$TRILLION STRATEGY

trading strategies and money management discussion, code, results

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bh4313003
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Postby bh4313003 » Fri Mar 16, 2007 4:03 pm

eudamonia

thanks for the reply

can you please help me understand what you mean by
"This is why backtesting is cute, but you need to read the tape if you want to make this work."

read the tape?

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Postby BP » Fri Mar 16, 2007 4:04 pm

I think he means look at the charts day to day....rather then have the program run a back test.

BP

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Postby eudamonia » Fri Mar 16, 2007 4:34 pm

BP,

Yes that's correct.

bh4313003,

One of the primary flaws I see many backtesting folks make (and are mistakes I've made in the past), is to assume that the strategy is doing what I want it do. And to determine what you want it to do you must first observe the market. This is how you develop from being just a guy who can program some code into a trader. A trader trades and a programmer codes. Which career are you pursuing. Always keep this in mind when backtesting. You may where two different hats but at the end of the day your goal is to be a successful trader.

Edward
Eudaimonia (pron.: you-die-moan-e-a) (Greek: εὐδαιμονία) is a classical Greek word commonly translated as 'happiness'. The less subjective "human flourishing" is often preferred as a translation.

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Postby geff » Fri Mar 16, 2007 5:27 pm

There's a way to clarify this issue:

[align=center]The BACKTESTING/PROGRAMMING Results
vs.
EXPERIENTIAL/WORKINGTHETAPE/LIVETRADING Results Divergence.[/align]

Is there anyone who is trading the $Trillion Strategy day to day who would be willing to post their results?

What was the Date, EntryTime, EntryPrice, ExitTime, ExitPrice and Net after commission for each trade.

Some of you must have a a backlog of this info. That plus a MOVING FORWARD daily update would be most enlightening.

Assuming the posted results are brutally honest (no cherry picking), we'll see specific, real results and shed some light on this critical subject.

Jeff

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Postby eudamonia » Fri Mar 16, 2007 9:04 pm

geff,

Trillion isn't my primary forex strategy or I would post results. However, to be honest - I don't see the point. The way I trade the forex would look like cherry picking to you (or anyone not familiar with my trading) because it is. I cherry pick (i.e. apply intelligent filtering) every day because I want only the best setups most likely to succeed. If you don't understand how I filter the trades (some mechanical and some tape reading) my results will look like mere coincidence.

BTW, if you read my original response to bh4313003, I was primarily criticising his use of incorrect forex costs. Many, many forex backtesters I've seen incorrectly use commissions costs to factor in spread. This is hockum! Please ask Michal or any other advanced strategy trader how they include spread (intelligently of course) into their backtesting. It isn't with the commission entry in the Strategy analysis tab.

With scalp trading you must be precise - as I pointed out to BH 2 pips per trade will make or break you for this type of system. Also, BH already posted his results showing that Trillion can make money - see the earlier page. What's in question is the real cost of trading in Forex. The answer is that it varies - so you must precisely calculate spread at that exact point when you enter the trades to really KNOW what the costs are.

Sorry to shout, but I just feel you may be missing the point. I have backtested many many scalping strategies in TS without knowing the real costs. The results have always looked dismal - but when I actually trade them I make money. Weird, I sound just like Avery.

As Michal has said - if you are going to strategy trade you must be precise and know what you are doing. I hope this does not come off as being offensive, but I just want to be clear where I think you are going astray here.

Edward

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Postby Patch » Sat Mar 17, 2007 1:13 am

Geff

I am in the process of finding my profitable trading method and product to trade. Once I do, I will post both my paper trading daily results and my real dollar results as I think this will be a help to ringers and newbies alike. And I want to pass t along and help men save the ton of time and money I invested over eight plus years looking for a non discritionary method to trade. many thousands and many years.

Patch the Pirate
In VA
Last edited by Patch on Sat Mar 17, 2007 6:42 pm, edited 1 time in total.

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Postby Patch » Sat Mar 17, 2007 1:19 am

eudamonia

Your post today at 4:04 pm is right on.

Keep on cherry picking FX and Futures and Stocks.

Patch the Pirate
In VA
ENOUGH being a Yalie for me Back to the Sea. "What i can lose, i can win" "YES YOU CAN" - dragon33 -"Pick one method and one pair and stick with them until you master it. "The choice is yours - success or failure." TRO

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Postby eudamonia » Sat Mar 17, 2007 2:01 am

Patch,

I'm glad you are finding what works for you. Please post your results if you think they will help some folks.

