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?

I still stand by that claim but I am open to be proven/told otherwise. Can you explain to me TA's predictive power on that chart of citi and how it would help someone?

I'm not sure if the red dot on the first bar is the opening price but as i said in my post about citi look at the OHLC as they'll give a lot of clues into trading it. under that graph its clear that price consolidates and bounces off of that bar all throughout the day. I'd argue the reason being is 2 reasons. 1) citis correlation to the broad markets behaviour and 2) the specific range that citi trades in is due to etf repurchases or sales. If you want to watch madness. Watch Citi/BAC or any major etf that has to rebalance at 2:30 everyday

3 different time frames?

Out of 100 trades Db, whats your hit rate like?

And one more thing, I boldly stand by what I said earlier that technical analysis has ZERO predictive power when one is applying it to a 1/5/10 min time frame. I stand by that

Cory, When i initially posted, I was somewhat ranting but let me clarify. Day trading/intraday trading is a shorter time frame than one who swing trades with EOD data. Many will argue with me that there is no differnce (all good). Intraday trading has way more noise than swing trading and I can back that up to anyone who wants to disagree with that statement. I posted this thread to generate discussion to those who have had success trading intraday (consistently). The fact of the matter is day trading/intraday trading is a lot harder than swing trading in my opinion atleast and I'm curious to hear some of the methods that the community deploys to take advantage of these anomalies. Am I saying that market is random...? no. Due to the market structure (specifically in the equities space) theres a lot more noise in intraday trading as i;ve said a million times before. With that being said... Take a stock the Citibank ©. Take its OHLC prices for its previous days, and closely watch what happens when it hits these levels. You can thank me later for the free ATM

I'm not naive and oblivious; however, many active traders (especially new ones) end up treating their trading like accounts like a slot machine at the casino.

Actually has a lot to do with it Db. If your flying in and out of positions, commisions and slippage can easily eat someone up. the purpose of this thread as mentioned is who is more profitable swing or day trader with the use of a hypothesis. I understand that you are a daytrader Db and you are also fond of the NQ (also my contract of choice). Can you give me an example of how you would enter into a trade? What criteria are you looking for? whats the avg duration of your trades? On avg how many points do you aim for on a day trade? most importantly out of 100 trades, how many of them are profitable?

DB, How should one approach day trading?

I recently just finshed the classic novel "reminances of a stock operator" and there was a quote in the book that really struck me. "No man has any business being in the market all the time" Immediatly I thought to myself, thats what DAYTRADERS do! For anyone who has read the book knows the story but for those who havn't I will shed some light. Jesse Livermore began trading (day trading in bucket shops). He would trade according to his system, but his results were truly abysmal. Sure the man made money but the real money came when he started to swing trade. And by swing trade he developed an idea (hypothesis), waited for certain conditions to materalize, and then bet. Really that simple. The reason why I am writing this is because I have recently revisted some threads on this forum (i.e. Don't be fooled by randomness) and it has become apparent to me that the majority of traders on this forum are day traders. I could be very wrong, so please correct me if I am. In my short trading career thus far I can admitt that trading without a plan/hypothesis is gambling. Better yet its a waste of time. There is ZERO predictive power from the patterns of 1/5/15min bars (bullflag,S/R, etc). All of my success has come from swing trading. I will stop my rambling at this point and open up the thread. Who day trades and who swing trades? Whats your personal preference? If you are a day trader, what do you do to make yourself a winner? If your a swing trader, how do you develop your hypothesis before entering into a trade Disclaimer: I am not disregarding the valdity of technical analysis - This is a thread dedicated towards Noise/Randomness/DAYTrading Vs being able to quantify something/Swing Trade Suby

Vinayak, I don't mean to sound like an A-hole as i said before. This is a trading forum. The notion of buying oil stocks, is really a no brainer in regards to value investing to be honest with you. As i'm writing this you actually just reminded me i should probably buy up some cheap oil stocks lol. But your approach to this is value vs trading. Do you trade or invest? thats the real question