Why is it that when TC becomes obvious to most market participants it stops working? - page 7
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Svinozavr:
Shit. Wake up! Can you look at the chart and say: here's where Appel came up with the MACD, and here's where Lane came up with the Stochastic. And here.... right there - I see - Bill Williams published his Chaos.
The trading strategy that has become known to all does not stop working, but its profitability decreases in inverse proportion to the degree of spreading of the system and, at the same time, increasing the efficiency of the market. The possibility of arbitrage between forwards/futures and the spot market was once "invented". Anyone who mastered the rather primitive mathematics of the process could and did make huge money. Time has passed. The strategy still works, but only very fast ones can use it today, and they make only a tiny bit. And for all the rest a simple rule - arbitrage is impossible. The market has become more efficient.
Consequently, yes, the market changes under the influence of good strategies, but the strategies do not stop working. The guarantee of changing the market and keeping it in its new changed form is precisely the continuation and active use of these strategies. The market changes very slowly and you can really see them on the historical charts. The market aspires to the efficiency described by the classics, but it will never achieve it due to the fact that it is made up of human beings who are irrational beings. As a function (profit function??) that aspires to zero, but never reaches it.
By the way, there are "perpetual" strategies that have worked before and work now equally - without diminishing returns. It's truly amazing, but they do exist.
Incidentally, there are "perpetual" strategies that have worked before and work now in the same way- without diminishing returns. It is truly amazing, but they do exist.
Erm... Is there an example of even one? Is this publicly available information?
Lapidary is my thirty-third name...))
Yura, I'm sorry, you're talking nonsense. I mean "That's why any TS will be effective only as long as its effect on the market is not more than random and insignificant. That is, as long as it's used by a small number of people and operated by small volumes."\
Are you asking for an argument? Call me a religious fanatic but I am too lazy to give them. The way you're describing doesn't happen EVER.
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Oh, man. Wake up! Can you look at a chart and say: here is where Appel came up with MACD, and here is where Lane came up with Stochastic. And here.... right there - I see - Bill Williams published his Chaos.
The market as it was by nature has remained so. Yes, liquidity has increased. Feedback time has shortened. But in general - nothing fundamental has changed.
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On the arguments. How many times do I have to write that TS with this or that method works equally well on post and pre periods relative to the date of method availability? I understand that no one here reads anyone - therefore I repeat myself. I have long been disappointed in the main attribute of human nature - sanity... Your Piglet is no exception.
You may reason as you wish - but there is a FACT.
There is no need for us to argue. I am not going to prove you wrong or prove mine right. All the more so because to a certain extent it is also the result of terminological discrepancies. I have presented my vision, you have presented yours. On this we may calm down.
The only thing I was interested in was what you base your judgement on. Unfortunately, I never saw that. It's not right to base them on the kind of imaginative emotionality that operates with arguments like Cycle, Apel and the like, or the statement that "TC with this or that method works equally on post and pre period". When we say that a TS works, we mean, of course, that it generates income, not that indicators are calculated and signals occur. In this sense, the classical TS today may as well be called non-operational. And you can check how they worked before they were published only in a tester. :-)
Timbo gave you an excellent example of TS, which at one time could enrich anyone. And today for us mortals it doesn't work at all. And even for the crowned gods of financial Olympus, its profitability has dropped by many orders of magnitude. Why? Do I have to answer? This is a fact. And what you write in big letters is just a word. You haven't provided any facts. Not one.
The market is what it was by nature and what it still is. You wrote that too. So we agree on the main point. :-) However, unlike you, I believe that it retains its nature solely through the depreciation of those TS that everyone uses. And it does so by changing its nature, speed, flexibility, competitiveness, range of instruments, etc. That's why arbitrage was able to emerge at a certain stage, and after a while lost its effectiveness and became available to only a few.
Svinozavr +1
timbo+
Yurixx+
Ээээмм... Есть пример хотябы одной? Это общедоступная информация?
