Technical analysis

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Fast Eddie B said:
Do you have me on ignore?

If not, can you address this prior question?
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My apologies, I use no function like ignore or report, just brain fade.

The best way to understand transaction costs is to simultaneously execute both sides of a trade. In the emini this will almost certainly be $12.5 US plus say $3.95 inclusive of fees, so $16.45. This is a good deal. This should work for 10 20 lots every time. For example right now 60 bid 38 offered.

Hillary Clinton will explain tax on futures trading profits.
 
Samson said:
My apologies, I use no function like ignore or report, just brain fade.

The best way to understand transaction costs is to simultaneously execute both sides of a trade. In the emini this will almost certainly be $12.5 US plus say $3.95 inclusive of fees, so $16.45. This is a good deal. This should work for 10 20 lots every time. For example right now 60 bid 38 offered.

Hillary Clinton will explain tax on futures trading profits.
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Apology accepted.

Not sure about the Hillary reference.

There's a fairly strong incentive to hold securities for at least a year, in the form of lower capital gains taxes. Can you skim off 39.6% (or whatever) of profits annually and still make your algorithm work?

I still recommend:

"A Random Walk Down Wall Street" by Malkiel

"Fooled By Randomness" and "The Black Swan" by Taleb

"One Up On Wall Street" by Peter Lynch (the best primer I know for a successful investment strategy),

And, to show what you're up against, an episode of the podcast "RadioLab" called "Speed", specifically the segment on program trading.

I'm pretty sure you're doomed to failure for a variety of reasons, but it would be cool to watch you prove us wrong by ending up with millions.

Good luck!
 
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Fast Eddie B said:
Apology accepted.

Not sure about the Hillary reference.

There's a fairly strong incentive to hold securities for at least a year, in the form of lower capital gains taxes. Can you skim off 39.6% (or whatever) of profits annually and still make your algorithm work?

I still recommend:

"A Random Walk Down Wall Street" by Malkiel

"Fooled By Randomness" and "The Black Swan" by Taleb

"One Up On Wall Street" by Peter Lynch (the best primer I know for a successful investment strategy),

And, to show what you're up against, an episode of the podcast "RadioLab" called "Speed", specifically the segment on program trading.

I'm pretty sure you're doomed to failure for a variety of reasons, but it would be cool to watch you prove us wrong by ending up with millions.

Good luck!
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The reference to Hillary Clinton was the controversy over her rather adept trading of I think Live cattle futures 20 odd years ago. hmmm.

I have read enough books, remniscences of a stock trader is a lovely book, and Edwards and Macgee delivered a glorious treatise on longhand charting, and drawing parallels with armies advancing and retreating.

It is interesting that my OP is dismissed as dreaming, which means I am a barefaced liar, or the most talented technician in history.

I am accustomed to pushing buttons without discussion, hence it is challenging to extend the concept to a thread. However, I am sure my trades will be followed here nevertheless, since there is nothing to lose for the seagulls.
 
The proof is in the pudding.

Start with a given stake of real money.

Choose a predetermined starting point and document all the trades.

Turn it into a much larger stake over time.

Love to see it. You're facing skeptics, which goes with this territory. So, the antenna are up for cherry picking data, remembering the hits while forgetting the misses, special pleading away setbacks and "black swans", ignoring taxes, transaction costs, and inflation, etc. etc.

But I would not mind seeing your algorithm making you very, very rich. If it's good enough, it could become a de facto standard and everyone could plug in a line of Excel code and be rich!

Yay! What could possibly go wrong?

But for some here there's a strong feeling of déjà vu. Went through this with kevsta, who seemed sincere but drifted away with no confirmation that his chart reading scheme ever actually made him money consistently. Then there was the certainty about what silver would do. And on and on.

But good luck nonetheless.
 
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Samson said:
I have read enough books, remniscences of a stock trader is a lovely book, and Edwards and Macgee delivered a glorious treatise on longhand charting, and drawing parallels with armies advancing and retreating.
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Are there any technical analysis "charters" on the Forbes 400 list? If not, why not? Any (non-conspiracy) theories?
 
Samson said:
It is interesting that my OP is dismissed as dreaming, which means I am a barefaced liar, or the most talented technician in history.
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There are two main reasons why your OP is dismissed as dreaming. The first is that there are simply hundreds (thousands ?) of people out there who claim to have a foolproof way of picking the market. Several have been through here. Despite having this foolproof method, they would rather spend their time advising other people and shooting the breeze instead of making stupendous amounts of money. Personally if I had a way to pick the market I would STFU about it (so that no-one else finds out) and get on with making money.

The second reason is that despite having this surefire way of making money (that the market as a whole isn't using), you can't manage to find the funds to actually put it into practice in the real world and you're only able to do it with play money. Whilst this may be completely true, I would move mountains to raise the necessary funds to put my idea into practice in a similar situation.

