natedredd10

That is a very interesting question. I think as traders we are all biased against the concept of luck in trading, just because there is so much data out there that when something doesn't work we can fall back on lack of analysis..But we also of course know its impossible to analize so much data so maybe noise is a better term to refer to luck in trading. I soppose thats how I view luck in trading, its not the same random/coin flip/shuffled deck randomness of poker, but since all the variables in a trade are too much to quantify a portion of the equity in a trade may as well be seen as being based on luck/randomness. I highly recommend Bill Chen(a quant modeller at a hedge fund and sick poker player) Mathematics of Poker. You don't have to bother much with the math to get the ideas. The last chapters on risk of ruin and bankroll management are absolutely superb though.

Hey Paul can you just post that link in here? I would love to check that out.

I would highly suggest learning to play microstakes online poker...especially if you have issues with having to be right. It gives you cheap practice with everything being setup perfectly, going for it but still losing even though you made the correct play. Lost money on the hand but it was the correct play when viewed over a series of correct plays. Also cheap practice for the opposite of having nothing, should be folding, but instead having to be right and getting smacked.

How do you intend to measure these theories then though to have any confidence that they are simply not untestable hypotheses?

The odds are though this trader simply got extremely lucky, not to mention it strikes me as extremely irresponsible and degen gambler to do this with a pregnant wife... Starting any kind of trading with min margin is simply poor bankroll management in general...Its quite helpfull to investigate how other gamblers outside trading manage bankrolls. Money doesn't just sit idal in an account if you don't have all your leverage juiced, its there to cushion variance during random streaks of drawdown in a winning system. Part of the problem with traders and small accounts is alot are putting on 2X Kelly/far past optimal F per trade without even knowing it, especially in FX..which even a winning system will get destroyed under with a high degree of probability. That is not even including the lack of being able to use any sort of trade management when only trading one unit. If you only trade one unit you have to balance the chance you take that one unit up to 3 vs getting 2 jobs, busting your ass for a year and saving so you can start with 3. You don't read too much on forums about the later because too many traders get in the business because they don't want to work and are lazy IMO.

True, but that is not to say that it isnt random if its going for or against you. Of course there are strategies that latency would be of the essense, but you should be looking at FIX with a direct connection to the exchange, hosted close to the exchange your trading. It just doesn't make sense IMO to split hairs at the retail level over this at the cost of productivity.

Max Dama has a tutorial on connecting IB to matlab Max Dama on Automated Trading: Interactive Brokers via Matlab There is also a commercial API Exchange API... I've been pretty lazy since getting matlab, but a goal for this year is to get it hooked up to ninja via C#..to me this is the way to go since then any datafeed Ninja supports, matlab will.

I think its a bit silly to worry about this..it would be to assume your analysis is so precise that adding 1 second to your signal would mess up the back test to any meaningfull degree...You can test this yourself, just add a timer and +1 to your entry signal. Unless you are trying to incorporate book data it would make far more sense to pick the platform you are most comfortable with as to get the most work done possible. If you are trying to incorporate book data you will almost certainly need to move up a level beyond retail any, where latency of the feed and execution will become a huge issue.

I question that the online "bitchers" about this move could read the tape at all anyway. As if the tape on ES is too slow now, give me a break. If anything this move has made reading ES much more interesting..

It would be easier if you just numbered the charts in order to make it easy to respond to multiple post. Way too late to play the breakout IMO, if anything I would be looking to fade exhaustion.

Non institutional trading for a living is what dipshits/lucky and the lazy/pretenders con themselvs into thinking they are "doing"... If you understand the risk of ruin formula, and understand within its context how bad it is to skim off a bankroll as far trading goes, then the inverse is adding to a trading bankroll from another income stream, and an obvious optimal strategy. As if anyone is smart enough to trade but too dumb to figure out another way to make money, thats just lazy. My point was its too easy to con yourself into the belief that a losing strategy is simply not winning because you lack this magical quality of "self discipline"...Far more likely is your strategy is flawed itself. Give me any strategy that I know will make .1 YM points a day at average over 10,000 trades and I'll have all the self discipline to trade that way in the world. Thats not the problem, the problem is its impossible to know that.

Normal distributions and markets are not just wrong, its knowingly wrong...Which to me is an alternate concept for being "lazy"..While of course if we take a large enough sample size we can find a bell shaped distribution in market data, it has nothing to do with the actual distribution, its a function of how much market data there is... Just like it wouldn't be hard to find a Poisson distribution or any other distribution you want to look for..you could do this with the data on the size of a single blaid of grass if as much data was being collected on blades of grass as it is on single tick market data. For whatever reason, the brain just loves to fight that something as complex as the markets are based on something other than an unstable distribution..an unstable distribution with a shitload of random jump process going on. What Jerry outlined here is a great filter if you are as good a price action trader as Jerry..if you take this as some sort of science then you are screwed because it has nothing to do with reality. Does Jerry even post anymore? Maybe he got his head taken off during armageddon trying to trade of the variance of the wrong distribution. come out come out wherever you.

data visualization is a well studied field of thought, you just have to step outside the bounds of retail trader garbage to find it. Just search for "data visualization" on amazon and you will find more books than you care to buy. For discretionary traders that field of thought should go hand in hand with the field of: Exploratory data analysis - Wikipedia, the free encyclopedia Those two combined are basically the well explored science of what you are trying to do as a discretionary trader...The weak link in the chain though is software wise and trying to impliment unconventional data visualization ideas. While I welcome any unconventional market data visualization software...the entire concept of volume "delta" is extremely flawed as far as real time market mechanics.. While I think the market delta software set to plot "delta bars" is better than anything else commercially available, its still absurdly far from optimal because its knowingly sacrificing the most precious information for ease of implementation. It doesn't take a genius to figure out that size at the bid - size at the ask, completely cuts off any information as far as the relationship between the two distribution wise.

meh...to me while I love Dr. Brett's work I think "trader pyschology" is complete nonsense.. usually this type of thought in your developement as a trader comes after a random streak, winning or losing streak matters not at all, you are just looking for a variable to attache meaning to what is ultimately a stochastic process. Of course though there is a comfort level with betting, just like there is a comfort level with women. A virgin isn't going to PUA a woman at the grocery store..just doesn't have the experience...not to say they could not but there is a comfort level that comes with repeated trial and error that has nothing to do with the outcome. An EV+ trade ultimately comes down to your ability to front run liquidity and information, information that is almost entirely uncertain...simple but extremely complex. How comfy you are with your ability to click a mouse is one of the most meaningless variables in the equation.