BlueHorseshoe

Erm . . . Quiet thread, but I'm still reading . . . Some days your charts seem to be dominated by horizontal support and resistance, and other days more by diagonal trend lines. What sort of process do you go through when deciding which areas you are most interested in? BlueHorseshoe

Do you think that this is true on grounds of volatility alone, or due to some element of how the crude market behaves? BlueHorseshoe

I am currently exploring this idea myself, having read about it in a book on HFT. The difficulty seems to be in 'sweeping away' unwanted orders ahead of time. Would you be willing to share any information about how this concept can be implemented? Is it possible within the confines of the retail platforms (or TS, specifically), or are bespoke software/hardware solutions required? Many thanks, BlueHorseshoe

It's not really necessary to be an exchange member to get commissions below $3 per round trip if trading a significant number of contracts, is it? I'd have thought most brokers could be talked down from their headline rate by someone flipping contracts at the rate the thread starter suggests. I'd be really interested to hear more of your thoughts on slippage in the ES - are you saying that most market orders will be filled without any slippage? Thanks BlueHorseshoe

Is Trading Blox the Curtis Faith software?

Or find an existing TS indicator that plots on the price chart, delete out all the text, paste in TAMS code to replace it, and then save it with a new indicator name.

Or drag and drop the subgraph indicator onto the price chart.

You want to compare the typical movement in a range of stocks. To compare them you need to find some way to normalise their movement. One easy way to do this is to look at their percentage change rather than their change in dollar value. You could insert a simple percentage change indicator with a single period lookback into you chart. You could then look through a whole load of stocks and see which ones have a high daily percentage change. If you wanted to take this further you could use the scanner/radar/filter function that your charting platform probably offers and input your requirements in terms of percentage change - then the computer will do the "looking through" for you. I hope that's useful. My only other advice would be to consider looking at futures again in light of the Al Brooks methods that you're interested in - low costs, high liquidity, comparitively stable behaviour, and oodles of intraday volatility - futures trump individual stocks for daytrading every time in my opinion, though others are bound to disagree. Bluehorseshoe

Steve's reply above seems to me to be a good answer to your question. However, I would add that a good strategy will exploit a broad market characteristic, so precisely to-the-tick entries and exits shouldn't impact upon its performance too much. There are many, many traders trading end of day entry systems profitably - how many of them are actually filled exactly on the closing tick of the market? Not many. I rely on a specific set of criteria to enter on pullbacks in trends, for example, but there are countless other strategies for exploiting this type of opportunity that rely on different parameters or indicators, thereby giving slightly different entry and exit signals. Coincidentally, I also trade with a variation of a very well known and well publicised system . . . As for the old argument about 'nobody with a good system would sell it to the public - they'd just trade it themselves and become fabulously wealthy', I don't think it's true at all. To trade it themselves the system developer needs to have sufficient capital. If they don't have sufficient capital then it may very reasonably occur to them that selling the system is an obvious way to raise capital. I'd certainly be a vendor if I had anything to sell! I wouldn't become overly concerned with any of this, however. I would try to focus on finding a strategy that you feel offers a robust solution for the market(s) you wish to trade, and is well suited to your own capital and temperament as a trader. I'd then spend most of my energies building execution methods, risk management, and most importantly position-sizing (money management) structures around this. I hope that's helpful. BlueHorseshoe

That's really useful - thanks. BlueHorseshoe

I haven't tested this directly either, but it certainly fits with concepts I have tested, such as fading the initial move off the regular session open. Thanks for an interesting post. BlueHorseshoe

Hello, Having watched a few of your videos now, I'm beginning to gain a very general sense of how you trade. Would it be fair to say that you often tend to add to losing positions, or 'double down'? Please don't think that is in any way a weighted question; I know a hell of a lot of people think its crazy to do so, but I'm not one of them. Although I trade 'all in, all out', if I had the choice of adding to a winning position or adding to a losing position, I would always choose the latter. In your most recent video you allow profits on one contract to run significantly. What made you decide not to exit both contracts at the prior highs where you exited one contract? And what caused you to exit the second contract where you did? Many thanks BlueHorseshoe

Sounds worth reading - thanks for the review!