By saying that you must be a barefaced liar or the best technician in history, you're excluding a lot of middle ground. You could be just having a run of good luck - I was briefly able to pick winning horses, then my luck ran out, fortunately I too was only playing with virtual money after the first day (the first day I turned a tidy £150 profit :)). Alternatively you could be retrospectively including/excluding certain trades on the basis that you really meant to make/not make that trade.

It is entirely possible that you are the best technician in history but it's more likely IMO that one or more of the other factors are in play.

Samson said:
I am accustomed to pushing buttons without discussion, hence it is challenging to extend the concept to a thread. However, I am sure my trades will be followed here nevertheless, since there is nothing to lose for the seagulls.
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Great, let us know when you buy/sell and the fees and taxes involved.
 
Fast Eddie B said:
Are you fully factoring in the effects of commission in/out and short term capital gains taxes?

Just the latter can absorb almost 40% of gains all by itself.
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You're assuming he doesn't have huge carryover losses from previous years.
 
The Don said:
There are two main reasons why your OP is dismissed as dreaming. The first is that there are simply hundreds (thousands ?) of people out there who claim to have a foolproof way of picking the market. Several have been through here. Despite having this foolproof method, they would rather spend their time advising other people and shooting the breeze instead of making stupendous amounts of money. Personally if I had a way to pick the market I would STFU about it (so that no-one else finds out) and get on with making money.

The second reason is that despite having this surefire way of making money (that the market as a whole isn't using), you can't manage to find the funds to actually put it into practice in the real world and you're only able to do it with play money. Whilst this may be completely true, I would move mountains to raise the necessary funds to put my idea into practice in a similar situation.

By saying that you must be a barefaced liar or the best technician in history, you're excluding a lot of middle ground. You could be just having a run of good luck - I was briefly able to pick winning horses, then my luck ran out, fortunately I too was only playing with virtual money after the first day (the first day I turned a tidy £150 profit :)). Alternatively you could be retrospectively including/excluding certain trades on the basis that you really meant to make/not make that trade.

It is entirely possible that you are the best technician in history but it's more likely IMO that one or more of the other factors are in play.



Great, let us know when you buy/sell and the fees and taxes involved.
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Very well said!

If Samson wishes to convince us of the accuracy of his algorithm, then first he needs to present time-dated statements of his intended specific picks and sales in advance of each. Then, over a time period (say 6 months) he needs to demonstrate how results from these (theoretical) trades would statistically outperform the market index (perhaps other posters here could calculate what type of performance would be required to, say, exceed chance by a p <0.001). Although even this might be due to chance and the algorithm would fall apart over the next 6 months, it would be an excellent start.

No money is required or at risk, and such a predictive exercise would be more convincing than any posts addressing the past.

I would also agree with others that having an accurate algorithm of this nature would be very valuable. Evidence of success as defined above would generate a lot of enthusiasm and probably ultimately a willingness by some (on further evidence) to make a deal with Sampson that would help him financially use his algorithm in the real world.
 
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Giordano said:
Very well said!

If Samson wishes to convince us of the accuracy of his algorithm, then first he needs to present time-dated statements of his intended specific picks and sales in advance of each. Then, over a time period (say 6 months) he needs to demonstrate how results from these (theoretical) trades would statistically outperform the market index (perhaps other posters here could calculate what type of performance would be required to, say, exceed chance by a p <0.001). Although even this might be due to chance and the algorithm would fall apart over the next 6 months, it would be an excellent start.

No money is required or at risk, and such a predictive exercise would be more convincing than any posts addressing the past.

I would also agree with others that having an accurate algorithm of this nature would be very valuable. Evidence of success as defined above would generate a lot of enthusiasm and probably ultimately a willingness by some (on further evidence) to make a deal with Sampson that would help him financially use his algorithm in the real world.
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That is what I am doing here as an exercise though that was not my reason for starting the thread, which is still stated in the OP.
It seems the concensus is converging behind the following statement.

..................................................

Price history alone does not contain sufficient information to construct a fiscal winning strategy.

..................................................

And yet the rest of the OP is factually correct. This is slightly different from proof, but facts can't be changed.
Do 65 round turns averaging 5 points profit,$250 over 6 months constitute the concensus so far to be wrong?
Applied math(s) has the answer but my maths is not that strong.
 
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Spindrift said:
Am I understanding correctly? You made 65 trades to make $250?
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No, the volume varied, but if each trade had been one contract, the average profit was about $250.
Random walk theorists of course say this is impossible.
 
Spindrift said:
Am I understanding correctly? You made 65 trades to make $250?
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Allow me to take a slightly more generous interpretation: is he saying that the average profit per trade was $250 (minus costs), which for 65 trades would be a total profit (not counting costs) of $16,250. If true, even this seems different from the OP suggesting a $100,000 dollar profit.

Clarification?
 
Specifically this would be achieved when the one trade I have suggested on the thread so far reaches 2121 on the cash S n p. Currently still at entry point 2116
 
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