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Happy Monday Morning Briefing
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Happy Monday Morning Briefing

by The MoleJune 1, 2015

Welcome to our morning briefing. Here we are reviewing short term setups ahead of the NYSE opening bell. If you are a scalper or swing trader then these setups may be of interest to you. As usual keep in mind that these are short term setups although they could be used as early entries for more longer term positions.

2015-06-01_spoos_briefing

The week is hitting the ground running it seems. As Skynard mused in the prior post – we are most likely going to see a spike in volatility here today. The spoos are looking super juicy here as we are tickling support and it’s my patriotic duty to grab a long position with a stop below 2099. Below that we’ll probably drop into whoknowshowlow. Which means I’ll swap for a short if stopped out.

2015-06-01_ZB_briefing

The 30-year bond futures are also sitting on a binary inflection point – long above the NLBL and short below the rising 100-hour SMA which is also backed up by a NLSL. Bonus point – you won’t have to roll for a while if it starts trending, so stop futzing about and get on with it.

2015-06-01_gold_briefing

Time to strike while the iro… uuuh gold is hot – a stop below 1180 should do the trick. This one is also short of dropping off the plate which means I’m open to flip the script and go for shorts if stopped out. All that sideways tape has lulled you into almost slavish submission and I bet good money right now most of you rats will miss the boat once it starts trending. Prove me wrong.

2015-06-01_GBPNZD_briefing

GBP/NZD – long here with a stop below the 100-hour SMA. Who wants to live forever?Β Me actually which is why I’m only playing 1/2R.

You want more? Better pay up and join the club – leeches only get to see the tip of the iceberg πŸ˜‰

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2015-06-01_events

A bit of event risk around 10:00am Eastern – so batten down the hatches around that time. See you guys later this afternoon.

Cheers,


About The Author
The Mole
Mole created Evil Speculator amidst the chaos of the financial crisis in early August of 2008. His vision for Evil Speculator is a refuge of reason, hands-on trading knowledge, and inspiration for traders of all ages and stripes. You can follow him and his nefarious schemes at various social media waterholes below.
  • BobbyLow

    Mornin Folks.

    Speaking of Volatility, it has appeared in my Forex positions as I took a -.15R Loss and flipped from Long to Short AUD/NZD this morning. Long EUR/USD is still hanging on and is flat. Short GBP/JPY has turned around and is now positive. (I thought that one might get stopped overnight) and my Short GBP/USD is still open with Stop now set at +1.75R.

    Still Long Bonds via TLT and Short Energy Companies via DUG

  • Ronebadger

    Good stuff, Mole…thanks!

  • BobbyLow

    Hey Mugabe,

    On the last thread you mentioned that you noticed that after most back tests you reviewed, the forward testing and live trading that followed started out not so good.

    I have also found this to be the case in my own situation. I believe that at least part of the reasons for this are that systems run in cycles and as Scott has said, “markets go through periods of easy trading and periods of hard trading”. I think there is a recency bias that can come into play here whereby over time, a given back test will show good and bad times but the most recent time period is probably good. Well, guess what comes next? This is a strong reason why it is so difficult to stick with new systems because almost immediately, you have to fight self doubt and all that rot.

    The most important thing that has come out of this for me is that everytime I’ve dramatically changed a given system, I would look back and find out that my original system would have worked just fine if I had just left it alone and traded through the rough time with reduced size etc.

    Another issue is execution. When backtesting there is always perfect execution and every trade is taken. Then after going live, mistakes can throw results off completely when compared to a back test.

    So in a nutshell, I believe that having a decent system is only the beginning. The struggle can be working the system correctly and consistently as designed.

  • http://evilspeculator.com molecool

    Volatility and then some!

  • http://evilspeculator.com molecool

    “markets go through periods of easy trading and periods of hard trading”

    Not necessarily – the hard and easy are just perceptions based on one’s approach. Markets just are and they do go through cycles. The necessary approach is to match the proper strategy to a particular market cycle.

  • http://www.ProfitFromPatterns.com/ Ivan K

    B’low – ‘Freedom loss’ is another reason why there can be a pre and post mega difference … by definition, any added rule is curve-fitting … ie the desire to create a desired outcome.

    This is one reason why I wrote previously that any one rule, or any one day missed, should not make a material difference to either the path to … or the end R result.

