Frane

I understand that a loss is a loss and in that sense it makes no difference. I also know how the costs are formed for individual trades. I also know that there are different winners and loosers at different times, where some are more often winning and others more often loosing and money is not equally distributed (be the reason luck, skill or whatever). What I do not know, and what is interesting, is how much of these loosers' money could really be available to better traders. If it turns out that something like 90% of the losers are collectively trading with a 0-profit, 0-loss strategy (like random trading) and are just loosing their money in commissions, it would seem as if long term investing would be a better idea than trading. However, if the loosers would be collectively loosing mostly due to all making bad trades (following the crowd, reading same news), it is a different story.

Thanks jpennybags, it was an interesting paper to read even though it does not really give info about how much actually ends up in commissions since there are so many other participants than day traders. Do you know from where one can get that kind of data to analyze? Are there any publicly available datasets? A perfect answer to the question would be a real world example of something like this hypothetical stock exchange (100k traders, in one year): - 95k loosing traders have collectively trading accounts of $95M in the beginning of the year, which becomes only $50M at the end of the year. - 5k winning traders have collectively trading accounts of $5M in the beginning of the year, which becomes $10k at the end of the year. - This would mean that $45k has gone to broker commissions - Somehow the holdings must have been corrected by the index or something. Are there any data like this available?

Has someone ever studied where the lost money goes? You always read things like "95% of traders destroy their accounts", but how much of the money actually ends up in better traders' pockets? And how much is wasted on commissions and other fees? I would be very interested to hear about any studies, theories, etc? For stocks, forex and commodities. Thanks!

Thanks for answering. Do you know if there is some clear line where it becomes illegal? I know brokers are sometimes releasing some information to newspapers, who write articles like "Small investors are getting out of Apple", etc.

Are brokers selling data about customers' trades? Information about when they entered and where they have put their stops, etc. Are they currently doing it in any form (anonymized or aggregated)? Is it legal? Where can I get that kind of data?

I posted a somewhat related question almost a year ago: http://www.traderslaboratory.com/forums/stock-trading-laboratory/18588-volume-breakdown-how-much-comes-technical.html Only thing I got is "70% of trading volume is HFT". Don't know if that is of any interest to you. Please let me know if you find any better info.

Thanks for all the good answers. I have done some research on my own as well. Just to mention some, I have come across a book "Trade The Trader", which is about the same topic and watched the videos by Martin Cole (Market Makers Method) on youtube. I am surprised why there is so little information about this kind of stuff compared to the millions of books and websites teaching the same old patterns and indicators.

Hi, I am thinking about building a new kind of tool, that will help technical traders develop an intuition of the market or test their strategies in a better way. This is closely related to paper trading, simulation and backtesting. Would anyone of you technical traders be interested in having a quick chat with me? I am not selling anything, I would just want to hear your thoughts about the problem I am trying to solve. In exchange for your valuable time, I would be glad to share some of my ideas with you. Message me privately or email me if you are interested. BR, Frans

How common is it for traders to have systems that are nearly impossible to backtest automatically, even by experienced programmers? For example some patterns would be detected differently by a computer than a specific human, right? Since humans do also have different opinions on them. So my question is: is it common to do manual backtesting, using intuition as well? If so, what tools do people use for this purpose?

Thanks Patuca. Are you saying that the 70-80% of the volume coming from institutions are pure technical trading? Would you guess that the share of fundamental trading is 20-30% then? Even though most mutual-funds and big players invest fundamentally, they most likely do very few trades compared to technical traders and especially HFT. But I also have heard that some of the algorithmic trading is just big players buying or selling based on fundamental analysis, but they use algorithmic trading systems to be able to buy/sell optimally without affecting the price to much, isn't that true?

Thanks for answering ARTjoMS, but could you please point me into the right direction where I can find information about trading systems designed "against" other technical traders or any theory related to this topic?

How much of the volume comes from trades done based on technical analysis? I would assume it is really hard to get any data on this, but I would be happy to hear about any studies or even educated guesses. I am mostly interested in the stock market, but also glad to hear about forex or commodities if this information is available there. One reason why I am asking is that I started to wonder why most technical trading books, blogs, etc. describe the market as something only affected by information becoming available to people and psychological factors, resulting in patterns or signals that can be detected by indicators. Rarely do I hear people talking about patterns resulting from people doing technical trading, or trading systems based on assumptions of which other trading systems people are using. For example if enough people are trading according to some indicator, it would be possible to develop a system exploiting this. Why is this not so common? Is it because technical trading is so rare that it has no impact on the stock price, or is it because so many different systems are used that it averages out or becomes random noise, or is there some other reason? I appreciate all help. Especially any volume breakdown information.