suby

The man who introduced me to 50% MR How;s your trading day going DB?

I wonder why a 50% retracement holds so much significance... What is it that makes this value so special ?

Its not every day you see someone say there a "position" day trader. I was wondering if you could define position day trader and give a little bit of insight to your methodology towards taking a position intraday on the ES.

Thanks for clarifying between the two different realms dude. The majority of my labor is spent specifically in the first school of thought. I won't reveal all of my magic bullets but one of my favourite trades is a divergence trade between the indices and the vix (the model has recently incorporated bonds into the mix) In regards to correlations and shifts (what i like to refer to as regime shifts), this is something i am spending a lot more time into lately. I'm not sure what kind of window you use to determine your correlations but I suggest using no longer than 60 days maximum since these things are constantly changing (as i'm sure you already know) Just recently have I been putting in serious efforting into learning the latter (i.e. intraday edges through the dom). If i ever trade intraday, I will never look for a scalp... I like to go into the trading day with a general outline of areas of interest and then i'll use the dom/tape and other moving parts in my models to help identify if a trade is on or off. HFT does not make this easy by any means but with time, practice and patience I believe one can build an edge in this style of trading as well. Happy to see your applying a strict logic to the madness rather than a trendline/fib retracement/or bear/bullflag

Political factors, economic releases, fiscal policies, rate markets, repo transactions, seasonality such as tax cycles, commodities, option mechanics, etc, etc.... Forget your 5 min chart. You'll need to do a lot more work than back testing basic pattern recognition to find any edge.[/ I agree with you dude, but if you were to get even more specific, what part of that framework can and do you quantify? Price is nothing more than the heartbeat of the markets; however, (in my opinion at least) trading ideas should be based off of hypothesis that play on a behaviour or external factor, like what you have listed. Something that has recently come to light... The day before any important economic release, if the day ends positive, the odds are high that the following day will also end positive

As much as I subscribe to randmoness in the markets... There's a lot more regularities than you think Pay attention to the first 30 minutes of trading and where a market closes

Add, Thank you for clarifying that for me. It's a common saying in the quant community "I'll sell my kids before i'll sell my data and my kids are not for sale" - The type of data used for research an analysis plays a key role in any strategy. I havn't used econometric methods yet in a trading model; however, I have been able to develop some robust models using simple MA's and RSI. In regards to data snooping, i'm not sure if you have heard of Jaffray Woodriff but read up on him if you have not...

BlueHorseshoe, Sorry for the delay in reply but thanks for this, defiantly got my thinking cap going Hope you are getting ready for apple earnings tomorrow, PUTs on the indices are looking so cheap right now

Bluehorseshoe, Thats more or less what I try to structure in my trades - a one sided ERM pair trade. It's one thing to look at charts or prices and notice that things are out of wack but its another to know with certainty through testing that a one sided pair trade under that hypothesis has statistically significance. I've been doing all my work with EOD data because its easiest right now so I have no idea what to look for using EOD data to structure these kinds of trades but I would imagine that one should use intraday data to structure these kind of trades

ADDchild, Thank you for your insightful reply. I took a lot of of that. In regards to time series analysis being archaic, what methods do you recommend one to use in the modern world? The only thing I can think of would be econometric tools or data mining (specifically data mining), is that what you were referring to ?

BlueHorseshoe, Can you give an example of something you've seen with this? What your describing is more or less how paul tudor jones trades from my understanding and even victor niederhoffer, only he quantifies everything and uses some next level voodoo that only him and his team understand. In regards to correlations reverting back to 1 when shit hits the fan and the M of canslim its interesting you mention that. I havn't had much success (yet) in determining leads/lags or arbitraging intermarket relations; however, I have noticed 2 things of interest. 1... I find the eurodollars will almost lead the american opening or at the very least give a lot of insight into where the price will be heading for the next hour on the american indices and 2... I've noticed a lot of arbitrage opportunities specifically midday/late day when the 3 indexs are out of line Example Nasdaq and S&P are both down and so is the dow but in relation to the two its still higher. More times than not, if the downward trend or upward (whatever the trend is for that moment/session) will allow the trader to take advantage of this anomalie. Yesterday was a perfect example of this. After 2 oclock both NQ and ES were down substantially but the Dow was lagging. Anyone who caught onto this going into the close made a boatload of money

Hey onesmith, thanks for pointing out CANSLIM. I was first introduced to CAN SLIM when I worked on the buyside and still believed that fundamentals paved the way. What i'm referring to about regime changing is bull and bear in EOD or even intraday price data

It's obvious but its also very subjective in my personal opinion. I realize that in trading there is no gaurenttee. But the reason i started this discussion was to get a feel for who is doing really well day trading and what kind of objective methods they are using. The core of that Citibank price range defiantly defines a lot of high probability entries; however, this is hindsight right. Suntrader what is the showme indicator and what others factors would you use to give you a strong buy or sell signal?

Last I checked, Technical analysis represents the pyschology of market participants. Yes trendlines/ma/and all the indicators can help someone determine where are market is in its regime but thats hindsight. How does it represent probabilities in your eyes?