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Hi Marc, do you use a trading system? if not, are your trading decisions intuitive?
btw, can you provide me with some info on KT's system?
tia...george
Steve, the proper way to calculate returns is by compounding them, eg. if you have two trades with 20% gain on each, then the cumulative gain is not 40% but instead 1.2 x 1.2 = 1.44 or 44%. That's what your account would show if you had two such trades. So, your cumulative gain for 2003 is (i am using trades 5-13 in this calculation):
1.0551 x 1.0255 x 1.0476 x 0.9761 x 1.0015 x 1.0181 x 1.0072 x 1.0599 x 1.0040 = 1.2091 or 20.91% gain for 2003
for comparison, uopix (2x ndx fund) is up 17.05% in 2003 and ndx is up 9.74% so a fully margined ndx account would be up about 19.5% in 2003...in other words, your 2003 return is about equal to the 2x ndx gain in 2003...
this 20.91% gain over a bit over 2.5 months is equivalent to approx 7.8% a month (compounded) or approx 2.5 times or 150% on an annual basis...
cumulative gain for trades 1-4 is:
1.0211 x 1.0532 x 1.1031 x 0.9775 = 1.1596 or 15.96% gain for Nov-Dec 2002
overall cumulative gain is:
1.1596 x 1.2091 = 1.4021 or 40.21% over the past 4.5 months, also translating into approx 7.8% a month gain...
the principal reason for these nice returns seems to be avoidance of losses (just 2 small losing trades out of 13 trades)
the above is correct provided that all positions use 100% of the account cash
george
Christian, now i fully understand the profit numbers, thanks...imo the system seems to be extremely profitable and i doubt one can do much better than this system since futures provide the highest level of leverage...the best bet is to simply follow the system as it seems validated by backtesting...
i also noticed that the system had enormous profits in 1998-2000...in those bull market years high leverage was the ticket but i don't expect this type of market any time soon...
i am also watching KT's system as it has similar results this year (when using full margin or 2x leverage)...
my personal goal is to match KT's results in my profunds trading (equivalent to full margin with qqq)
http://www.geocities.com/k_tieff/e/KT-QQQ-e.htm
KT actually had much better results than your system in 2002 as it went from 100 to 300 in 9 months on a non-margin basis which is approx equivalent to account increase from 100 to 900 in 9 months on a full margin basis...
KT trades intraday like your system while profunds are mutual funds which trade only eod once a day which makes it a bit harder to get those results...
please keep me abreast of your results with your system
good trading
george
so, in 2002, the system profits were approx.:
spx: (2800-2400)/2400=15-20%
dow: (17500-15000)/15000=15-20%
ndx: (12300-11700)/11700=5%
is this correct? assuming it is, a few points:
(1) the system had very moderate gains in 2002
(2) the system performs much better in a bull market
(3) the gains in 2003 are likely not sustainable unless we enter a bull market
george
TH, i just analyzed your NDX futures trades for 2003...the system seems to work very well, essentially trying to go with the momentum and riding the trend for sizable gains but also stopping out with small losses when a trade becomes a losing one...so, yes i think it's a great system...
my question is on the trading acct mechanics: if your portfolio had $10,000 to start, how did you manage to trade ndx, spx, and dow futures at the same time using this money? and what was the amount of money invested in each trade?
tia...george
very interesting...question: are your results better than those shown in the curves due to high leverage provided by futures contracts?...
frankly, i am still concerned that the system has weaknesses which should be magnified when trading futures so that system losses will be magnified with futures...so, the critical aspect is likely to be the stop loss mechanism...what is your stop loss?
tia...george
Trade Hard, if you flip a coin 10 times and come up with 10 heads would you say you perform well? If 100 traders flip coins 10 times and 1 of them gets 10 heads would you say he is the best performer?
The problem is always the same: statistical validation. You cannot judge someone's performance after 2.5 months for the same reason you cannot evaluate a coin flipper after 10 flips.
Warren Buffett is the 2nd richest man on earth and he did it by gaining only 30% a year (starting with perhaps close to $1,000,000 though)...surely there must be many traders who think they can outdo Buffett, let's say by getting consistently 50% a year for many years..if so, they will appear in the top of Forbes 400 soon. So far they haven't though (50% a year means 7500 times more in 22 years...with just $100,000 to start this still means $750,000,000 after 22 years which is enough for Forbes 400 inclusion).
