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Exactly, especially with the following comment... I also like the following comment of yours... I completely agree. Going back to the discussion right above, many times I will scale out even though I don't get an actual signal on the smaller time frame in the opposite direction. One can have a setup (fractal profiling of price) without having a trigger (proper entry placement with required risk/reward). It's all about probability. The risk/reward to % of win ratio (positive expectancy) might not be within my range for the short, but that doesn't mean it's not high enough to hurt the probabilities of my long. I completely understand. The only reason I ask is because I like to see how someone's strategy aligns with my own. But without having more data I am unable to compare. Maybe later you can throw up a couple of charts showing actual trades taken with the areas you scaled in and out...if you have time of course.

Nice explanation atto. I find it helpful to know where an example was taken. What instrument, time frame, and date was that taken from? Thanks.

Exactly. Reap the benefits that the market brings at this time, but also use this time to make your strategy dynamic when it comes to stops and targets. The patterns have always been the same, and will most likely stay the same for years to come. If your risk/reward is built off of the profile of previous price action then there will be no need to adjust when the volatility diminishes. When you have such a dynamic strategy with a consistent positive expectancy, your earnings are determined by position size. In my opinion this type of mindset/strategy is key to having a long and successful career. When I tell a trader to learn how to trade by reading and understand price action, I am not necessarily telling them to not use indicators. My point is that if you understand what the market is truly trying to tell you, you can trade successfully in almost any market condition and that's the key for being around in the long run. Those who use indicators without first understanding the pure movement of the market are the ones that need to "adapt". Just my two cents of course.

The key here is that it has to be positive. Just like any other business plan, the first rule is that you have to expect to make money over the long term. First of all, my comment on consistency and volatility was for the values that affect your expectancy. Consistency would be how often your trade hits target 1 2 etc before hitting your stop. How often do you walk away with a positive trade? The volatility is not only your risk reward for the individual trade, but also the draw down created when the risk reward takes into account your consistency. In other words it's the deviation from your mean expected over time. I myself am a very conservative day trader. I mainly play trend continuations with a micro confirmation entries. Though sometimes I may miss some large moves, this gives me the ability to enter with the risk of the smaller time frame while enjoying the potential of the larger. Since I trade on the concept of multiple time frames logically stacked in fractal formation (see this reply for a quick generalization) I really don't use anything special to figure out the type of periods. The periods are naturally defined by what size of swing highs and lows we are currently up against and dealing with. However, if one is looking for a simple way without having multiple charts and time frames up, there is the technique of putting a dozen or so sma (fib numbers). Yes, they are lagged and averaged but that doesn't stop them from giving you a basic idea as two the harmony and gaps of the time frames.

I think I understand what you are trying to say now. My mindset has always been that once you have a positive expectancy created from ratio derived from consistency and volatility then making more money is just a matter of adding more contracts...in a highly liquid market that is. Like you said, it's not about timing the market, always being right, and catching the whole move. For me it's all about that one number. The number that will make or break you in the law of large numbers. However, neither way is necessarily more right than the other. Like I said before, it will be interesting to see how you go about this and how the potential/estimated benefits are realized.

Is your thought that positive expectancy should be created by a group of trades that aren't necessarily similar in structure versus based off of an individual setup/trade that has it's own positive expectancy? Maybe I am confused. It will be interesting to see how you go about this. Keep us informed. Just another way to look at it... It does no good to know where the ball is best played unless one has the ability to put the ball where they want it. Yes, to be "great" one must excel in both. However, one is never going to win any competitions unless they can hit the ball consistently. With experience a golfer will learn how to strategically position the ball and remove a few strokes by avoiding trouble in the first place.

Great technique. A previous discussion about daily stops can be found in THIS(link) thread. My response was similar to yours and can be found within that thread HERE(link).

*highlighting done by me First of all, I hope that any new trader stops and re-reads your entire last post. There are so many GREAT points in there. I went ahead and highlighted two very important "light bulb" comments that any new trader really needs to pay attention to. The one thing that stood out to me was that you had "Goals" listed there for "going back to the beginning". From my personal experience, the only goal starting out should be a measured positive expectancy with a volatility within your range of comfort (i.e. drawdown). Maybe this is what you meant. Keeping monetary goals at the end naturally keeps you from over leveraging yourself and taking on more risk than desired. Of course there can be several different ways to accomplish the same task. By the way great journal. Keep up the good work!!

