BlueHorseshoe

I'd love to get involved, but I'm a little short on change . . . Could anyone possibly lend me a coin? BlueHorseshoe

I don't think it's anything to do with how long you've been a member, as much as how many times you've posted. Something like the first ten posts have to be approved - as long as you're not spamming or a robot they will be - after that your posts should display instantly. BlueHorseshoe

I think one of the good things about forums is that lots of people people post things that are partially true, and each offer different perspectives - the intelligent reader can pick through these and take from them what he/she finds of value . . . Much better than relying soley on the utterances of a revered "mentor" in my opinion BlueHorseshoe

Hi, Try not to get bogged down in all this nonsense about "becoming a professional trader". If you want to be a "professional" then concentrate on getting yourself interviews at investment banks etc . . . If your main aim is to grow your principal then growing your principal should be your absolute and sole concern, and all you need do is look objectively for the best way to do this. Pissing your money away trying to daytrade some claptrap system from a forum is really not the way forward . . . Look at investing the bulk of your capital in something low risk that will give you a reasonable rate of return, and then get a job to replace the income from your failed business so that you can compound your returns rather than drawing them off to cover your day-to-day expenses. This is life. This is reality. 100% yearly returns unfortunately are not. Best wishes, BlueHorseshoe

Hi Tradingwizzard, I abandoned the attempt after hitting a brick wall in terms of the data that I could get from TS / limits to my programming ability. I also became doubtful that I could successfully apply the model to make money, even if I were to suceed in building it. There's a lot of divergent discussion on that thread, but I only ever made a dozen or so posts - if you're interested then reading through those would make clear the process I went through and explain why I thought it worthwhile. Probably this is something I will return to at some future time . . . Regards, BlueHorseshoe

Hi Nourozi, Although it's simple to formulate, I am afraid that your question is one of the most difficult that you could ask, as it concerns market microstructure. The first thing that you need to know is whether all these contracts trade with FIFO order books . . . If you can be bothered to pursue this topic, take a look at my posts in the thread HERE, in which I began to build a model for estimating position in queue (I failed!). Regards, BlueHorseshoe *** HFTs sitting at limit is not quite the issue with the ES - how the depth of book is balanced by orders that cross the spread for each of these markets is the question. You basically want a ratio of DEPTH-at-BID/ASK:EXECUTED-VOLUME as your basis of comparisson, I think . . .

Hi Ticks, This is an interesting post. Some types of strategy involve simple directional "prediction", while others don't. It would be helpful if you could provide a little more basic information about the kinds of strategy that you employ to trade without needing to predict market direction - are we talking arbitrage, market making, something with options? I certainly agree with your other point - hard stops are indeed evil! BlueHorseshoe

One of the advantages of using range bars - they always close at their high or low, and the high and low are always a fixed distance apart - hence the close of the bar is "predictable" as the bar forms. Dragging a limit order around the book to try and get filled at this level is probably no more likely to result in a filled order than any other method though. Might be helpful, depending on what the OP is trying to achieve . . . BlueHorseshoe

I tested the crap out of this several years ago. Meh. It was okay. These so called "volatility" stops are all much of a much-ness really - standard deviation, average true range, it's all just throwing in a load more stuff to worry about . . . In directional trading, any kind of hard stop introduces a non-linearity to the strategy. Why not look at using options, hedged pairs for market-neutrality, intelligent position sizing, zero leverage to cope with the tail risk . . . Think outside the entry/exit/stop/target retail box? Kind regards, BlueHorseshoe

Something like the GS commodity indexed tracker has barely moved since 09 - these are commodity trading advisors, not equity funds - the S&P comparisson is tenuous at best (though I concede it's a widely used benchmark) - as SIUYA has pointed out. That whole comparison is meaningless due to the arbitrary and short window of time - yes there's a nice S&P return since 09, but what if you invested in equities in late 07? Somewhere around breakeven. And the whole point of these funds is that they are aimed at sophisticated (read "very rich indeed") investors, and are intended to be an uncorrelated smoothing component of a broader portfolio (which may contain long-only equity investments such as the S&P). Finally, I don't know the full details of how the index is put together, but anything like that is going to contain all sorts of nasty survivorship bias type gremlins. BlueHorseshoe

Is it just me, or does the sub-pane below your chart show equity with -700k down the right hand axis? BlueHorseshoe

Hi Steve, I totally agree - more specific information about when certain types of events are highly likely to occur would be much more useful. However, if this were unavailable to you, would you sooner listen to someone's unsupported statement on a forum, or would you go out and try and find some evidence of your own for what actually happens (albeit in support of a very generalised statement)? For example this kind of thing: "big fx moves tend to occur around the London open because that's when the big institutions trade" . . . it's pretty easy to work out whether or not this is actually the case. Admittedly, knowing that large positions will be unwound on a particular day at a particular time would be more useful, but how often might I be privvy to such information? Most of us work with more generalised information most of the time . . . Regards, BlueHorseshoe ps. I wasn't accusing you of making such statements, but there are plenty of them posted here by others. One of them - MaksymGra - is probably perfectly correct, but that's not the point - the point is that anybody serious should be investigating this for themselves, not listening to what someone says on a forum.

