 60 seconds and produces a fresh prediction every 60 seconds. As trading is different from hour to hour over the 24 hour trading day different models are developed for different time periods.

[/ QUOTE ]

[ QUOTE ]
EVERYTHING I do in the market is based on 2 basic priciples:

1 - Information = Equity. Everytime a trade is entered a certain equity is assumed. If the information that is the basis for the trade is good then the equity will increase.

2. Buying and Selling Pressure. It is buying and selling pressure that drives price. If you can precisely measure the net buying and selling pressure in any time frame then you can predict the price.

[/ QUOTE ]

For those looking to filter Urma's posts, I think the quotes above can lead to an interesting discussion. Basically, I think this gives an idea of information that he believes can be used to provide a statistical edge in automated trading. Everything else(the "sample" code) is pretty useless, perhaps meant to make his posts/knowledge/systems look complex while throwing around words like GA, AI, NNs a bit too much.

Re: S&P Trading Model - Quite Technical - Meet the Competition
 

[ QUOTE ]



Quote:
--------------------------------------------------------------------------------

EVERYTHING I do in the market is based on 2 basic priciples:

1 - Information = Equity. Everytime a trade is entered a certain equity is assumed. If the information that is the basis for the trade is good then the equity will increase.

2. Buying and Selling Pressure. It is buying and selling pressure that drives price. If you can precisely measure the net buying and selling pressure in any time frame then you can predict the price.


--------------------------------------------------------------------------------



For those looking to filter Urma's posts, I think the quotes above can lead to an interesting discussion. Basically, I think this gives an idea of information that he believes can be used to provide a statistical edge in automated trading. Everything else(the "sample" code) is pretty useless, perhaps meant to make his posts/knowledge/systems look complex while throwing around words like GA, AI, NNs a bit too much.


[/ QUOTE ]

I agree. However he himself doesn't seem to want to discuss that stuff? His system (the one shown on his charts anyway) appear to be some sort of hybrid MA crossover using some sort of hybrid of Elders Force Index. Nothing really new or groundbreaking yet if he would talk about it there probably would be some interesting discussion.

Reduced
 

My work in these markets bagan before many posters to this forum were born. If I was reduced to using products from such hacks as Elders, Williams, Angell or Wilder I would have the same dismal results as those who do.

Most of my work is proprietary. My purpose here is to point out that there is life in many time frames and many useful technologies and methods that go far beyond traditional technical analysis.

Most traders don't have access to the methods, technologies and outlook utilized by the trading entities that actually move the markets. However, anybody with some thought, understanding and effort can build technology that can read and take advantage of the actions of those that really do move the market.

Every trade leaves a record and a precise track of those trades can reveal the path of price.

Most of the graphs I have posted do not reflect any system but are some of the inputs to certain trading methodologies.

Price based, non-optimized, unintelligent, non-adaptive approaches have little chance of succes in these micro time frames. Smart, timed long term investing will always work but leaves 80%+ on the table.

Re: Reduced
 

[ QUOTE ]

Most of my work is proprietary. My purpose here is to point out that there is life in many time frames and many useful technologies and methods that go far beyond traditional technical analysis.


[/ QUOTE ]

Do you have anything that's not blindingly obvious to say?

eastbay

Something
 

Obvious or not at least there is some content to my posts. I checked yours over the last month and obvious or not they are all content free.

Over the last days I have posted graphs and other information about how I see the market. I have shown something of mine, why don't you show us something of yours?

I don't think all of the material in all of my posts is so obvious, so why don't you post something supported by graphs or other proofs on technical, short term trading that you think is NOT quite so obvious?

Re: S&P Trading Model - Quite Technical - Meet the Competition
 

[ QUOTE ]

I agree. However he himself doesn't seem to want to discuss that stuff? His system (the one shown on his charts anyway) appear to be some sort of hybrid MA crossover using some sort of hybrid of Elders Force Index. Nothing really new or groundbreaking yet if he would talk about it there probably would be some interesting discussion.

[/ QUOTE ]

I think we might be getting leveled, MrB? The more I reread these posts, the more I think it is just trolling.

As an outsider to automated trading, I'll say that the best systems I've seen are actually quite simple. Particularly in the high freq space, the ability to execute faster than the other guy and secure the cheapest commissions(by trading size) often determines the system's profitability.

