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BlowFish
Market Wizard-
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Everything posted by BlowFish
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Does Anyone Truly Make a Living Solely Trading the E-minis???
BlowFish replied to ktartarotti's topic in E-mini Futures
If you don't compound you are not maintaining risk, you will actually be reducing risk as time goes by (obviously). This is likely to make it difficult to make a living (as per the title of this thread) if your starting capital is small. You need to put money at risk to make more money. Sure reduce risk over time but not at the exclusion of slowly increasing the bet size. You need to grow your account size, people do tend to be underfunded but that need not be a deal breaker provided you have an alternate revenue stream. You need to manage the risk you are comfortable with probably reducing it somewhat (% wise) as your account grows. Finally when your account size and risk parameters are where you need them to be you can think about taking a salary. Of course nothing wrong with giving yourself little bonuses for reaching milestones but obviously they will set things back a little. No different to any other startup really. You can't expect to plunk down 5k, increase turnover, and pay yourself a salary all at once. When I say 'you' it was more in reply to MM's original point btw. -
As far as I know MC forums are open to anyone? Could be mistaken but they used to be. Edit: Must say Tams conclusion seems plausible - If you are using R & other free software why do you need MC code?
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Not to mention some people just program for fun. (others of course would rather have thier fingernails pulled out with pliers). PT of course it is up to you whether you post or not but I would not be deterred just because someone is sceptical. Nine times out of ten when a person comes on to a forum and enthuses about software it is because they are the vendor. Simple as that. It is natural for people to be a bit cautious. Anyway Hope you change you mind.
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Ahh OK. MTPredictor is not something I would particularly consider for myself (I'd just program it if that was what I wanted). I always liked the firm emphasis they placed on risk and trade management. There are a lot worse people that one could get involved with I was wondering why one would change I guess if it was a product one was promoting that would explain it:)
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I seem to recall you posted pictures of MTPredictor in the past? Do you now prefer to use the PositionSizer.com software?
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No. This does not happen if you properly calculated your position size to give an acceptable risk of ruin. And you know what a high win rate actually is much better for risk of ruin than high R:R. It also tends to produce a smoother equity curve. This means you can actually bet larger with the same RoR as a lower %winner system Sure you get streaks of losers but they are much shorter with a 70% win rate than with say a 30% win rate. Trying to find some tables for you but can't right now having a senior moment with google. Edit: I should add I would probably want 80%+ to trade 2:1 risk:reward
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NinjaTrader Stop Loss Bug - You May Looose $$$$
BlowFish replied to rsagi's topic in Brokers and Data Feeds
I am not sure why you would want to use a stop limit as a target? (unless you wanted to hide the order). Limit would accomplish what you need. -
NinjaTrader Stop Loss Bug - You May Looose $$$$
BlowFish replied to rsagi's topic in Brokers and Data Feeds
Not sure why a target would be sent as a stop limit? Is there not an option to send it as a simple limit order? Not got Ninja installed at the moment. -
One way of stopping loosing money is by closing too soon (this has the side effect of stopping you winning money). I know I have been there. Are you following your plan or are you closing winners early? examples. Price is 7 ticks against me, comes back to 2 ticks profit, phew I 'll close for a small profit. Last trade was a looser this one is up by the same amount, I don't want another looser, I'll close now. etc.
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Not sure about that. As long as you are winning round 70% why not?
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Could be because a lot of the time markets don't 'trend' (depending on how one defines 'trend' of course).
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Increasing Your Position Size Over Time
BlowFish replied to Dinerotrader's topic in Risk & Money Management
Conversely if you don't have a 'edge' but want to 'bet' on the market (bet rather than trade) you are better off making one large bet rather than lots of small ones. -
Increasing Your Position Size Over Time
BlowFish replied to Dinerotrader's topic in Risk & Money Management
Van Tharp might have coined the phrase 'position sizing' (though I am sceptical....seems like a far too obvious expression not to have been used before ) anyway the concepts where covered just as comprehensively in The Futures Game: Who Wins, Who Loses, & Why by Tewles & Jones. Can't remember when the first edition was published (my copy is elsewhere) Early 80's (maybe late 70's) I think. (Pretty decent reference on lots of aspects of trading futures). I'm pretty sure Gann wrote about it in his original trading course (in the 20's or 30's?). Anyway my point is that the principles where well known before Tharp & Sekoyta. Not disputing Tharps contribution in popularising this stuff just saying he didn't really contribute anything 'new'. As for Williams maybe you mis my point? You have to completely ignore risk and use maximum possible leverage to produce that sort of growth and win competitions. Another looser (or maybe 2) and he would have wiped. That's the irony of trading competitions. Anyway I don't want to appear contrary as I agree with your core point its just the anecdotal stuff that I have a bit of trouble with :D. -
Increasing Your Position Size Over Time
BlowFish replied to Dinerotrader's topic in Risk & Money Management
Ed Sekoyta on Risk worth a read. Pip Thief, Interesting you mention Williams and the Robbins World Cup. Didn't he have a close to 70% draw down in the competition? An abject lesson in how not to manage risk. To win competitions you need to throw risk management (and caution) to the wind. Maximum leverage in the most volatile instrument you can find is the position sizing rule for competitions. -
Trading with Market Statistics X. Position Trading
BlowFish replied to jperl's topic in Market Profile
I had a feeling you might say something along those lines from some of the titbits you have sprinkled through the threads about how one might manage positions that have not moved in the anticipated direction -
Yeah that's me being sloppy what I meant was there limit order book to however many levels are reported (or market depth data).