Different strokes for different folks, but this is how I look at it. First of all, one should have a proven strategy with a known average risk/reward and percentage of success. If you don't have the discipline and management to know these details about your "edge" than the rest will be difficult and prone to failure. This is the building block of your hopefully successful career (measured positive expectancy) and you should be constantly keeping track of this number. The next step is to figure out how you want your day/week to look. Do you trade only in the mornings? Do you only trade Wednesday through Thursday? This could be based off of your strategy or just your personal life. In other words, based off of your style what is your expected number of trades per day/week (i.e. expected gain)? At this point it's simple math to figure out how much you need to be trading to realistically hit your expected goal on an average basis. The key word here is AVERAGE. Yes, some weeks you will not hit your goal. However, some weeks you will go well over your goal. It's all about the law or large numbers. If your focus is on hitting a hard defined number each and every time, the probability of problems and failure increases. For many this is a gateway to many of the psychological issues traders face (e.g. Revenge Trading). This theory can be used on any time frame. I and other traders I know have found this helpful with only taking what the market has to offer which naturally creates less stress on those so called goals. This technique also gives you a much better view as to how your "edge" is holding up over a designated period. Hopefully this helps.

Of course it depends on your trading style and methodology but I would agree with you jonbog04. If your trading style is grounded on fractal interaction ("a rough or fragmented geometric shape that can be split into parts, each of which is (at least approximately) a reduced-size copy of the whole")...or in other words multiple time frames stacked logically...you should still be doing just fine in the current market. The only difference is that the lowest time frame swings have turned into "noise" (extremely fast) while the higher intraday swings have increased in number. Of course, if you never played the middle or higher intraday swings and only the lowest intraday scalps then you may be having some difficulty. If one has never looked at the market in this way, I would highly suggest taking a look. Even if it's with something as simple as finding "trends" via HH/HL and LL/LH on different time frames. Even if this was the result of algorithmic trading (which is arguable considering everything is still very technical on all time frames) one could argue that this makes day trading even easier. Isn't a computer more likely to keep the lower time frames "cleaner" than irrational and emotional humans? In my opinion computers have created more predictable and cleaner runs in the market giving an educated trader a higher probability of catching a portion of a move. BTW, great job with this journal jonbig04. Keep up the good work!

Got it from siddklarth.

I am very curious about this comment. I have been using Infinity/Sierra for charting for over a year now and the majority of my strategies are based around MP. What exactly does Sierra not have that you would need when talking about MP?

I would be interested in seeing a couple days worth of entries/exits on the chart you watch labeled with what you were thinking at the time. This would give us a much better idea of your current knowledge and style. Just a thought if you have the time.

Not another Google scam. First of all, the 10 million goes towards them implementing the project. As far as I see you don't actually get the money like a prize. Second, this is just a cheap way for Google to outsource their think tank. In other words they are just using you for cheap labor. If you actually have a good idea worth something (enough to be picked most likely), then you are better off finding your own funding and making an exponential amount more when they come to buy you out later. In other words, this route should only be taken if your motive is for an idea to come to life, not financial.

This was quickly written for my personal development and as always I do not guarantee the accuracy of the data created. 1) Download vwap.dll from HERE. 2) Save it to /SierraChart/ 3) Right click on chart and choose "Study" or press F6. 4) Click "Add Custom Study..." 5) Double click on "Dynamic VWAP" 6) Select "VWAP with SD" and press "Add" 7) Click on "Settings..." 8) Select the Chart Region where your bars are (should be 1). *I would suggest changing the scale to "Same As Region" so it won't squish the bars to to show the 3rd standard deviation. You can also add and remove SD's under Subgraph by choosing Draw Style "Do Not Draw". *Note* Depending on the amount of data it might take 10-20 seconds (or more depending on your system) when first applying the study. However, once loaded it should update smoothly while sliding the chart around. If you wish for it to develop throughout the day, just keep scrolling right to add white space until the first bar on the left is the first bar of the day.

