BlueHorseshoe

Hi Dude, I nearly bought this last week, but was put off by the poor reviews on amazon, eg: Maybe I'll take another look or try and find reviews elsewhere, but it's useful to know that you recommend it. BlueHorseshoe

Why not spend some time finding out a little bit about how quant firms operate? What you'll probably find is that the compsci/engineering path you're going down (assuming you're good at it) can lead you very naturally into that line of work in a few years time. At your age it is almost certainly easier to excel with your education and choose finance as a career later on than it is to start thinking about trading now. If you want some good introductory books to read to help understand the intersection of computer science and the modern trading environment then have a look at Michael Durbin's "High Frequency Trading", Scott Patterson's "Dark Pools", and Larry Harris's "Market Microstructure for Practitioners". Hope that's helpful, BlueHorseshoe

Hello, Haven't been on there in a while, but http://www.prorealtime.com might be worth a look - they certainly have a pretty international scope and free trial, plus the platform is streaming so there's no need to install anything. Hope that's of some help, BlueHorseshoe

Hi Vinayak, I'm glad the post was helpful, but I would advise you not to pay too much attention to the "Master Trader" tag - it's very definitely another misnomer! The tags seem to be based purely on post count, and much of what I post is nonsense . . . Will look forward to seeing the results of your tests. Regards, BlueHorseshoe

Like the respect you afford everybody by claiming 1k per day on a single contract? I'm not saying it's impossible, Roger, or that you can't do it, but it's sufficiently at odds with most people's experience here that your best bet in terms of credibility would be to be more modest in your claims. Marketing is all about credibility, and credibility is about aligning yourself with other people's experience. Regards, BlueHorsehoe ps Mit, I hope I didn't just whipsaw you!!!

Hi Db, Ignoring the misnomer and the details of how it may be implemented (MAs and all that jazz), what is your take on the underlying concept here - ie "buying/shorting retracements in an uptrend/downtrend"? Is it viable as an intra-day approach? Viable but sub-optimal? Also, please could you give a link to where it is detailed in the Wycoff forum? Thanks for your thoughts, BlueHorseshoe

You're wasting your breath! Instead of making broadly realistic and credible claims and selling what is probably a pretty good educational service, Roger persists in trying to convince his prospects that they can consistently do $1k per day with just a few contracts. Might as well just leave him to it . . . BlueHorseshoe

I don't think it's a stupid idea and I didn't mean to totally discourage you! I would guess that the answer is more likely to be found in volume/order book data than price, as you suggested - it's just having a smart enough way to break it all down. Regards, BlueHorseshoe

Are you sure you're ready to start trading? If your strategy has a positive expectancy then you'll want as much opportunity to exercise that edge as you can get (i.e. you keep on trading). If you don't really have an edge and you lose in the second half of a month what you made in the first, then that would be chance, and nothing to do with money management. The only possible exception might be when dealing with OPM and benchmarks. BlueHorseshoe

Hi Lastninja, I tried to do exactly this last summer (it's a bit like trying to compile your own intraday COT report on the fly!), but I couldn't get it to work. Unfortunately I can't remember why, which probably isn't very helpful to you . . . One definite problem is that you can't know the trading horizon of those hitting the bid or lifting the offer in these zones - if they're a trend-following fund establishing a position they'll hold for the next five months then they won't get puked out when the market goes a few points against them. Another problem is that you don't know whether buying is to establish or to cover a position, and likewise whether a seller is shorting or just closing a long. I would guess that maybe participants become more panicky around breaks of the high and low of the day than they do in trading ranges, but that's just a hunch. Hope that gets you thinking at least . . . BlueHorseshoe

It's oil, isn't it? And I agree with your suggestion - the OT method will perform well in markets that are prone to trend in the long term (that's the averages), and mean-revert in the short term (that's the RSI) - choosing a portfolio of appropriate markets to trade is important. BlueHorseshoe

Hi OT, At the risk of asking a slightly off-topic question, how have you found using options to compare to using futures for this approach? I asked a related question here in the summer, but I don't think I explained myself clearly enough for anyone to help. Do you find that once you've factored in premiums their are any real advantages to using options over futures? BlueHorseshoe

