I have been silently working in my corner on a few things....
Big Mike rightly pointed out that the ATM bot was trading noise,
While i was perfectly able to pull up an equity curve on the last 14 months,
on multiple instruments, it seemed to fail miserably on a forward test (was
i enough patient ? sik..)
Last month i was on a trip to Israel and met a smart guy, (very famous in
machine learning, active but low profile in trading), we had an interesting
long discussion and the person (professor at a XYZ university) didn't tell me
I was crazy, or i was looking in the wrong spot. We seemed to speak the same
language, even if my Hebrew is kara/kara...
I know the complexity, the constraints and the sweet spots, it took me
a few years to get there, seems like some people needed a lot more time.
In the last few months, i have been taking advise of Big Mike seriously,
i have been working on correlation and bigger picture situations.
I know people will argue, automated day trading does not work. I don't need the perfect
system, i need a system that is just good enough.... The rest will be history...
I bumped into a few interesting studies.
I have myself a university kid, that i'm trying to motivate to apply mathematics
for financial benefit...
when i was a teenager i wrote a Fourier analysis on stocks, to come quickly to
the conclusion, i could not make money out of it, but the professor liked it and gave
me credit, for applied mathematics... i used my brain, i programmed, i worked but
it was not the holy grail, but it was not wasted time, i tried an idea, and i came to
a conclusion...
fair enough
stay tuned..
interesting stuff to follow..
feel free to ask/suggest/challenge...
no question is a dumb question...
questioning is an activity, if correctly executed it allows to learn/progress/share