The other thing is the size...multiplying $10,000 in the futures markets in not the same as multiplying $10,000,000 in those same futures markets.
US and Japan to protect markets
http://news.bbc.co.uk/1/hi/business/2863051.stm
Last Updated: Wednesday, 19 March, 2003, 06:25 GMT
Just days ahead of a war, the US and Japan are prepared to co-operate to support the financial markets if there is a crisis.
A deal was struck last week in the US between a former Japanese finance minister and the head of the US central bank, the Federal Reserve's Alan Greenspan.
"There was an agreement between Japan and the US to take action co-operatively in foreign exchange, stocks and other markets if the markets face a crisis," Chief Cabinet Secretary Yasuo Fukuda said.
The move came as Japan's key Nikkei 225 index dropped to another 20-year low, falling about 1.5% to hit 7,824.82, before rebounding.
Finance and economics minister Heizo Takenaka said the Bank of Japan and stock exchanges would be watching the markets closely during the current Iraq crisis.
Economic troubles
"We will follow the prime minister's instructions, co-operate with the Bank of Japan and exchanges, and respond appropriately," he said.
The looming war comes as Japan's economy continues to struggle with weak domestic demand, record unemployment and a third year of deflation.
Stronger exports also look threatened as the weakening of the dollar has pushed up the yen.
Japan's Financial Services Agency has already announced a number of measures to support the markets including easing rules on companies to buy their own shares.
No comment...<ggg>
well, i just extensively back tested my system using 2000-2003 data and incorporated a bit of new info/data...that losing trade is almost an outlier in my system...should happen extremely rarely...assuming of course that we are still in a bear market...in a new bull market i would need to modify the system to reflect a long bias from the current neutral bias...
ooops...disregard what i said above...just boastful fantasies with NO basis in reality...sorry...<ggg>
(as an aside i normally don't much attention to "news" of any kind..the system is almost mechanical...but the system is obviously not backtested for trading during a war of this magnitude...so i am not sure that i can reliably trade during intense hostilities...the only parallel might be the week of 9/17 when of course my system was not doing well)
george
wahz, just a sec, since you seem to be able to double your money easily every year (very very few can), then you will have
2x2x2x2x2x2x2x2x2x2=1000 times more in 10 years (approx)
so, if you have 1 Million+ now, you will have 1 Billion+ in 10 years...plus, trading is perfect for a home bound person with family obligations...you could even trade once per day (at the open) and i don't doubt you would do just as well
just a thought...
best wishes to you and yours
george
more (meaningless) annotated charts:
http://stockcharts.com/def/servlet/SC.web?c=$spx,uu[r,a]daclynay[db][pd20,2][J9102295,Y]&list...
http://stockcharts.com/def/servlet/SC.web?c=$indu,uu[r,a]daclynay[db][pd20,2][J11050825,Y]&li...
hey i have to fill some space with useless posts, right?.. <gg>
annotated charts (i don't usually look at gaps like that as it's not part of my system):
http://stockcharts.com/def/servlet/SC.web?c=$ndx,uu[r,a]daclynay[db][pd20,2][j9107157,y]&list...
http://stockcharts.com/def/servlet/SC.web?c=$compq,uu[r,a]daclynay[db][pd20,2][J11050778,Y]&l...
larry, steve, as you can see my "system" is only good on paper (or perhaps only in my dreams)...in real life my system will be lucky to break even...
if i were you i wouldn't follow it except maybe once a month to see what the latest loss was...
hopefully with 2 more losing trades even larry will decide that this board should be put out of its misery...
hmmm....if i put this losing trade in the header then maybe no one will even bother to read the posts anymore...yesssssss
switched to cash eod...
ok so i lost 5% of acct on my first trade...ndx dropped 5% and i was 50% invested in uspix...
5% ndx move against me is my stop loss...
let's hope this big losing trade will discourage the few still interested in my system...maybe i can even close the thread if i lose on 2 more trades?...