Hi Aceoface, It's a long time since I tested anything trend-following related, but here are a few thoughts that might possibly be useful: Have you tried testing the system without the more complicated trailing of stops that it originally entailed? What happens if you just add to your exposure as you add each contract. If you're limiting the 1 contract risk to 2N each time, instead of trailing the stop to mantain that, limit the 1 contract risk to 2N/Max Possible contracts. This should at least give you an idea of how much the performance is linked to pyramiding per se, and how much it is linked to the associated trailing of stops. Generally, I would try disregarding risk in the backtesting and see where that leads you. Quite often you can do this and it will lead you towards a more optimal approach, and then you can start dialling the risk management back in. Have a look at what happens when you use a different measure to the Average True Range: Newsletter 1211 Finally, I'll just mention that Eckhardt's fund continues to trade as a trend-following operation, so some variation on all of this continues to work, which should be encouragement if you're finding yourself doubting the whole thing. Hope that's some help. BlueHorseshoe

I have found the answer to my first question above. Apparently the additive analog of the factorials is the triangular number. BlueHorseshoe

Hi Roger, I roughly agree with everything in your post. I hope you understand that my original comment was not about your services or your ability either to trade or to teach others to trade? These were reviewed by SIUYA in the summer and the review was relatively positive. From what I have seen myself your methods seem sound. My comment was about what I felt was a willfully vague statement that invited overly optimistic interpretation from those who mightn't know better. You and I both know very well that "a few hundred dollars per day" is a virtually meaningless statement unless it is put into (at least) the context of a percentage return on capital, and (better still) a measure of risk. Deliberately vague statements such as this are a common (though subtle) sales tactic. I'm still waiting for you to post a simple answer to the question of average profit expressed as an annualised percentage return on capital . . . What does it take, how long does it take, and where is 'there'? BlueHorseshoe

Also, can anybody explain to me in simplistic terms (I'm not a mathematician) whether this would be a form of exponentiation? n = ( n[1] * k ) + ( y * ( 1 - k ) ) ; What is the differnce between "power laws" and exponentiation, exactly? Cheers, BlueHorseshoe

Hello, A series of dull questions relating to something that I'm trying to do . . . 1) N! or 'N Factorial' is the product of all whole integers with a value less than or equal to N. So for example: 5! = 1 x 2 x 3 x 4 x 5 = 120 But if these numbers were summed rather than multiplied for all whole integers less than N, does this have a specific term? 2) Next, is there a way in EasyLanguage to 'step' summation? This used to be possible in BASIC with the STEP command. So a summation of whole integers less than 100 with a step size of 5 would be 5 + 10 + 15 . . . + 100. 3) And finally . . . Suppose you have people moving into a town over ten days. On the first day 10 people will move, and on the tenth day 100 people will move. If you know that the increase will be linear then you can work out how many people will have moved in by the tenth day (the thing I don't know the name of that's a bit like the factorial but with summation) . . . 550. If this increase wasn't linear but followed some other function instead, how would I go about calculating the number of people in the town after 10 days? Any generalisable example will do. Many thanks to anyone who can help, BlueHorseshoe

My goodness, you are persistent and obnoxious, aren't you? I see exactly what you mean. But when testing, this wasn't the assumption that I made; I assumed that there was 50% chance of each outcome exactly as with a coin-toss (and consequently did some lazy programming and consistently entered one side of the bet rather than trying to build a randomizing function). So, my results were either: derived from a flawed understanding of probability made an incorrect interpretation of the results aren't relevant to your particular premise Incidentally, going on my argument, the market is not like a coin that is weighted 100% one side, but a coin on which the weighting shifts from one side to the other with random periodicity. This is NOT a Bernoulli process (wikipedia just told me so!). Nevertheless, that still doesn't impact on the scenario you describe. If you're going to start quoting Bernoulli processes at me (with which I'm not familiar, by the way, so thanks for that) then you're evidently a pretty intelligent person (though a little rude). So you should go figure out the answer rather than asking someone with a poorer understanding than yourself. Maybe I wasn't clear - I have done tests. The thread might have been a bad idea for you, but I have learnt something, so I hope that makes it feel a little worthwhile? BlueHorseshoe

Nope, just spent all my money on a house and then didn't get a tenant in it until last week. Should be able to start trading again in a couple of months time. The interesting thing will be to see whether I'm any better than I used to be!!! If I ever give up trading for good you'll know, because I'll stop spending time hanging around on a traders forum BlueHorseshoe

