tag:blogger.com,1999:blog-9022835813458888230.post2823696262848762048..comments2023-08-23T05:08:07.623-04:00Comments on A Robot Trader Becomes Human: What I Hate About System TradingKevin Daveyhttp://www.blogger.com/profile/01005422837926052871noreply@blogger.comBlogger11125tag:blogger.com,1999:blog-9022835813458888230.post-13851464358983782292012-03-21T23:16:01.968-04:002012-03-21T23:16:01.968-04:00Wow, that's nice, considering the choppy actio...Wow, that's nice, considering the choppy actions for past few days.futures trading systemshttp://www.futures-explained.comnoreply@blogger.comtag:blogger.com,1999:blog-9022835813458888230.post-36180981742080301742012-03-21T22:39:30.257-04:002012-03-21T22:39:30.257-04:00Broker report system was down last night, so I wil...Broker report system was down last night, so I will post either late tonight or first thing tomorrow AM. Sneak preview: back in positive territory.Kevin Daveyhttps://www.blogger.com/profile/01005422837926052871noreply@blogger.comtag:blogger.com,1999:blog-9022835813458888230.post-12817399397230560122012-03-21T22:34:35.610-04:002012-03-21T22:34:35.610-04:00Any updates for this week?Any updates for this week?futures trading systemshttp://www.futures-explained.comnoreply@blogger.comtag:blogger.com,1999:blog-9022835813458888230.post-73177892483134742382012-03-19T08:06:17.898-04:002012-03-19T08:06:17.898-04:00Unfortunately, I don't have any hard and fast ...Unfortunately, I don't have any hard and fast rules for std deviation - I use it more as a qualitative measure, rather than quantitative. A big std deviation means high variability of results, which means you need a long time to evaluate it properly. That was my general point.<br /><br />Maybe another reader uses std deviation, and can share with the readers of the blog.Kevin Daveyhttps://www.blogger.com/profile/01005422837926052871noreply@blogger.comtag:blogger.com,1999:blog-9022835813458888230.post-18123477123093091922012-03-19T02:44:01.167-04:002012-03-19T02:44:01.167-04:00After you got the standard deviation, how do you i...After you got the standard deviation, how do you interpret the standard deviation? What kind of numbers would tell that it is high and what kind would be low? Are you able to show the standard deviation for the system you using for this contest as an example?futures trading systemshttp://www.futures-explained.comnoreply@blogger.comtag:blogger.com,1999:blog-9022835813458888230.post-71041162697316867602012-03-18T23:48:38.879-04:002012-03-18T23:48:38.879-04:00No set definition, as it really depends on the sys...No set definition, as it really depends on the system. You could have a positive expectancy system, but if the standard deviation of the trades is high, it might take 30-50 trades or more before it could be considered "long run."<br /><br />Looking at my total accounts, I many losing months, so for me a month is short run. 6 months to a year is probably "long run."<br /><br />If my numbers are like many others, it is no wonder people lose. Likely many give up after 1-3 months, when their positive expectancy system doesn't show a profit.Kevin Daveyhttps://www.blogger.com/profile/01005422837926052871noreply@blogger.comtag:blogger.com,1999:blog-9022835813458888230.post-2050552534871791102012-03-18T23:04:03.912-04:002012-03-18T23:04:03.912-04:00In my limited system development experience, I not...In my limited system development experience, I noticed that when I back-tested trading system with historical data of 10 years, the results might be positive expectancy overall. But, when I look at the trades year by year, there are bound to be negative return years. <br /><br />"In the short run, anything can happen - the market is in control. But over the long run..."<br /><br />Regarding the short run and long run, what is the definition of short run and long run? For eg, short run = few days?futures trading systemshttp://www.futures-explained.comnoreply@blogger.comtag:blogger.com,1999:blog-9022835813458888230.post-68983818218881543152012-03-18T21:58:21.820-04:002012-03-18T21:58:21.820-04:00Good points, now I understand.Good points, now I understand.Kevin Daveyhttps://www.blogger.com/profile/01005422837926052871noreply@blogger.comtag:blogger.com,1999:blog-9022835813458888230.post-35404411377772086332012-03-18T21:23:02.170-04:002012-03-18T21:23:02.170-04:00This is another analogy of trading systems, in con...This is another analogy of trading systems, in contrast to them as children. I would think that children are self-learning, they can override and improve on what they have been taught.<br /><br />A tight-fitting system to historical data has results that are 'too perfect' and the wearer ('mr market') would find it too uncomfortable. A loose-fitting system has too much room for the wearer and benefits for the system user is lost.futures trading systemshttp://www.futures-explained.comnoreply@blogger.comtag:blogger.com,1999:blog-9022835813458888230.post-85766473705641974642012-03-18T10:05:15.187-04:002012-03-18T10:05:15.187-04:00Can you explain? I'm not sure what this means...Can you explain? I'm not sure what this means.Kevin Daveyhttps://www.blogger.com/profile/01005422837926052871noreply@blogger.comtag:blogger.com,1999:blog-9022835813458888230.post-79391646762303685952012-03-18T01:00:43.686-04:002012-03-18T01:00:43.686-04:00In Michael Covel's book on trend following, he...In Michael Covel's book on trend following, he said that a trading system is like a piece of clothing, neither too loose or too tight.futures trading systemshttp://www.futures-explained.comnoreply@blogger.com