Find System by Name

Wait

Quick Links

Watch List

Drag any system on page
to here.

 

Forum: Collective2 Suggestions, Feedback, Questions

New?Last PostPosted By#Subject
5/21/13 (10:25)Kevin Mcgrath, ph.d.3C2 policy
5/18/13 (9:32)Matthew Klein2Error in reported annual return
5/17/13 (21:26)Matthew Klein2How do I edit a system description?
5/17/13 (10:07)Mark Winslow1Checking Portfolio Correlation
5/17/13 (3:28)Ofer Wolfson1STC FX orders not adhering to parking limits
5/16/13 (11:25)Kevin Mcgrath, ph.d.3Set limit entry based on open price
5/15/13 (9:01)Volatility Breakout9How much is 1 lot of forex?
 
Older subjects >>


Post new message

 
Subject:New forum?
Posted by:Jules Ellis  New msg
 
Ignore user's posts for week month forever
When:8/18/06 (13:07) 
 
I suggest to create a new general forum, e.g. "Trading and the Markets" where we can have discussions about general principles of trading and the behavior of markets.

Right now there isn't a good place for such discussions: They are not suggestions to C2, they have nothing to do with autotrading, the do not pertain to a specific system, and they do not qualify as chatter.

I also suggest that if I forget to give a title to my post on this forum, and C2 forces me to go back to the previous page, that my written text will still be there and that I don't have to write it again.
  
SubscribePost a reply to this
 
Subject:New forum?
Posted by:Giovanni Biondi ( C2 Score: 823)  New msg
 
Ignore user's posts for week month forever
When:8/18/06 (19:40) 
Systems:
 

In response to post by Jules Ellis of 8/18/06 (13:07)

I suggest to create a new general forum, e.g. "Trading and the Markets" where we can have discussions about general principles of trading and the behavior of markets....

See entire

I second that wholeheartedly, on both points.
  
SubscribePost a reply to this
 
Subject:New forum?
Posted by:thanh phan ( C2 Score: 944)  New msg
 
Ignore user's posts for week month forever
When:8/20/06 (18:00) 
Systems:
 

In response to post by Jules Ellis of 8/18/06 (13:07)

I suggest to create a new general forum, e.g. "Trading and the Markets" where we can have discussions about general principles of trading and the behavior of markets....

See entire

"I suggest to create a new general forum, e.g. "Trading and the Markets" where we can have discussions about general principles of trading and the behavior of markets. "



Maybe , each system designer can contribute a little bit of their experties about the market which their system is trading, then we can discuss the details as to why and how to trade such and such market. In my opinion, the market is very unpredictable and very chaotic, especially as we move towards more and more electronic base trading systems. Therefore, the current market conditions create chaotic behaviors in the market place which in turn translate into probabilities of profit/loss factor at anyone point in the market place. Sound like the Heisenberg principle?
Heisenber theory:
"Heisenberg took this one step further: he challenged the notion of simple causality in nature, that every determinate cause in nature is followed by the resulting effect. Translated into "classical physics," this had meant that the future motion of a particle could be exactly predicted, or "determined," from a knowledge of its present position and momentum and all of the forces acting upon it. The uncertainty principle denies this, Heisenberg declared, because one cannot know the precise position and momentum of a particle at a given instant, so its future cannot be determined. One cannot calculate the precise future motion of a particle, but only a range of possibilities for the future motion of the particle. (However, the probabilities of each motion, and the distribution of many particles following these motions, could be calculated exactly from Schrödinger's wave equation.)"

This is the part what I like the most:
"The uncertainty principle denies this, Heisenberg declared, because one cannot know the precise position and momentum of a particle at a given instant, so its future cannot be determined. One cannot calculate the precise future motion of a particle, but only a range of possibilities for the future motion of the particle"
Does it sound like chaotic market dynamic and market instability anyone? If we believe that any introduction of a single entity into the market place which we cannot calculate the precise future heading then what we have here is 50/50 % chance that entity will travel up or down. Fortunately , the Heisenberg principle also states that "only a range of possibilities for the future motion of particle can be calculated" which mean that it is possible with the x-factors current market conditions , we can predict the range of that entity will end. So here , we have probability and distribution of entities that can be calculated which mean that if we believe in a trading system , the probability of success of a single system over time should reflect in the distributions of enties of that system. So let's recap:
1) Heisenberg principle
2) Distributions of particles
3) The probabilities of each motion, and the distribution of many particles following these motions, could be calculated exactly from Schrödinger's wave equation

System design:
1) Market movement
2) entry orders
3) probability Profit/loss of a system can be calculated over time because of many entry orders which will give distribution.

Remember , the ideas behind the Heisengberg principle is a tool to bring us back to reality that if the market price is a single particle travelling at high velocity it will be impossible to determine its future. However we can calculate the range of its motion. Therefore, we can structure our trading technique or system around that Heisengberg principle. So theorically , if we can control the distribution of our entities we may be able to trade the market after all. I think the important part in designing a trading system is to control the distributions of the entities, and in an unstable market it can be difficult but not impossible.



  
SubscribePost a reply to this
 
 

In response to post by thanh phan of 8/20/06 (18:00)

"I suggest to create a new general forum, e.g. "Trading and the Markets" where we can have discussions about general principles of trading and the behavior of markets. " ...

See entire

There is a little problem. While Heisemberg principle can apply to phisical reality, in the financial markets there are partecipants that 'remember' in some way what happened. Moreover they remember better the relative older facts rather than very recent.
Moreover again, they believe to be free but really they are following some common rules, common to the human mind. Otherwise there would be no explication about he fact that the bear market is more impulsive than the bullish one and that in the bear market the computers gain more money (it seems that bear markets are less erratic).
  
SubscribePost a reply to this
 
Subject:New forum?
Posted by:thanh phan ( C2 Score: 944)  New msg
 
Ignore user's posts for week month forever
When:8/22/06 (11:35) 
Systems:
 

In response to post by Seleukos Srl Finance Forecasting of 8/22/06 (4:35)

There is a little problem. While Heisemberg principle can apply to phisical reality, in the financial markets there are partecipants that 'remember' in some way what happened. Moreover they remember better the relative older facts rather than very recent....

See entire

"There is a little problem. While Heisemberg principle can apply to phisical reality, in the financial markets there are partecipants that 'remember' in some way what happened. Moreover they remember better the relative older facts rather than very recent.
Moreover again, they believe to be free but really they are following some common rules, common to the human mind. Otherwise there would be no explication about he fact that the bear market is more impulsive than the bullish one and that in the bear market the computers gain more money (it seems that bear markets are less erratic). "

Yes , in a real market people are in control of their investment and trades. And yes, they based their decisions on historical data to project into future market. However each individual would remember x-facts, y-estimations, and z-solutions , therefore the possibilities are enormous and if you take that single individual multiply by an x-population of investors, now you are creating a chaotic, unpredictability, and instability in the market place or simply put it volatility. The uncertainty principle denies this, Heisenberg declared, because one cannot know the precise position and momentum of a particle at a given instant, so its future cannot be determined. One cannot calculate the precise future motion of a particle, but only a range of possibilities for the future motion of the particle. So in a market place if one cannot predict the sum of individual decisions then how can we predict where the future value of the market? Further more , each action in the market could theoretically bring the market any where in the trading matrix, such as range , out of range, break out, break down ect... So how can we assume that because of one single individual has analyzed x-historical data then surely most individual will follow the same path (trend trading anyone?) Well, it is true that in some case the path of x-group of investors could influence Y-group of investors to move in the same path, but again it does not prove that the market is predictable at a precise point into the future. The condition of price trend is simply a large distribution of entities migrating to a certain pricing range rather than a specific price. Therefore it is not possible to predict the exact price of the market at x-future period. And the reality is if one would know the exact price in the future and act upon it, by the time it gets there the market would probably affected it dramatically. Therefore, only the price range of distribution could be estimated as percentage of probabilities.
  
SubscribePost a reply to this
 
 

In response to post by thanh phan of 8/22/06 (11:35)

"There is a little problem. While Heisemberg principle can apply to phisical reality, in the financial markets there are partecipants that 'remember' in some way what happened. Moreover they remember better the relative older facts rather than very recent....

See entire

The distribution is not normal, as Mandelbrot demonstrates.
I will focus on the fact that rather the normal distribution is in the rules followed by the partecipant's mind. Fear influences minds more than greed and for many reasons fear is around the corner in the bull markets

I have discovered the Hunter Memory: in a minutes chart, trace an Exponential Moving Average with length 55 and displaced 21 minutes on the right (future). It seems that prices cannot go too apart from such an average. This is an about sure rule. Perhaps other rules do exist... This is not to say that I have the crystal ball...
  
SubscribePost a reply to this
 
 

In response to post by Seleukos Srl Finance Forecasting of 8/22/06 (11:51)

The distribution is not normal, as Mandelbrot demonstrates.
I will focus on the fact that rather the normal distribution is in the rules followed by the partecipant's mind. Fear influences minds more than greed and for many reasons fear is around the corner in the bull markets ...

