Just a reminder: nobody ever wrote about their super successful trading strategy. Its just never happened. If you have the wherewithal to research and build a trading system that works, then you're smart enough to know that the moment you reveal your edge to the world - it disappears. Even if you dont discuss the innards of your strategy, but you talk about your process or the system youre strategy is built on, you've revealed too much.
Yup. The only reason I am starting to write about it now is that I am no longer running the system. You could argue that it's not useful to write about systems that worked in the past, but I would disagree. New systems can work 99% the same way, but get an additional edge from somewhere else, like new data or better models. Most of the engineering will always be the same.
With the notable exception of Ed Thorp, who managed to write Beat the Market first, and then start a hedge fund to exploit the strategy 7 years later, and only when a reader proposed they go into business together.
Though it helped that the period was 1967 to 1974. The piranhas were a little slower back then
This is a simplified version of the truth. There is a lot of information that you can safely share because the number of people that will know where to look for it, know how to implement it, what to even do with it, how not to make any one of 100possible stupid mistakes while implementing it - is very low.
Example in point: Warren Buffet. All of his process is public knowledge, he constantly writes and talks about it. And yet somehow it didn't make him lose his edge.
Not exactly. We know the broad strokes. He figures a price for a company by estimating their lifetime earnings and then factoring in the time value of money. He's talked about a mental checklist he goes through when looking at quarterly reports, but he never talks about the exact details of this process. Whether he's lost his edge, that's debatable too. The time since he's beaten the S&P is now entering into the long-term.
If thats the case, more often than not you wont be in the high-frequency realm. In other words, the "self-fulfilling" trades are usually short ideas that hedge funds highly publicize or maybe a penny stock someone wants to pump (illegally) - and everything in between.
Where higher frequency trades do become "self fulfilling" can be in intraday technical analysis. For example, there are many people that follow RSI signals in options. Youll see retail people trade this, and then market makers will step in and bring things back in line - because options dont trade on technicals...
