TheRumpledOne wrote:Probability wrote:Hi The Rumpled One,
I am a big fan. Really enjoy your videos and they make a whole lot more sense than all the garbage i have been fed along my trading journey.
I watched your vid on youtube about milking the cows; Simple yet so smart. I have a question as well as an idea i was hoping to ask if i may.
The last 100 days used to select stocks. This is basing the selection of stocks to trade the next day based on what and how the stock/s has/have been behaving in the last 100 days correct ?
No, not exactly.
It is used to find the best pairs to trade using the method.
And you only need ONE cow to milk everyday.
When that cow starts to "dry up", you move on to the next cow.
I traded TASR for over a year.
Same with GOOG and AAPL.
You can trade them over and over and they don't wear out...LOL!!
A little about me, I have been trading for over 4 years. 3 of those years I have been working with Laurens Bensdsorp (Alpha Equity Investment and good friend of Tom Basso and Curtis M. Faith). He has been my mentor and teacher and taught me how to develop a variety of uncorrelated automated algo systems using Trade Blox ( same software the turtles used in "The way of the turtle").
We have been working together with a coder in California to develop and produce system suite (allows for different system developments).
I backtest, create and develop a variety of algo systems using this software.
System Types Developed to date:
Long & Short Day Systems
Long & Short Mean Reversion Systems
Long & Short Long Term Systems
ETF Hedge Systems
Combo Suites Systems (i.e Long Day + Short Day + ETF Hedge combined )
I have a 6 system combo producing 30% CAGR with a Max DD of 13% tested on the EOD of over 80,000 shares from 1995 to Dec 1st 2016.
Data used is EOD data.
Instruments: Stocks/ETFs.(can add Futures and forex)
Markets: AMEX, NYSE, NASDAQ.
I have over 16 different types of systems all offering a variety of financial returns and risk options.
What i have learnt, Backtested trading is like driving a car forward whilst looking through the review mirror.
I have also been following a forum on elite trader for over 7 years called,,, "why the obvious is not so obvious" On to which changed the way i viewed trading. Every way and thought of how to be a successful trader ( making more than you put in) has encapsulated me into finding and looking at the markets in a way of simplicity.
Before i came across you and your material i read a book called uncertainty and expectation by Gerald Ashley. Which added to my belief that trading the markets really is so simple yet the human mind complicates it. I have attached some points and explanations he mentions in the book that the real only factors in trading are really : Price, Time and Volatility.
If these images don't upload, please let me know and i will PM you.
So what i am bringing to the table if i may. I have been studying the correlation between implied volatility. Not historical, but whats to come. The relationship between the implied volatility of vix to the SP 500 shares and VXD to the dj30 and others.
My idea is, can you cross correlate the movement of the share (H-O 10, H-O50, H-60,70,80,90,100) with what the Implied volatility was OR is for a time period. My idea is it may or may not add to the result of what should and shouldn't be traded that day.