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BlueHorseshoe
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Everything posted by BlueHorseshoe
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Technical Analysis Software in C++ or Perl
BlueHorseshoe replied to Vince_K's topic in Beginners Forum
If you have any difficulty getting a free trial, you could always sign up for a trial with Infinity Futures and gain access to Sierra Charts and plenty of live feeds that way. Hope that's helpful . . . BlueHorseshoe -
Yes . . . and no . . . By the time such moving averages cross over, some price action has ocurred (enough to cause the cross). It doesn't mean that more price action isn't going to occur. If a twenty day move has unfolded by the time of the cross, and you're looking to exploit twenty day moves, then the signal is too late; if you're looking to exploit two hundred day moves then it may be just fine. And the "it fails more often than it works" argument is not valid - as long as you make more on the samll number of occasions when it works, and lose little on the majority when it fails, then you'll be net profitable. BlueHorseshoe
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Hi Seeker, Your points are all quite correct: we can't be certain, and our best guess could involve flawed assumptions. Ignoring the inadequacies of the way I stated the question though, hopefully the point about sample size remains valid. BlueHorseshoe
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Ha! I hope you're not Doctorin' the thread, Mitsubishi? BlueHorseshoe
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Introduce Yourself Here - Don't Be Shy!!
BlueHorseshoe replied to trading4life's topic in Beginners Forum
Welcome to TL, Larry. BlueHorseshoe -
Thanks for the recommendation - that looks good! Amazon are listing it alongside the Ivy Portfolio which is one of the other good books I've read on this topic. Cheers! BlueHorseshoe
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Hi SIUYA, I think that's pretty much the answer I was expecting, but it's useful to compare my understanding - leverage is the sort of "boring" thing that books like to skip over. I've been looking at a long-only trend-following type strategy with ETFs that ought to be suitable for a retirement account. The average yearly return in testing is about 8% but the drawdowns are relatively small (and unlike a stock, I can't see an ETF tracking all commodities or world real estate etc falling to zero), so I was wondering whether it is possible to get more juice out of it with a little leverage. But clearly the increased return is going to be hit by the cost of borrowing (wherever that's from). Thanks for your help! BlueHorseshoe
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Hi SIUYA, Thanks for your reply. I'm confused . . . I understand that you don't have to use the leverage, but trading an ES contract with a $12.5 tick value means that (as I write) you'd need about $76,000 in the account not to require any leverage. A single share of the SPY ETF (also un-leveraged) is currently about $152. What lies between the two in terms of borrowed funding, anything? Or to put it another way, if my worst drawdown using a 3:1 ETF is 15% and I'm happy to weather a 30% drawdown, how can I get 6:1 leverage? To get that on a single ES contract requires $13,000 deposited, but if I want to hold a portfolio of 10 similar instruments then that's $130,000 - a bit more than I can afford! Any suggestions are much appreciated. BlueHorseshoe
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Expectancy? (NT7 Acct Performance)
BlueHorseshoe replied to shooly76's topic in Risk & Money Management
Hello, It's while since I have read Tharp's books but, at a glance, I think you might not have the information that you need above. The avg win/loss is not the same, as it relates the average win to the average amount lost, rather than the average outcome to the average amount risked. Forgetting about the R Multiple stuff for a minute . . . Here's what you need to know: 1) The average dollar amount you risk per trade. If you always use a $200 stop-loss, say, then this is simple. If you vary your stop (based on something like ATR for instance) then you need to add all the different dollar stop sizes together and divide by the total number of trades. This is the average amount you risk on all your trades (not just those that become losers). 2) Your average dollar outcome. This is the summation of the outcome of all your trades (winners and losers) divided by the total number of trades. To calculate your expectancy (expressed as a dollar ratio) you simply divide number 2 above by number 1 above. For example, if your average trade outcome is $150 and on average you risk $30 per trade, then your expectancy is to make ($150 / $30 = $5) . . . $5 for every $1 that you risk. I hope that makes sense and you are able to get the necessary information from your charting package in order to calculate this. If you need any more help then just ask. Regards, BlueHorseshoe -
Hi, I was wondering whether anyone who has a wider knowledge of the derivatives universe than I do could suggest any instrument that offers a moderate amount of leverage? As far as I am aware there is a complete jump from the x3 ETFs to the Futures that are 50:1. The ETFs are obviously geared towards Buy-and-Hold, and the Futures towards very short term traders with smaller accounts or longer term traders with lots of capital. Is there anything in the gap between these? Thanks, BlueHorseshoe
