Weekend Wisdom
Saturday, October 11, 2008 at 12:37 pm
From Ritholtz: 10 Bullish Charts, Signals, Indicators
From Market Sci Blog: When Adaptive Systems Fail (And What I’m Going to do About It)
Graph of the Failure of the Above System: Graphs of Market Sci Strategies YK0101 and 0102 (Click “Next” and then click “Graph”)
A Hedge Fund, Tontine Associates, is down ~65% for the year after being worth 10 billion. Read their explanation for their dismal September-October performance.
From BZB Trader Blog: Sell Fridays (and Mondays)
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Wood,
If you haven’t already seen it, there was a Nova documentary called “Trillion Dollar Bet” about Long Term Capital’s thesis, application and collapse.
Woodrow, how can your new ETF not give any signals in this market, are you holding out on us?
Buylo, honestly, there have been no signals. And I don’t mean no signals for the New ETF Trading System (now known as the Big Bamboo System, but I haven’t formally named it that yet). There have been no signals for ANY of the systems I’m trading. But I think that is a good thing. Who has an edge here? Good daytraders, and that is likely all.
Buylo,
All of our systems at this point have a safety valve of sorts that is designed to prevent a systemic breakdown or collapse like the Market Sci system Woodshedder linked to above. It is based on the simple idea that it is preferable to leave money on the table when things go catawampus than to give everything back.
I encourage anyone interested in system develpement to archive the OHLCV data for the past few weeks and make sure your system can survive it (without overfitting). It is really invaluable data and the fact our systems haven’t given back a penny through all of this the past few weeks is something we are both extremely proud of.
I couldn’t have said it better myself B.
lets call it the Bambi System (bi g bam boo just reverse)