Profitability of System Types at Present

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Chris67
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Profitability of System Types at Present

Post by Chris67 » Tue Aug 17, 2010 1:31 pm

Don't know if anyone else has kept an eye on this but from what I look at it seems that the good old break-out systems are out-performing at present ?? the systems that most resigned to the scapheap - i.e nice basic break-outs are well out performing all other types of medum / lt tf systems I look at at present
Maybe its just the way I have things set up and maybe its not representative of whats really the case - but it wouldnt surprise me given the fact most seem to believe markets are too volatile / whippy for old fashioned breakouts to work now !!!!
Once again looks to me like whatever is hot is crap and whatever is cold is good !!

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Post by sluggo » Tue Aug 17, 2010 1:45 pm

Suppose you believe there are 3 different "system types": good old break-out systems, and two others.

You could allocate 1/3 of your trading capital to system type #1 (good old break-out systems), another 1/3 of your trading capital to system type #2, and a final 1/3 of your trading capital to system type #3.

Now you are guaranteed to have 1/3 of your money trading whichever system type is out-performing at present. You always have a bet on the winning horse.

You could even "add a discretionary overlay" as the marketing people might say. You could adjust the capital allocations among the three system types, according to your gut feel. You might decide that you will permit yourself to vary the capital allocation to an individual system-type, between 1/6th and 2/3rds. You could give yourself permission to cut it in half, from 1/3rd to 1/6th; or, you can double it, from 1/3rd to 2/3rds.
Last edited by sluggo on Wed Aug 18, 2010 1:39 pm, edited 1 time in total.

Chris67
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Post by Chris67 » Tue Aug 17, 2010 3:14 pm

Are you sure you havent read our offering memorandum there Sluggo ?
Thats pretty much what I do - try and mix it up
Gut feel overlay - of course the best thing about having money spread over different types of systems is even if you get your gut feel wrong and dont allocate your full whack to a system that blows away - well guess what - youve still got money in a system that blows away !!! better than nothing perhaps !

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Post by nodoodahs » Wed Aug 18, 2010 5:59 pm

Chris67 wrote:...Gut feel overlay ...
My gut feeling is that I need to trade my $@^%#%&*$^ system and not (&(%$^*@# about discretion.

I've learned that my "discretion" needs to be confined to system design. :shock:

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Post by AFJ Garner » Thu Aug 19, 2010 4:04 am

A trader well know to everyone in this small corner of the investment universe is invariably assumed to be a purely mechanical trader. A conversation with said trader and a CTA close to said trader a while ago revealed that although the trader has spent many years coding and back testing and looking at technical indicators, he in fact exercises much discretion in his trading.

Although the trader has no publicly available track record, he has lived a comfortable life over the years and is said by some of those who know him to be the best trader they have ever met.

The exercise of discretion outside of system design and portfolio choice would undoubtedly lead me to disaster. Not so for everyone it seems.

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Post by DeanoT » Thu Aug 19, 2010 5:54 am

AFJ Garner wrote:A trader well know to everyone in this small corner of the investment universe is invariably assumed to be a purely mechanical trader. A conversation with said trader and a CTA close to said trader a while ago revealed that although the trader has spent many years coding and back testing and looking at technical indicators, he in fact exercises much discretion in his trading.
Assuming you are referring to the trader that I am thinking of, then your comment would be consistent with these published comments:

Stick to the rules, and
Know when to break the rules.

Chris67
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Post by Chris67 » Thu Aug 19, 2010 11:03 am

PTJ - One of best 3 Inv mngers of all time
all discretion ?

nodoodahs
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Post by nodoodahs » Thu Aug 19, 2010 7:43 pm

From a philosophical standpoint, are there really any discretionary traders?

Or are they all just systematic traders who suffer from a lack of proper documentation?

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Post by Moto moto » Fri Aug 20, 2010 4:49 am

nodoodahs wrote:From a philosophical standpoint, are there really any discretionary traders?

Or are they all just systematic traders who suffer from a lack of proper documentation?
I pretty much agree with this assessment. While mechanical testing may prove a concept, and pure mechanical systemised trading is a good option, it does not mean that many discretionary traders are that much further from it. They are probably just not as binary as a computer and can use a little more context - that netherworld of the brains tinkering we find so hard to pin down..... But they essentially still follow rules.

On that note I am reading a very interesting book - "Stumbling on happiness" by Daniel Gilbert - its scary how many trading related examples (with regards to how our brains work) are in there in even though its not a trading book by any means.

Also did any one read Stanley Druckenmillers letter as to why he is retiring...? A good comment on the emotional effect of drawdowns.

"While the joy of winning for clients is immense, for me the disappointment of each interim drawdown over the years has taken a cumulative toll that I cannot continue to sustain."
while many commentators talk about the desire to play golf, the increased size, it seems that this (and we can all relate I am sure) is the decider...

can be found here http://www.ft.com/cms/s/0/6f1ca310-aaf8 ... abdc0.html

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Post by LeapFrog » Fri Aug 20, 2010 10:38 am

Moto moto wrote:
nodoodahs wrote:From a philosophical standpoint, are there really any discretionary traders?

Or are they all just systematic traders who suffer from a lack of proper documentation?
I pretty much agree with this assessment. While mechanical testing may prove a concept, and pure mechanical systemised trading is a good option, it does not mean that many discretionary traders are that much further from it. They are probably just not as binary as a computer and can use a little more context - that netherworld of the brains tinkering we find so hard to pin down..... But they essentially still follow rules.

On that note I am reading a very interesting book - "Stumbling on happiness" by Daniel Gilbert - its scary how many trading related examples (with regards to how our brains work) are in there in even though its not a trading book by any means.

Also did any one read Stanley Druckenmillers letter as to why he is retiring...? A good comment on the emotional effect of drawdowns.

"While the joy of winning for clients is immense, for me the disappointment of each interim drawdown over the years has taken a cumulative toll that I cannot continue to sustain."
while many commentators talk about the desire to play golf, the increased size, it seems that this (and we can all relate I am sure) is the decider...

can be found here http://www.ft.com/cms/s/0/6f1ca310-aaf8 ... abdc0.html
Good comments MM. Dan Gilbert is a very engaging thinker and his experiments yield interesting results. On a similar vain, I found this short TED talk on the "Paradox of Choice" very apropo too...

http://www.ted.com/talks/lang/eng/barry ... hoice.html

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Post by RedRock » Fri Aug 20, 2010 4:35 pm

LeapFrog wrote: ... very engaging thinker and his experiments yield interesting results. In a similar vein, I found this short TED talk on the "Paradox of Choice" very apropos too...
Interesting speech until he states that income redistribution will be helpful for the rich not just the poor because it will take away freedoms of choices from the rich and that will be better for them. Ridiculous.

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Post by Moto moto » Sun Aug 22, 2010 4:00 pm

RedRock - of course the government is helping you, it takes your money so you dont have to worry about it, where to invest, where to make it safe, they are much better at making choices...... or at least they appear to have no regrets in the choices they make. :)
.... thats probably because governments (and corporations and other organisations) are nothing like individuals in terms of their choice, regrets and oh.... lack of emotions and accountability.

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