See entire

In the previous post: around the corner in the bear markets, not bull. EXCUSE ME.
  
SubscribePost a reply to this
 
Subject:New forum?
Posted by:bob gregor ( C2 Score: 249)  New msg
 
Ignore user's posts for week month forever
When:8/23/06 (0:34) 
Systems:
 

In response to post by thanh phan of 8/20/06 (18:00)

"I suggest to create a new general forum, e.g. "Trading and the Markets" where we can have discussions about general principles of trading and the behavior of markets. " ...

See entire

A policeman pulls Heisenberg over for speeding on the autobahn.
He asks Heisenberg "Do you have any idea how fast you were going?"
He replies "Nope, but I can tell you where I'm at"
  
SubscribePost a reply to this
 
Subject:New forum?
Posted by:Jules Ellis  New msg
 
Ignore user's posts for week month forever
When:8/23/06 (0:39) 
 

In response to post by thanh phan of 8/22/06 (11:35)

"There is a little problem. While Heisemberg principle can apply to phisical reality, in the financial markets there are partecipants that 'remember' in some way what happened. Moreover they remember better the relative older facts rather than very recent....

See entire

I always understood the uncertainty principle as just a mathematical consequence of the Schrödinger equation. Both impulse and position are waves, and they are related by a Fourier-transformation. I.e. they are related like wave length and frequency. A small wave length implies a high frequency. Similarly, small variance of the wave (small uncertainty of position) implies a large variance of the frequencies (large uncertainty of impulse). So they can't be both small at the same time.

But perhaps I understood it wrong. Otherwise, I don't see the relationship with the behavior of markets.

What surely understand is that in mechanics, although the behaviour of the individual particles has a certain unpredictability, the behavior of a large mass of particles usually loses that property and is again predictable by the classical laws of Newton. So if you equate individual actors in the market with particles, then your analogy would imply that, alhough these actors are unpredictable, the total market is very predictable.

I don't believe that the market is usually predictable; but if it is, then the actors will become predictable too, in contradiction with the assumption that they are unpredictable. Moreover, the individual actors will become predictable in such a way that the total market will again be unpredictable.

So I would suggest that the relation between actors and markets is the opposite of quantum mechanics: While the individual actors may be predictable, their total is not predictable.
  
SubscribePost a reply to this
 
Subject:New forum?
Posted by:thanh phan ( C2 Score: 944)  New msg
 
Ignore user's posts for week month forever
When:9/03/06 (17:42) 
Systems:
 

In response to post by Jules Ellis of 8/23/06 (0:39)

I always understood the uncertainty principle as just a mathematical consequence of the Schrödinger equation. Both impul...

See entire

Recently , I try to look for money management trading on the internet and could not find any extensive written research on the topic. So I have decided to carry out my own research on dynamic money management rather than finding a perfect indicator. I also notice that the trading community emphasizes more on entry signals based on an indicator such as momentum , moving average ect.. but there is almost no real research on dynamic money management. I think this is the main reason as to why certain systems shot up 100% then suddently crash back to its original point and sometimes lost even further.Therefore , the balance of money management and trading indicator should be extensively study and those ideas should be extensively express in the back testing data. But I think to find a silver bullet for money management is probably the same probability as finding a magic indicator. However, I am currently doing extensive research in the domain of dynamic money management. I hope any system designers out there would be willing to share some of their general concepts about this topic.
  
SubscribePost a reply to this
 
Subject:New forum?
Posted by:Eu New ( C2 Score: 965)  New msg
 
Ignore user's posts for week month forever
When:9/05/06 (9:35) 
Systems:
 

In response to post by thanh phan of 9/03/06 (17:42)

Recently , I try to look for money management trading on the internet and could not find any extensive written research ...

See entire

Thanh,

There was very useful disscussion in ET about MM.
(http://elitetrader.com/vb/showthread.php?s=07204dac0ffb8d95b074deb612854a8c&threadid=59325&perpage=6& ;pagenumber=1)
You can find a lot of good links and info there. Dynamic MM is a little bit different issue. I'm not sure that you ment it ;)
Can you elaborate what do you mean under "dynamic MM"?

Eu
  
SubscribePost a reply to this
 
Subject:New forum?
Posted by:thanh phan ( C2 Score: 944)  New msg
 
Ignore user's posts for week month forever
When:9/28/06 (11:57) 
Systems:
 

In response to post by Eu New of 9/05/06 (9:35)

Thanh,

There was very useful disscussion in ET about MM.
(http://elitetrader.com/vb/showthread.php?s=07204dac0ffb8d95b074deb612854a8c&threadid=59325&perpage=6&pagenumber=1) ...

See entire

Dynamic money management , in theory would prevent a large drawn down, however, the down side of that is excessive fees involved in trading that technique. Therefore, a trader would have to balance between on going money management and extending its profit target. Hypothetically , if a signal is generated at x time on the chart randomly and later on x+1 time and so on ... how would a trader manage the underline possitions to reach profitability at the end of all exit trades. Now , assuming all signals have the same chance of reaching profit target, how would a trader or can a trader just use money management skill to trade into positive territory? I understand that in real life certain signals are better and fundamental news can improve the profit target, but I am currious about from a pure mathematical standpoind if it would be possible to trade according to money management rather than pure probability of a signals. I hope I have clarify a little bit of my hypothesis.
  
SubscribePost a reply to this
 
Subject:New forum?
Posted by:Sam Cook ( C2 Score: 277)  New msg
 
Ignore user's posts for week month forever
When:9/28/06 (12:19) 
Systems:
 

In response to post by thanh phan of 9/28/06 (11:57)

Dynamic money management , in theory would prevent a large drawn down, however, the down side of that is excessive fees ...

See entire


Use stops. Trail stops.

If you don't use stops sooner or later disaster will find you
(please see your own trade).

"BTO 60 @ESM6 1313.08 4/7/06 10:01 STC 60 1290.92 5/23/06 17:15 ($66,499) ($66,499)"
  
SubscribePost a reply to this
 
Subject:New forum?
Posted by:Ssss Ttttt ( C2 Score: 943)  New msg
 
Ignore user's posts for week month forever
When:9/28/06 (15:55) 
Systems:
 

In response to post by thanh phan of 9/03/06 (17:42)

Recently , I try to look for money management trading on the internet and could not find any extensive written research ...

See entire

You can find dynamic money management at Six Sigma.

There are two ways to control trading. 1) using stops. 2) dynamic money management.

Neither is an absolute correct way. In other words, you don't have to use stops or you don't have to use dynamic money management to acheive success. It is the effective use of each that leads to success and it may involve either method exclusively or a combination of the two. Six Sigma is probably 80-90% dynamic management as opposed to using stops and does well. It has a good deal of gains since inception and is now consolidating gains as the dynamic process gets more in tune with the market. I am not a firm believer that one has to use stops to control trading, but that's part of my process and I am sure it won't fit with everyone. That's why there is a choice of systems here.

I can attest though that dynamic money management can be extremely useful when done right.
  
SubscribePost a reply to this
 
Subject:New forum?
Posted by:thanh phan ( C2 Score: 944)  New msg
 
Ignore user's posts for week month forever
When:9/29/06 (1:52) 
Systems:
 

In response to post by Ssss Ttttt of 9/28/06 (15:55)

You can find dynamic money management at Six Sigma.

There are two ways to control trading. 1) using stops. 2) dynamic money management....

See entire

Can your system be programmed into code so that it can be tested along with discretionary trading, let said 90% computer recommendation with 10% human involment?
  
SubscribePost a reply to this
 
Subject:New forum?
Posted by:Sam Cook ( C2 Score: 277)  New msg
 
Ignore user's posts for week month forever
When:9/29/06 (11:19) 
Systems:
 

In response to post by Ssss Ttttt of 9/28/06 (15:55)

You can find dynamic money management at Six Sigma.

There are two ways to control trading. 1) using stops. 2) dynamic money management....

See entire

>You can find dynamic money management at Six Sigma.

> There are two ways to control trading. 1) using stops. 2) dynamic money management.

I'm curious how you define "dynamic money management". Stops can be "dynamic" in respect to ATR, etc. and they can be dynamic in respect to price (a default features in TS have allowed 100% programmable trailing stops at price X and % Y since the early 1990's).

Is dynamic money management allowing a market to go against you
7% (like your QM trade) and then exiting @ MKT? How is that different
than a stop 7% below your entry?

How is a hedge really different than a stop? If you are long ES and the
trade is going against you and you short a similar amount of YM how is that different from being flat (i.e. being stopped out)? Yes, yes, on paper you still haven't lost in the ES, but if the YM is a true hedge you can't make anything either. I've known "hedgers" since the 1980's. Sometimes they don't want the customer to see a closed loss so they offset the loser with a back month spread or whatever. Often they end up just stuck in the trade unable to admit the loss and unable to pull the trigger on anything else. And then their trading gets immobilized. This is just my opinion: take your losses quick and put them behind you. Holding them and/or hedging them just extends the pain and the stress. Just ask Jonny Primetime.
  