    Additionally … it has is beyond doubt that the subC is far more powerful than the conscious … hence recency coming into the equation … any back-test, or better still any back-application is best done on totally out of subC sample data.

  • http://evilspeculator.com molecool

    Hehehe – anyone watching gold?

  • http://evilspeculator.com molecool

    Where the f…k is everyone? So many juicy setups this morning. Are there like three people left here or what? Maybe I should take the summer off from blogging.

  • http://www.ProfitFromPatterns.com/ Ivan K

    M – Silver has been far kinder.

  • ridingwaves

    June is active delivery month for the precious…

  • Skynard

    Heheh, loads of volitility, long set /6A @ .7610

  • http://www.ProfitFromPatterns.com/ Ivan K

    M – alternatively to have a RBT that can handle both … this is where CM (Campaign Management) comes into its own.

  • Skynard

    Triggered long

  • M E

    All here, just quiet as mice

  • http://evilspeculator.com molecool

    An RBT that can handle both does not exist by definition. And should not be attempted as it will turn into a furball of rules. Best to define two or three simple systems as opposed to one complicated one.

  • SirDagonet

    @Scott or @mole — quick question from Why You Fail As Traders;

    “Those small pip ranges… overall are a better edge” (Scott, referring to CI)

    Would that imply the system could be *effectively and profitably* altered by only taking small pip range trades? (or, those trades as a subsystem?)

    Would I be correct in assuming you both considered this when designing the system?

  • http://www.ProfitFromPatterns.com/ Ivan K

    Exactly my point … or multiple timeframes.

  • newbfxtrader

    Kiwi and pound looked better.

  • Skynard

    2100 pivotal, bear need to show their strength now.

  • Skynard

    Ya, Pound is good now on a potential retest of 1.5200.

  • newbfxtrader

    Didn’t see clear support for Aussie on daily. But maybe its fine in your time frame.

  • Skynard

    See how it plays out, if we see a rocket will be sure to take profit:) Both seem to be on the same page anyhow.

  • M E

    Grabbed it. On Thursday.

  • mugabe

    yeah. the funny thing was that in some cases, the backtest was long (ie years) and then all of a sudden the system started to undperform post-backtest. who says they aren’t out to get you? πŸ™‚

  • newbfxtrader

    Yeah 0.76 tested three times already so it will be weak.

  • Skynard

    Looks like the trigger point to me. Full long .7605 AVG

  • Bill

    Ha, some of us take your setups and then have to go back to our days jobs! πŸ™‚

  • Skynard

    /CL full circle, longs approved:)

  • mugabe

    btw, I thoroughly recommend the film Locke. in a way, it’s the ultimate film about multitasking – good for skynard:)
    PS don’t watch it if action films are your cup of tea

  • Skynard

    Hum, do not believe I seen it. Will have to watch it:)

  • Skynard

    /ZW currently at 595 (Res). Initiating a short entry for a slide lower to get long

  • Billabong

    They had better hurry up and get off the pot… 2112.

  • Billabong

    Excellent thought on back testing … one of the reasons we select what we select. What is the current trend of the back tested subject? Probably a simple enough question to understand whether or not you’re going in with the trend or trading counter trend. One of many RBT questions…

  • BobbyLow

    I’m not sure he meant “a better edge”. But perhaps greater profit potential? A small pip range would offer an opportunity to make more money because with R being constant, the smaller the range, the larger the size. The larger the size, the greater potential for larger profit.

    I also think that depending on time frame a smaller range/smaller stop would give you a greater chance of being stopped out and could create a larger number of losses to help offset some of the greater gains of larger sizes.

    Just my 2 cents.

  • Skynard

    Agree with you, huge bear wedgie on the 5 min. Get it while it’s hot:) With a div and participation

  • newbfxtrader

    Hehe GG would have had a picture for that.

  • Skynard

    Lol, miss the little bugger:)

  • Skynard

    Wow, look at /ZL go.

  • http://greenlander1.blogspot.com/ greenlander1

    Let go of my dollar short on the open. Narrowly escaped that spike up…

  • http://evilspeculator.com molecool

    Participation here sucks today… feel like I’m pushing a rock uphill…

  • http://evilspeculator.com molecool

    I dunno – if it wasn’t for Skynard it’d be tumbleweeds here. Meanwhile on the Slope they’re falling on top of each other talking about the weather and licking their wounds when they’re shorting the tape for the 1010th time. Scott told me a long time ago to give it a boot and I may just continue with only the signal service. Tough to keep up the energy when everyone’s quiet.

