Welcome to NexusFi: the best trading community on the planet, with over 150,000 members Sign Up Now for Free
Genuine reviews from real traders, not fake reviews from stealth vendors
Quality education from leading professional traders
We are a friendly, helpful, and positive community
We do not tolerate rude behavior, trolling, or vendors advertising in posts
We are here to help, just let us know what you need
You'll need to register in order to view the content of the threads and start contributing to our community. It's free for basic access, or support us by becoming an Elite Member -- see if you qualify for a discount below.
-- Big Mike, Site Administrator
(If you already have an account, login at the top of the page)
Yes, I no longer trade the 2 strategies in the book. They performed well in walkforward and live before December 2013, when I finished writing the book.
They continued to do well up until book release in July 2014.
Once the book was released, of course they started to flatten out and go into drawdown. It figures!
Don't you have a site dedicated to this book which you update once in a while to let your readers know if something has changed or is no more relevant?
The post you are referring to is close to 10 years old. I had made it back in 2010 when recommending a book "Algorithmic Trading & DMA" by Barry Johnson. By the way I would still recommend it as I think that it is a good introduction to market microstructure.
The book explains differents types of algorithms, some of which are exploiting other algorithms or the behavior of other market participants. When thinking about markets I have the picture in mind that Robert Axelrod has described in his groundbreaking book "The Evolution of Cooperation". It is a world dominated by algorithms, and you need to know what the other players are doing in this universe. Some of the other trading strategies can be exploited and you can feed on them, such as the trend following strategies exploited by the Turtles gave birth to new trading strategies called "Turtle Soup" or similar.
As a retail trader I am not trying to compete with the big guys - high frequency trading is not for me, because of the high commissions I would be paying and because I am not a trained mathematician. But I am trying to feed on the big players. Trying to compete with the big guys is like trying to climb Mount Everst with a pair of sandals. Feeding on them means to stay on the sidelines and wait until there is an opportunity. My fixed cost is close to zero, therefore I can afford to wait. The big guys can't.
These books seem really thick; it doesn't seem like where one would start with algorithmic trading.
Also re: turtle soup. I understand what you mean by mutually beneficial / symbiotic relationships. I even thought of this the other day when I went to a rodeo and there were protesters (animal rights activists) outside.
I thought immediately of a concept I had learned recently about how animals + humans actually live a mutually symbiotic relationship.
On the surface, it appears that we just constrict animals from living how they would want to live, "in the wild" and consume their resources (kill + eat them + eat their products). But when you think further about it, they are actually benefiting a ton from us; we provide them with a steady source of food, as well as safety from danger, etc. So clearly one resource feeds on another and yet it is mutually beneficial to both parties.
I've never backtested it, but I've assume that any edge from the turtle soup setup has been arbed away (presumably there are algos that are fading the turtle soup setup, and so on); curious what your thought are in terms of how far the conceptual rabbit hole goes.
Finally someone that has the same opinion I have. Mark Douglas stopped trading to make money selling books and doing seminars, so all his psychological material is not backed by any results. Also his all theory about "anything can happen in the market" and the way he talks about probabilities is plain wrong from a math perspective.
To me he brought nothing useful, actually when I adopted the mindset that anything can happen I started to do stupid trades and lost an awful lot of money.
He was good to sell seminars but he never made any money trading (he said because he devoted to teaching and writing)....he could just take 3 trades per day and prove to the world how good he was, but he had zero time, though he wrote on 300 pages in his entire life.
If you want to read something about psychology read Steenbarger or Gary Dayton.
There are so many good books mentions in this thread!!
I gave a look at almost all posts and I think I haven't see the following books that in my opinion are very interesting.
They are not books about trading specifically, they are about the broader aspect of rational decision making.
I think they can give traders some insights that are quite important.
The books are: "the success equation" and "more than you know", both by prof. Michael Mauboussin.