SubscribePost a reply to this
 
Subject:New forum?
Posted by:Sam Cook ( C2 Score: 277)  New msg
 
Ignore user's posts for week month forever
When:9/29/06 (11:51) 
Systems:
 

In response to post by Sam Cook of 9/29/06 (11:19)

>You can find dynamic money management at Six Sigma.

> There are two ways to control trading. 1) using stops. 2) dynamic money management....

See entire

BTW, speaking of "hedgers" check this out:

Midas (Prudent):

STC 104 LBU6 @ MKT GTC 9/15/06 9:59 9/15/06 9:59 277.9

The actual high for LBU6 on 9/15/06 was 273. So this fill benefits
the bottom line by $50K+ beyond the most optimistic fill possible...and FWIW total volume on 9/15/06 was 36 (good luck on STC 104 contracts on the last trading day). "Prudent" indeed.

And get this, C2 gives the fills an 85%/100% RF! Yikes!

Also:

BTO 52 USD/ISK 70.61000 8/28/06 17:39 STC 52 70.66000 9/13/06 9:56 ($915,200) V.High $367

BTO 295 LBU6 282.44 6/2/06 10:03 STC 295 281.81 9/15/06 9:59 ($352,464) High ($20,393)

So the max drawdown was somewhere between 915K and 1.2+ million
according to C2's own trade records and yet no such dd shows up in the track record, and the "prudent" system is allowed to keep trading.
Since I don't trade the Iceland Krona I'm not sure if the data is correct,
but SOMETHING is wrong.
  
SubscribePost a reply to this
 
Subject:New forum?
Posted by:Eu New ( C2 Score: 965)  New msg
 
Ignore user's posts for week month forever
When:9/30/06 (13:33) 
Systems:
 

In response to post by thanh phan of 9/28/06 (11:57)

Dynamic money management , in theory would prevent a large drawn down, however, the down side of that is excessive fees ...

See entire

Thanh
Dynamic money management , in theory would prevent a large drawn down, however, the down side of that is excessive fees involved in trading that technique.
Sounds as martingale for me lol, but yeah... you refer to not "dynamic MM", as I understand, you refer to self-tune MM and it's very different story. Any MM is dynamic by its nature.
You said you can code (Can your system be program into code). Pls, take my words as simplified example.
System: Flipping a coin.
Trading capital: 1000
Modifier 1: minus 2% from any bet. (The modifier supposes to make the game as negative sum game)

MM 1: No MM. We're betting 1, per flip of coin. No matter what.
MM 2 (self-tuned):
Trigger: win/loss
Action(modifier 2): increase/decrease bet to 0.1. (e.g. if we won on previous bet, next bet will be 1.1. If we loose previous bet next bet is 0.9)

Code it ;) You'll see that the same system (flipping a coin) with MM1 is in permanent lost. The same system with MM2 is in loss as well (it's practically, impossible to turn unprofitable system to profitable with MM) but the loss is very minimalistic in second case.

Lets take 10 coins. 8 are normal(.5 probability), and 2 are with defects that increase probability to 55% (0.55). The system is the same, but first MM still loose its bets, when second MM practically stops trading 8 coins and concentrates its capital only on two coins.

The example is very, very, very simplistic, but you can verify it yourself without trusting me.

Self-tuned MM is very young. Practically, it's a system over trading system. I don't think that you'll be able to find anything in internet/books. And yeah... it's expensive.

Eu

  
SubscribePost a reply to this
 
Subject:New forum?
Posted by:Science Trader ( C2 Score: 267)  New msg
 
Ignore user's posts for week month forever
When:10/01/06 (15:06) 
Systems:
 

In response to post by Eu New of 9/30/06 (13:33)

Thanh
Dynamic money management , in theory would prevent a large drawn down, however, the down side of that is excessive fees involved in trading that technique. ...

See entire

"I don't think that you'll be able to find anything in internet/books."

Google "Kelly criterion" for an introduction
  
SubscribePost a reply to this
 
Subject:New forum?
Posted by:Eu New ( C2 Score: 965)  New msg
 
Ignore user's posts for week month forever
When:10/02/06 (16:11) 
Systems:
 

In response to post by Science Trader of 10/01/06 (15:06)

"I don't think that you'll be able to find anything in internet/books."

Google "Kelly criterion" for an introduction

Google "Kelly criterion" for an introduction
lol I don't need to google. Few Kelly's ideas were in link that I gave and my example was simplified idea of the approach. However that might be different ways for self-tuned MMs that are based not only on winning percentage. It might be expected profitability of a trade. it might be median value from monte carlo simulation. It might be... My main idea was MM that self-tuned for a system that works with more than one instrument.

Eu
  
SubscribePost a reply to this
 
Subject:New forum?
Posted by:Om Hreem Shriye Namah Daniel and Derrick ( C2 Score: 110)  New msg
 
Ignore user's posts for week month forever
When:10/03/06 (1:04) 
Systems:
 

In response to post by Jules Ellis of 8/18/06 (13:07)

I suggest to create a new general forum, e.g. "Trading and the Markets" where we can have discussions about general principles of trading and the behavior of markets....

See entire

I whole heartedly seconfd the motion. I also propose that we find a way to rate systems according to their relevance to real world. I know we have realism factor but I am thinking along the lines of risk management.
  
SubscribePost a reply to this
 
Subject:New forum?
Posted by:thanh phan ( C2 Score: 944)  New msg
 
Ignore user's posts for week month forever
When:10/03/06 (12:46) 
Systems:
 

In response to post by Om Hreem Shriye Namah Daniel and Derrick of 10/03/06 (1:04)

I whole heartedly seconfd the motion. I also propose that we find a way to rate systems according to their relevance to ...

See entire

I know that most systems on c2 are probably for research and development, but the key is to be able to develop a tradable system for general public can be extreamly difficult. For example to convince a novice trader that 20% drawn down is probably the norm for any type of decent return, and why it should be trade in such a way can be even more difficult to convince anyone to trade with such and such strategy. Therefore, I think any trading systems on c2 or anywhere on the market probably would most likely be part of a money management firm rather than individual traders.So c2 is a based to define for research and development. But I think to implement trading systems on a large scale for an average investor, it will be best to leave it to the professional traders.
  
SubscribePost a reply to this
 
Subject:New forum?
Posted by:Eu New ( C2 Score: 965)  New msg
 
Ignore user's posts for week month forever
When:10/04/06 (21:24) 
Systems:
 

In response to post by thanh phan of 10/03/06 (12:46)

I know that most systems on c2 are probably for research and development, but the key is to be able to develop a tradabl...

See entire

For example to convince a novice trader that 20% drawn down is probably the norm for any type of decent return
IMHO The kind of "usual" DD is a way to hell. There are two different things. One is actual "around-trading" business and C2 is part of it, when you have to convince somebody to your pictures to make few coins from your con and it very normal for the kind of business. Second thing is more complicated. There might be something and in the case it's over profitable. (I don't sell myself. Gosh). But C2 offers probability of risk and if you're right it offers high reward. Anyway... It's only my mumbling.

it will be best to leave it to the professional traders.
Sure. I'm giving the link for fourth-fifth time.
http://autumngold.com/
They're "professionals". Choose any of them lol. Only one difference for me is they don't blow up every few weeks as C2 systems. But you have to pay for that. Otherwise, have a look on equity curve from professionals. They nearly match C2 lol.

Professional in trading is somebody who retired from the business. Hopefully with some sum of money. Until you're retired from the rate race you're nobody ;)

Eu

  
SubscribePost a reply to this
 
Subject:New forum?
Posted by:thanh phan ( C2 Score: 944)  New msg
 
Ignore user's posts for week month forever
When:10/07/06 (2:00) 
Systems:
 

In response to post by Eu New of 10/04/06 (21:24)

For example to convince a novice trader that 20% drawn down is probably the norm for any type of decent return

See entire

"Professional in trading is somebody who retired from the business. Hopefully with some sum of money. Until you're retired from the rate race you're nobody ;) "

You have a point , but you are mising the point, it is not enough to let a beginner trader to jump into a trading system but one should explain the nature of trading , the management of a particular trading system ,and making sure that the trader can follow the system .

  
SubscribePost a reply to this
 
Subject:New forum?
Posted by:thanh phan ( C2 Score: 944)  New msg
 
Ignore user's posts for week month forever
When:10/07/06 (2:22) 
Systems:
 

In response to post by Seleukos Srl Finance Forecasting of 8/22/06 (11:51)

The distribution is not normal, as Mandelbrot demonstrates.
I will focus on the fact that rather the normal distribution is in the rules followed by the partecipant's mind. Fear influences minds more than greed and for many reasons fear is around the corner in the bull markets ...