  • http://evilspeculator.com molecool

    Screw it – I’m going to start a blog for perma bears…

  • Ronebadger

    I’m in!

  • http://evilspeculator.com molecool

    Get in line! πŸ˜‰

  • Skynard

    Kind of maks me think that the tape is going higher if that is the case:) We are pretty much at res here and would suspect that is why.

  • BobbyLow

    ES was a pretty bearish place back around 2009 and I was a Perma Bear back then.

    That’s how I ended up here. πŸ™‚

  • Skynard

    We all were at one point or another, let’s not kid ourselves.

  • http://evilspeculator.com molecool

    Even a stopped clock is right twice a day. And once it finally happens – after seven years of missing out on the most violent bull market in recent history he’ll be celebrated as the guy who ‘called it’. Retail traders apparently cannot be helped…

  • http://evilspeculator.com molecool

    Yeah, but unlike the crew over there we learned something over the past seven years. There is a difference…

  • http://evilspeculator.com molecool

    Just proves to me once again that being right and sticking with what works doesn’t really matter. People want to be seduced and told what they want to hear. See Slope, see ZeroEdge, see this Sinclair clown of a gold bug, and a dozen other places… All hopping with tens of thousands of followers.

    Then again – they are needed I guess. 1% banks the coin – everyone pays for the 1% to bank all their coin. The market is a zero sum game.

  • Bill

    Most of those comments are nonsense I am sure. 80% of the stuff posted here today is either comments on price action or RBT shop talk, good solid stuff. I think to regularly get that volume it would have to be pictures of cats pointing at wave counts and predictions about Fed decisions.

  • Skynard

    Absolutely and glad we all pulled our heads out of that:) Just do not see a reason to get long yet. This beasish wedge does not impress me.

  • http://greenlander1.blogspot.com/ greenlander1

    AAPL consolidating nicely. Entered this and still in oil…

  • Bill

    Either Tyler Durden doesn’t trade in anyway that resembles his online persona, he has a blownup account, or he doesn’t trade at all. Good for him for finding a way to make some cash as a journa.., blog… whatever he does.

  • http://evilspeculator.com molecool

    This is a general beef I’ve had with the retail crowd for the past few years. So many broken dreams and blow up accounts over there. But still they come back for more… I just don’t understand these people. Maybe it’s more like a religion – they have elected their prophet (the big bad bear) and they don’t want to let go.

  • BobbyLow

    Exactly or I could be bitching about how difficult it has been recently to catch a decent trend lasting for more than a few fucking hours. But I wont do that. πŸ™‚

  • http://evilspeculator.com molecool

    That place is rife with cynicism – the call sign of a loser. Winners are too busy living the good life and laughing their way to the bank.

  • Bill

    What might make sense is a live guided meditation session from Mole. I kid.

  • Skynard

    That is retail for you. If you can believe it most of this harened shell was caused by the sell-off in 2008 as many of these retail traders were burnt badly (including me) and are out for revenge.

  • Edd

    Everyday I am managing 3 to 4 open positions on 10 min charts. I found this site in time to apply all of the principles espoused by you and Scott starting a few years back. My trading has never been better. I used to waste a tremendous amount of time at other places with very nice people like GG. I simply do not have the time any longer to trade professionally and profitably in the lower time frames and have anything left for discourse. I stopped being a leech and started as a sub to pay back the education that was given to me freely. I will continue to pay as a sub for the continuing “tune up and maintenance”. I do not trade overnight and have no plans to start right now. I hope you continue. You have made a dramatic difference in the level of discourse here. The consequence of course is exactly the silence you hear at times. The level of quality however is of magnitudes better. My travels echo BobbyLows in age and personal experience. I have little to offer at this time other than my real support. Long UPRO from 71.11 11:00,
    ERX from 13:20 56.48, Long TQQQ 10:50 115.26, half R trailing stops on all three.
    Thank you for all you do. You have made a difference in my life, my families life, and the finances of many who you will never know, and never meet, but they have come to know and appreciate you, Scott, Ivan and many others here. Every evening after two hours of recap and trading log update the wife asks what Mole and Scott had to say today. Ya think I talk about you all a lot!!
    God Bless.

  • Billabong

    GC / SI showing long legged Doji … not seen very often.

