Head2k

I am sorry but I will not start a new thread. Simply because I have nothing to offer or to contribute with. Yes, I added the Skew(3CM). Yes, I think it filtered away more bad trades than the good ones. But that is all, and all this was already said here. I tried to paper trade a system based on your threads on ES and I was not satisfied with results. I began to watch hourly ROC of VWAP and used it as another filter. I ended up with filtering away the most of trade opportunities and started to be frustrated, sitting in front of the screen and doing nothing.While I think that VWAP and SD's are good entry/exit points, I dont really know how to trade with skew. And I dont even know if it is a good idea to trade with it. Do skewed distributions tend to come to the balanced ones? I dont know. And I apologize for a sort of hijacking your thread for several pages. I posted here as a reaction to jgotchev who mentioned the central moment here. It wasnt intended to elaborate on the skew over several pages. If you want to start a new thread about Trading With Skew, feel free to use my ideas, posts or charts, but I dont feel competent to start the thread myself, because I kind of lost the track. But I promise I will not mess up this thread again

My apologies, I forgot you wrote about DAY trading stocks. Daytrading 50 shares lot indeed doesnt make much sense. And the over-night gaps are would be avoided by daytrading, too.

I dont recommend you trying to make hundreds per trade but tens. Take 50 shares instead of 500 for a beginning. There is no need to rush. Once you start to be profitable with small money, then you can rise your bets. Diversify your capital, take more smaller positions rather than one big one. There might be a sudden 30% move (even gap jumping over your stop), and if you had all your capital in one trade you could lose a lot. Problem is futures is not the volatility. Some stocks are more volatile than most futures. The problem (or advantage if you are experienced enough) is the leverage which allows you to take much bigger positions.

Moon, I think this method presented by Jerry here is a good hint, but like any other method it is not a miracle. In fact price often bounces from or crosses VWAP and SD's in a "wrong" direction, no matter what Skew bias is. What seems to be important is also the slope of VWAP (i.e. the strenght of daily trend), the real statistical Skew which I wrote about a few posts above, S/R areas (or HUP's), etc. I believe that one must able to judge price action near possible entry/exit points as well as the "big picture". This might give him the answer whether to scale-in or exit. Just my guess, Jerry please correct me if I am wrong.

The gains are higher but so are the losses. And in the beginning one can expect rather losses than gains. Playing 1 contract in futures can still mean quite big money for a beginner. With equities you can size your positions much better. But I think 40k is enough for daytrading future contracts. If you can manage your losses under 200 per trade, it represents 0.5% of capital. 0.5 - 1% is reasonable.

An angle can be measured by its tangent. Price change / time. But I would guess one should be carefull with very steep trends, as they may exhaust fast.

I would say one should start with EOD stocks. Then you have enough time to analyse and decide. If you daytrade, you are under extreme pressure, you need to have a detailed plan what to do in any given situation because when the situation occurs you have no time for long thinking. Being a newbie myself, I know it is hard to cover all possible scenarios in your plan, because you simply have not enough experience and you dont even know what to look for, or what psychological impact is a certain situation likely to have on you. Daytrading can be beneficial, of course, but it takes extreme effort and dedication to master it.

I am joining jonbig with this question, because I trade on a sim, too. What should I do after I shut the sim down? Start for real or just watch? I mean for better market understanding.

Thank you, I didnt know that.

I use AmiBroker and I think it has an outstanding performance/price ratio. For less than $300 one time fee you have a powerful and flexible analysis tool. I am not a programer, but I read the AmiBroker manual and was able to code Market Profile, jperl's VWAP indicator and more. I was told that the language has a similar syntax as C++, but I cannot judge it as I dont know C++. If you have any experince with programing, you should be able to learn AmiBroker Formula Language in a few weeks. You can run scans based on your own code, and you can define the output of such a scan and alerts. The effort you put into learning AFL will allow you to appreciate the flexibility it provides. However, there are some disadvantages for real time trading, especially for scalping. The highest price chart refresh rate is 1 second, so you cannot watch every tick on a chart. If you use tick data feed the ticks come in packs every second. As sevensa wrote, the scans are not real time (continuous), but discretionary in some preset interval, 1 minute minimum. Also you must have an external data feed which you plug in to AB.

I read your first post in this thread and didnt feel any need to reply. I think that the psychology issue is well described in several books and in many post here on TL. The problem is that while most of people can read how to behave right, actually only a very few of them can change their behaviour only because of something they have read. The majority of us need to be forced to change, and we must realize that there is no other way. And this revelation doesnt come with reading, but with losses. I am a newbie and I also experience that while the holy grail quest is quite exciting and interesting, as I gain more and more market understanding, the inside quest is something that I know I must do, but I am not looking forward to it much. It is a dirty work and not pleasant at all to dig in all that shit and sweep it away... Anyway, my point is that it is nice to read about psychological issues, but if you dont come to a certain point yourself, you are not able to fully appreciate experience of the others. And once you are at that point, the experience of the others can show you the way, but you must take the journey yourself, anyway. About the concentration issue: I think this is fine tuning your psychics. First one must learn discipline. Then he can develop objectivity, then concentration. Not many people get through the discipline issue, so they eventualy never get to the concentration development. So dont be surprised with the lack of interest in your thread. Just my 2 cents.

