Soultrader

Hi Torero, do you mind elaborating?

Thanks brownsfan, I have been dying to do this for months now. But creating a manual is going to take me some time. I initially thought of a wiki format but then I realized I have no idea how to use wiki. I will spend some time over the weekend to get started on creating a manual. The old manual is kind of outdated so will have to create a new one from scratch.

Yes, thats right for dummies! lol. I did an interview for Ann Logue a few months back on day trading and has been published recently. The title of the book is called Day Trading for Dummies. I have yet to read it but just heard that my interview actually got published. I am quite surprised. I will have to check it out myself asap but let me know if you ever run across it

Take a look at the USD/JPY today. Just tanked!

Im not sure if I follow 100% because of the lingo but stepping off the bid/ask is something that can be spotted on the price ladder or level 2. You might see a big size holding the bid a few levels down and then all of a sudden he steps away. For example, on the Nikkei futures each bid/ask is about 400-500 contracts. Once in a while you will see 1000+ contracts at the bid/ask a couple levels above/below the current market price. If the trader is holding the bid 2 levels down and steps off, this indicates he is sensing price to drop lower and loses interest in buying. Usually you will see price drop. Vice versa for the ask. Lets say the markets is tanking rapidly. You may also see the bid getting extremely thin and ppl just stepping off it. There is no buying interest there and no support. Price will continue to drop until the first wave of short covering comes in. Short covering can be spotted easily as they do not hold the bid but send a market order. So you will see price jump a level rapidly. This is the case for financial instruments in which the bid/ask is thick and one big trader can take out the bid/ask.

Thanks Kett, I was just looking for one myself.

One basis point is equal to 0.01%. When the fade cut its rates recently by 25 basis points, this means by 0.25%. Duration means the change in value of a financial instrument that will result from a 1% change in interest rate. Long-basis means owning a commodity but being short the futures to hedge. The basis is just the difference between the price of the physical commodity and the futures.

Very interesting Walter. I have begun to use mental stops only and use an extremely tight stop. I dont place them below a pivot or use a fixed stop anymore but just react to what the markets is telling me. (mainly tape) If I go long and the market does not move, I dont care to wait but quick to break even or take a 1-2 tick loss. I expect minimal heat per entry for my trades. I am definitely becoming more of a scalper while at the same time position trading some automated strategies. One of the biggest lessons I learned this year was my reaction to stops. This may be affecting some of you traders here, but ever get in a trade and the trade doesnt feel right? You have a sick feeling but yet you tend to hold on because it has not hit your stop yet. On how many occasions does it come back to stop you out?　I have learned to reposition my trades if I do not feel right without waiting for price to stop me out. It appears that I am switching my mind constantly but I am actually trying to get a feel of market direction to position myself for a move. I may take a 1 tick loss 2-3 times in a row but once Im confident on the right side, I look for 10 tick moves so more than makes up for the losses. I have also started to double up or average down. If I sense market direction is down but my short timing was off, I may take some heat but reshort my initial position size. So instead of my mental stop getting hit, I will grab another short. Then take that short for a target where my first entry was. Hence, a trade that would of been a loss becomes a win and a break even for the first position. I do not recommend this for the newer traders, as you will likely double your losses. But the key here is to know when your initial market analysis in terms of direction is correct, but your entry timing was off.

I had a chance to see Hotel Rwanda for like my 7th time today. For those that have yet to see this film staring Don Cheadle (also from Oceans 11), this is a must see. For those that may be interested, below is a link for the Hotel Rwanda Charity Foundation: http://www.hrrfoundation.org/ "The Hotel Rwanda Rusesabagina Foundation, established in 2005, provides financial assistance to children and women affected by the genocides in Rwanda and other African nations. For many years, founder Paul Rusesabagina, whose efforts provided refuge for 1,268 people during the Rwandan genocide, has been speaking out about the genocide in Rwanda and other African nations, while privately donating aid to organizations helping the victims." The foundation was started by Paul Rusesabagina who is played by Don Cheadle in the movie. The per capital annual income of Rwanda is $230. I am in no way affiliated with this foundation. I thought it would be a great idea to bring together Traders Laboratory members to donate for an extremely good cause. The story behind the movie really moved me and I googled Paul Rusesabagina and this is what I found.

My first month was extremely suprising and frustrating as most of the techniques that I am familiar with did not work. I spent hours and hours backtesting momentum strategies, chart patterns, candle based conditionals, and this is what I was able to come up with in approximately 1 month. I am still brainstorming strategies and devising them as the day progresses. But unlearn and learning is a very hard process. I have attached a snapshot of my semi-automated trading system. Other than this, I scalp off the tape on a few stocks and the index futures through tape. Note that I do not take any signals after 2:30pm. Anything after 3:10pm represents evening session hours in which there is hardly any liquidity.

Hey kenpo, Ill try to get esignal coding more active as I may be obtaining esignal data as well for my own research at home.

Ill post a snapshot of my spreadsheet tomorrow.

