Formalising common approaches to trading - page 32
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It must be said that Niederhoffer himself, though considered a great trader, etc., personally causes me a controversial feeling. For example, in this book he gives some advices, one of them is to set stop-limits. OK, but what about him? Read at the beginning, and I quote from memory: "I could never have imagined that the Central Asian market is not like the American one. Turns out an asian bank can fall more than 90% and then not rise." Anyway, the fall where niederhoffer got burned was 99%. Obviously, the guy was sitting on his losses and didn't put any stops. A typical hundred dollar client of the brokerage company. A pips man, but a million times bigger in size. :)
Yes, it's better not to listen to gurus :) But the pages of the book you posted are on topic. Although it doesn't say directly there why one should look for the right phases for the system, but I think it's a consideration of changing the mass stereotype, as I wrote in the previous post. And purely technically an additional filter.
This is a good thing, but there are a number of problems in particular with the statistical validity of such filters. More precisely, its correct evaluation in each case. But this is not the subject of this thread :)
There are a couple of things I don't like about that classification. For example point two, according to my observations this category breaks down into two more. First, those who believe in predictability who really try to put some real events behind the indicators. And those, of which there are many, supporters of curvafing. They don't care what causes it, as long as two lines coincided on their screen in the tester. Taleb has a great example on this, although I took it out of context, but it's really great. "One LTSM director, justifying the firm's financial policy, once said: "Every autumn evening, on my way home, I see fallen leaves on the ground. It's according to statistical laws."" The leaves turn out to fall, not because of natural causes, but according to their stupid numbers. Erm... got carried away. Anyway, and the third paragraph is probably better to talk not about variability of degree of predictability, but variability of patterns, which in turn leads to variability of "predictability" and so on. And a very small quibble, I don't really like RSI in the context of the author's "swing" at generalisations. Otherwise, yes, excellent food for thought.
It's a very rare case where I enjoy writing - all IMHO.
There are a couple of things I don't like about that classification. For example point two, according to my observations this category breaks down into two more. First, those who believe in predictability who really try to put some real events behind the indicators. And those, of which there are many, supporters of curvafing. They don't care what causes it, as long as two lines coincided on their screen in the tester. Taleb has a great example on this, although I took it out of context, but it's really great. "One LTSM director, justifying the firm's financial policy, once said: "Every autumn evening on my way home, I see fallen leaves on the ground. It's according to statistical laws."" The leaves turn out to fall, not because of natural causes, but according to their stupid numbers. Erm... got carried away. Anyway, and the third paragraph is probably better to talk not about variability of degree of predictability, but variability of patterns, which in turn leads to variability of "predictability" and so on. And a very small quibble, I don't really like RSI in the context of the author's "swing" at generalisations. Otherwise, yes, excellent food for thought.
It's a very rare case where I'm happy to write - all IMHO.
Guys, excuse me if this post will seem to someone a bore and not the subject of the branch, I for my part, I think the name of the branch - just in time.
I myself got acquainted with the work of W. Niederhoffer and in particular with his work in March of this year - I wanted to write an owl but I was not sure how much of it was explained there, although some elements of his work will certainly find their application in experts at work. So, here are excerpts from my synopsis with pages and the most interesting (basic) points of his work on the subject, maybe someone will systematize all this material and put a branch on the forum, such as B.Williams and his strategies or Lot Calculation by R.Vince... I myself am still ripe for the implementation of his work ...
What he recommends..:
1. The counter-trend system based on volatility changes of an instrument(VIX index) (Jack Schwager's analog is possible).
If it is > 30% - go long, < 25% - go short. Countertrend TS - p173-175 (Check the analogues of volatility indicators and their interpretation)
2. TA - screw it!!! :-))) Including oscillators with their overbought/oversold levels... :-)))
3. He recommends to trade using price charts (O,High, LOW, CLOSE) - maybe some kind of candlestick analysis.
As he says - it means to trade according to the real price movement. 325.
4. Calculation of correlation of symbol - p. 301-304. 301-304... - is his variant.
5. Recommends using elements of statistical analysis in the TS - elements of statistical analysis.
6. Cyclicality (natural) - overbought/oversold... nasdaq - will be 1000, Dow - 7500 - his forecast - justified...
7. The conclusion of his work - is also of interest.
P.S. That's actually the whole point of his work in my opinion, I don't exclude that you may find anything else useful and more detailed in his work...
I was interested in this man, who lost everything by buying shares and shares of Asian banks, but then gradually, allegedly, recovered, by mortgaging the property... Anyway, he had an enlightening story to tell, IMHO.
Thanks.