After not giving any signals since December 4th, the Big Bamboo is issuing two entries for Friday’s open.
As you may or may not remember, I had a laptop die recently, and the spreadsheet I used to track the system was on the laptop. I will have to rebuild the spreadsheet and update it over the weekend. For now, know the Big Bamboo will purchase long positions in SKF and DXD. An 8% stop will be used.
Here is the last post I wrote for the Big Bamboo, before my laptop crashed. The spreadsheet can be accessed via the post in order to see the results of the system through December 2008 (when it paused trading due to the trend component).
Big Bamboo Suffers Large Losses
Guaranteed to fail.
Every time me and Big Bambi agree, the market does something gay.
As you may or may not know, I went long SKF, SDS at eod and ah, so I’m rooting for you[us] Shed, but it probably won’t yield any fruit.
Not so fast Danny. Its been two months since this thing has issued a signal. Plus, you and I have been killing it, timing it together, for all of 09. Maybe the jinx is over?
I should say that I think it is. Of course we’re on the same sie, but I believe last year me and BB were 0:3. I’m gunning for a 1:4 record though since inception, or 1:0 YTD.
Clean slate.
Big Bamboo – Big Fan.
Big Profits? Big Chance!
Come on BB!
y not use google docs and not worry about laptop crashing?
Shed,
Will you again be posting and trading the BB signals here? I was starting to think the BB was taken out back to the woodshed! I have been interested in trading a system and like the premise of the BB. I have yet to find my own niche in this recent daytrader’s market, nor can I afford a plutonium powered time machine. Like you and the Fly, I’ve got a life with young kids and a career that most often does not allow for day trading. I think you have a niche market for developing your system of ETF swing trades.
I’ve been quietly reading flyonwallstreet/iBC almost daily since 2006 without posting until recently. I was part of the uninformed masses of investors/traders out there without enough insight or free time to post. Thanks to studying, reading books, trading, Fly’s insight and all the sharp individuals of iBC who are generous enough to post, I’ve learned enough to come out of my shell.
I appreciate your integrity that is obvious to longtime readers of iBC. I’m hoping for the BB to be a viable system that removes emotion and frequent intervention in this crazy market. I’m willing to try it if you plan on posting the signals.
Born2Code, I hate google docs. Maybe I just don’t know how to use it correctly.
FastEddie, I will be posting the signals for the BB. However, I do want to caution you as the system is still experimental. I have not put even 1/4 of the time into testing and tweaking it as I would a system that I was planning on trading every signal. You may recall a large reason for posting and tracking the system was to allow the readers to experience the psychological shenanigans that accompany system trading. While system trading can help to remove emotion, nothing will ever eliminate emotions completely. Therefore one must have a deep understanding and almost trust of the system. I certainly do not have that with the BB for the reasons mentioned earlier (not enough time testing, tweaking, etc.).
Anyway, I will keep posting the signals, but please be careful.
I do plan on either finishing work on the BB, or offering up a better, modified version of it in the future.
Also, my partner and I are VERY close to rolling out our first strategy for auditing. (Roughly, the strategy is up near 20% YTD). The details are not finalized but we will eventually offer subscriptions and managed accounts.
Thanks for your kind words Eddie!
Wood: Off topic…Have you run simulations on SSO for something similar to the 6/9 cross that dskills did with IWM at the SA blog post? I just looked at IWM over the last 30 days real late last night, and it looked pretty good. I’m wondering, since we are starting to move sideways, whether the longer SMAs might product quicker (>profit) triggers. Any thoughts?
Wood – Do yourself a favor and pick up a couple of external USB drives to back up your data. I don’t trust google docs either. If they can screw up your e-mail, they can lose your docs also. No human is perfect. No software is perfect. Hardware will fail.
woodshedder, on your side, this homeowners bailout program is going to hit the fan. Wait until it gets around that if you’re a fuck up, the guy who paid his mortgage is going to be paying yours… Shows you how tone deaf these clowns are. This morning, check out the put/call on cboe. It will likely hit a near low for the past few months or so. Nobody is shorting because they’re scared of getting hit with some news like the mark to market thing. I’m wondering how much firepower the bulls have at this point, if any…
Manuel, I have not run any simulations like that. I will try to over the weekend. As far as the adaptations go that Damian wrote about, I’ve yet to figure out how to get Tradestation to calculate a moving average of equity in order to tell the system when to begin adapting.
Yogi, good advice. Those hard drives are cheap now. I was stupid not to have done that already as I lost a fair amount of code and research.
I looked at SSO this week and the GAs reported no edge since June of last year.
Oddly enough the last hand crafted system I have analysed (357-SPY) is rising on the ChiScores.
I adapted your technique of having it buy on the next open.
There’s a slim chance there will be a return of the interday volatility as opposed to the intra-day volatility.
Swing trading makes sense.
Day traders still seem a little nuts to me.
Shed,
Thanks for the word of caution. I’m still mostly in cash and sitting out until we find some direction. I don’t mind hoping on the riverboat for a small speculative ultra or diETF swing trade. I’ve had a poor track record when trying to play these ETFs by my own intuition. I need to develop a more disciplined system for entry and exit points.
I get the sense that your trading methods due to balancing work & family life are similar to what I am trying to develop. Do you have any specific trading or T/A books that you have found beneficial and would recommend for someone that is still in the middle of the learning curve?
Enjoy the long holiday weekend with the family!
Wood: As an update, I did a quick hack last night in Excel. Granted Excel is possibly the worst platform to code conditionals, but I think it simulated correctly with his model/conditions. Overall, it didn’t do well at all with a year’s worth of data. What was striking was data point 170 in the chart, which was October 10th (duh). At that point onward you would need to back down to something like a 2/3 cross to bank coin.
We’ve talked about that before, the fact that the increased volitility requires a shorter MR interval.
Again, what I did was very quick and dirty, and if you see anything cool let me know. I don’t think an adaption protocol can be focused exclusively on that technique without modifying the interval. If fact, I think his adaption functionally phase shifts to modify the interval (briefly).
Speaking of harmonics, I’m going to try some harmonic mean moving averages today to see what happens.
Eddie, I believe there is a library for iBC in the top right side of the site. In there are some books I would recommend. Espcially the Van Tharp book.
Since making that list I have gone full speed ahead into system development, and so I would add the latest book by Ralph Vince, Mandelbrot’s Misbehavior of Markets, and basically any book on system development that is not trying to sell you on a particular system, website, or methodology.
Manuel, what about a moving average stretch system that calculates the slope of the MA in order to develop the appropriate position size and bias? It would sell strength only been line is sloping downward, go long and short around a flattish line, and buy the dips during uptrending. The amount of the stretch required could vary with the trend. For example, a 5% stretch beneath during uptrending with a 10% stretch above exit. During flat periods, the amount stretch required could lessen on both sides.
Anyway, makes intuitive sense, but that doesn’t mean it will work.
Nice article very helpful, I have been thinking of getting in to the niche market.