See entire

"I have discovered the Hunter Memory: in a minutes chart, trace an Exponential Moving Average with length 55 and displaced 21 minutes on the right (future). It seems that prices cannot go too apart from such an average. This is an about sure rule"

So, are you suggesting that occurence happen in all market or only in particular maket such as fast or slow moving market. Why do you believe that Hunter Memory exist in the time frame of only 21 minutes and EMA with length 55?
  
SubscribePost a reply to this
 
Subject:New forum?
Posted by:Pal Anand ( C2 Score: 988)  New msg
 
Ignore user's posts for week month forever
When:10/07/06 (19:29) 
Systems:
Direxion (FAS/FAZ), Direxion BGU/BGZ, Direxion DRN/DRV, Direxion DZK/DPK, Direxion EDC/EDZ, Direxion ERX/ERY, Direxion LBJ/LHB, Direxion MWJ/MWN, Direxion NUGT/DUST, Direxion SOXL/SOXS, Direxion TMF/TMV, Direxion TNA/TZA, Extreme Stocks, ProShares AGQ/ZSL, Proshares TQQQ/SQQQ, ProShares UCO/SCO, ProShares UGL/GLL, Proshares UPRO/SPXU, ProShares UUP/UDN, ProShares UVXY, ProShares UYM/SMN, ProShares XPP/FXP, System 78433109, System 1200737, System 13513226, System 14747274, System 14900604, System 17333270, System 18570303, System 21001636, System 22811602, System 25126348, System 25286922, System 25480083, System 26583686, System 26874100, System 28959109, System 30070387, System 30091398, System 30092309, System 32171590, System 33686814, System 36312421, System 39940733, System 49372097, System 51623361, System 56204818, System 59614452, System 62659351, System 63709256, System 64327252, System 64862505, System 65149161, System 65149202, System 66082786, System 69788609, System 69789319, System 74827691, System 76000954, System 76001024, System18339738
 

In response to post by thanh phan of 10/07/06 (2:00)

"Professional in trading is somebody who retired from the business. Hopefully with some sum of money. Until you're retired from the rate race you're nobody ;) " ...

See entire

"Professional in trading is somebody who retired from the business. Hopefully with some sum of money. Until you're retired from the rate race you're nobody ;) "

I disagree. One can never get out of the game. It is true in any business, for eg., in the pure or empirical sciences research and development or in trading the financial markets etc.,

Productiveness constitutes the main existential content of virtue, the day-by-day substance of the moral life; as such, it is a responsibility of every moral being, whatever his finances, Even if a man has already made a fortune, therefore, or inherits one or wins one in a lottery game, he needs a productive career. A rich man may choose, if he has a legitimate reason, to pursue a kind of work that brings him no money. But he still must work. A bum is not a person living a man's life, even if he has no trouble paying his bills.

In science, for e.g., the Second Law of Thermodynamics was formulated long before most scientists were convinced that matter was indeed composed of atoms. Even the mid-1800s onward, some scientists had been taking the atomic theory of matter more and more seriously, while others remained unconvinced of the the reality of atoms. These critics felt that while the suggestion that matter was composed of atoms was a useful idea that simplified many of the calculations about the properties of fluids and gases, it was nonetheless meaningless to ascribe physical reality to entities that were too small to ever to be seen by the naked eye. Many of the elder statesmen of physics at the time, most notably Ernst Mach (in whose honour the speed of sound in air, the Mach number, is named) held this view.

Nevertheless, the atomic hypothesis eventually won out, via the same strategy by which all revolutionary ideas succeed. As Max Planck, himself a young Turk of the quantum revolution, once remarked, "A new scientific truth does not triumph by convincing its opponents and making them see the light, but rather because its opponents eventually die and a new generation grows up that is familiar with it."

A key development that convinced these younger scientists that atoms were real, regardless of what an older establishment claimed, was in accounting for the jitter that small objects underwent due to their random bombardment from still smaller atoms and molecules striking them from all sides. This phenomenon is termed "Brownian motion" after Robert Brown, the botanist who observed the excursions of a pollen grain in a drop of water using a new scientific instrument of the time, the microscope. While Brownian motion had been known since 1828, it was not until 1905 that a satisfactory theoretical description was provided in the Ph.D. thesis dissertation of another young upstart, Albert Einstein.

This world is neither hostile to innovations in any business nor does it lead to an intolerable rat-race of innovations. Men who are immune to facts and logic have no alternative but to traffic in fantasy.
  
SubscribePost a reply to this
 
Subject:New forum?
Posted by:thanh phan ( C2 Score: 944)  New msg
 
Ignore user's posts for week month forever
When:10/08/06 (19:45) 
Systems:
 

In response to post by Pal Anand of 10/07/06 (19:29)

"Professional in trading is somebody who retired from the business. Hopefully with some sum of money. Until you're retired from the rate race you're nobody ;) " ...

See entire

Brownian motion

It's interesting that you mention Brownian motion, because I think there are trading system using the Brownian motion to trade the financial system, however I am not sure how profitable in the real world.
  
SubscribePost a reply to this
 
Subject:New forum?
Posted by:Pal Anand ( C2 Score: 988)  New msg
 
Ignore user's posts for week month forever
When:10/09/06 (19:20) 
Systems:
Direxion (FAS/FAZ), Direxion BGU/BGZ, Direxion DRN/DRV, Direxion DZK/DPK, Direxion EDC/EDZ, Direxion ERX/ERY, Direxion LBJ/LHB, Direxion MWJ/MWN, Direxion NUGT/DUST, Direxion SOXL/SOXS, Direxion TMF/TMV, Direxion TNA/TZA, Extreme Stocks, ProShares AGQ/ZSL, Proshares TQQQ/SQQQ, ProShares UCO/SCO, ProShares UGL/GLL, Proshares UPRO/SPXU, ProShares UUP/UDN, ProShares UVXY, ProShares UYM/SMN, ProShares XPP/FXP, System 78433109, System 1200737, System 13513226, System 14747274, System 14900604, System 17333270, System 18570303, System 21001636, System 22811602, System 25126348, System 25286922, System 25480083, System 26583686, System 26874100, System 28959109, System 30070387, System 30091398, System 30092309, System 32171590, System 33686814, System 36312421, System 39940733, System 49372097, System 51623361, System 56204818, System 59614452, System 62659351, System 63709256, System 64327252, System 64862505, System 65149161, System 65149202, System 66082786, System 69788609, System 69789319, System 74827691, System 76000954, System 76001024, System18339738
 

In response to post by thanh phan of 10/08/06 (19:45)

Brownian motion

It's interesting that you mention Brownian motion, because I think there are trading system usi...

See entire

Einstein was able to quantitatively calculate the excursions of a pollen particle due to the collisions with the water fluid in which it was suspended, and also relate the magnitude of the fluctuations to the temperature of the surrounding medium. The close agreement between his calculations and experimental observations convinced many physicists that the atomic hypothesis was indeed correct. While his thesis research was not as revolutionary as his subsequent investigations of relativity (published the same year), he would have been well known to scientists even if his only contribution to science were his elucidation of the statistical nature underlying Brownian motion.

Similarly, it is possible to elucidate the statistical nature underlying the financial markets; i.e., it is possible to predict the future price of a financial instrument based on its present price with certainty by calculating the forces acting on it.

One can't afford to forget the past because one would not then recognize the future for what it actually is (better or worse), for the future is only the past again, entered through another gate. So, until the time we discover celestial gateways (wormholes etc.,) through which we can time-travel to and return from the future, I believe that only a few minority can consistently and accurately determine the future based on the present but no one can be correct about it all the time.

Eventhough no one can perfectly predict the future based on the present, one can assemble an objective base of evidence that can help any investor make more informed decisions away from the clouds of emotions.
  
SubscribePost a reply to this
 
Subject:New forum?
Posted by:thanh phan ( C2 Score: 944)  New msg
 
Ignore user's posts for week month forever
When:10/11/06 (5:43) 
Systems:
 

In response to post by Pal Anand of 10/09/06 (19:20)

Einstein was able to quantitatively calculate the excursions of a pollen particle due to the collisions with the water f...

See entire

So, in order to have a profitable trading system it would mean to control the present factors so that it can be profitable in the future. But the delima is if we control the present market at 100% (efficiency market theory) which mean that future value would only reflect distribution. Therefore, any reflection of the current trading system is the reflection of distribution and some systems wil fall into positive distributions. And because of the on going adjustment in the market , any major adjustment in the present market will break the system apart. So any adjustment in the present is actually for the future distribution, and I guess that's why computer based trading system can be profitable if we know the future distribution. Because computer based trading system has no emotion it is much easier to make decision. Therefore, is it possible to create an artificial intelligence to trade the financial market? And what parrameters would have to be involved (neuro-net trading system) to implement such a complex task. I think rule based trading system works as long as you are on the right side of the market. Basically , with the current trading system , we can say ok if we are in the bull market then apply this system, bear market trade this system, so all the back testings show how the market perform in various market but it does not prove anything , unless the future market condition mimic the previous market conditions.
  
