BlueHorseshoe

I know it is. So why not pull up a daily chart of the ES and show me how a Wyckoff-ian study of volume could have improved entry (or informed a better hard stop placement)? And for the record, it wasn't intended as an indictment of hard stops - just a 'couldawouldashoulda' example of market perversity . . . BlueHorseshoe

No? You've not heard of, say, RenTech then? Finding mechanical approaches that work is certainly not easy, and such approaches tend to work best when they contain some (mechanically) adaptive element, but it is by no means impossible to do. This is not to say that the human brain cannot learn to do this better, but to dismiss mechanical trading in the way that you and Joshdance are suggesting is . . . well, dismissive. BlueHorseshoe

I thought this thread seemed the perfect place to share something the market inflicted upon me recently that was so frustrating that I could only really laugh at it. Rather than an individual trading decision, this relates to a strategy modification I recently implemented . . . I'm not a fan of hard stop losses (for my style of trading), and have written lots of posts on TL explaining why. Nevertheless, about six months ago I decided that if I could eliminate the possibility of occassional mammoth losses I would be willing to sacrifice some profit. After testing just about every stop-loss strategy that I could find or conceive, I settled on what seemed an acceptable solution, and began trading with a hard stop when I shorted the ES on 6th June The result? Stopped out by one tick on 11th!!! The second chart shows where my exit would have been without the hard stop, at the close of the same day, for a $437.5 per contract profit . . . BlueHorseshoe

You could visualize what I have described above as a Venn diagram in which the set of profitable traders mostly overlaps the set of technical traders, but overlaps little of the set of all traders. With profitable traders in green and non-profitable traders in red, it would look something like this: And now I need more coffee . . . BlueHorseshoe

The two of you appear to be discussing two completely different propositions here, each of which can be true: 1) 90% of profitable traders are technical traders 2) 90% of technical traders are not profitable traders Of 1000 traders, 500 trade technically, and 500 trade non-technically. Of the 500 technical traders, 50 are profitable, and 450 (90%) are not profitable. Of the 1000 traders, 55.5 recurring are profitable, and 944.4 recurring are not profitable. Of the 55.5 recurring who are profitable, 50 (90%) are technical traders. BlueHorseshoe

I think the other thing that a lot of Wyckoff educators do is fail to distinguish between the way volume signifies in different markets. I would contend that volume in the indices, for instance, is very different to volume in currencies in terms of what it can tell us. This kind of blanket approach, promoted by many educators, of applying a strategy (or expensive, exclusive indicator) to any and every market is misleading, I feel. BlueHorseshoe

Like you, I only use an MA for trend confirmation and not for entry signals. Rather than a cross of two MAs, or a cross of price and an MA, I would encourage people to try looking at the directional slope of the MA. By this I mean whether the MA value is higher or lower than it was one period ago. I have always found this to be more robust both when testing strategies and in real trading. Hope that's helpful, BlueHorseshoe

Hi Rob, I got bored and wrote code for this anyway. Hope it's of some use to you in September! // Data1 is new contract // Data2 is expiring contract // Both contracts need to be inserted as charts with identical timeframes Variables: RolloverVolume(0); RolloverVolume = Volume of Data1 + Volume of Data2; Plot1(RolloverVolume); If RolloverVolume>RolloverVolume[1] then Setplotcolor(1,Green) Else Setplotcolor(1,Red);

Ah . . . that was my fault, wasn't it? And yet . . . It was for me one of the more beneficial and engaging interactions I've had on TL recently. I learned that tax avoidance is a far less simple affair than I imagined - trying to dodge the taxman and getting caught would surely cost me far more than any trading decision I am likely to make - if this tangent had been moderated away I would be worse off for it. And it was all pretty civil, wasn't it? I think one factor you might consider is whether the thread starter has any grievance or is desperately trying to pull a thread back on topic. In the case of the above, as I recall, the thread starter never revisited the thread after their initial post, suggesting they had no ongoing interest in how discussion developed thereafter. Another thing that you might consider is allowing an off-topic thread to run until the discussion burns itself out, and then deleting it. Some things are good at the time, for those who're involved, but will be of no interest at all to others in the future. I come here for 'in the moment' discussion; I don't come here to produce monolithic documents for posterity. You could delete every single historic post on the site, and I'd still be back tomorrow . . . BlueHorseshoe