Yeah here's an example of at least one:
It's certainly not a perpetual motion machine, but it's been working since 1989. I think it worked before, I just don't have the earlier quotes. What more could one want. But Swinosaurs is right in that the profits of such systems are very small (all trades are 0.1 lot). If we choose a random period and approximate it to the size of 1-1.5 years we get approximately this:
As you can see not ace. You just have to choose, either always and a little, or all at once.
for what it's worth - http://otvet.mail.ru/question/24239439/
I think that this super-strategy is used by half the world - nonsense, start with yourself and then blame the whole world - I myself see that there is no need for DT machinations to foolishly let people go down because of greed
The trading strategy that has become known to all does not stop working, but its profitability decreases in inverse proportion to the degree of spreading of the system and, at the same time, increasing the efficiency of the market. The possibility of arbitrage between forwards/futures and the spot market was once "invented". Anyone who mastered the rather primitive mathematics of the process could and did make huge money. Time has passed. The strategy still works, but only very fast ones can use it today, and they make only a tiny bit. And for all the rest a simple rule - arbitrage is impossible. The market has become more efficient.
Consequently, yes, the market changes under the influence of good strategies, but the strategies do not stop working. The guarantee of changing the market and keeping it in its new changed form is precisely the continuation and active use of these strategies. The market changes very slowly and you can really see them on the historical charts. The market aspires to the efficiency described by the classics, but it will never achieve it due to the fact that it is made up of human beings who are irrational beings. As a function (profit function??) that aspires to zero, but never reaches it.
By the way, there are "perpetual" strategies that worked the same way before and work now - without diminishing returns. It's truly amazing, but they do exist.
I can share a heartwarming story (and more than one) on the subject.
About five years ago I tried to speculate in precious metals in a very large and well-known bank. The essence of TC: I look on kitco.com, put quotations in my table (of course, Excel, - some macros and graphs, but everything is rather primitive), determine underestimation/overestimation of the metal by the bank (the latter in this case was a market surrogate). With a large price discrepancy I ignore other considerations, go to the nearest sub-office, buy/sell (from a remote terminal this operation is unavailable), often I had to stand in a queue - in general, the deal took 30-40 minutes from the decision to its implementation. Monthly return (without taking into account two-month "dead" season in summer and rare periods of short calm) usually exceeded 15%, when there was no margin trading: I buy only with my own money, sell only what I bought. The TC is based on: the bank's experts may know the market better than I do, but they need the approval of the supervisor, while I do not need it. I succeeded almost always before the quotes change, the bank employees have quickly remembered me and learned the sign - my arrival is when the quotes change. Profitability has gradually declined as the organization of work in the bank has improved, but you can still earn money this way.
Another story. End of summer 2008, the crisis came to Russia, the dollar became extremely unstable - is growing, dog, and I have a family member to service loans. And in mid-Autumn (sorry - too late) I realized: when designing databases in the bank they had made a tiny mistake - the first quote of the current day currency for the remote terminals is the only one for the whole day. After that everything is clear - here the chip is gone, because dollar and euro were well, very unstable: sometimes you buy/sell something remotely, get it in the cash register, go to the exchange office, return to the cashier what you get - and you do not deny yourself anything for a while. The basis of TC is technical insider trading followed by arbitrage between the market and its surrogate. The effectiveness came to naught after adjusting the structure of the bank's databases.
There are other, not less touching stories during the 15 years of working on financial markets - but it is too early, that is why I am summarizing (imho, of course). At the heart of any arbitrage is a certain "hole", which the big guys have not got around to. As soon as they do, I will be immediately deprived of an honorary title of Arbitrator - and that's it. If you want to earn happily ever after - you need classical music which is, strange as it may seem, very "physical" - what I see is what I sing. In short, I am a supporter of simple solutions.
Here's an example of at least one:
Same shit, Vasili! (((
Everything seems nice for 9 years, but you can't make money on such a seemingly stable TS - it's more profitable to put it in the bank:
goldtrader:
Everything looks nice for 9 years, but there is no way to make money on such a seemingly stable TS - it is more profitable to put it in the bank:
And why the initial deposit of 10000 and not, say, 5000? The profitability will immediately double :) .
In other words, what were the considerations in choosing the level of risk?