Quantified Trading

BarroMetrics Views: Quantified Trading

Joan asked:

“Do you believe that quantified trading can be successful?”

Thanks Joan for the question.

I certainly did not mean to give the impression that I am against quantified trading. Indeed, I often refer to Rob Hanna’s “Quantifiable¬† Edges” as a means of checking my reasoning.

What I did mean to convey, is that quantified trading does not suit my personality. At the end of the day, a trading method needs to suit our personality for optimal trading results. A method that does not suit, is more likely not to consistently executed. For example, many years ago, I had a look at Drummond’s P&L Dot approach. I found it logical and well taught. I spent a year learning to apply it; but when it came to real-time trading, I always felt uncomfortable; so I dropped it.

Now, anticipating a possible question: If I am uncomfortable with quantifiable trading, how come I use Quantifiable Edges as a reference point?

I find Rob Hanna’s approach rigorously tested and researched. For example for July 23, Rob said in his blog, quantifiableedges.blogspot.com, “The 3-Day Pattern That Suggests A Bearish Edge For Today “.

You will know from my own blog yesterday that I shared this view. But I don’t find Rob’s work so useful when he and I agree. It’s when he and I disagree that I derive the most benefit: the disagreement prompts me to check my assumptions. This does mean I’ll automatically change my mind, but I have found it useful to check my assumptions.

If it suits your personality, robust quants is a way to go.

4 thoughts on “Quantified Trading”

  1. Quantified Trading?

    1. What sample size to use?
    2. Any cause & effects relationship?
    3. Generalize about the random occurrence?

    A Qunatified Trading trader could obtain these data:
    At 10 am EST, after market open for half an hour, if it is rainning, what are the results of long and short trades at 10 am EST that close at 4 pm EST.

    Then he could form his trading strategy.


    Then why the 3-Day Pattern is not ridiculous?


    All those brilliant scientists should be the best Quantified Trading traders.

    Are they?

  2. Hi Paul

    Best you go and ask Rob – it’s his area of expertise.

    I agree that you could find patterns where none exist. The comment about brilliant scientists would depend on whether they are also brilliant traders.

    What I can comment on, is my experience with Rob’s work. The results for his idea are there – bit like the 3-day pattern. The negative edge he spoke of was one day late but we did see a down move.

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