SubscribePost a reply to this
 
Subject:New forum?
Posted by:thanh phan ( C2 Score: 944)  New msg
 
Ignore user's posts for week month forever
When:10/11/06 (5:48) 
Systems:
 

In response to post by thanh phan of 10/11/06 (5:43)

So, in order to have a profitable trading system it would mean to control the present factors so that it can be profitab...

See entire

PS, has anyone try to trade Neural Network Engine?
  
SubscribePost a reply to this
 
Subject:New forum?
Posted by:Pal Anand ( C2 Score: 988)  New msg
 
Ignore user's posts for week month forever
When:10/11/06 (21:36) 
Systems:
Direxion (FAS/FAZ), Direxion BGU/BGZ, Direxion DRN/DRV, Direxion DZK/DPK, Direxion EDC/EDZ, Direxion ERX/ERY, Direxion LBJ/LHB, Direxion MWJ/MWN, Direxion NUGT/DUST, Direxion SOXL/SOXS, Direxion TMF/TMV, Direxion TNA/TZA, Extreme Stocks, ProShares AGQ/ZSL, Proshares TQQQ/SQQQ, ProShares UCO/SCO, ProShares UGL/GLL, Proshares UPRO/SPXU, ProShares UUP/UDN, ProShares UVXY, ProShares UYM/SMN, ProShares XPP/FXP, System 78433109, System 1200737, System 13513226, System 14747274, System 14900604, System 17333270, System 18570303, System 21001636, System 22811602, System 25126348, System 25286922, System 25480083, System 26583686, System 26874100, System 28959109, System 30070387, System 30091398, System 30092309, System 32171590, System 33686814, System 36312421, System 39940733, System 49372097, System 51623361, System 56204818, System 59614452, System 62659351, System 63709256, System 64327252, System 64862505, System 65149161, System 65149202, System 66082786, System 69788609, System 69789319, System 74827691, System 76000954, System 76001024, System18339738
 

In response to post by thanh phan of 10/11/06 (5:43)

So, in order to have a profitable trading system it would mean to control the present factors so that it can be profitab...

See entire

Therefore, is it possible to create an artificial intelligence to trade the financial market?

Yes, one can create artificial intelligence to trade the financial market successfully because markets are only frequently efficient, not always. One can mimic the brain using a computer. The world chess champion Kasparov was beaten by the big blue.
  
SubscribePost a reply to this
 
Subject:New forum?
Posted by:Index ( C2 Score: 975)  New msg
 
Ignore user's posts for week month forever
When:10/12/06 (14:52) 
Systems:
 

In response to post by Pal Anand of 10/11/06 (21:36)

Therefore, is it possible to create an artificial intelligence to trade the financial market?

Yes, one can crea...

See entire

Deep Blue defeated Kasparov, because the equivalent of dozens of chess expert's knowledge and strategies were loaded into it, it had immense computing power, and computers don't suffer the occasional lapses that people make.

It is not necessarily a good comparison, because A.I. only excels in extremely-constrained domains, where the rules are crisp and relatively easy to code (like chess playing). They are still strugggling to make an autonomous vehicle (The military has competitions for the purpose of building and demonstrating unmanned vehicles that can operate out in the real world, in mixed terrain, but it has been dismal so far)

The reality is, that a cricket has more general-world capability than any A.I. program or robotics (A.I. was my minor, when I got an MS in computer science).
  
SubscribePost a reply to this
 
Subject:New forum?
Posted by:Sam Cook ( C2 Score: 277)  New msg
 
Ignore user's posts for week month forever
When:10/12/06 (19:00) 
Systems:
 

In response to post by Index of 10/12/06 (14:52)

Deep Blue defeated Kasparov, because the equivalent of dozens of chess expert's knowledge and strategies were loaded into it, it had immense computing power, and computers don't suffer the occasional lapses that people make....

See entire

>It is not necessarily a good comparison, because A.I. only excels in extremely-constrained domains, where the rules are crisp and relatively easy to code (like chess playing).

But you don't need A.I. to trade. Indeed many of the best trading systems
are "extremely-constrained and the rules are crisp and relatively easy to code". You don't have to code for everything, just a few winning situations.
Or better yet for just one:

If A + B = C then buy;

Exit on close.....;

It can be more like checkers than chess for that matter. The problem is
most traders want it all. Some simple way to win most of the time isn't good enough.
  
SubscribePost a reply to this
 
Subject:New forum?
Posted by:Index ( C2 Score: 975)  New msg
 
Ignore user's posts for week month forever
When:10/12/06 (20:39) 
Systems:
 

In response to post by Sam Cook of 10/12/06 (19:00)

>It is not necessarily a good comparison, because A.I. only excels in extremely-constrained domains, where the rules are crisp and relatively easy to code (like chess playing)....

See entire

"But you don't need A.I. to trade. "

Correct. I have seen very few A.I. packages that had any lure potential to my advisory-seeking dollar...
  
SubscribePost a reply to this
 
Subject:New forum?
Posted by:thanh phan ( C2 Score: 944)  New msg
 
Ignore user's posts for week month forever
When:10/13/06 (1:29) 
Systems:
 

In response to post by Index of 10/12/06 (20:39)

"But you don't need A.I. to trade. "

Correct. I have seen very few A.I. packages that had any lure potential to my advisory-seeking dollar...

I think, the question is not why would you need AI to trade the financial market , but can you create an AI to trade the market. Of course anyone can trade the market just flip a coin and manage your trade probably would do better than most trading system. The point is we are looking for ways to improve our trading process wheather it's the moon that affecting our decision making or we just lost 50% of our porfolio should not dictating our research. I think pure research can be very challenging, it gives us the ability to stay ahead and drive us to do what we do best. As I mention before, back testing to me doesn't mean a lot but when I used the system to forward testing and come out positive , that's in itself is an archievement. So we should not disreguard any research that can improve our daily life. Yes, I know that AI is probably a very large project in the financial market, but what if we can create such a dynamic language that could teach AI how to process data from the beginning to the end, and able to adjust on its own. So far I have found one company that has involved in neuro net , but I am just currious as to how many researchers are actually extensively looking into these projects. I notice that most systems on C2 are based on action-reaction and there is nothing wrong with that. I am just currious if there are any systems using a different methodology beside moving average, momentum, ect.. to trade the financial market. I think at the end, AI would have to think like a trader, basically with a very tight and simple set of rules.
  
SubscribePost a reply to this
 
Subject:New forum?
Posted by:Jules Ellis  New msg
 
Ignore user's posts for week month forever
When:10/13/06 (2:59) 
 

In response to post by thanh phan of 10/13/06 (1:29)

I think, the question is not why would you need AI to trade the financial market , but can you create an AI to trade the...

See entire

My opinion:

1. A feasible neural network is much less intelligent than a worm. There is no reason to expect that it will outperform any other programming method.

2. The behavior of a neural network depends entirely on (a) the number of layers and other structural features of the network, and (b) the data that you feed to the network. So asking "can a neural networks learn to trade" is imho like asking "can we make a good trading system with Java", the difference being that neural networks are more like an extreme low-level program language. The answer is probably "yes", but the question is: how?

3. Even in simple examples (like 'find the point with the smallest smallest distance to a set of points') ordinary statistical methods are much, much more efficient than a neural network.
  
SubscribePost a reply to this
 
Subject:New forum?
Posted by:Pal Anand ( C2 Score: 988)  New msg
 
Ignore user's posts for week month forever
When:10/13/06 (8:59) 
Systems:
Direxion (FAS/FAZ), Direxion BGU/BGZ, Direxion DRN/DRV, Direxion DZK/DPK, Direxion EDC/EDZ, Direxion ERX/ERY, Direxion LBJ/LHB, Direxion MWJ/MWN, Direxion NUGT/DUST, Direxion SOXL/SOXS, Direxion TMF/TMV, Direxion TNA/TZA, Extreme Stocks, ProShares AGQ/ZSL, Proshares TQQQ/SQQQ, ProShares UCO/SCO, ProShares UGL/GLL, Proshares UPRO/SPXU, ProShares UUP/UDN, ProShares UVXY, ProShares UYM/SMN, ProShares XPP/FXP, System 78433109, System 1200737, System 13513226, System 14747274, System 14900604, System 17333270, System 18570303, System 21001636, System 22811602, System 25126348, System 25286922, System 25480083, System 26583686, System 26874100, System 28959109, System 30070387, System 30091398, System 30092309, System 32171590, System 33686814, System 36312421, System 39940733, System 49372097, System 51623361, System 56204818, System 59614452, System 62659351, System 63709256, System 64327252, System 64862505, System 65149161, System 65149202, System 66082786, System 69788609, System 69789319, System 74827691, System 76000954, System 76001024, System18339738
 

In response to post by Jules Ellis of 10/13/06 (2:59)

My opinion:

1. A feasible neural network is much less intelligent than a worm. There is no reason to expect that it will outperform any other programming method....