Geff,

Glad we talked on the phone today. I think we cleared up somethings. I agree that it would definately be beneficial if we could hear from some folks (including) Avery on how/why the filter their trades and what the actual costs are for their trades. I will try to put together some screenshots next week of how/why I trade the Buy/Sell zone on the Russell - since this is the market and strategy I feel most qualified to say something about. And I'll also show what the cost was on those trades.

Have a good weekend.

Edward
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Postby geff » Sat Mar 17, 2007 6:46 am

Here are a few thoughts following my Pirate Weekend, its Wake and my chat with Ed this afternoon.

As one who has spent a hideous amount of hours coding, testing, backtesting, optimizing, analyzing, comparing, filtering, consolidating, auditing etc.,

I just LOVE the idea of utilizing a few horizontal lines, a few simple rules and trading over the course of a few hours in the morning, banking a grand and then heading off for lunch and a matinee. It's the American Dream! But it just can't be THAT simple, at least not instantly.

Avery suggests working with the ideas and the indicators to develop a feel for how to trade them. But the devil is in the details - or the "feel". If all you do is A, B & C, then why would you need to develop a "feel"?

He reminds us repeatedly to find a way to make it work for ourselves. That means you cannot simply be a follower - you must make it your own in order to be in charge of your own trading. The more one can identify the differences between what works and what destroys, the better. This is a great forum for that.

As bh4313003 (what kind of name is that???) found, coding the literal $Trillion rules, after trading costs, isn't pretty. Avery says it works just fine for him. Two traders, same strategy, different results. There must be differences in the interpretation, the implementation, the execution and who knows what else to get such different results. There must be some unsaid rules - perhaps instinctively executed without a conscious decision.

Let's see if we can identify those differences. I suggested an examination of the realtime executed trades to attempt to grok what might cause the differences between those results and how any of us might have traded the same scenario.

As my initial BuyZone charts indicate, trading solely on:
1) being in the Buy & Sell Zones when
2) the current candle confirms
does not guarantee a winning trade.

I put this under the microscope to see what would happen if you took the strategy literally. I am quite literal - that's how I absorb information. And it seems that the literal execution is not working. (At least on the test samples, I've done so far.)

It follows that successful discretionary traders like Avery, Ed and Airball filter, either consciously or unconsciously, use additional trade signal filters and confirmations.

Some combination of:

Intuition, Insight, Feel and Experience

plus

Additional Indicators and Other Signals

must be coming into play.

Perhaps, add to that a sense of the

Preceding Trade Activity, Time of Day, Day of the Week, The Season, Financial Announcements, News, the Current Behavior of the Market Being Traded, The Indexes and Groups, Candle Patterns or Technical Formations, Trend Lines;

Any of which may be overriding, altering or tempering the, black and white trading rules.

This is all stuff which is not trivial to code or to teach or to get. It must become second nature. And that means there's more to learn, more to practice and more to observe.

Oy!

Jeff in L.A.

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Postby TheRumpledOne » Sat Mar 17, 2007 3:16 pm

Jeff:

KEEP IT SIMPLE!

AirBall is doing EXACTLY what you speak of. The BUY ZONE and the CANDLE COLOR is all he is using. He is winning over 60% of the time and MAKING MONEY!!

NO other indicators are needed.

The "feel" comes from experience. There are times when I do NOT take the trade... it doesn't "FEEL" right.

We all have "blind spots". One of mine is that I forget to look for higher lows and lower highs. That's why the SM CANDLE2 and the TRO PMSM HL exist. But NO SQUIGGLY LINES and no additional TECHNICAL ANALYSIS is needed.

Once again, read AirBall's, aka Gert Forbe" posts over and over... sooner or later it should "click".

The funny thing is... the less you know about trading, the faster you master the BUY ZONE. It's a ZEN thing, if your cup is full, then you can't add any water. Empty your cup and the BUY ZONE will work for youi.

The buy zone doesn't need anything added... KEEP IT SIMPLE!
IT'S NOT WHAT YOU TRADE, IT'S HOW YOU TRADE IT!

Please do NOT PM me with trading or coding questions, post them in a thread.

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