While this sounds logic, I think it is based on wrong premises. There really is no mathematical formula that would predict a market, but there are some formulas that can predict the market with a certain degree of probability. There are automated systems which work. Chosing a discretionary system you can make room for your judgement. Some things are difficult to programe. Even a stupid trendline. But in most of discretionary systems some objective (i.e. which can be automated) component can be isolated. I think it is a good idea to define automated and subjective components of your system and study them separately. A filter "I won't enter if I have a feeling that something is wrong" can be IMHO a legitimate part of your strategy and you can study its performance. But these are just ideas of a newbie who hasnt found/developed his edge yet, so please take it with a grain of salt.

I think in percents of my trading account. I dont have enough money to think in millions. Dreaming is nice, can be sort of a motivation, but one should be aware of reality. There is no mental work to be done regarding this issue for me. I have a very small trading capital and I can only rise it step by step. With my current experience, chasing a dream would mean a quick end for me. In the beginning I am quite lucky, as the initial steps down were smaller than if my trading capital was greater

I am a newbie and currently I am in that "holy grail search" phase. Well, I do not search the holy grail exactly, but I am learning different approaches and diffenent angles of viewing what is happening in the market. I believe only a few newbies actually really search the holy grail per se. I believe that the most of them, like me, are going through different methods to find the one that suits them, that they can preliminarily believe and which they want to build their strategy on. And even even if they find one, they search more. There could be some another method or approach worth implementing. It is like in other branches. You first learn the basic knowledge of a lot of things related to your occupation to form some base, and then you specialize and work up in a narrower field.

I will offer my newbie's point of view: This debate is pointless. Without a winning strategy your discipline won't save you. Without discipline your strategy won't save you. How can you recognize a good strategy if you dont have the discipline to follow it completely? How can you recognize if you are being disciplined if your strategy is vague? If your strategy is losing but at least precisely defined, it should be much less difficult to disclose its weakness. The worst one can have is IMHO a vaguely defined strategy, because then you are not able to define if you are being disciplined and thus you are not able to unfold if it is the strategy or your discipline being responsible for your vanishing account.

Not so far away from what I have. As a side note, this discussion merely belongs to the Skew thread, not this one. I posted my first post here as a reaction on a post when the 3rd central moment was first mentioned. But now we spent several pages discussing skew in a HUP thread... Maybe some moderator could move it, if it is not too difficult?

Yes, sorry, I meant the backfill speed. The real time is ok, but backfilling is slow... at least for me.

The initial deposit must be at least 10,000 USD, unless you fit into a special category, such as students and some others. The data are for free, but there is some activity required to obtain the free data. If you dont spend at least 10 USD for commission in a particular month, they will charge you 30 USD for the data for that month.But I cannot recommend using IB data, as there is a poor download speed, very limited backfill and VERY inaccurate volume.

I am a beginner like you, but I dont mind other people doing exercises such as jumping

I papertrade ES and after 2 hours of observation today I decided to not to trade as well. There was a ISM Non-Manufacturing Composite announced at 10am which produced some minor action, but the rest of the day was dull because of waiting for FOMC Statement and Federal Funds Rate at 2:15pm. The announcement then produced some action, but I dont want to trade such announcements as it is high risk business. Somtimes it is good to check some calendar so you know what to expect.

I recently started to observe an hourly ROC of VWAP. To VWAP please refer to jperl's threads in MP section. The interpretation is obvious: to measure the strenght of daily trend.

I am a beginner in trading, so maybe my case is just a newbie indicator fever, but I use a few indicators on indicators. Yet I must understand the interpretation. That limits me to usage of ROC or MA of some other indicator.

I am not a programmer. To programe in AmiBroker I needed to read a manual first. So I am afraid understaning your code would cost me too much effort. Anyway, if C is the sum of weighted ^3's, why don't you calculate the skew just as Skew = C / cube(SD) ? Maybe I missed something...

The chart for today until present time. EDIT: Btw it was an awful creepy movement today before FOMC, I am glad that after 2hrs of wtching this I decided not to trade at all today.

If your Skew Line is the blue one you have it wrong. I will recap the procedure. Asume you have an i-loop going through all bars since the start of the examination period. For each i you need to do the following: 1. You need to determine Volume per price (the volume distribution function). Lets say you will have an array VD, where VD[j] will be volume per j-th price. This VD array will change for every bar (every i). 2. You need to go through this array in a j-loop and calculate the following: a) Probability of j-th price: Prob[j] = VD[j] / TotalVolume. TotalVolume is the cumulative volume since the start of the examination period. b) You need to calculate the 3rd central moment for every bar (every i). You again need to do it in a j-loop. CM3 = sum( (Price[j] - VWAP)^3 ). The sum goes through all j's. c) You calculate the Skew = CM3 / SD^3. This you dont have to do in a j-loop. The j-loops dont have to be separate, you can do everything in two. I use three j-loops for every i. In the first one I determine the VD. I do this in a separate loop because I dont go through all j's but only through those representing the actual bar. To VD array I add volume cumulatively from the start of the examination, so I dont need to recalculate it whole every bar, I need only to add the current bar volume to it. The second loop I use for VWAP calculation and in this one I need to go through all prices. The third j-loop I use for Prob and CM3 calculation and in this one I need to go through all prices. For this calculation I must know VWAP, so I cannot integrate the first and second loop. But if your software calculates VWAP for you and you dont need to calculate VWAP yourself, you can use only 2 loops.