You might find the Art Collins book "Beating the Financial Futures Markets" (why do they always have such horrendously crass titles!?!?) useful. It covers system development in a simple and practical way, giving EL code for about fifty strategies. Despite the fact that the author's approach is very different to my own (he builds systems in which momentum is the primary focus), I still found it very beneficial reading. Bluehorseshoe

I may be wrong, but I was under the impression that the regular ES session is also Globex, as there isn't a cash session. Globex is just the electonic exchange platform, and the ES only trades electronically (with the Spooz as the larger cash contract). Have I misunderstood this? Regardless, the term is obviously being used by Spookwill to reference the night session, as Onesmith points out. Bluehorseshoe

Thanks for your repliy. So you seem to work with three biases then: 1) Long 2) Short 3) Long and Short (ranging markets) Have I understood that correctly? Obviously the first two tend to be an expectation going into the day. Is the third ever an expectation before the day, or is it less anticipatory and more reactionary, as in the example above? For intraday trading, what is the highest timeframe that you tend to reference? Cheers, Bluehorseshoe

Actually, that's a great idea - I wonder if the exchanges have explored it? I guess coefficiency is a bit less glamourous than volatility, say, but the main participants would be institutions, and they don't chase glamourous markets in the way that retail traders do. I don't think launching a new derivative contract is too difficult, assuming one moves in the right circles. Certainly toward the middle of last century the exchanges were desperately casting around for ideas for new contracts (anyone remember Egg futures?). BlueHorseshoe

My short answer would be 'yes'. In fact, I know very little about correlation, either as a statistical process or as a trading tool. I am aware that powerful quantitiative strategies can be built around it, but have never stumbled across obvious opportunities to do so. It has been commonly held, for instance, that bonds and indices are either negatively or positively correlated. A glance at an indicator shows that one or the other is typically the case at any given time, but that the correlation constantly switches from positive to negative. The dollar index and most commodities, meanwhile, tend to show a very strong negative correlation (and one for which the fundamental driver makes perfect sense). And yet neither really seems to lead the other - they move almost perfectly in tandem, at the hands of lightspeed arbitrageurs, no doubt. Finally, I don't think that I'm aware of any methods to take advantage of strong intermarket correlations besides spreading. So I for one would be interested in learning about how correlation analysis can be profitably employed. BlueHorseshoe

Of course - I wasn't meaning to be unhelpful or dismissive. Why not use a free charting package such as ProRealTime (there are also dozens of others listed on a thread here) and then perform a data-mining exercise to determine precise statistical levels of correlation between the two? At the simplest level you can just insert a banded correlation indicator and reduce the lookback period right down to one or two. I hope that's useful to you. Bluehorseshoe

Hello, The following is totally my subjective opinion, and might be complete nonsense: Serious traders are not going to mess about with an app on their mobile. Trying to perform any kind of analysis or professional execution from a two inch screen would be unthinkable. Take a look at a photo of any trading floor - each trader will have three, six, maybe more full size monitors running. That's a pretty significant clue, I think. So a successful app would need to appeal to 'amateur' traders. People for whom trading is nothing more than a mildly cerebral form of gambling. Such people aren't really going to be interested in any wealth of technical analysis or measures of intermarket correlation. They want something that is FUN and offers some kind of instant gratification. If you could provide something that achieved this, then I think you would have a massive market at your disposal (far larger than the 'serious trader' market). In the UK we have financial spreadbetting companies. Last year I got reasonably far down the line with one of these companies for an agreement to white label their product and promote it in a fun, pure-gambling format in pubs. So I do believe what I am saying above! I hope that's some help to you, and best of look with your company and product. Bluehorseshoe

Well someone must have given it the green light

Hello, I'm finding this thread both useful and interesting. The videos are a great way to present what you're doing. Could you explain a little about how you determine your bias for the trading day? Thanks, Bluehorseshoe

Thanks for your reply, Steve. I have to admit that I am rather dubious of the notion of algorithmic traders making widespread use of time based activation parameters, but it's not that difficult to test, so I'll be able to look at the data and report back for anyone else who's interested . . . Cheers, Bluehorseshoe

Hi Spookywill, Many thanks for your helpful reply. Bluehorseshoe

Hello, Why not just trade the ES from Europe? It means you don't have to get up early in the morning! Bluehorseshoe