darthtrader

I pretty much agree totally with what smwinc posted. The problem with scaling out is you need to have an extremely high win rate that is extremely consistent. If your putting on full risk on losers and scaling out then you will never have full risk on for your big wins, but will have it on for losers. To me the long term problem with that is your never going to be able to figure out when a massive buy/sell program comes in and sweeps the market, or a random news event moves the market. You will be on the wrong side of that event with full risk on and not ever get lucky and have full risk on while being on the correct side of that event.

I don't know if you should lump Ninja in there though with the others. Honestly, I think this is exactly why in 5 years Ninja will have blown everything else away. Its really nothing more than a C# compiler, if C# is robust enough for the project then so is ninja if you have the programming knowledge to do it. Something I would think that could be interesting is to just hire a computer science student to work for you part time. Could probly find some wiz kids who are going for masters in CS on the cheap and who would be enthralled with the project idea.

ehh, I don't really like the way the backend looks. I still don't see how you can top the z4, even comparing it to almost any car, its just so perfect.

The only thing I could see doing would be to have your own personal clerk/coffee maker/slave. I would somewhat expect that if someone truely would want to take the time to teach me something along these lines I shouldn't be able to afford them in straight up money terms. On the other end when I get to the point that I would consider myself a master trader, I don't see what someone could really offer if they weren't related to me. When I eventually have a kid this stuff will start very early, haha.

Honestly, I find little value in any discussion that is simply ripping apart an established trading tool without at least argueing as to why another technique is better. Anyone can take the position that markets are purely random and then argue against virtually any trading tool available. There is zero value in such a discussion though outside of academic nonsense. We really should adopt a policy here against "niederhofferism" and "elitetraderism". I love Victor Niederhoffer's stuff but most his stuff is just ripping down techniques without giving a better tool to replace what was ripped down. While it makes for an interesting book/read, it makes for very pointless circular discussions on the web.

looks fantastic@! a real trading movie. Honestly, I'm pretty shocked though hollywood hasn't done a hedge fund version of Wall Street yet.

This is where I think it makes sense to try to get an understanding of how your setups work in different volatility environments. I don't see how you can beat monitoring the VIX for that. I don't see how you can really expect to trade the same if the VIX is at 15 vs it being at 30. With higher volatility you almost have to expect to use bigger stops but hunt bigger game, otherwise your stops will seem like magnets just from price wiggling around more than normal. Here is a 30 day and 1 year chart of the VIX with a kalman filter to get a picture of the trend. kalman filter is like a moving average for noisy time series so its a pretty good tool for the job. You can see yesterday was one of the super high volatility days in the past few years actually. The volatility trend is still up so you really do need to adjust for this.

No, not gut feeling. I'm simply pointing out that you are not viewing the utility of MP correctly. Its just a way to frame price action, you have to then add something else to the recipe for actual trade locations. Like James is using CCI in his videos, a tick hook at the top of a balance area is pretty good trade to fade, cumulative tick divergence at the top of a balance area after a false breakout, cumulative TICK expansion looking for a breakout, VWAP/Skew will be better at a point where the market has to make a decision as opposed to in the middle of a range, candle patterns at the top/bottom of a range fading or taking a breakout. I just think people get way too hung up on the value area of MP. To me its pretty useless, all the good stuff are the other MP concepts and the way they frame price action and then overlay more specific stuff on top of those concepts.

As opposed to what? Purely mechanical trading? The power of MP is that it is not an "objective" setup that will fail by the time the book has been published. Its nothing more than a way to frame price action, how you trade it is up to you. From that profile posted, to me you have a balance area, then an auction down to a lower balance area. I would be looking to fade a failure of price to move back into the previous balance area or looking for a breakout at the bottom of the current balance area. You obviously need something more for the actual trade location than that but its a good way to frame the overal action.

Also for the chatroom, maybe have a few seperate chat rooms that only meet once a month to start out. Market profile room, candle room, vsa room. The chatroom is cool but to go on everyday I really don't want to know what other people using other setups are doing like that, gives too much bias to your view, especially if your doing something totally different than what the guy who said they bought/sold are doing. If the chat sessions were more specific and infrequent I think alot more people would show up and we could all learn from eachother with more specific setups and less noise.

this is where i think something like "if I had held X minutes longer" over time would be amazing information to have. Especially once you have enough data points to chart what would happen with setup ABC if you had held 1, 2, 3, 4, 5 minutes longer. Also enough to compute a meaningfull average P&L if you had held X minutes longer. Improving your setup then would be nothing more than finding your average hold time for setup ABC, then using a stop watch or clock to make sure you stay in the trade avg hold time + whatever X minutes gave you the optimal result until your average hold time came more in line with adding the extra time to the setup. You would also start to see overall market conditions change when this stops working effeciently. I don't know if this is realistic though to do on the web and not just on a local spreadsheet. Would be quite a project I would imagine.