  • Billabong

    Glad I’m out of the prediction business …

  • Bill

    Honestly I think the people that come here are on a different level that those blogs. Those places are more like Reddit. It’s just a place to BS you can say anything. I almost feel like I have a reputation here even though I am anonymous due to the respect I have for those here. I don’t want to say anything dumb so I keeps me from just flapping my lips. I can’t post any real technical analysis at my level except for the occasional rare inside setup I spot and I don’t want to post to much idle chit-chat. This place is a little intimidating in a good way and I bet others feel that same.

  • BobbyLow

    Or even better than that, I could talk about the fact that I’m fasting right now and in a few hours, I’ll be drinking over a gallon of some vile tasting shit in order to clean myself out so I can get ready for my Colonosopy tomorrow morning.

  • http://greenlander1.blogspot.com/ greenlander1

    Didn’t someone say he was going broke? Anyways, when people are that busy ranting about stuff, it’s unlikely they are spending the necessary work nor have the attention span to trade.

  • Skynard

    Crude on cruise:)

  • Skynard

    Nice trade on /NG, wanted to take it:)

  • BobbyLow

    Yep but it has only offered the $2.00 Cruise in recent weeks.

  • Skynard

    Lol, you have to swing trade:)

  • BobbyLow

    Swing trades are what I try to do. But a $2.00 trade is Support/Resistance that is right in your wheelhouse and not in mine. So as one definition goes, “insanity is doing the same thing over and over again and expecting different results” and I had to give Crude a time out.

  • Bill

    He probably started that rumor to get more traffic to his site. “Tyler Durden’s trading account plunges: Destruction, death, end of world”. And that is my last nonsense post for the day.

  • Skynard

    Got ya, big difference.

  • Skynard

    Hourly looks like an ABC move. If that is the case the next move will be down.

  • captainboom

    It’s that time of year boss. I’m ass deep in alligators. Not that I say much anyway, but thanks to all that you, Scott, Ivan, et al have taught me, I’m still in self-imposed ‘no trading time out’. Not losing money in the markets is my mode of operation right now.

    I still swing by when I get a chance, and sometimes it’s Sunday afternoon before I can catch up on the week’s posts, but I read it all and archive for future reference, coded for the type of discussion/RBT/etc.

    I may actually have time to work on my own RBT once I get past this summer. Not sure yet, but watching and waiting while I save money from my real job. Thanks.

  • http://greenlander1.blogspot.com/ greenlander1

    Yeh probs. I remember reading a stat that bearish posts get 4-5x more clicks than bullish ones, I reckon ones that use the word ‘crash’ 10x+

  • mugabe

    think that space is crowded

  • Skynard

    Come to daddy:)

  • OzarkHillBilly

    Evil Turd

  • Skynard

    Need some help in that area:) Have a hard time keeping mine shut!

  • randomuser6789

    I am a lurking leech. I was a sub when I traded actively, and I will likely become a sub again when I return to trading.
    I can’t tell you guys how much I have learned since coming here.
    I am working on a system that I can back test and prove an edge – unsuccessfully so far.
    I am seeing that the reason I suck at trading is me, not the tape that I am dealt.
    I would wind up right back in the woodshed if not for all that I have picked up just watching the rest of you.
    I will trade to win or not trade at all. I will improve my skills and try again. That is what winners do.
    I will start small when I get back in.
    I will not run my mouth unless I have something relevant to bring. That is why I am usually silent here.
    But I can’t stay silent when you start with the frustration about your blog not mattering. It does matter – more than you know.
    I could start posting a bunch of nonsense just to get the comment count up, but I know that is not what anyone is here for, including me. I am here for quality discourse, for inspiration watching you guys who are killing it week after week, year after year. Don’t let the numbers fool you. This is one of the highest quality sites on the web. Thank you for putting it out there.

  • Ronebadger

    Still short ES based on the 2114 (which is probably expired)

  • Skynard

    Good badger!

  • wandering196

    suprised there are that many

  • http://evilspeculator.com molecool

    Don’t give up on your strategy. All you’re doing is figuring out what does NOT work. At some point it’ll all come together – keep plugging.

  • http://evilspeculator.com molecool

    10-min charts – that’s rough! 60-min charts are making me sweat already. How do you do it?

  • http://evilspeculator.com molecool

    Damn, just saw this now. Dude, don’t you know to read the signal strength by now? That big spike was only a 0.4 whimper – make sure you are seeing the forest for the trees.

