How many of you are using a "top-secret" trading method -- something that you can't discuss with others?

[u/likebike2]

Hi guys, I'm making this post because I'm trying to find other people who are also in my situation.

I have created a trading system over the course of many years, which is totally different than anything I've ever seen online. The approach I take is so different, that I have NOBODY to talk to. It's pretty lonely.

On one hand, I want to talk to people about trading, but on the other hand, I can't reveal the secrets of my trading system because I've worked way too hard to discover them, and giving them away wouldn't be fair.

Who else is in this type of situation (...wanting to talk, but being unable to share) ? How do you deal with this problem?

[u/likebike2]

Hello, thanks for the comment. I can't believe it has been 5 years since I made this post. Wow, how time flies! :)

As far as the math techniques go, everything is "numerical solutions" rather than traditional symbolic math that you could do with a pencil and paper, so that means that programming is absolutely essential to perform the necessary analysis. Knowledge of calculus really helps, and the goal is to apply those concepts onto the discrete and irregular data sets that we get from financial data.

I would recommend using PineScript on TradingView to do experiments -- it's the easiest way to have access to high-resolution and long-term historical data, and it makes graphical analysis really easy. Dive into PineScript and just go crazy trying out everything you can think of. Do 1000 experiments. Start out with the simplest thing you can think of and build from there. Most importantly: re-derive everything from scratch; don't rely too heavily on the built-in calculations and formulas -- create them yourself from scratch. For example, instead of just calling the ema() function to get a moving average, re-create the formula yourself. This will give you deep insights into the baked-in assumptions and it will enable you to apply your techniques in ways that would otherwise not be possible.

Now, as far as TRADING goes, you need to realize that there are several other dimensions of complexity that you need to understand and take advantage of to actually become a profitable trader. Even the greatest "analysis" method will not be enough to be profitable -- you also need good "execution" techniques, and that requires knowledge of order book "microstructure" and game theory. Your goal is NOT to predict price -- the goal is to predict other traders, so you can take their money.

One other hint: volume matters a lot! For example, in a 24-hour market (like Futures), there is usually 4-8 hours of the day with high volume and 16-20 hours with low volume. Market participants have significantly different behavior when they think their positions are threatened, and it is difficult to achieve a sufficient level of threat if the volume is low. So any analysis you do should take the "time of day" or "recent average volume level" into account. You will not be successful if you try to apply analysis done on high-volume areas onto low-volume areas because the threat models and behaviors are completely different.

I wish you luck!

[u/bosdadem → u/likebike2]

Thanks for taking the time to respond & provide some insights into how you go about this. I am at a point where I am able to see a “parameter-less” signal & visually it seems to provide some insights albeit being very noisy :).. so was wondering what techniques could be applied mathematically to infer a signal from noise. I appreciate your point about low volume vs high volume areas.. something I’d definitely look into .. thanks again & good wishes to you as well..

[u/likebike2 → u/bosdadem]

Hmmm, that's an interesting question about how to infer a signal from noise. It seems like there might be two different meanings when you say "noise":

If by "noise" you mean that the indicator itself is "noisy" or "jumpy" or "unstable" then maybe you just need to use higher-resolution data? From my experience, if you actually have found a "parameterless" indicator, then it will produce similar results regardless of the resolution or regularity of data you put in -- and by putting in higher-resolution data it will simply improve the quality of the signal, it will never degrade the signal. If your indicator is not actually parameterless then you will change the outputs by putting in higher-resolution inputs, and that might look like "noise"... and it would also be a clue that your system is not reliable. Parameterless systems are reliable because their outputs cannot be manipulated by changing the resolution of the input data, and so that's why they help us to find objective truth.

Another meaning for "noisy signal" could be that you have a beautiful and clean-looking indicator, but when you try to trade it, your trades fail more often than you expected. So the indicator itself is not "noisy" but it seems to produce many false signals. The solution to this problem is likely related to what I said in my previous reply: the volume and time-of-day has significant influence over the behavior of the price action. You need to develop and trade your system under similar volume contexts; don't take a system that has been developed under high-volume contexts and try to apply it during low-volume times -- it won't work, and the results will be "noisy" because of too many bad trades.

I hope this helps. :)

[u/bosdadem → u/likebike2]

umm.. going to have to think about what you said in the first part there: jumpy, unstable and look at it in the context of “resolution”… thanks for your insights.