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Alan - please come back!?!?! I thought you were different from the other vendors and put my trust in your predictions for Apple . . . And then you just disappeared! Now I've lost 39% of my pension on this nightmare trade and my wife is going to kill me when she finds out! Please come back and advise me as I don't know whether to swallow the loss or hope the stock moves back to breakeven. Please help! BlueHorseshoe
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Hi Ingot, Thanks for taking the time to put together such a great thread - I'm finding it very useful and it seems that plenty of others are as well. Looking forward to seeing a walk-through example of a trade (and then I might bombard you with questions!) . . . Kind regards, BlueHorseshoe
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If you want volume for any liquid FX pair then why not just use the actual volume of the relevant currency futures contract? BlueHorseshoe
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Hi Gekko, I'm afraid that maybe you need to google this also, as your description is incorrect. A tick is not a single trade irrespective of size. A tick is the minimum possible fluctuation in an instrument's price. So, 233 (or indeed 233000) trades can be executed, but if they don't cause price to move (to "tick") at all then your chart won't change. This can easily be seen by viewing volume alongside your tick chart. You'll see that underneath each of your 233 tick bars the number of contracts traded varies wildly and is not 233. 233 is actually the minimum volume per 233 tick bar because the minimum scenarios are: a) the bid is one contract deep through 233 price tiers and is hit 233 times by market orders crossing the spread (or the ask is lifted 233 times in a similar fashion). b) price "flutters" with perfect single contract alternation between bid and ask 233 times. Of course, in the real world neither of these scenarios is actually likely to occur, and hence the number of trades associated with a 233 tick bar is typically greater than 233. The type of bar that you describe is a "volume bar" or a "share bar". Hope that all makes sense. BlueHorseshoe.
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Thanks - I hadn't noticed. Still, a conversation with a six year dead avatar is probably better than what's going on in most of the more current threads right now Regards, BlueHorseshoe
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Hi MC, I'm not sure if you're confusing two slightly different things here. . . A tick in the sense of your 144 tick chart has almost nothing to do with volume. A tick is the minimum fluctuation of price movement. So it doesn't matter whether a hundred or a thousand trades (volume) occurs, if price doesn't move the market won't 'tick'. Volume at bid or ask ("volume delta") is often referred to as "Uptick Volume" and "Downtick Volume". This is to do with volume, naturally. If you look at volume delta under a, say, 1 tick chart of the ES, you will see that the number of Uptick and Downtick transactions (volume at bid and ask) is typically far greater than 1, even though the chart is a one tick chart. Hope that made sense and was helpful? BlueHorseshoe
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Introduce Yourself Here - Don't Be Shy!!
BlueHorseshoe replied to trading4life's topic in Beginners Forum
Welcome to TL! Binaries aren't too widely discussed here for some reason, but you'll hopefully gain ideas you can apply from other areas. Will look forward to seeing you around the forum. BlueHorseshoe -
Don't forget - you've always got currency futures and you already understand the technicalities of how the futures contracts work, rollover, order matching etc. Just a thought. It's good to hear you're having success with what you've been doing so far. BlueHorseshoe
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Is this the start of a new trend amongst vendors for pushing HFT and algorithmic trading? http://www.projectalgo.com/# Let's hope not. Anyone who has any experience with this firm please feel free to share . . . BlueHorseshoe
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Hi Alan, Where did you go? I bought into Apple big time like you recommended, but now I'm underwater on the trade.:doh: Should I sell now or try and get out at break-even? Please help!!! BlueHorseshoe
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Or their e-book? BlueHorseshoe
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I think everybody who posts on TL but doesn't currently trade should be dragged outside and burnt. How dare they visit a forum to try and learn more about trading before committing real money? These non-traders are the lowest of the low . . . BlueHorseshoe
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Hi JohnE, Nice idea, but I think that you need to invite more vendors. Here is a list: http://www.traderslaboratory.com/forums/general-discussion/10860-tl-vendor-list.html Why not send each of them a PM and ask them to take up the challenge? BlueHorseshoe
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Nope. Lee was in "Man with the Golden Gun", so I considered Gold-Man, and seafood . . . fish have scales, and I'm sure one of the banks have a pair of scales as a logo but . . . No. Man with the Golden Gun was a Bond film and Salomon Brothers were big in bonds and sound a bit like 'salmon' but . . . My lateral barrel-scraping just nose-dived into desperate anti-semiticism, didn't it? Shame, I just fancy some smarties. BlueHorseshoe
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It definitely wasn't meant that way - I'm sure the Dude knows from our previous conversations on TL that I genuinely respect his opinion. What's the screenshot from, by the way? BlueHorseshoe