To me trading is not a performance sport or a competition. My goal is to simply find the least stressful way to maximize the probability that gains will exceed withdrawals.
Use past tense when referring to backtest results -- the system had (not has) a positive expectancy, its rate of return was (not is) x%, etc. Using present tense implies that the stats are a persistent characteristic of the system, which is generally a delusion.
@ConcretumR
@chatwithtraders
My version was more simplistic but indeed the same concept. Scan starting at 9:35 for stocks not already overbought/sold (long/short) breaking out (up/down) with projected daily volume > 3x recent daily average.
Ed Seykota said "everyone gets what they want out of the market". My stats are the least impressive of anyone in the book, which suits me fine. Be happy with what works for who you are.
I've learned this year that, as
@PeterLBrandt
wrote, "my job as a trader is really nothing more than that of a glorified order placer." In other words, don't underestimate the importance of optimizing your order management process.
@PradeepBonde
This has always mystified me. You learn so much about markets by getting your hands dirty and coding your own scans. The daily practice of experimenting with this stuff is what builds knowledge gives confidence to put trades on.
To avoid "black Friday" crowds, simply decide that you don't care about "getting a good deal", which is largely a delusion anyway. The best deal is when you don't buy anything.
Happy New Year! From the results being shared, it's easy to feel regret if you "only" made 50% or 100% or even 200% last year. Remember that thing called selection bias, be grateful for what you were able to accomplish, and keep up the good work!
Talking system trading with
@mars10p
- profiled in
@jackschwager
“Unknown Market Wizards” book
Couldn’t have been a more gracious guest; High level conversation
The process of backtesting and favoring strategies that worked better in the past is generally effective at a coarse level. The delusion is that past stats have any precision as future results indicators.
Among the examples that come with RealTest is an implementation of the seven-strategy stock trading system from
@laurensbensdorp
's book.
While retesting these examples for my latest software update, I noticed that this system has recently done rather well.
🎙New AlphaMind Podcast🎙
Marsten Parker - Market Wizard : The Spirit of Experimentation
Marsten is one of the exceptional traders in ‘Unknown Market Wizards’ & the only truly systematic trader featured.
🎧
@jackschwager
@mars10p
Soundbite attached
It was a delight to be invited on to the Algorithmic Advantage podcast with
@RichB118
and
@QuantiveAlpha
to discuss how retail traders can use a systematic approach to their advantage in the equities and ETF worlds.
Love the thumbnail guys! 😉
Now that the flow of testimonies about the passing of the legendary Jim Simons has faded, I think I can talk a bit about him. I noticed, by the way, that those I know who knew him the best remained rather silent, I guess out of respect for his stature.
Jim was one of the first
@rjparkerjr09
I famously said "don't quit your day job" but I made that choice to optimize for independence and don't regret it. That said, pure independence is a delusion. We need each other and must remain skillful at coexisting.
Deep diving back-testing applications and Python DIY solutions with
@mars10p
,
@pyquantnews
&
@RichB118
. What are the keys to building truly robust trading strategies. What tools, skills and tech do you need? It's all here!
During IB's paper-trading login, you have to click "I understand and accept" that it's a paper account. There is no such warning for a live account. Shouldn't it be the other way around?
Went out and got a pizza, ate it with my daughter, made coffee, drank a cup, said hi to the cat, now back at my desk and apparently quite a bit less poor than when I left it.
@thechartist
Reminds me of 2015-08-24, when I was down about that much from high water mark, and staring at another -$150K pre-open loss indication and could not press the start button. Left a very large gain on the table that day.
I'm a mechanical trader because I'm too lazy to do the work required to develop procedural memory at the individual trade level. And/or because I don't believe I would succeed at it. And/or because coding is my favorite pastime.
@jackschwager
People drift away from truth when accepting it requires admitting defeat. Or, as a trader would say, taking a loss. Societies drift away from truth when leaders refuse to take losses.
I wonder how differently markets would behave if it were illegal for anyone to ever publish/tweet/say what their open positions or intended trades are.
@SJosephBurns
@markminervini
The number and variety of replies is a fascinating exhibit of people's desire to "be right" (which is harmful in trading). I wish it had been a survey so we could see the answer frequencies.
Outline of the course content:
001.1 – IMPORTANT INFORMATION
001.2 – COURSE INTRODUCTION
INTRODUCTION TO TRADING SYSTEMS
002.1 – WHAT IS A TRADING SYSTEM
002.2 – TYPES OF MARKET SYSTEMS
002.3 – TYPES OF TRADING STRATEGIES
SYSTEM BIASES AND ERRORS
003.1 – ROBUSTNESS
003.2 – A
Having just finished the best month of my career, I am, of course, doomed to begin a drawdown. True to form, the momo froth seems to have returned, and it was a crappy day for MR shorts. A market reversal tomorrow would be useful.
