6 registered members (AndrewAMD, Ayumi, degenerate_762, 7th_zorro, VoroneTZ, HoopyDerFrood),
1,268
guests, and 6
spiders. |
Key:
Admin,
Global Mod,
Mod
|
|
|
Re: Luxor system - Jaekle and Tomasini
[Re: jcl]
#422084
05/01/13 18:55
05/01/13 18:55
|
Joined: Apr 2013
Posts: 6
hyperfish
OP
Newbie
|
OP
Newbie
Joined: Apr 2013
Posts: 6
|
Hi jcl,
yes, I am coming round to it. I think my unease has been partly with some of the systems that I come across, rather than the procedure itself; these do not provide any "model" for the market, but put up degrees of freedom which end up somehow working with a backtest set. The absence of clear rationale makes this appear rather fickle and contingent (so I need a fast MA period of 9 for 2006 but 17 for 2007, yeah, that will do...). Obvious "quantitative" algorithms like cointegrated pairs trading or Markov switching time series models do attempt a direct representation of what is happening, which somehow makes me trust them more. This may be wrong in the first place as some of the classical models postulated in finance are really pretty rubbish (Markowitz: we consider normal returns and investor utilities only, we neglect estimation and model risk... -- Black-Scholes: normal increments, no transaction costs, static vols in time and across strikes, complete markets meaning the options being priced are effectively redundant) and a strong intuition that has held true in the past (as a "stylised fact") is likely worth at least as much as a starting point, objectively speaking.
In fact, thinking about Markowitz in particular, I don't really see in what ways the standard process is any more rigorous that that described in the various books we have mentioned. I do think that the boundary between working on a system / "optimising it" and "throwing a lot of mud at a wall in the hope that some of it will stick" is fluid, there will be no magic statistic telling us when we cross it, and I suspect that always remaining aware of this is the main skill to develop. I am writing this after rereading the section on Luxor MAE/MFE in J+T which I think is absolutely superb, but which could easy turn into one such overfitting exercise if tackled from the wrong angle or in the wrong way.
Anyway, I am sort of rambling now so I'll stop; thanks for the insights so far.
|
|
|
Re: Luxor system - Jaekle and Tomasini
[Re: jcl]
#422426
05/10/13 06:35
05/10/13 06:35
|
Joined: Nov 2012
Posts: 209
SFF
Member
|
Member
Joined: Nov 2012
Posts: 209
|
Thanks, I will keep trying. I also trying to catch major big move from a lower TF. Usually if we want to make big pips we will go to higher. However one of the famous fx bot, FGB can do that. It seems to use only 15min TF. Risk is smaller yet profit bigger. http://www.myfxbook.com/members/fxgrowthbot/forex-growth-bot/71611I don't know if it is right approach, do you have any practical advice to catch big move from only lower like 15min?
Last edited by SFF; 05/10/13 06:36.
|
|
|
Re: Luxor system - Jaekle and Tomasini
[Re: jcl]
#422444
05/10/13 08:57
05/10/13 08:57
|
Joined: Nov 2012
Posts: 209
SFF
Member
|
Member
Joined: Nov 2012
Posts: 209
|
People really believe this bot and I don't know what is that hint. Why do you think it has low profit? It is one of the top earners in myfxbook. What bots do you think is great and real?
Last edited by SFF; 05/10/13 09:00.
|
|
|
Re: Luxor system - Jaekle and Tomasini
[Re: SFF]
#422449
05/10/13 09:57
05/10/13 09:57
|
Joined: Jul 2000
Posts: 27,986 Frankfurt
jcl
Chief Engineer
|
Chief Engineer
Joined: Jul 2000
Posts: 27,986
Frankfurt
|
The hint that I mean is the $250 initial capital in the account. If people want to sell scam robots, they open a large number of fxBook accounts, each one with a very small money amount. Then they let variants of their robot trade on every account. Most will wipe out the account sooner or later, but a few will survive. This has nothing to do with the quality of their robots, it's just statistics. The best account is then advertised as the live result from their robot. Because they opened the accounts with only $250, fxBook gives them a crazy gain rate such as 1700%.
The real annual gain, as you see from the equity curve, is in the 40% range. This is very low profit in relation to the drawdown risk. Anyone trading this robot since 2012 had lost his money. Even simple strategies from the Zorro tutorial can do better than that.
We have looked into a couple of bots, and although it is of course possible for a robots to produce good profit, we found none so far. This might be related to the robot buyer scene.
|
|
|
Re: Luxor system - Jaekle and Tomasini
[Re: SFF]
#422639
05/14/13 06:47
05/14/13 06:47
|
Joined: Nov 2012
Posts: 209
SFF
Member
|
Member
Joined: Nov 2012
Posts: 209
|
What do you think this new scalping robot? It will be work or not scam on life trade? http://www.powerful-scalping.tk/
|
|
|
|