I wanted to start a new thread as I have recently gone through a transformation in my trading. For the past 3 years, I have been a purely discretionary trader relying on volume, tape, and market profile. With a new market (shift from US futures to Nikkei futures) I had to dump all of my methodology and find new techniques to trade. Market profile is not a tool available through my current platform and prop firm, VSA techniques do not work as well with the Nikkei, and market profile is not as efficient. First, the Nikkei gaps every single day due to the US markets and the time difference. On many occasions, the previous day profile becomes absolutely useless due to these gaps. There are no premarket sessions and as a result you can not see any premarket support or resistance. Gaps tend to not fill as well. So basically, all I have learned trading the US futures did not work with the Nikkei futures. I struggled to find a methodology to trade this market. I first starting drawing MP charts manually, then started filtering out the tape, then started to focus on candlevolume charts. I realized that this market was dominated by automated systems and big lot scalpers. Here is what I have done that has transformed my way of trading. I never thought I would become this type of trader. My trading is now 70% automated. I have about 6 strategies that look to exploit rejection patterns and follow trends. These are all automated through excel and give me buy/sell signals for various instruments and timeframes. I also apply parameters based on open/close/low/high/volume. The only discretionary part is to decide whether to take the signal and my exit on my last quarter position. (3/4 position is fixed targets per strategy) This has really changed the way I approach trading as it has taken away alot of the emotional elements of trading. First, 2 years of data mining the Nikkei futures has showed me that the market trends intraday only about 25% of the time. Therefore, the edge lies in reversals and fading IB breakouts. How many traders here use both a mechanical and discretionary approach in trading? The number one element that changed my trading is how I used to be glued to tape. Now, I hardly look at any charts but watch spreadsheets all day long.

The Dubai exchange floor looks like a lounge. Very nice though.

Thanks for the response alley. Makes sense especially with the Dow reference since I used to trade that instrument for a few years. I do not trade the SGX Nikkei but the OSE big Nikkei The OSE contract is a completely controlled by scalpers from observation. It is very common to see 2-3 traders hit the bid/ask with 300-500 contracts and play for 1-2 ticks. Which amounts to close to $60,000 - $90,000 a scalp. Very strange but aggressive market the Nikkei is.

Hi alleyb, Wouldnt an exit at the break of a rotation be extremely late? For example, in a declining market a short cover at a break of a location would indicate exiting after the first signs of short covering and possiby at the same time as counter trend momentum type traders who look to ride the bounce. I currently trade the Nikkei and as the tick value is big, seeing even 3-4 ticks of paper profits disappear on the PNL is quite big. Which is why I see more scalpers than intraday position traders on this market. I currently tend to exit at intraday volume spikes on a decline and narrow range bars followed by a wide range bar in an uptrend.

Yes, that clown comment was inappropiate. I have no problem with carcanaques' posts on money and risk management. They have been very interesting and can be related to trading. This forum is welcome for all new members. Please keep it this way.

From what I have seen, most traders whether quant or prop based come from a mathematical or programming background. (not all but most) The fact is that automated strategies are the norm amongst instituions which ends up being the majority of the volume traded each day. All system developers I have encountered so far are all traders are well in some way or another. Each has their own way of approaching and trading the markets. However, the best traders I have seen are those with a good balance of mechanical and discretionary. The ones who are able to understand when to trust the system and when not to are the ones that can avoid massive drawdowns. Controlling risk is perhaps one of the most important factors in trading successfully. I think a discretionary trader with a non-math background can still find the edge in charts. Many hedge funds employ similar strategies so when they are wrong, you are likely to see a good sell-off or short covering. Hence a trend? One of the main strategies I like to employ at the moment is countering the typical trading idea. In other words, strategies that are based on pattern failures, breakout failures, price rejection, etc... Many intraday strategies I am developing exploit the mistakes of others and knowing that either buy or sell orders will trigger. I do this over multiple timeframes. I recently had a chance to read the Turtle System position sizing formula which I think is a good way to manage risk. Whether or not a retail trader uses this formula, I think it is important to have a position sizing system per strategy. Whether this is based on the size of your capital, volatility, winning % of your strategy, etc...

Thank you carcanaques. Very interesting post.

Hi Rajiv, I visited their website and it is seems to receive alot of good reviews and very cost effective. One thing I read was that it was not suited for futures. Have you had any negative experience with Amnibroker when backtesting futures strategies or perhaps intraday strategies? I am aslo considering purchasing amnibroker with esignal data feed. How user friendly is the programming language?

Anyone have a recommendation for a backtesting software and data feed that covers global markets? I currently dont have a TS account anymore but would like to backtest some strategies on my free time away from the office. Thanks.

Sorry guys, I didnt code this so will need to wait for the actual coder to provide any updates or games. Will keep you guys posted.

I just setup a limit holdem game here: http://www.traderslaboratory.com/forums/casino.php?do=texasholdem. Money is earned through posts as well. You can then try your luck to increase it.

Yea, you need to have it included in your charting package. Its called candle volume charting. The tick chart is just a tick chart as it is. It prints a candle for every 233 transactions (or whatever you want it). Make sure your charting software has this functionality.

Hi Dr. Janice, Have a wonderful trip! I wont be having any break until the end of the year See you soon!