Discussion of article "Raise Your Linear Trading Systems to the Power" - page 2

New comment
 
laplacianlab:

Okay, you are a good reader so let's delve into this topic a bit deeper! I want you to think.

You're thinking that trading is like mathematics, however my article opens a door for you to work your critical faculties, as you are doing now. IMHO, trading requires that for you. It is actually absurd that you raise any system to the power and make you a millionaire! In that case, we would all be rich.

The funny thing here is that the base theory remains true. That's why I say: "Once you add the OO logic explained above to your system, do not forget to run your tests! Now I am backtesting ExponentialHawaiian, the Fixed Fractional variant of HawaiianTsunamiSurfer".

This sentence above is true. So strictly speaking, let me say that maybe you made a wrong logical deduction. I don't want the reader to think that he/she will be a millionaire by raising any linear trading system to the power. I encourage you to take CEvolution together with your system and observe your own results. That's trading!, I think.

Funny thing is that if you have studied Edward Thorp, not Vince, you would know that a fixed fraction may not be suitable for all strategies, because under certain circumstances, you need a lot of transactions, before it will get better results.

See: Edward O. Thorp. The Kelly Criterion in Blackjack,Sports,Betting, And The Stock Market

Read more here: 4. The Long Run: When Will The Kelly Strategy "Dominate''?

You cannot apply a fixed fraction for any strategy. Since it does not always give better results than other strategies for managing capital and risk.

E. Thorp is a good mathematician, gamblers and experienced trader. He earned his practice.

R. Vince - theorist, not a practitioner. He earns incorrectly copying other people's ideas in his books, and receiving royalties for them.

Vince's followers often make mistakes, which have long been known to practice trading, but about which nothing is said in the books of Vince. They try to apply mathematical methods where they can not be used.

I threw the books of Vince, because they have a lot of inaccuracies and of little practical use.

 
paladin800:
In my opinion, it is not a good idea to show the advantage of an innovation by showing results on a 3-month test. If I were to compare it, I'd compare it over a 10-year period.
Where do you see the "advantage" in innovation? By what metrics?
 

By scaling a price chart (or even a random walk) with a non-linear function (exponent, simply and clearly) you can make a "grail" TS in one or two times. Such scaling ultimately comes down to managing position size. But the whole problem is that the market is discrete: you have a minimum lot and there is a minimum price movement (pip). Eventually, in these discrete sections, all non-linearity degenerates into linearity.

I'm talking without taking into account the commission and spread -- such an abstract price line for long-term investors)).

 
Ha ))) found a way to get non-linearity. Synthetic with unequal weighting factors. Talking to myself ))
12
New comment