I have a Dynamic VWAP with Stdevs that I created awhile ago. I will try to find the dll tomorrow morning. The starting point is automatically at the left edge of the screen so you can quickly scroll through your charts (it was created to visually backtest moves from swing highs and lows). If you wish to make it develop through out the day then you just add a bunch of white space to the right side of your screen by scrolling right. Again, I will try to locate it tomorrow morning.

Just to specify...I know that this question was originally about hardware. However, my point is that through VNC technology the doors open greatly as to what can be used.

Not sure if you want to go down this route, but have you ever tried VNC (Virtual Network Computing)? There are many different breeds out there. UltraVNC is one of the popular free ones. If you are using a pda you would need to get a compatible VNC viewer. Many of them come with small web servers so you can choose to view it (no control) via any java compatible browser. I have been using VNC for many tasks (including trading) for many years now. It's nice being able to stick my thumb drive into any computer and instantly view all my systems or flipping through all my monitors upstairs on the laptop. As far as speed, it mainly depends on how efficient you make your settings on both the server and user application. In other words, if you don't want to view a large detailed full colored view of the application it can practically be real time. You might want to take a look into it or a similar kind of technology versus worrying about an actual trading application...just a thought.

Exactly sneo, the help command is very helpful and can usually give you great information without having to go to their site. Tresor, just type help csvread into the command window. I also love how it has "See also" commands and "Reference page" links. Full command should probably be.... dataFW20=csvread('c:\Program Files\Notowania2PRO\PLIKI _CSV\fw20.csv'); If you are having problems with text within the file you could just use xlsread instead... dataFW20=xlsread('c:\Program Files\Notowania2PRO\PLIKI _CSV\fw20.csv');

These questions are pretty difficult to answer without more details in what the individual is looking for. As for real data handling speed, it completely depends on where you are getting your data from. I have used Matlab to grab and display live data via both Excel (with SierraChart) and a database (with opentick) and have not had any problems...and I am talking down to single digit tick charts. For the most part Matlab is just raw speed as long as you don't do anything stupid in your programming. Now if you try and use the prebuilt data links then you may have issues...I have not tried them real time. I have also not tried any techniques where Matlab grabs data from the data provider directly. Put simply, if you can get data to Excel, a file, or a database...you shouldn't have any issue with speed from that source into Matlab. Many times (but not always) complaints come from people that aren't programming things right or effectively. As for the indicators, again I don't know about the prebuilt ones on small time frames, etc. But for the most part Matlab is extremely quick with its calculations. If you program them efficiently they will most likely be faster than most charting platforms out there. Now we get to the fun stuff...charting quality. If you are looking for all the bells and whistles out of the box with pretty menus and easy access, then don't waste your time in Matlab. In my opinion (for trading purposes) Matlab is for those that know what they want and are looking for absolute freedom when it comes to getting what they want. If you just want to experiment with the standard indicators out there then just stick to an actual trading platform. The ability to have a similar charting quality to other platforms is there. However that will take a decent amount of time and effort. In other words, I do believe that there is a trade off here between freedom/speed and beautiful charts. If you can give me more specifics on those three items then maybe I can give you more specific answers. Also, if those comments/concerns that you talk about are online somewhere that may help me figure out what exactly they may be talking about.

I have used a few of the free ones (FreeMat, Scilab, Octave, and JMathLib) and have found Scilab to be one of the best clones out there if you are using Windows. However, Matlab has more powerful graphing and nothing beats its resources and community which in my opinion is a must if you are trying to tackle it yourself. If you are looking to go down this route I would suggest Matlab and try to pick up an educational version for a fraction of the price. However, if you are looking at just messing around and not wanting to spend any money, take a look at Scilab. If you want to run on Linux, Octave is probably a good choice.

I wandered over to this thread with a list of items that I was going to write out. However everyone pretty much hit it on the head. Experience with not only the language but the specific API is going to save you both time and money. You also want everything to be well documented. This will allow you to change programmers much easier down the road if desired. If one is serious (not just messing around) about a system you should pay a little more for an experienced programmer. The lowest bidder can quickly turn into a headache and end up costing you more. I would also ask about their prior experience of programming for hire. There are many talented hobbyist out there that know the language but have not actually done projects for pay. This can be important because they will be able to give you a more realistic estimate and should overall save you some time and hassle down the road. The key is...if something doesn't feel right about the individual, than something probably isn't right. I have interviewed individuals in the past but because most of my good friends are programmers I have yet to make the leap to hiring outsiders. Keep us informed as to how it goes.