  • http://evilspeculator.com molecool

    Skynard – see my comment below regarding the Zero. You MUST consider signal strength when assessing the signal spikes. Today’s signal window was pitiful.

  • Crofx

    That’s why they are the 99%

  • Crofx

    Back in a previous life as a salesmen I learnt that “fear” sells and “good” / “positive” doesn’t. People who are “scared” or “worried” will part with their money quicker than those being offered a benefit. If you want more people on your blog you need to “market” fear! Not success!

  • captainboom

    I learned this a while back at a lecture titled “The Psychological Traits That Underlie Ideology”. It’s a big reason political ads are all doom and gloom. Takes aim at the fear centers of the brain, and causes people to become more conservative. Hence the success of Fox News, etc.

  • stovis

    I think he may have meant soybean meal (/ZL on thinkorswim).

  • hellbent

    Re “fwd testing not starting out so good”

    Seems to me there are two factors directly driving this.

    1. Win frequency (reliability, or ratio): If this is less than 50% then there’s likely a dip in forward testing to some degree. The first result is more likely to be negative, no? And then it may take time to find its wings…

    2. Outlier profits: If a significant percentage of our (positive) expectancy is coming from occasional high R multiple wins then we can hardly expect to see EqC very positive until these babies start rolling in πŸ˜‰

    With regard to missing C.I. trades (actually executions?). I’m wondering if it’s the exit timming that causes the negative result. I mean our inital edge is usually pretty damn small so if we fat finger, sleep through or otherwise fuck up the exit we’re screwed, right?

  • Scott Phillips

    More correctly stated – outlier profits should read “the standard deviation of winning trades”.

    The higher the standard deviation, the lower the SQN, the lower the sharpe ratio. Hence some of the most profitable systems, the classical turtle style trend following systems which hold for a 10 bagger win in 1/3 of winning trades are extremely difficult to trade.

    Objectively CI is a low SQN system. It tests, like all of Ivan’s systems as “tradeable but average”. Nothing wrong with that, grinding out an edge over a large number of trades. Thor, objectively is better, and Thor.0 even better again in good market phases.

    All systems depend heavily on perfect execution. If you make even 1 mistake in 20 trades costing you on average 1R then your .2 expectancy system becomes a .15 expectancy system. You make one mistake in 10 trades and your .2 expectancy system becomes .1 expectancy.

    Do the math of CI expectancy, you will see that you NEED to be trading at a pro level, or your will in fact lose money, which is exactly what happened to the majority of subs.

  • Scott Phillips

    Also, karma is going to clown rape him into submission. Having blown up his own and his clients and readers accounts with his nonsense, his remaining asset is a Palo Alto house, which will be decimated in value when the bubble there pops.

    The big loser from a bear market would be Tim Knight.

  • Scott Phillips

    Exactly so! Gratitude, willingness to share, not being upset at contrary market views – these are the hallmarks of success.

    When I hear someone talking about edges and measuring outcomes and perfect execution, I start to think “that is a pro”

  • Scott Phillips

    I lost a lot of money being like that

  • hellbent

    I was bullish last year. It didn’t help. YES OIL!

  • Scott Phillips

    This is very interesting and you show all the hallmarks of having potential. If you want help on your system, I’m back in Australia in a week and happy to help any serious traders on system development. Feel free to email 888rewards at gmail for free of charge help.

  • Scott Phillips

    Not personally – but YES you could absolutely do that. That would most likely work.

    In my opinion there are better edges to be found, and you already know a bunch of them.

    What is important is to trade at a high degree of efficiency (few mistakes, fitting personality) If your edge is not quite so good, it doesn’t really matter that much

  • hellbent

    The Rats were discussing how resluts, testing or live, tend to start out not so good. My point is that the equity curve cannot get on track until the bigger wins, in particular, start to clock in. For the bigger wins to be significant, the standard deviation naturally needs to be significant as well.

    What effects the standard deviation of winning trades has, as well as what factors control it, I’m still getting my head around. So good engage on that topic too.

  • Scott Phillips

    To me the real cost is in being the “One eyed king of the blind”.

    It is extremely difficult to be continually improving when you are already at the top of a heap which is better than the losers next door.

  • Scott Phillips

    Couldn’t say it any better Bobby πŸ™‚

  • Scott Phillips

    Agree – there are NO unicorns (systems that perform in all market phases).