(hmmm...if people stop reading this thread then i can stop posting..and nobody will even notice...so i think i need 2 more losing trades...that would seal it...yessssss)
wld, good point for sure...and yet certain patterns which regularly occurred for the past 3 years should continue to occur for portions of my system to work well...
and when these patterns change i look for reasons and possible adjustments...
i keep looking at 1998-1999 ndx charts and i see different patterns during that period...
the problem in general is of course that many patterns did not occur 30 or even 18 times in 2000-2002 so they are statistically suspect...
please refer to this earlier post and ask me questions based on that info:
http://www.investorshub.com/boards/read_msg.asp?message_id=849416
larry, i want to reemphasize the main point of my system:
it's a collection of multi-candle patterns on daily ndx (mostly) charts with one common characteristic, high probability of a gain on a 1 day trade...
in that sense the system is both eclectic and very short-term oriented...
if you study the statistics of 1 day and multi-day returns (which i did in my excel spreadsheets) you will notice the statistically obvious fact: relatively few days account for a great majority of ndx percentage moves..
the goal is to identify the replicable characteristics of such days (essentially very oversold and very overbought days, even if only on a short-term basis)
this also means that the system will miss some rallies/drops where the patterns are not present...
back to studying patterns..<ggg>
george
hi wahz, by reviewing my charts i was able to determine why we had an up day yesterday despite my sell signal the previous day...
still, i am watching for signs that the market is in a bullish mode unlike the past 3 years...like you say, in such a case holding longs is the thing to do generally...
my system will not perform well on the short side when that happens and yesterday was a bit of a warning sign to me...
that's why i like systems..i just follow my system and when it underperforms (historically speaking) i just adjust it...
so, i really don't pay that much attention to the market per se since my system is a great filter telling me what kind of market we have..
do i sound reluctantly bullish here? blame my system! <ggg>
george
larry, my system is focused on trading ndx eod via profunds funds uopix (long) and uspix (short) and it works like this:
(1) i enter a position long or short when i get a signal
(2) i exit the position after 1 day unless i get another signal in the same direction
(3) two exceptions to rule (2):
(a) when the ndx change for the day is around zero i may stay in the position for another day (depending on the signal)
(b) in the case of several signals i will stay in the position until the exit point is reached (which may be a certain candle pattern or a certain % gain, or a predetermined percentage stop loss)
(4) in addition, occasionally i will trade spx eod via profunds when a strong spx signal is present and i don't get an ndx signal
(5) some of my signals are generated not by ndx charts but by charts of spx, sox, vix, or vxn
(6) the key to understand my system is this: i look for patterns with high probability of success
to answer your question directly: effectively in most cases i will stay in the same position for more than 1 day (typically 2 days) due to recurring signals on consecutive days in the same direction..i don't have any stats on that though
feel free to ask me questions at any time
good luck
george
p.s. market moves are secondary to me...my primary focus is to keep validating/adjusting my system as i get new data every day
hi wahz, your trading results continue to exceed my highest expectations..congrats..
i am getting a bit concerned about the bullish market behavior...today's runup was unlike what my system expected in a bear market environment...also that bullish key reversal on the ndx weekly chart coupled with very narrow bollinger bands makes me uneasy...
the reason i mention it is that my system works very well in a bear market but not as well in a bull market...so, i may have to adjust my system if the bullish bent persists..
concerned and puzzled <ggg>
george
i'm still in uspix
delete
wahz, that's exactly why i said you are THE VERY best
george
my automatic stop loss is 5%...but normally i close the position if i don't get another signal on a given day as i typically enter positions for just one day...
"Mea culpa"...meaning "I am to blame"...origin: Latin
steve, good point and i cannot disagree...i will do my best to refrain from critical remarks from now on...thanks for your understanding...
by now i have pretty much figured out what systems the other good traders use but i felt that i had to ask some hard questions before i had enough info...well, now i do have enough info..
so i guess it's time for me to get back the same critical remarks from others...and more...to reap what i sowed so to speak...still, i welcome them...(i think)..<ggg>
i am very very curious how well my system will do...
steve, my friend, please accept my mea culpa...
your friend
george
larry, that's exactly right...the only thing that counts is the posted, verified record...i am sure that by posting my trades i will be able to improve my system due to feedback by others...
still, i only developed my system recently so i really couldn't post my trades before it was developed...