Personally, I think this area would be the most interesting to explore. The only thing we can really nail down that we all have in common is basically trading the same instruments. I would love to have a program that I put in my entry/exit/stop and then a whole ton of metrics gets calculated. if a winning trade...how much heat did the trade take, how much profit could you have made with a perfect exit on the setup while in the trade, what would the trade look like if you had held X minutes longer, Y minutes longer, X minutes shorter, Y minutes shorter. What if you had entered the trade X minutes earlier, Y minutes earlier. all the same for a losing trade with a few others like if the trade was profitable at some point but turned into a loser, exited sooner, exited later, ect. This would not make sense for scalping but I wouldn't think it should be that hard if using 1 minute bar data for ES, YM , NQ. Mysql database keeping the minute bar data around for 2 or 3 days and if you snooze you lose. Your grade for trade location, getting jumpy and exit too soon, holding too long..it would all be a hard number and not just something qualitative. Have a variable that people can just name their setups and then over time you could track something like average heat on a particular setup. Then just have a notes section for each trade to input observations, emotions, ect.

You should give Ninjatrader a try. I'm pretty sure some people use open e cry as a data feed for it and it has T & S. Really just look around for 3rd party software that supports the data feed. It should be a pretty simplistic matter I would think.

I've been thinking about this alot lately. Really, from what is posted in this thread we all basically know what should be done but its more a question of just doing it. I think part of the problem comes though from keeping things inside the computer. The computer can do alot of great things but for other things it seems kind of expendable compared to the physical world. If someone doesn't stick to their plan and makes dumb trades I don't see how you can replicate a face to face meeting and the shame of messing up on the computer, especially when you have never met the person. A journal in a blog is a pain to deal with. To me just having Word open is so much more effecient. Then you still run into the computer problem though with things being expendable so you miss journaling days and just get lazy. Some ideas I've had to combat this are buy a couple of dry erase boards and write down everything that needs to be done the night before for the next trading day. I would think having it in front of your face in physical form is more motivational than having text on a screen that can be instantly saved/changed/deleted. Same thing for a journal. Instead of posting a blog or keeping a word doc that can be saved/changed/deleted, each day write things down in word. Then print out a hard copy but don't save the word document. You have one chance to write things down and thats it. Its kind of like how if you were keeping a journal with pen and paper, your not going to leave a blank page in a notebook to maybe go back and fill it out next week. With a computer you basically have an infinite amount of blank pages that can be inserted in the journal, thats no good as far as enforcing discipline. I really don't see how even a virtual trading group would work. Everyone would be doing their own thing, with their own money, on their own timeframe all without every actually meeting eachother. The only solution I can see is to either find local traders or try to teach someone to trade who can actually be physically present.

if you look on the ninja forum there is a nice VWAP with all 3 dev bands. There are a few version, NWAP seems to be the most completely from what I've tried. For PVP, probly the best thing is the volume profile that comes stock with ninja as its tick by tick. The only thing that sucks is it reloads if you do anything to the chart. You have to also eye ball the pvp though. There is another indicator that might work as a proxy called calculatevaluearea, you can do a volume weighted TPO profile that puts a line at the POC. Its all on the ninja forum, I don't want to post someone elses work here.

!!!!!!!!! thank you SOO much. You have no idea how hard I tried to find the Jones video.

I would recommend checking out your local library and seeing what they have. When I first got into this I would check out 10 books at a time and quickly go through them and read what seemed important. You might be surprised at how good the finance section is at a big library, saves alot of cash. As mentioned you can also find virtually every trading book as pdf on p2p networks. Its nice to browse before you buy. While some books are alot better than others I don't think I've ever read a trading book that was literally useless. I would go for quantity over quality until you find your personal style. "Statistics Without Tears" is also also an amazing book if you never took stats in school and certainly helpful to know.