    Back in the real world, looking for a small edge that grinds it out over time is the best I can realistically hope for.

  • hellbent

    A small edge that earns its keep most of the time would do meas well. Theoretically though it should be possible to come up with a ‘modular’ system that tracks the nature of price action and changes gear accordingly? Theoretically…

  • hellbent

    BTW… Has anyone critiqued SQN? Smacks of subjectivity if you ask me and I’m keen to know exactly what it was designed to tell us. I’ll read some.

  • mugabe

    Mr Knight is an attention-seeking possibly self-delusional man. Really kindergarten stuff. Image from link below shows he’s not alone:

    http://jonboorman.com/predictions-and-prognostications/

  • mugabe

    I think that rather than a high standard deviation of profits, there’s a very fat tail ie they’re not normally distributed. The losses, on the contrary, don’t have a fat tail

  • hellbent

    Yeah, leptosporosis or whatever it is. Shows up pretty good on the plot you put on theother day.

  • mugabe

    It’s not subjective, it just doesn’t tell the full picture … as i think most here would agree.

  • hellbent

    You could argue that its purely objective, granted. But if you look at the formula you can see he had difficulty trying to make it work…

  • hellbent

    Good link. Gave me an idea about this site… Evil Speculator is alpha positve. The slope – not so much .

  • mugabe

    This is good but a bit technical:

    Knowing the mean, standard deviation, and maximum losing trade is helpful, but knowing the distribution is better.
    Systems with the same t-statistic (similar to SQN) can, and will, have different trading characteristics.
    It is important to limit losing trades.

    http://www.blueowlpress.com/WordPress/articles/measuring-system-quality/

  • hellbent

    Break it down and figure out how and why it works and then we might see what it can best be used for.

    Some formulas can be a bit ‘mushy’ but I’m really strugling with this one. I’m gonna stick my neck out and call SQN “wanked”.

  • phylum

    Loss defined …… profit unknown, not a bad way to fly:)

  • TheRooster

    It is essentially a t-stat, a valid mathematical technique that you could use to show the likelihood that the average of your population is not zero (or negative). There is plenty of public domain information available about t stats.

    My biggest concern is with the use of standard deviation on a ‘non-normal’ distribution of trades. I havent found anything better that is purely mathematical so I still use it but its not a grail for analysing the validity of a system.

  • Skynard

    Took off 1/2 AUD and let her ride. Already made good coin.

  • phylum

    Another chart maybe?

  • hellbent

    Yeah, get your point. It is of use. Distribution is anything but normal.

    I recon if you scrap your top 5% of winners then recalculate expectancy that is useful too. And you can see what the number means…

  • TheRooster

    Yes, i also tried using (av. trade – 1 std dev) but in reality whenever you use std dev you are penalising yourself for big winners. I think depending on your trading style that may or may not be the right thing to do.

  • hellbent

    Good idea. Still can’t find what I’m looking for in excel 2007 tho. Why did theymove all the buttons!

  • phylum

    to do what?

  • mugabe

    as he says i the article, you can just focus on SD of the losers. This is what the sortino ratio does

  • phylum

    exactly … KISS

  • hellbent

    Yeah, that makes sense. And again… we can see what the number means. (No TM required)

  • mugabe

    I agree totally.

  • hellbent

    Yeah that’s it.

  • phylum

    Note to self …K.I.S.S.

  • mugabe

    you’re only doing that if you have a high % of big winners. the first sd is 68.2% of all trades.

  • TheRooster

    in my experience they change prophets every market cycle which is what keeps bringing them back for more.

    been there, wont do that again

  • mugabe

    I don’t think that’s a v good idea. some systems like CI are based on that

  • mugabe

    not it’s not. as the guy says in the article, systems with the same t score can behavve very differently. the meat of the question is:
    1 what happens outside the first SD
    2 the tendency of the system to clump winning and losing trades

  • hellbent

    The number between the two calculated expectancies would quantify exactly what you are referring to…

  • mugabe

    I posted something on CI (without the eq filter) which basically showed that the first SD of trades (both positive and negative) generated a meagre net profit. it’s outside that range that the big net profit accrues

  • hellbent

    Yep, it jumped off the chart πŸ™‚

  • TheRooster

    i meant (ave trade profit – std dev of profits): i think the magnitude of winners can significantly impact the std dev rather than only the % of winners a few 10R outlier trades could skew the result if the rest is fairly uniform.

    i am not a maths expert though, but i do think a t stat can be a useful metric in conjunction with other numbers.