Hi Roger, I would be happy to take you up on this kind offer, although your tuition would have to be provided in a form that was conveniently digestible for me (ie. not through live trading rooms). I would then provide an honest evaluation of your tuition, and publish it on TL if you wished for me to do so. If this sounds an agreeable arrangement then please PM me. Thanks, BlueHorseshoe

How come you've got that award thingy under your name then? I'm getting me some of those . . . BlueHorseshoe

Hi Rob, Just an idea . . . Could you not just create an indicator that references both contracts approaching rollover and then sums the volume from the two? Then your significant volume threshold could remain constant. If you use TradeStation or an EL compatible platform and want me to create something like this then just let me know. Hope that's helpful. BlueHorseshoe

"One of the things that separates the forex markets from those where other asset types are traded is the fact that currencies are priced in pairs. Essentially, what this means is that we are never buying or selling a currency by itself." Surely this is true for all instruments - a commodity futures contract, for example, is priced against a currency (usually dollars)? Whether money is exchanged for derivatives, a concrete commodity, or other money, this relationship still exists. BlueHorseshoe

I think the following should work, although I'm not at a computer with TradeStation on at the minute so I can't check it. And if you give it a couple of days a better programmer than me will post a better method! The number of bars will prescribe the time delay before new orders are considered (i.e. if you leave this set to 3 then this will cause a 15 minute delay on a five minute chart or a 45 minute delay on a 15 minute chart). Inputs: TimeDelayBars(3); Variables: BarsSinceLastEntry(0); If Marketposition<>0 then BarsSinceLastEntry=Barssinceentry Else BarsSinceLastEntry=BarsSinceLastEntry[1]+1; If BarsSinceLastEntry>=TimeDelay then begin { whatever it is you’re wanting to do following a time delay goes here } End; Another approach might just be to create a lagging or 'displaced' set of indicators. Hope that's helpful. BlueHorseshoe

Hi Bakrob, You are correct in saying that I don't want to develop a concept in this thread in public, but incorrect in saying that I want to keep "the good stuff" all to myself. If you would especially like to see the code in question then PM me and I'll send it through to you - it's hardly a massive secret. The approaches that I actually use in my trading (of the ES - I don't even trade the Euro) are things that I discuss regularly on this forum and think that I am fairly open about, so I feel that your criticism is a little unfair. Kind regards, BlueHorseshoe

Hello, I'm afraid that I know nothing of the legalities of your question. However, one possibility might be if you were able to find another company's stock in the same sector that behaves in an almost identical fashion (ie it is 'highly correlated'), and can be expected to continue doing so in the future. You could then short this stock, rather than short your company's own stock. Even a sector ETF might exhibit a sufficiently high degree of correlation. Hell, if you're working for Apple then you could probably just short the NASDAQ . . . The danger with this tactic is obviously that the instrument you short and the stock price of your company cease to move together - for instance if some news or event were to affect one without affecting the other. Hope that's of some use. BlueHorseshoe

Hi Richard, Thanks for an interesting post. I think that the main difference between more and less experienced traders is that the former look at the data - the actual historical behaviour of the markets they trade - whereas the latter tend to work with rationalised concepts that mightn't actually suit the behaviour of the market they trade. We're all familiar with this phenomenon - we read a well-written explanation by an articulate author and think "well that makes absolute perfect sense, it couldn't really be any other way!" . . . Except that often it is another way, and more often still it is no way at all, and the strategy has neither a distinctly positive or negative expectancy. To know this we have to examine the actual market data. Returning to your original discussion, for example, I would as a general principle be happy to trade breakouts in the Euro, but would always fade them in the S&Ps. This is because I know that historically one market has been far more rewarding for breakout strategies in a very generalised way (ie a broad range of breakout strategies rather than any one particular strategy). My advice then, would be to make a detailed study of the price data, and then decide whether or not to employ a breakout strategy. BlueHorseshoe

Hi Jeff, If you're interested in examining further EL strategy code for the Euro then drop me a private message - I have several things that I have developed but never traded. You'd get the benefit of hopefully seeing some new ideas, and I'd have the benefit of having another system developer's opinion of the robustness of my strategies. Thanks, BlueHorseshoe