OAC, don't take any of the following comments as being rude (I type it with a smile). I am just trying to clarify.... It depends on how you trade. If you trade a system that has fractal significance then most likely the time frames have only shifted slightly over the years. From the back testing I have done, things haven't changed as much as some will have you believe. I can't speak for VSA (I am not a fan of bar by bar volume), but Market Profile is no more hindsight than trading straight "PA". The levels are there...the bias created by value area formations are there...imo it's not as gray as some claim it to be. Anyone who has spent any time in the TL room with me knows I am anti hindsight and will hesitate at explaining things that happened in the past. I would tend to agree with this statement for retail day traders. In my experience, the pure MP traders tend to have deeper pockets and trade a higher time frame. Both my discretionary and auto styles are hybrids of the Market Profile (both TPO and Volume) concepts. The daily MP areas are great for bias, potential high action areas, and targets. Entering at a good spot around those areas are best done with smaller time frame entry techniques. There are also detailed MP hybrids out there for the reading. Just take a look at jperl's threads on trading with market statistics. This is what I don't understand about you pure PA guys. Do those that claim to use only pure PA (no MP, etc) look at a chart with ONLY vertical movement up and down (no horizontal importance)? I mean...if you think MP is bogus than you can't use candle formations on a time chart. You also can't use congestion areas or large quick runs to determine your trade. If you do, I don't see how that is any more pure than finding the VAH, POC, and VAL of a period of time be it daily, monthly, from high, from low, congestion area, etc. I guess I must be missing something. If one doesn't want to have a computer draw the lines for you (eg daily MP) then draw them manually like Db does. But in my opinion defining statistically significant value areas IS reading PA. Maybe we are talking about two different kinds of MP.

I don't have time to go into a lot of detail but I would like to make a few comments... This is where I think auction theory and understanding what the market is trying to do can come in very handy. I personally use Market Profile (TPO and Volume) but Db does a great job at drawing areas manually (and I hear he has a very good reasonably priced book ). If you don't already, I would like you to throw 1932, 1943, and 1955 up on your chart. This is the VAL, POC, and VAH created from the previous days price action. As you can see, price spent most of the day trying to find "interest" outside the value area. Around 11:30 ET it made an excellent attempt but still found no interest. There was nothing wrong with how you found you support area. However, that was the smaller time frame. Any longs I would have taken between the POC and the VAH would have resulted in partial profit at the VAH. You actually did a great job at collecting inventory for the test outside the value area. Remember, the market will usually rotate from the VAH to the VAL looking for interest to put it into a trend away from the value area in search of the new value area. I wasn't trading the NQ on that day but I believe that you were in the room (I might be mistaken) when I stated I was going short (1299.50) and was looking for a strong rotation to the downside. Of course on the ES we were trying to ENTER the value area (1299.75 1304.75 1310.75). Back to the NQ...on the rotation down (after failing to find interest outside) we only made it to 1935.75 even though the VAL was at 1932.00. However, if you throw up a volume by price histogram you can clearly see that the next highly active area down was around 1938.00. This is why having a histogram up along with your value areas is important. Of course if you draw your areas manually like Db this isn't a problem. Okay, enough rambling for now. Hopefully there is some logic within that run on paragraph. :o

Yeah, if it takes you until BROKE to realize that your edge is no longer working...then you have a much deeper issue (like many traders do) . From the stories I have heard it seems like the act of putting more money into losing positions is what killed most. If you were a daytrader that understood the concept of a stop (both position and daily) you should of been okay if not profited greatly from the volatility. Of course it also depended on your methodology and edge. However, going back to the original thought of this thread...I believe (someone please tell me if you know otherwise) that there was not an abnormal amount of professional daytraders that blew up around that time. Most of the people that did were over leveraged swing traders who didn't know when to let go.