the other thing of interest is whether an intraday trading system like wah'z is inherently better...i am not sure that that's the case so we shall see..
george
steve, i follow my system...my system almost always gives me a long signal before a rally starts but sometimes it gives me a short signal before the rally is fully completed (all these are typically one day signals)...
for example..i went long eod 3/10, cash eod 3/11, long eod 3/12, short eod 3/13...so i was long on the big day 3/13 but went short early, on 3/13...
anyhow, my major concern is only this: my system works very well backtested for 1/1/2000-1/1/2003...it works not so well in a bull market period such as 1/1/1998-1/1/2000 when one should essentially be long most of the time...
so i am very confident in my system...as long as bear market continues...weekly ndx chart will tell me when the bull market is present...
of course, no system is completely static...new data may lead to adjustments...
also keep in mind that i have 2 long-only larger retir accts...in those accts being long at the start of a rally is even more important as the only other way to have profits there is using bond funds...
i am very curious what KT will do tonight as he is short qqq..
good luck
george
hi wahz, remember NO emotions...just follow your system...
george
larry, thanks for all your help...
george
test
larry, i was hesitant to post my trades but your persistence won me over so i appreciate your interest...
basically i believe that one can only benefit from feedback and exchange of info with others...in fact criticism is probably the best tool as it forces a trader to re-examine one's assumptions used in trading...this can only improve one's results...
i am still very much intrigued by KT's system though as i have not seen anyone post the kind of results he consistently achieved this year...so i may track his calls and compare them with mine...KT is short qqq today from the open...
george
uspix is a -2x ndx fund (short fund), here is the info
(closed at 48.29 on 3/14):
http://finance.yahoo.com/q?s=uspix&d=t
ok larry, i'll try to post whatever i can post...i trade profunds 2x funds, mostly ndx, long uopix and short uspix, but also occasionally spx, long ulpix and short urpix...
i may just post which fund i am in perhaps after the close..
as of 3/14 i'm in uspix..
steve, 15% a month compounded in ndx/qqq equals 30% a month compounded in the 2x ndx profund or 2,200% annual gain...
imo this cannot be achieved in a bear market..
imo max that can be achieved is 7-10% a month in ndx/qqq or 15-20% a month in 2x ndx profund..
imo a bit more can be achieved when intraday trading qqq as wahz is trying to do...however KT is apparently not trading intraday..
george
larry...
(1) i decided that my system should be proprietary for now as it seems potentially very profitable so i am quite hesitant to release much info about it until i test it in practice for some time
(2) i noticed that others like yourself, zeev, wahz, velo, wld, Huluriasquias, etc. keep their systems proprietary as well
(3) in general, my system is based on daily ndx candle patterns as well as bollinger bands and sma's
george
larry, i am expecting that kt's incredible track record trading qqq in 2003 (about 15% a month compounded without margin or leverage and with no stop loss) is not sustainable...
i would love to be proven wrong on this however...
so i am watching for weak points of his system and to see what kind of drawdown he'll experience...
i'll watch to assess his win probability over a longer time and the avge sizes of profits and losses...
i am pretty sure his system will prove itself..the questions are: what risk level does his system implicitly assume (max % loss per trade) and what is his long term monthly compound rate of return...
imo kt's system is a truly fascinating real time trading experiment...reminds me of wahz's trading system...
george
larry, i am fascinated by KT's system...will you create a thread to discuss KT's trades?...if not, where can we exchange opinions on KT's calls?
tia..george
good post wahz...my point is simple...NO emotions..NO wishful thinking...and NO predictions...NO politics either...this is the stock market...we cannot influence it...just exploit it...
i listen to Warren Buffett, George Soros, and Bill Gross...
that's about it...why?...because they are REALISTIC and made MORE money as a result than anyone else in their respective fields of investments, trading, and bonds...
when i want predictions i turn to the ONLY guy on all threads that provides predictions worth reading..his name?...ZEEV
as far politics/economics...we had a bubble in stocks, dollar, real estate, credit...we have terrorism...and we will likely have several large scale wars...plus baby boomers are getting ready to retire...so color me NIKKEI as far US stock market...
having said all that, i find you to be the VERY best..
just a TINY BIT too bullish...<ggg>
take care my friend,
your friend george
p.s. i just follow my system...the rest is noise...