Hi SIUYA, Some thoughts . . . I imagine that one of the difficulties that a lot of the trend following funds have faced (vs the turtle era, for instance) is as follows: - To try and keep things the right side of breakeven when there's not much going on, greater diversification is used. Look at Winton, for example (although I know they're not the purest exponent of trend trading) - there's probably scarcely a single liquid market anywhere in the world that they don't trade. This is fine, generally seems to work, and makes good sense. - When key markets begin to exhibit the more volatile and sustained trending behaviour that has the potential to generate the stellar 50% plus return years, this process is diluted by the extreme level of diversification at work. There's evidence of a slow slide to mediocrity specifically in the outlying returns that this trading style should produce. As an example, take a look at Dunn. They modified the markets they trade for greater diversification a few years back after a string of losses. The diversification seems to have achieved its aim. But then look at 2008, when there was plenty going on for trend trading to profit from - the return was far from outlying. I can only conclude they couldn't properly exploit moves in US equities etc because to much off the portfolio was tied up in obscure markets. If the above is correct, then this would mean that the nature of the returns from this type of strategy have changed, rather than that "trend following is dead"? Another interesting point is that the approach Sergso describes is arguably not trend following: it's breakout trading. Shouldn't a "true" trend follower be always long or short? Finally, I imagine that there are some "secrets" to how such traders operate successfully, but they probably have less to do with knowing when to buy and sell and more to do with things like position sizing, and using interest rate products to generate returns from cash reserves (easier to do when you trade a leveraged/low margin derivative). Kind regards, BlueHorseshoe

You could rely on a load of anecdotal recommendations, or you could just do some very simple statistical analysis and get an answer to your question that is actually meaningful . . . This thread might help: When Does Your Market Really Move? Kind regards, BlueHorseshoe

Thanks for the links, MysticForex. I think I'd probably still find Million Dollar Traders highly entertaining even if I had zero interest in finance! BlueHorseshoe

Hi BKK888, Thanks for such a useful reply. Want to eat Western food!?!? Definitely not - that defeats the whole point of experiencing another country and culture. Even in the UK I eat Thai cuisine more often that I eat a Big Mac Kind regards, BlueHorseshoe

The highs and lows are worth bothering with if you are willing/able to trade at those prices. If you're trading end-of-day only, then their value immediately becomes less obvious, as you can only enter or exit positions at the close. However . . . MAs are calculated entirely with historical prices. As you can't trade at any historical price, then the closing prices are no more tradeable than the highs and lows . . . So, are we to conclude that the MA is only useful in so much as it can provide information about likely future prices? If that's the case then you need to know whether the closing prices provide greater disclosure about the future closing prices than the highs/lows. It all gets complicated very quickly, and heaven help the unsuspecting fool who opens the pandora's box of the 9 other questions! BlueHorseshoe

That's really helpful, thanks! Plus I already drive a Honda here in the UK Cheers, BlueHorseshoe

As a retail trader - not really. TradeStation is as good as it gets. Other platforms are as good, and some may have specific features that are more desirable for how you trade. But nothing that is obviously better. MultiCharts which SIYUA mentioned is built by the same guys who built the original Omega/TradeStation, and it uses a variant of EasyLanguage, so strategy can be easily ported. Are you experiencing some specific difficulty with TradeStation? If you can give a little bit more generalised information about what you're doing (eg frequency of trading, markets traded) then I can probably be a bit more help. Kind regards, BlueHorseshoe

Hello, Is anyone on here living anywhere in the Far East - eg Thailand, Indonesia etc? If so, what are living costs like, eg renting an apartment, food, health care? And do you have any specific issues around trading US markets (like connectivity and speed of order submission, US brokers reluctant to deal with you, timezones and so forth)? Many thanks for any advice, BlueHorseshoe

Yep. Except that quite often "they" (where "they" means a broker) aren't interested in tricking you into doing the wrong thing, they just want you to do something, and lots of it - i.e. commission-generating activity. How often have you seen SIM accounts for platforms that reset at the end of each day so that you can't track your (decaying?) balance and have a constant reminder that maybe you aren't ready to trade? Or platforms that don't show whether the account is real or SIM, so that vendors can show you their "live" trades and you can't tell whether they ever had real money on the line? BlueHorseshoe

Hi Mark, It's several months since I took these shots, but I think the differences should be obvious to pick out - trades 8,10,11,16, and 17 for the basic strategy are removed by the filter. The filter is not affecting where the entry is made, remember, but whether an entry is made at all. Remember that I have cherry-picked a screenshot that looks good there - what is more important is the change to the performance metrics I quoted. Without knowing a bit more about the strategy it is difficult to know whether the example I give is meaningful - if no stop-loss is used, for example, then the filter need only remove a single losing outlier during the ten year test period to have a significant impact on performance. But this would be luck, and nothing else. The point of the example was to give anyone interested a starting point to begin doing thorough research of their own. Hope that's helpful. BlueHorseshoe

Have you had a look at the Electronic Local blog? He uses MP as a basic structure around which he build specific entries from intraday charts (typically trading pullbacks in trends with volume delta to recognise shifts in order flow). He's pretty much stopped posting now (supposedly working on an MP specific book), but the historical posts are very well worth reading through in my opinion. He also used to post here on TL, but I don't think there was anything of special value that you wouldn't get from the blog. Hope that helps. BlueHorseshoe

Emily Lambert's 'The Futures' (a really good book about the origins of the Chicago exchanges) gives a very amusing account of interference in the oil markets. Sea water was pumped into massive tanks at a depot, and then a few inches of oil was floated on top of the water . . . BlueHorseshoe

Hi Crude8, Glad that was helpful. You remark that "majority amount of analysis is discretionary" - this will not be possible to program, so I am doubtful that testing will be an option for you. If you wish to PM me details I can try and run simple tests of the strategy when I have time and if the strategy does not require extensive coding. Kind regards, BlueHorseshoe