This sounds great - what lottery do you play? You get one ticket this week, and I'll spring for the other; we'll have a 100% chance of winning between us! I think you're confusing the odds of a particular outcome with the probability that there will be an outcome divided by the number of possible binary outcomes. They're two very different things. Probability is a bugger! BlueHorseshoe

Hi ARTjoMS, As far as I'm concerned, this is the right attitude. You're getting purely anecdotal evidence from some random person on a forum who claims to have done some tests which might be riddled with errors, mis-interpreted, or just a plain fabrication. The proper answer to your question is that you need to test this for yourself. As for why I think that runs occur, it's because the markets are not random in the way that a coin flip is - as you state in your original post "price tends to trend". And I think that ultimately the outcome will still be as random because I think that such trends represent 'jumps' in a stochastic process. I've imagined all sorts of things in the past, and nearly all of them were wrong. So I stopped imagining and went to the data. In answer to this and any other question you may have, I would urge you to do the same . . . Hope that helps, BlueHorseshoe

Hi Joseph, I can't answer your question in the way that you would like, I'm afraid. Scaling from my own experience, daytrading a £100k (whatever that was in dollars at the time) account, the answer would be a negative figure I haven't daytraded for several years, except ocassionally in SIM if I'm bored. Swing trading I have made a 60% return in 9 months, but this was on a £12k account and I took insane risks (not using stops) that, continued over time would have cleaned out the account (and mid-way through the 9 months took the balance right back to zero). So this clearly isn't a useable point of reference. If you want to scale what a "good" trader (with accountability to investors in terms of risk management) would achieve, then just go look at the better fund managers - 25-30% seems to be a good approximate guide which, in the case of Roger's discussion above, would equate to a few hundred dollars per day on a 100k account. Finally, I can't scale up my live trading performance today because I haven't traded in the last seven months. Sorry if that reply isn't very helpful! BlueHorseshoe

Hi ARTjoMS, Ignoring costs such as spread, slippage, commissions etc, then this is correct, yes. If you run lots of tests of this using market data, however, the results won't be distributed in the same way as they would for a coin-toss as quickly. In other words, you'll need a larger sample size to start seeing the bell curve, and you'll see larger than expected 'runs' in the data than you would expect with a coin-toss. I can't tell you why. For this reason, I have a theory (which I have never gotten around to testing because it is not likely to be practically trade-able) that with a position-sizing algo that shuts off to drawdown more readily than it opens up to run-up of the equity curve, such a random entry system that produces profitable runs could be long term profitable. Unfortunately the other possibility from your opening post isn't viable: as you decrease the risk/reward ratio the frequency with which you are stopped out will increase to keep things at break-even over larger sample sizes. Conversely, if you increase the risk/reward ratio the opposite will happen over the long run - you'll be stopped out less frequently (higher win rate), but your losses will be correspondingly larger, leading to breakeven with a large sample size. Note that in both these instances, although the end results will be similar to the the 1:1 ratio results, the equity curve would be far less smooth. Theoretically, this increases risk of ruin and lends itself less to successful position sizing, which tends to thrive on consistency of returns. I hope that answers your question. BlueHorseshoe

Hi Roger, No, trading a 100k account ten to twelve ticks per day sounds perfectly reasonable to me. Do your friends who make a few hundred a day have 100k accounts? And do you tell prospective students who have, say, 20k accounts, that they can only realistically expect to make $10 to $20 per day? I don't think that - I'm just putting the reality brakes on so that anybody with a small account reading the thread (that's lots of people here, new traders especially), doesn't think they're likely to be making a few hundred per day. That's a really interesting comment, and probably pretty on-target in my case, although I prefer 'skeptical' to 'pessimistic'. BlueHorseshoe

Hi Roger, Your reply is rather odd - you seem to be wholeheartedly agreeing with the point I make, but at the same time trying to argue against an imaginary point in which I sincerely stated the precise opposite. It's a little confusing! You are correct in stating that I do not have such a system to give, and nor do I have such a system to trade for my own benefit. If you could agree that you (and the friends you mention) also do not have such a system to give (such a system being one that would allow someone with a small 10k account the percentage returns that consistent $200 per day profits imply), then I think we can be in total agreement here? BlueHorseshoe