See entire

AI was introduced 50-odd years ago to model the way humans learn and extrapolate from the knowledge they glean. In a broad sense, AI is an attempt to model human learning and decision-making. In recent years AI techniques have been applied to a diverse number of activities, including trading. A number of trading software packages that traders can purchase today are based upon AI techniques.

Since its introduction in the 1950s, AI has split into two camps - expert systems and neural networks. Although these two terms are often used interchangeably, they are distinct in their approach to modeling human decision-making processes and, therefore, in their applicability to trading.

An expert system differs from a conventional computer program principally in that it solves problems by using knowledge that the system already contains rather than knowledge obtained through the implementation of a mathematical algorithm.

For example, a conventional computer program would use an algorithm to determine the annual volatility of say, the Euro, but an expert system would already have this information encoded in its knowledge base. This a priori information structure allows the expert system to successfully deal with problems for which no clear algorithmic solution exists.
  
SubscribePost a reply to this
 
Subject:New forum?
Posted by:Sam Cook ( C2 Score: 277)  New msg
 
Ignore user's posts for week month forever
When:10/13/06 (12:21) 
Systems:
 

In response to post by Pal Anand of 10/13/06 (8:59)

AI was introduced 50-odd years ago to model the way humans learn and extrapolate from the knowledge they glean. In a broad sense, AI is an attempt to model human learning and decision-making. In recent years AI techniques have been applied to a diverse number of activities, including trading. A number of trading software packages that traders can purchase today are based upon AI techniques....

See entire

> This a priori information structure allows the expert system to successfully deal with problems for which no clear algorithmic solution exists.

Rather than deal with theory and generalities let's look at some real
life examples. Airplane auto pilots work great until the .... hits the
fan. Your flying along and an engine starts to lose power and you find yourself in a sudden storm. Does the expert pilot take over or does he allow the "expert system" to use its "a priori information structure" to work things out for itself?

Let's say a plane crashes into a building in Manhattan. The "expert system" uses its "a priori information structure" to assume there is a terrorist attack and sells the market accordingly and assumes a similar
pattern to the previous Manhattan plane crash(es). How would that have worked out? Would the "expert system" have performed better than a
simple sell signal and trailing or money management stop based on simple price action?

I don't intend to be insensitive to recent real life events, but this is
indeed a perfect real life example of how a complex "a priori information structure" could easily be lacking. Moreover, real world curve-balls are thrown at the market all the time. The question becomes do you want a system that tries to figure out and perhaps swing at every pitch, or do you want to pick out a few good situations and focus on those.
  
SubscribePost a reply to this
 
Subject:New forum?
Posted by:Jules Ellis  New msg
 
Ignore user's posts for week month forever
When:10/13/06 (17:44) 
 

In response to post by Pal Anand of 10/13/06 (8:59)

AI was introduced 50-odd years ago to model the way humans learn and extrapolate from the knowledge they glean. In a broad sense, AI is an attempt to model human learning and decision-making. In recent years AI techniques have been applied to a diverse number of activities, including trading. A number of trading software packages that traders can purchase today are based upon AI techniques....

See entire

My cynism is more about neural netwerks than about expert systems. In both cases, however, I view them rather as specialized programming methods than as a form of intelligence. E.g. an expert system is basically no more than a set of rules of the form "if condition X happens, then apply action f(X)" and where the outcome of each rule is stacked as possible input to every other rule. The 'intelligence' part basically comes from the human programmers who build a certain knowledge structure into it by determining what the rules are. The effectiveness of the system is totally determined by how well the programmers were able to capture the existing human knowledge. Once they have done this, it doesn't really matter whether they frame it like an 'expert system' or in any other programming language. The human knowledge part is more transparant in an expert system, but the bottom line is that you should have the correct explicit knowledge (in this case: a set of trading rules) before you can even begin.

For example, 20 years ago I made a parser for Dutch sentences. I used an expert system, and a collegue used an object-oriented language, and don't see a substantial difference. It could be done in Excel Visual Basic too, for that matter. BTW - it took the expert system the whole night on a mainframe computer to parse one sentence with a peculiar typical Dutch syntactical structure.
  
SubscribePost a reply to this
 
Subject:New forum?
Posted by:Jules Ellis  New msg
 
Ignore user's posts for week month forever
When:10/13/06 (18:40) 
 

In response to post by Sam Cook of 10/13/06 (12:21)

> This a priori information structure allows the expert system to successfully deal with problems for which no clear algorithmic solution exists....

See entire

Indeed. In the plane crash example, the expert system should have a rule like "If plane crashes into NY building then do X". The problems are,

1. The programmers should know that a rule like this must be programmed.
2. They should know the exact premisse of the rule: Does it apply to NY buildings only, to all US buildings, to tall buildings only etc.
3. The have to know what the action X should be. Sell? Buy?
4. The information that the plane crashed should be fed to the system.

These problems have nothing to do with the programming method. The problem is that you must first have an human expert who knows the answers.
  
SubscribePost a reply to this
 
Subject:New forum?
Posted by:Sam Cook ( C2 Score: 277)  New msg
 
Ignore user's posts for week month forever
When:10/13/06 (19:05) 
Systems:
 

In response to post by Jules Ellis of 10/13/06 (18:40)

Indeed. In the plane crash example, the expert system should have a rule like "If plane crashes into NY building then do X". The problems are, ...

See entire

> These problems have nothing to do with the programming method. The problem is that you must first have an human expert who knows the answers.

Right, but in this particular case the market sells off very hard under the
assumption that the plane crash was a terrorist attack (the "expert system" may have also been set to "sell if a plane crashes into a building in NY on the 11th day of the month") . A few minutes later it's realized the crash was a simple tragic accident and the market comes right back. How does the
system get that without some very subtle and complex input?

I'm all for mechanical systems, but I think events of this nature show how
difficult "if-then-but" situations may be.
  
SubscribePost a reply to this
 
Subject:New forum?
Posted by:Pal Anand ( C2 Score: 988)  New msg
 
Ignore user's posts for week month forever
When:10/13/06 (21:22) 
Systems:
Direxion (FAS/FAZ), Direxion BGU/BGZ, Direxion DRN/DRV, Direxion DZK/DPK, Direxion EDC/EDZ, Direxion ERX/ERY, Direxion LBJ/LHB, Direxion MWJ/MWN, Direxion NUGT/DUST, Direxion SOXL/SOXS, Direxion TMF/TMV, Direxion TNA/TZA, Extreme Stocks, ProShares AGQ/ZSL, Proshares TQQQ/SQQQ, ProShares UCO/SCO, ProShares UGL/GLL, Proshares UPRO/SPXU, ProShares UUP/UDN, ProShares UVXY, ProShares UYM/SMN, ProShares XPP/FXP, System 78433109, System 1200737, System 13513226, System 14747274, System 14900604, System 17333270, System 18570303, System 21001636, System 22811602, System 25126348, System 25286922, System 25480083, System 26583686, System 26874100, System 28959109, System 30070387, System 30091398, System 30092309, System 32171590, System 33686814, System 36312421, System 39940733, System 49372097, System 51623361, System 56204818, System 59614452, System 62659351, System 63709256, System 64327252, System 64862505, System 65149161, System 65149202, System 66082786, System 69788609, System 69789319, System 74827691, System 76000954, System 76001024, System18339738
 

In response to post by Jules Ellis of 10/13/06 (18:40)

Indeed. In the plane crash example, the expert system should have a rule like "If plane crashes into NY building then do X". The problems are, ...

See entire

> These problems have nothing to do with the programming method. The problem is that you must first have an human expert who knows the answers.

Right. This is the essential difference between the humans and other species. The other species survive in essence by adjusting themselves to their background, assuming they have the good fortune to find in nature the things they need. Man survives by adjusting his background to himself. since he reshapes the given, he does not have to count on good fortune or even on the absense of disaster. If a drought strikes them, animals perish - man builds irrigation canals; if a flood strikes them, animals perish - man builds dams; if a carniorous pack attacks them, animals perish - man writes the Constitution; if an expert system encounters a situation that involves a long porfolio of stocks and a disaster strikes - he buys put options; if the portfolio already has these, then no action is taken. Proper human action can reduce the power of accident enormously. But this does not mean that accidents can be eliminated.

Virtue does minimize the risks inherent in life and maximizes the chance of success. It teaches one how to safeguard life and limb in principle and therefore against every danger that can be foreseen. This does not give men omnipotence; what it gives them is the means of preventing, mitigating, or counteracting innumerable evils that would otherwise be intractable.
  
SubscribePost a reply to this
 
Subject:New forum?
Posted by:thanh phan ( C2 Score: 944)  New msg
 
Ignore user's posts for week month forever
When:10/13/06 (23:28) 
Systems:
 

In response to post by Pal Anand of 10/13/06 (21:22)

> These problems have nothing to do with the programming method. The problem is that you must first have an human expert who knows the answers....

