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

[mrbaseball]

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Quote:
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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.


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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.

[UrmaBlume]

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.

[eastbay]

[ 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

[UrmaBlume]

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?

[hapaboii]

[ 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.

[eastbay]

[ 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.

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


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

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


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

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


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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?"

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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

[rsliu]

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?

[DcifrThs]

[ 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

[Ryno]

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%?

[TLC]

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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.