@PradeepBonde
That's why I joined stockbee and still regularly read the timeline. The idea for my best strategy of the past few years came from someone who I met there.
I've never loved trading itself -- realtime decision making or attachment to the outcome of a position -- but I do love the process of testing and implementing trading systems.
UMW Quote43/155
One of the essential characteristics of successful traders is that they love to trade. Be sure you really want to trade. And don’t confuse wanting to be rich with wanting to trade. Unless you love the endeavor, you are unlikely to succeed.
It would take a million $10K Robinhood accounts to match Hwang's (former) equity level, never mind the 10x+ leverage he fabricated by cloning his collateral.
From today's NYT email digest: "In coming weeks, I’d encourage you to ignore most Covid prognostications. Nobody knows what will happen next." The word "Covid" is redundant and the second sentence is always true.
The BST LIVE show on “Overcoming broken strategies” with Marsten Parker from Unknown Market Wizards starts in just 13 minutes (7pm Central US time), join us now:
I confess to having been somewhat hyperbolic. Testing a good idea can take many hours. But if you think about something for awhile and can't figure out how it would be even possible to test it, then it's probably safe to not bother.
Happy Thanksgiving Week. Remember that, for reasons I've never understood, Wednesday (the busiest travel day of the year) is a full trading day and Friday (when nobody goes anywhere) is a half day in US markets.
The system is a ‘blend’ of ideas from the following resources/traders:
@TheChartist
TRADESMART - Trader’s Blueprint
@mars10p
Multi Strategy Backtesting Software
@qullamaggie
Swing Trading School
@team3dstocks
@CiocanaTrader
My calculations used the average percent of eventual daily volume as of each minute across all stocks in my universe that ended up having 2x average volume that day.
@PeterLBrandt
@jackschwager
My approach is best described as "no opinions, never held". Or you could say that my only opinion is that my systems have positive expectancy, and that opinion is very weakly held indeed.
If you failed to convert your hundreds into millions over the past few months, or gave it all back, the only possible explanation is unfair regulations.
It's true. Nor have I ever visited a casino or played a card game for money. I've neither the memory for card-counting nor the personality for bluffing, and certainly don't enjoy edgeless gambling.
🎙New AlphaMind Podcast🎙
Our latest episode features Marsten Parker, one of the exceptional traders in Jack Schwager new book ‘Unknown Market Wizards’. Marsten, paradoxically as you will hear, doesn't even like trading.
🎧
Best calendar month of my entire trading career (by a hair). Volatile sideways chop is my favorite market regime. But, let's face it, when we have a great month, it's mostly caused by random chance.
Another friend and trading colleague who I need to thank is
@AdamHGrimes
. He was there for me in my darkest period, with support and encouragement. A true giver.
"There is no cause and effect as to which set of parameters would do well in the future." – Marsten Parker from Unknown Market Wizards. For more details on “Overcoming Broken Strategies” watch along at
Traders give far too much weight to each individual trade.
Edges should play out over multiple trades, not one trade.
As
@mars10p
Marsten Parker put it in last week’s AlphaMind podcast ‘Next Thousand Trades’ that’s what matters.
🎧
It appears that posting symbols of positions you're in is the thing to do if you're a trader on twitter. I'd do this too, except that most of the time I don't even know what my positions are.
If you are finding trading easy, then you have a shock coming your way. If you don’t believe this, just ask those who succeeded at trading over the long-term.
If you want easy, then trading’s the wrong career for you.
@laurensbensdorp
Just as trading one system reduces angst about individual position performance, trading multiple systems reduces angst about individual system performance. This makes one less likely to interfere. Reducing the odds of unnecessary interference is an edge.
As usual, I could not remember what my positions were until I opened TWS just now. Looks like about neutral with 6 longs and 6 shorts. Pre-market P&L slightly positive. Plan for the day: import data, run scan, press start.
It can be hard to let go of a nice narrative once you've heard it or thought it. (That's why they're so effective as sales tools and for political manipulation.) I strive to keep my thinking and trading narrative-free, or at least narrative-fluid.
How traders go wrong?
1/ Start with strong belief/view
2/ Seek evidence in price action, news, data, research that validates belief.
(Same goes for conspiracy theories btw).
Instead:
Start with an open-mind or lightly held view. Then be curious; explore, test beliefs/views.
@PKycek
True. Daily software-assisted order generation and placement is feasible for (some) retail traders with currently-available tools. Unattended realtime automation is not something I would ever try to support.
@GustavMejlvang_
While I'm happy to see my software praised on Twitter, I have to ask: who are you and why are you impersonating
@GustavMejlvang
? This post was made by him last May. I've already reported you and asked others to do so.
@thechartist
@jackschwager
The one that influenced me the most was the original Ed Seykota interview. So I was thrilled to find his name in the first sentence of my chapter.