I exited this position on the close today. Notionally, the entry short was 1322.50 and the exit was 1308.00, for a 14.5 point profit, or $725 with a single ES contract. Because of how I trade (with CFD prices that never quite correspond) and because of slippage when trying to enter around the close, I came away with slightly less than this. Well there we go - the first and last time that I ever intend to post a live trade on here! BlueHorseshoe

Yes, and having read through UK CFC tax regulations this afternoon it would seem that . . . erm . . . you are absolutely correct - what I was suggesting would be a lot more difficult to do than I had imagined . . .

Here's what trusty old Wikipedia has to say about the volume of offshore business: Offshore banking is an important part of the international financial system. Experts believe that as much as half the world's capital flows through offshore centers. Tax havens have 1.2% of the world's population and hold 26% of the world's wealth, including 31% of the net profits of United States multinationals. According to Merrill Lynch and Gemini Consulting's “World Wealth Report” for 2000, one third of the wealth of the world's “high net-worth individuals”—nearly $6 trillion out of $17.5 trillion—may now be held offshore. Some $3 trillion is in deposits in tax haven banks and the rest is in securities held by international business companies (IBCs) and trusts. The IMF has said that between $600 billion and $1.5 trillion of illicit money is laundered annually, equal to 2% to 5% of global economic output. Today, offshore is where most of the world's drug money is allegedly laundered, estimated at up to $500 billion a year, more than the total income of the world's poorest 20%. Add the proceeds of tax evasion and the figure skyrockets to $1 trillion. Another few hundred billion come from fraud and corruption. "These offshore centers awash in money are the hub of a colossal, underground network of crime, fraud, and corruption" commented Lucy Komisar quoting these statistics.[1] Among offshore banks, Swiss banks hold an estimated 35% of the world's private and institutional funds (or 3 trillion Swiss francs), and the Cayman Islands (1.9 trillion US dollars in deposits) are the fifth largest banking centre globally in terms of deposits.[9] However, recent data by the Swiss National Bank show that the assets held by foreign persons in Swiss bank accounts declined by 28.1% between January 2008 and November 2009.[10] Erm . . . who's the one getting taxed on their trading profits here mate? It isn't me . . . Nope, and I wasn't trying to. Although it's a fair bet that the authorities are likely to be far more concerned with how multinationals pay their millions of dollars of taxes than me making a few grand a year from a hobby, don't you think? This conversation may as well end here Gosu . . . I don't have your detailed legal knowledge or any direct experience of using offshore accounts for tax avoidance . . . And you don't seem willing to accept that, whether or not the mechanics of what I described are correct, there will be relatively straightforward methods of avoiding taxation for those who can be bothered to research and implement them. I can't believe that all this (and a load of other flack besides) came from me offering a simple hypothetical demonstration of the effects of compounding, which was in any case explicitly aimed at new traders . . . Sometimes I don't know why I bother! BlueHorseshoe

It's hardly novel, you're right . . . Are all those millions of businesses that incorporate in tax havens just labouring under a misapprehension then? I would, of course, seek professional advice before setting up any kind of vehicle for tax avoidance. At the level that I currently operate financial spreadbetting allows perfectly legal tax avoidance here in the UK. BlueHorseshoe

Thanks for your reply Logic - I don't know about MightyMouse but my geography is shocking! Now when will you be able to provide the name of the hedge fund that you are partnered with so that I can reap the benefits of greater than 3% monthly returns? Cheers, BlueHorseshoe

Gosu apparently thinks that spending any time on considerations of money management is time wasted . . . Thanks for helping me to avoid wasting my time Gosu - from now on compounding is out the window - it's all about obsessing over entries and 'skills' for me! BlueHorseshoe

And I can suggest you glance at my profile - I'm not a US citizen Avoiding tax (in any jurisdiction) is very simple: if you don't earn it you can't be taxed on it. If the earnings belong to a company in a zero-tax jurisdiction then they don't belong to you - that means that you can no more be taxed on them than you can be taxed on the earnings of Apple. The reason that most people don't do this is because they're not willing to operate a business but forego the earnings . . . BlueHorseshoe