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Increasing Your Position Size Over Time
BlowFish replied to Dinerotrader's topic in Risk & Money Management
Despite what many think the majority of the quants in the business are not busy working on high frequency trading systems or even methods to get in and out of the market. Most are busy valuing stuff and modelling risk. One method that does not require boffin level maths is using Monte Carlo simulation. Worth repeating Risk of Ruin is probably going to be your key risk metric. -
Actually tough to come up with qualified answers. I'll offer this one buying 'oversold' selling 'overbought' markets based on oscillators (such as stochastic s) in trending markets.
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Trading with Market Statistics X. Position Trading
BlowFish replied to jperl's topic in Market Profile
I could see no reason why it would not be valid. As you say hardly a new concept. I guess the question is (and it is as much a rhetorical question as one directed at you ) is whether it causes one to miss more bad trades than good trades. It might be useful to give confidence in some of the riskier trades (break out springs to mind) if it is in the direction of the larger data set. Another thought occurs to me (again nothing new) and that is using a trade setup in a smaller data set as a 'trigger' for a larger data set trade. Similar sort of deal really the main difference is the focus of the trade is on the larger data set. -
Trading with Market Statistics X. Position Trading
BlowFish replied to jperl's topic in Market Profile
Hi Jerry, thanks for your reply. My question was not really meant to be a general 'what to do' question, more a request for a comment on the general principle. The general principle being using a larger data set as 'context' for a smaller dataset trade. Context could mean a directional bias or possibly a filter. As you say there are many way's to interpret two data sets, the question is more along the lines of is there any advantage doing so? I think so, on the flip side one has added complexity to deal with. As an example (again not asking for a comment on this specific case), if the weekly is moving from VWAP to SD1 (which will likely take some number of days) one might want to concentrate on daily trades in the same direction (these will be smaller, quicker trades) they could be VWAP, SD1, or even break outs as long as they are in the direction of the weekly movement (or context if you like). This particular example is similar to the traditional concept of going with the greater trend. -
Try changing If Value2 > Value2 1 bar ago then to If Value2 > Value2[1] then Not sure why...I guess this syntax ensures that Value2 gets stored for each bar. I would suggest using 'meaningful' names for variables rather than the temporary value1 value2 etc.
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NinjaTrader Stop Loss Bug - You May Looose $$$$
BlowFish replied to rsagi's topic in Brokers and Data Feeds
Wow so more like a Market if Touched order than a stop limit. Couple that with it being held on the client (presumably?) is a recipe for slippage. -
Long time since I read Ehlers (first) book but I seem to recall he puts arbitrary smoothing into the mix in a couple of place. This may well be why. Volatility ,even at the tick level, (some might say especially at the tick level) changes very rapidly. I think it will always be a trade off between pre and post processing to smooth this a little with loosing what you want to see. (though I am not completely sure exactly what you want to see or perhaps more importantly why you want to see it). This kind of leads to the 'velocity will change rapidly' statement I made if you get several seconds between a couple of ticks the velocity will be pretty low in it's potential range. Actually if they are at the same price I think the velocity will be zero, right? Then you get a tick very close maybe a few milliseconds ticking up. You are dividing by a very small number ,ms, (twice). The velocity will shoot up to the top of its range in fact you will probably want to handle a divide by zero there (2 ticks the same time stamp) which would give infinite velocity!! A good title for a paper Zero to Infinite Velocity in no Time Flat!
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I don't think there is any difference myself Futures contracts are only options to buy physical goods in the future after all. There is no 'cheap' or 'expensive' when buying corn just as there is not when buying corn futures. (Having said that if you can buy corn at less than the current futures price + delivery cost you might say it is relatively cheap but arbitrage is a different topic altogether). It's all determined by who's prepared to bid up the price. Futures traders do care about price the price they got in at and the price they can get out at. Anyway lets agree to differ on that one rather than get into another rambling debate. That was not my point anyway (obviously I was not being clear). I was attempting to point out the amount of information that is available to a futures trader and hopefully to get the naysayers to reconsider whether it might be helpful in determining short term order flow. As to whether scalping is 'easy' again I guess I wasn't clear. I wonder whether I have the mental agility and numeracy to learn the skill? Could anyone who applies themselves learn it? And just to be clear I do mean learn the skill and not successfully apply the skill. Obviously many who manage the former will not manage to apply it successfully:( P.S. Bough the book stuck it on the Kindle and took off for a couple of days with that and the laptop. Enjoying it so far.