    I am aware of Sortino but have come to the conclusion that better system stats is not the barrier to my trading success. Not to suggest that it might not be important, but just not for me right now…………

  • mugabe

    absolutely agree about your point about better system stats, but it is important to know their shortcomings. It’s worth repeating what the guy says: knowing the distribution is more important than knowing the standard deviation.

  • phylum

    every system has short comings, surely knowing when to push or pull buttons is the point….

  • mugabe

    No arguing with that.
    However, knowing the overall distribution can give you some idea of what to expect. just focusing on the SD (which is what SQN does) gives a distorted close-up of the overall picture.

  • hellbent

    Also….. what is a realistic data sample. Long tails = bigger sample to be realistic.

  • mugabe

    Not qualified to answer that, but CI has around 2,500 lived traded now … not bad

  • phylum

    Academic really, depends on trading style

  • mugabe

    i think having a realistic expectation / picture of system performance when exclusively mechanical is far from academic

  • phylum

    True, no offence intended, the point was many “a” trading style

  • mugabe

    sure- if you’re like skynard, this stuff is probably useless.but if you want to develop a ‘black box’ system, not useless at all

  • hellbent

    Black box called Skynard.. hehe

  • TheRooster

    Not sure which bit you are disagreeing with? I havent read the article but I am not suggesting that the same T-stat means similar system performance. I am familiar with Howard’s work and have read one of his books which covers t-stats. The quote below is from him?

    “The System Quality Number is the same as the statistical metric t-test. T-test Is useful in determining whether a system is working or broken. “

  • mugabe

    I am *agreeing* with you:)
    not it’s not = no, it’s not the holy grail, as you say
    excuse my rather clumsy expression

  • phylum

    it’s never useless, it’s just a variation of a theme…

  • hellbent

    So have the rats ever consided posting a leader board?

    I’d propose 3 stats. Last month, YTD, and last year. All in profit factor. And cringe somewhat.

  • TheRooster

    and in turn please excuse my dreadful comprehension!

  • hellbent

    Haha, easy to go off the rails when its just text.

    Personally, I think it’s well worthwhile to characterise the distribution. Probably we will do it anyway as as matter of course.

    It’s the Q in sqn that I have a problem with.. We should question its validity.

  • TheRooster

    i will make time to read the article later but completely agree. A good SQN score and a positive expectancy, psychologically tradeable system are not the same thing

  • newbfxtrader

    Ha. Looks like 0.76 held again πŸ™‚

  • http://evilspeculator.com molecool

    That’s a keeper.

  • http://evilspeculator.com molecool

    Clearly – back in 2009 when I was pimping the next market crash I had ten times as many readers. My bad – I’ll start predicting market crashes now more often and watch my traffic go exponential.

  • http://evilspeculator.com molecool

    wow you? where have you been?

  • http://evilspeculator.com molecool

    Not a bad idea. Go on…?

  • hellbent

    Ok, has to be easy to present, say three numbers max (just like how we size up chicks:), meaningfull (PF or expectancy + No of trades) and hard to cheat. And maybe not make us drive ouselves into bankruptcy trying – so may need to include risk or drawdown.

    I cant help but try to curve fit the system to highlight my good start to year and blot out everthing else..

  • http://evilspeculator.com molecool

    Not sure what exactly you are referring to. A leader board of WHAT?

  • hellbent

    Trader/system performance

  • http://evilspeculator.com molecool

    I would spend a week or more building it and nobody would participate. How often do you see people even post setups here or, God forbid, track performance? One out of 10000 people who come here? Good idea in principle but it would die in the cradle IMO – people are just not doing this on their own, let alone on a public website.

  • hellbent

    Yeah, I guess that would be right. I was just wondering if it had been tossed around before. Maybe food for thought all the same.

  • Skynard

    Was referring to the symbol /ZL, not the Zero. Wanted to short it but no valid setup:)

  • hellbent

    The poll could use a new question. Perhaps we ask how well we are actually doing… could be interesting.

  • Skynard

    12! WTF, hehehe

  • Skynard

    Getting close to my /CL target, taking partial @ 62.00

  • Skynard

    Big time:) Nice reversal!

  • Skynard

    Looks like .008 to be the Yen bottom

  • Skynard

    Long, good time at 0830 hrs.

  • captainboom

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