niedziela, 9 września 2007
czwartek, 6 września 2007
Automated Trading Systems - My comments
A reader of my second blog: http://phdmbacfa.blogspot.com/ send me a link to the free book about the famous Turtle Trading System (http://freeforexebooks.com/Other/turtlerules.pdf). From his personal experience is seems however, (he implemented trading rules in C#) that these strategies do not perform very well in the market. The sharp ratio is not superior.
How that can happen that famous trading rules, which are rumored to have brought millions in profits are useless nowadays?
Possible explanations are:
1. Strategies are quite old. Nowadays, market behaves differently than when Turtles were on the market.
2. Modern quantitative strategies of investment banks exploit mispricing so effectively that any old-style strategy will be beaten by IBank computers.
3. Revealed strategy is not complete/accurate.
(If you find another reason just put it in comments)
I think that most probable is the first explanation. Today market works differently than when Turtles traded. Their strategies and tricks are not as efficient as they were 15 years ago.
The role of the trader is to look constantly for superior strategy. It's like the work of the inventor. You need to check hundreds of solutions and ideas to find these that lead to superior returns. That is very nice in this job. You cannot learn it from books, because the facts in books are outdated. What worked years or weeks ago, may be completely useless today. Your task is to look for new ideas and maybe by accident you'll find a rule that will lead you to the Mont Everest of trading.
How that can happen that famous trading rules, which are rumored to have brought millions in profits are useless nowadays?
Possible explanations are:
1. Strategies are quite old. Nowadays, market behaves differently than when Turtles were on the market.
2. Modern quantitative strategies of investment banks exploit mispricing so effectively that any old-style strategy will be beaten by IBank computers.
3. Revealed strategy is not complete/accurate.
(If you find another reason just put it in comments)
I think that most probable is the first explanation. Today market works differently than when Turtles traded. Their strategies and tricks are not as efficient as they were 15 years ago.
The role of the trader is to look constantly for superior strategy. It's like the work of the inventor. You need to check hundreds of solutions and ideas to find these that lead to superior returns. That is very nice in this job. You cannot learn it from books, because the facts in books are outdated. What worked years or weeks ago, may be completely useless today. Your task is to look for new ideas and maybe by accident you'll find a rule that will lead you to the Mont Everest of trading.
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