See entire

Well let see how do we teach a child what's the right thing to do ? Rules, rules and rules. So I think we have to define as how much rules do we need to implement in a system and what is the purpose of the system and how it will be able to select various actions against certain stimulations from the financial system. How do we function on a daily basis? And what is the purpose of our existance and how do we want to exist in a confine society. There are probably a zillion things we can list out what we must accomplish on daily basis but out of those list we can only do so many things in a period of 24hours, but we have the ability to think about the informations in front of us and determin what action to take. It can be based on an emotion, a fact, or a logical or illogical process but nevertheless we have to make decisions every single day and they are all influenced by the present information and the pass results from our own experiences. I think , rules are to be followed and if we down play AI because it is just a few set of rules from a set of matrix then we should look at our own existance. Because we are bound by rules everywhere we go, without rules we cannot function, it will be to chaotic to do any real plan for the future. We will not be able to project our goals and archieve our dreams. No matter how we look at intelligence, it all comes down to existance and how it will support its own existance. The point is if we have to create an AI based on a preset of rules and regulations for it to archieve its own existance so be it, because we as a human being must follow rules and regulations for our own existance.
  
SubscribePost a reply to this
 
Subject:New forum?
Posted by:Jules Ellis  New msg
 
Ignore user's posts for week month forever
When:10/14/06 (1:39) 
 

In response to post by thanh phan of 10/13/06 (23:28)

Well let see how do we teach a child what's the right thing to do ? Rules, rules and rules. So I think we have to define...

See entire

I'm not against trading by rules. My point is that an expert system won't help you to find the rules. It will only help you to apply the built-in rules more consistently. There is nothing wrong with that, but in order to build a trading system in this way you will first need a human expert trader with very explicit crispy rules (e.g. like medical experts). I.e. you should first have decent trading system before you can build it into an expert system.

So saying that we should try out expert systems doesn't help any more than saying "let the computer determine what to trade" - like a naive person in the 50's could have said in the belief that computers necessarily have superhuman capabilities.
  
SubscribePost a reply to this
 
Subject:New forum?
Posted by:Pal Anand ( C2 Score: 988)  New msg
 
Ignore user's posts for week month forever
When:10/14/06 (4:25) 
Systems:
Direxion (FAS/FAZ), Direxion BGU/BGZ, Direxion DRN/DRV, Direxion DZK/DPK, Direxion EDC/EDZ, Direxion ERX/ERY, Direxion LBJ/LHB, Direxion MWJ/MWN, Direxion NUGT/DUST, Direxion SOXL/SOXS, Direxion TMF/TMV, Direxion TNA/TZA, Extreme Stocks, ProShares AGQ/ZSL, Proshares TQQQ/SQQQ, ProShares UCO/SCO, ProShares UGL/GLL, Proshares UPRO/SPXU, ProShares UUP/UDN, ProShares UVXY, ProShares UYM/SMN, ProShares XPP/FXP, System 78433109, System 1200737, System 13513226, System 14747274, System 14900604, System 17333270, System 18570303, System 21001636, System 22811602, System 25126348, System 25286922, System 25480083, System 26583686, System 26874100, System 28959109, System 30070387, System 30091398, System 30092309, System 32171590, System 33686814, System 36312421, System 39940733, System 49372097, System 51623361, System 56204818, System 59614452, System 62659351, System 63709256, System 64327252, System 64862505, System 65149161, System 65149202, System 66082786, System 69788609, System 69789319, System 74827691, System 76000954, System 76001024, System18339738
 

In response to post by thanh phan of 10/13/06 (23:28)

Well let see how do we teach a child what's the right thing to do ? Rules, rules and rules. So I think we have to define...

See entire

Existence is the first axiom. The universe exists independent of consciousness. Man is able to adapt his background to his own requirements, but "Nature, to be commanded, must be obeyed" (Francis Bacon). There is no mental process that can change the laws of nature or erase facts. The function of consciousness is not to create reality, but to apprehend it. "Existence is Identity, Consciousness is Identification." It is important to observe the interrelation of these three axioms.

The third axiom at the base of knowledge—an axiom true, in Aristotle's words, of "being qua being"—is the Law of Identity. This law defines the essence of existence: to be is to be something, a thing is what it is; and leads to the fundamental principle of all action, the law of causality. The law of causality states that a thing's actions are determined not by chance, but by its nature, i.e., by what it is. Reason is defined as "the faculty that identifies and integrates the material provided by man's senses."

Reason performs this function by means of concepts, and the validity of reason rests on the validity of concepts. But the nature and origin of concepts is a major philosophic problem. If concepts refer to facts, then knowledge has a base in reality, and one can define objective principles ("rules") to guide man's process of cognition. If concepts are cut off from reality, then so is all human knowledge, and man is helplessly blind. Concepts are derived from and do refer to the facts of reality.

The mind at birth (as Aristotle first stated) is tabula rasa; there are no innate ideas. The senses are man's primary means of contact with reality; they give him the precondition of all subsequent knowledge, the evidence that something is. What the something is, he discovers on the conceptual level of awareness.

Conceptualization is man's method of organizing sensory material. To form a concept, one isolates two or more similar concretes from the rest of one's perceptual field, and integrates them into a single mental unit, symbolized by a word. A concept subsumes an unlimited number of instances: the concretes one isolated, and all others (past, present, and future) which are similar to them.

Similarity ("symmetry") is the key to this process. The mind can retain the characteristics of similar concretes without specifying their measurements, which vary from case to case. "A concept is a mental integration of two or more units possessing the same distinguishing characteristic(s), with their particular measurements omitted." Symmetry (shape - round, square etc.) is a more fundamental property of say, blocks of different size and shape, than its numerical size.

The basic principle of concept-formation (which states that the omitted measurements must exist in some quantity, but may exist in any quantity) is the equivalent of the basic principle of algebra, which states that algebraic symbols must be given some numerical value, but may be given any value. In this sense and respect, perceptual awareness is the arithmetic, but conceptual awareness is the algebra of cognition.

Galois (1811-32) theory is the language of symmetry. On the occasion of its centenary celebrations, the Ecole normale (the school that had amazingly expelled Galois), asked the famous Norwegian mathematician Sophus Lie (1842-99) to write an article that would summarize the impact of Galois theory on the history of mathematics. Lie concluded, "It is particularly characteristic of mathematics that two of the most profound discoveries that have even been made (the theorem of Abel (1802-29) and the theory of algebraic equations of Galois) were the work of two geometers of whom one, Abel, was about 22 years old, and the other, Galois, tragically, never even reached 21." When the great mathematician Emile Picard (1956-1941) evaluated in 1897 the mathematical achievements of the 19th century, he had this to say about Galois: "No one surpasses him in the originality and the profoundness of his conceptions." Such originality and profoundness was equalled only much, much later, in the 20th century, in the form of Einstein's theory of general relativity. This is the notion that the force of gravity merely reflects the geometry of space and time. But, I doubt whether Einstein could have proved it without the guidance of Galois theory.

Galois took algebra and turned it on its ear. If you want to know whether an equation is solvable or not, you simply try to solve it right? Wrong, said Galois. All you need to do is to examine permutations of the putative solutions. The analysis of the properties of thepermutations allowed us to predict with confidence the final outcome without actually having to perform the experiment. This was the basic philosophy behind Galois's theory. He discovered an ingenious way to determine whether an equation is solvable from an examination of the symmetry properties of permutations of its solutions. He managed to associate with each equation a sort of "genetic code" of that equation - the Galois group of the equation - and to demonstrate that the properties of the Galois group determine whether the equation is solvable by a formula or not. Symmetry became the key concept, and the Galois group was a direct measure of the symmetry properties of an equation. Before Galois, equations were always classified only by their degree:quadratic, cubic, quintic, and so on. Galois discovered that symmetry was a more important characteristic.

Concepts are neither intrinsic nor subjective: they refer to facts of this world, as processed by man's means of cognition.
  
SubscribePost a reply to this
 
Subject:New forum?
Posted by:Index ( C2 Score: 975)  New msg
 
Ignore user's posts for week month forever
When:10/14/06 (12:44) 
Systems:
 

In response to post by Jules Ellis of 10/14/06 (1:39)

I'm not against trading by rules. My point is that an expert system won't help you to find the rules. It will only help you to apply the built-in rules more consistently. There is nothing wrong with that, but in order to build a trading system in this way you will first need a human expert trader with very explicit crispy rules (e.g. like medical experts). I.e. you should first have decent trading system before you can build it into an expert system....

See entire

I spent a little too much time investigating expert-system and neural-net type methods in the past. I never found anything that resulted in a profitable long-term system (I always ignored their ads and "testimonials.")

The developers always seemed to be "retraining their nets" to reflect some new condition that they had not accounted for, that explained their lack of predictive ability. You cannot account for all the variances in the market - it seems infinite. They looked more like Rube Goldberg machines than serious market predictors.
  