Ahh yea, I ran across that idea tonight too. That actually sounds like what the guys who are decent programmers were doing. Just throwing it in a binary/text file and reading in straight away. Of course buying it would probly be alot better time spent. Nothing though that I really need right now, I would just like to learn this stuff to have a spare computer capturing data for the hell of it I guess.

Hey guys, I think Ninja can actually do this to some degree if you check "store realtime bar data" in options. My interest though is to get into something more standard/open incase I'm not even using Ninja 3 years down the line. I guess in the meantime the market scanner in ninja would be the way to go. I found some interesting post on elite searching for SQL. One thing that was interesting that I didn't know is that I guess relational databases aren't really ideal for time series data. It was mentioned a vector database is the way to go. Someone posted a link to an open source vector DB and a commercial version http://kx.com/ http://hdf.ncsa.uiuc.edu/HDF5/index.html Could be interesting. MySQL would be cool but if I set this project up I don't want to hit a brick wall 3 years down the line because the DB is so huge and not using the right tool for the job.

Does anyone on here archive tick data into a database for future use? With DTN they give you 8 days but it just seems like a waste to not store this information. What I would love is a program that can store the info into a database that is open as possible so that it could be used no matter what software I change to in the future. Anyone into this stuff? Maybe a straight out access database or sql db?

Fantastic video, just mind blowing stuff. The only thing I disagree with though is that it somewhat implies the US needs to spend more money on innovative education. If anything the US needs to get back to a more barebones education in primary schools with just good old fashioned, time tested text. I was talking to my 16yo cousin the other day and instead of taking chemistry they have an alternative "Forensics" class that basically sounds like a takeoff on the CSI television series. With trying to make education "fun" or "entertaining" it just strikes me that we are making kids dumber and dumber in the US.

One thing to note with market deltas video on delta divergence is they are plotting "delta bars" and not plotting over time. Basically, you can set the plots so that a bar is only plotted at X number of contracts on one side of the bid/offer. Basically like constant volume bars with only one side of volume. Its quite interesting from messing around with it but I believe its a bit different than what 5pillars was doing in the ET thread, I still didn't quite understand how he was trading that stuff. With the delta bars you clearly see areas of congestion vs activity as bars are simply not plotted and just get longer as the market consolidates. If anyone would want to figure out how to overide Ninja's plots to make delta bars, I would certainly be into helping out on that project. I think Ninja will ultimately crush neoticker in the next few years. Neoticker is amazing but it feels like your running a program written for windows 98.

ahhh fantastic blog! Certainly will be adding this to my daily reading.

Should be an interesting thread. I imagine alot comes down to personal goals and if you really want to deal with the headache of OPM and the tax spaghetti. Once my account has reached a certain level with a certain number of years of experience I plan on either starting an incubator fund or a small CTA fund but not take any money outside my family. Its interesting if you look on autumngold.com that some funds are only 100-200k with a 50k min investment. I imagine these guys are basically just trading behind the entity to build a track record in the event they are quite successfull. To me at a certain level of profitability it just makes sense to setup if your profits far exceed the cost of running the fund. Even if you didn't think you would want to trade OPM at least the structure would leave a legit track record behind to leave that door open for the future.

Good stuff. I'm building a new one finally once Quad Q6600 drops to 200 bucks. True, quad is probly not needed for a trading comp but for the price why not? Pulled these specs from an audio DAW building thread. Audio forums are probly a good place too look for trading comp specs as if anything audio is much more demanding. GIGABYTE GA-P35-DS4 Rev. 2.0 LGA 775 Intel Core 2 Quad Q6600 Kentsfield 2.4GHz CORSAIR CMPSU-550VX power supply Corsair XMS2 4 gigs of ram Cooler Master COSMOS case. check out this case, looks fantastic for keeping things cool without a headache. Seagate Barracudas for HD but not sure how much space I want yet. My trusty old m-audio delta 44 soundcard. Not sure about video cards yet. I still just use an ancient dual head Matrox. Might just buy another one and see how that goes as far as a quad config. Wouldn't even think of bother going to vista personally. XP with these tweaks for maximum audio recording performance is pretty hard to top as far as effeciency http://www.pcmus.com/TweakXP.htm I was also look at some of those terrabyte external HDs. Anyone ever thought about using an old machine with an old monitor, leave it on 24/7 and just collect tick data all day? Something I need to look into once this new machine is built. May as well considering the price of good tick data vs the small increase on the electric bill.