Re: Something
 

[ QUOTE ]
Obvious or not at least there is some content to my posts.


[/ QUOTE ]

I disagree. Your posts pretend to have content, when in fact all they have is gobbledygook like "advanced genetic algorithms" and "adaptive artificially intelligent" designed to impress and snow people who don't know very much.

[ QUOTE ]

I checked yours over the last month and obvious or not they are all content free.


[/ QUOTE ]

I've posted more useful content on 2+2 over the past 4 years than 99.9% of posters.

[ QUOTE ]

Over the last days I have posted graphs and other information about how I see the market.


[/ QUOTE ]

Yeah, that say, "look, different timescales." So what?

[ QUOTE ]

I have shown something of mine, why don't you show us something of yours?


[/ QUOTE ]

If I have something I want to share, I will share it. What I will not do is pretend to share something, smear some big words all over it, and hold it up as though it meant something when in fact it is nothing.

What purpose does your code snippet really serve? What is it intended to communicate, other than "look how impressive this looks. I must be really smart, huh?"

[ QUOTE ]

I don't think all of the material in all of my posts is so obvious, so why don't you post something supported by graphs or other proofs on technical, short term trading that you think is NOT quite so obvious?

[/ QUOTE ]

We both know that there's no incentive and plenty of disincentive for any trader to give away information that makes money, especially when it comes to systematic modeling. The difference between you and I is that I don't pretend to.

Sorry I bothered to respond to this thread at all, but people who throw around big words without saying anything are irritating to me.

Carry on, maybe you'll get to something good eventually.

eastbay

Re: S&P Trading Model - Quite Technical - Meet the Competition
 

Posts like this make me angry.

There are a lot of people on this forum who are trying to learn more about markets and have an open, stimulating discussion about financial topics. You jump in and post some @$&!^! about how hard it is to trade without generating any useful discussion. Then you copy a piece of your 'algorithm' that just initializes a bunch of variables and sums them together using different coefficients.

If you want to promote discussion then provide something to discuss. Talk about some of the principles behind your algorithm. Tell us how you first got into this field, and what you have learned along the way. All this post does is discourage people who want to learn more about markets but look through this crap and decide it's too hard.

Incidentally - I know a lot of people in finance and I have never heard the term "money center bank" before. Where did you say you work again?

Re: Reduced
 

[ QUOTE ]
My work in these markets bagan before many posters to this forum were born. If I was reduced to using products from such hacks as Elders, Williams, Angell or Wilder I would have the same dismal results as those who do.

Most of my work is proprietary. My purpose here is to point out that there is life in many time frames and many useful technologies and methods that go far beyond traditional technical analysis.

Most traders don't have access to the methods, technologies and outlook utilized by the trading entities that actually move the markets. However, anybody with some thought, understanding and effort can build technology that can read and take advantage of the actions of those that really do move the market.

Every trade leaves a record and a precise track of those trades can reveal the path of price.

Most of the graphs I have posted do not reflect any system but are some of the inputs to certain trading methodologies.

Price based, non-optimized, unintelligent, non-adaptive approaches have little chance of succes in these micro time frames. Smart, timed long term investing will always work but leaves 80%+ on the table.

[/ QUOTE ]

the value to your posts would come from the discussion of the construction of your algorithms or of solid algorithms in general.

so far though, i've really seen little value in simply observing the charts you make.

in terms of trading systems, i've seen bits and pieces of some truly impressive ones so posting random snipets of systems something that is part of a system doesn't provide much in the way of value imo.

i don't want you to stop posting but just be more constructive.

Barron

Re: S&P Trading Model - Quite Technical - Meet the Competition
 

Is that one of those market neutral models that just lost 25%? Or is it one of those other over-parameterized models that just lost 25%?

Re: S&P Trading Model - Quite Technical - Meet the Competition
 

[ QUOTE ]
Incidentally - I know a lot of people in finance and I have never heard the term "money center bank" before.

[/ QUOTE ]
It is a fairly common term -- think C, BAC, WFC and JPM. In fact, S&P used to (might still) have an index called the S&P Money Center Bank Index.

Says it all
 

The fact that you never heard of the term "money center bank" says it all.