SubscribePost a reply to this
 
Subject:New forum?
Posted by:thanh phan ( C2 Score: 944)  New msg
 
Ignore user's posts for week month forever
When:11/29/06 (10:24) 
Systems:
 

In response to post by Index of 10/14/06 (12:44)

I spent a little too much time investigating expert-system and neural-net type methods in the past. I never found anything that resulted in a profitable long-term system (I always ignored their ads and "testimonials.") ...

See entire

I spent a little too much time investigating expert-system and neural-net type methods in the past. I never found anything that resulted in a profitable long-term system (I always ignored their ads and "testimonials

Ross, I found this company TS Research group, they claim to use a genetic way to design new trading systems, would you consider that as in the domain of neuronet programs? Or how would you classify their research?
Check out this link :http://www.tsresearchgroup.com/en/company.php
  
SubscribePost a reply to this
 
Subject:New forum?
Posted by:Index ( C2 Score: 975)  New msg
 
Ignore user's posts for week month forever
When:11/29/06 (11:32) 
Systems:
 

In response to post by thanh phan of 11/29/06 (10:24)

I spent a little too much time investigating expert-system and neural-net type methods in the past. I never found anything that resulted in a profitable long-term system (I always ignored their ads and "testimonials ...

See entire

I reviewed the site. it is long on math/formulae/explanation and and short on definitive proof (track record or verified results). When I dug into some of the research areas, it remains in a foreign language - I assume Cyrillic or some Russian variant. Don't speak it, so it was little help.

It seems to wander around the fractal, transforms, cycles and possibly chaos domain. But it mostly seems to be pushing their plug-ins, which I never partake of. I only interest myself in verified (like C2) vendor-updated systems. Not a tradestation guy, I guess. I never saw a plugin worth the time. I want to make money via longterm, profitable systems that can don't blowup due to leverage depencies or averaging down as the means to profit. I leave the plugin research to those with too much time on their hands.

Overall? Interesting stuff, but without at least a few track records of their models, it always goes into my trash can. Someone who cannot demonstrate living track records has nothing that interests me.
  
SubscribePost a reply to this
 
Subject:New forum?
Posted by:Pal Anand ( C2 Score: 988)  New msg
 
Ignore user's posts for week month forever
When:11/29/06 (12:04) 
Systems:
Direxion (FAS/FAZ), Direxion BGU/BGZ, Direxion DRN/DRV, Direxion DZK/DPK, Direxion EDC/EDZ, Direxion ERX/ERY, Direxion LBJ/LHB, Direxion MWJ/MWN, Direxion NUGT/DUST, Direxion SOXL/SOXS, Direxion TMF/TMV, Direxion TNA/TZA, Extreme Stocks, ProShares AGQ/ZSL, Proshares TQQQ/SQQQ, ProShares UCO/SCO, ProShares UGL/GLL, Proshares UPRO/SPXU, ProShares UUP/UDN, ProShares UVXY, ProShares UYM/SMN, ProShares XPP/FXP, System 78433109, System 1200737, System 13513226, System 14747274, System 14900604, System 17333270, System 18570303, System 21001636, System 22811602, System 25126348, System 25286922, System 25480083, System 26583686, System 26874100, System 28959109, System 30070387, System 30091398, System 30092309, System 32171590, System 33686814, System 36312421, System 39940733, System 49372097, System 51623361, System 56204818, System 59614452, System 62659351, System 63709256, System 64327252, System 64862505, System 65149161, System 65149202, System 66082786, System 69788609, System 69789319, System 74827691, System 76000954, System 76001024, System18339738
 

In response to post by thanh phan of 11/29/06 (10:24)

I spent a little too much time investigating expert-system and neural-net type methods in the past. I never found anything that resulted in a profitable long-term system (I always ignored their ads and "testimonials ...

See entire

Thanks for link for this site. One interesting paragraph says:

>Then what criterion is better to avoid overfitting and improve the stability of the system?

>Answer:
>First, it is necessary to choose another optimization criterion than that one which characterizes only the profitability of the system. In another words it is necessary to include in fitness indirect parameters, i.e. those parameters that characterize the quality of the system indirectly.

Seems to confirm my belief. I use the Expectancy Score. Then it continues...

>On the whole the stability of the system can be conditioned by some limitations. One can set bigger transaction costs for example. If the system generates too many number of deals then such system will not survive. In reality such strict conditions may not occur but I think one will feel more comfortable with such system than with system that was tested under more soft conditions.

Agree. But it is not reliable to test a system/method on a portfolio that has numerous adaptive parameters. The only reliable way is to walk-forward test..

Most systems/methods may fail but will work with good dynamic money management. Deriving optimal buy-and-hold strategies to approximate other than dollar-cost or zero cost averaging strategies or other popular dynamic investment strategies - stragtegies that need not be based on expected utility maximization might be of considerabely lesser interest.

We have to examine the payoff structure of the portfolio and its sensitivities to various market factors and economic shocks...
  
SubscribePost a reply to this
 
Subject:New forum?
Posted by:thanh phan ( C2 Score: 944)  New msg
 
Ignore user's posts for week month forever
When:12/01/06 (22:41) 
Systems:
 

In response to post by Pal Anand of 11/29/06 (12:04)

Thanks for link for this site. One interesting paragraph says:

>Then what criterion is better to avoid overfitting and improve the stability of the system? ...

See entire

So ,the site does provide good tools to analyze new trading systems with back testing methodology. However, there is a genetic information involve with their structure, how do you feel about this approach?
  
SubscribePost a reply to this
 
Subject:New forum?
Posted by:Pal Anand ( C2 Score: 988)  New msg
 
Ignore user's posts for week month forever
When:12/15/06 (18:30) 
Systems:
Direxion (FAS/FAZ), Direxion BGU/BGZ, Direxion DRN/DRV, Direxion DZK/DPK, Direxion EDC/EDZ, Direxion ERX/ERY, Direxion LBJ/LHB, Direxion MWJ/MWN, Direxion NUGT/DUST, Direxion SOXL/SOXS, Direxion TMF/TMV, Direxion TNA/TZA, Extreme Stocks, ProShares AGQ/ZSL, Proshares TQQQ/SQQQ, ProShares UCO/SCO, ProShares UGL/GLL, Proshares UPRO/SPXU, ProShares UUP/UDN, ProShares UVXY, ProShares UYM/SMN, ProShares XPP/FXP, System 78433109, System 1200737, System 13513226, System 14747274, System 14900604, System 17333270, System 18570303, System 21001636, System 22811602, System 25126348, System 25286922, System 25480083, System 26583686, System 26874100, System 28959109, System 30070387, System 30091398, System 30092309, System 32171590, System 33686814, System 36312421, System 39940733, System 49372097, System 51623361, System 56204818, System 59614452, System 62659351, System 63709256, System 64327252, System 64862505, System 65149161, System 65149202, System 66082786, System 69788609, System 69789319, System 74827691, System 76000954, System 76001024, System18339738
 

In response to post by thanh phan of 12/01/06 (22:41)

So ,the site does provide good tools to analyze new trading systems with back testing methodology. However, there is a g...

See entire

I'm more involved with expert systems rather than genetic modeling. I did take some courses on parallel processing at grad school where I Implemented simulated-annealing and genetic optimization algorithms in C on an Intel Hyper-cube super-computer, but I do not see any particular applications of this in developing robust trading systems.

The only place where I can think of using genetic optimization is in options modeling: As the number of options increases beyond 5, the approximation to optimal dynamic strategy will improve eventually, but the optimization process becomes considerably more challenging for larger n. for example, the n= 15 cases involves (45 strikes 15 options) factorial = 344 867 425 584 sub problems, and even if each subproblem requires 0.01 seconds to solve, the overall optimization problem would take approximately 109.4 years to complete.
  
SubscribePost a reply to this
 
Subject:New forum?
Posted by:thanh phan ( C2 Score: 944)  New msg
 
Ignore user's posts for week month forever
When:12/19/06 (10:17) 
Systems:
 

In response to post by Pal Anand of 12/15/06 (18:30)

I'm more involved with expert systems rather than genetic modeling. I did take some courses on parallel processing at grad school where I Implemented simulated-annealing and genetic optimization algorithms in C on an Intel Hyper-cube super-computer, but I do not see any particular applications of this in developing robust trading systems....

See entire

To my understanding, optimization is a process which a designer sort out the best possible results of avariables in order to trade the system. For example , if you are trading momemtum in conjuction with another indicator, those parameters may yield high return in certain market condition but poorly in other. So if you use genetic optimization, shouldn't you be able to spot the relative strength and weekness of your variables relative to the market condition? I think optimization is a process which designers look for ways to improve on the profit factor. As you run those numbers, you see various performence thru out various market samples Therefore, if a single system has various performences , as a trader would you want to know how the system perform under optimize conditions (meaning the best case senario?) I think that site provide solutions to multiple market behavior, but over all as a trader you will still need to decide which programs to run during forward testing in order to see how your optimizations process perform relative to your back testing.
  
SubscribePost a reply to this
Back up to list of subjects