10 months fulltime and still no edge

Quote from estim:

Yes I am planning on being an statistical outlier
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I know this probably won't make sense to you but statistical training won't get you closer to what you want. Learning Logic will but traders don't want to hear that.

Traders don't want to hear that there is any possibility that price moves methodically.

In college we use to make a joke that, locking a logic professor and a statistics professor in the same room for any length of time will cause one of them to die horrible death. :D
 
Quote from estim:

From my savings I started out in marts 2008 fulltime trying to build fully automated systems. So far 10 months working on fully automated systems and I still have not found a stable solution. Living in Copenhagen, that’s in Denmark (which is why my English a mess), the US market is open from 15:30-22:00 local time. Normally I program the models during the day and follow the market when it opens at 15:30.

My focus has been high liquid US stocks. I have an account with IB which I connect to from MatLab or NinjaTrader, depending on what types of models I have tested.

All my models so far are intraday. I have been working on different timeframes from 5 secs – 5 mins. These are some of the methods I have tested without luck:

Pairs trading: scanning the equities in the Nasdaq 100 index for correlations/cointegration and trying to bet on the spread. No luck. Statistical arbitrage models using principal components. No Luck. Typical indicator models: Crossover systems, channel breakouts, ect ect. No Luck

I am down to 3 models that I will give a go:

Sector/etf models. Scanning for leaders and laggards in the first 30 minutes or so.
Trading the gap.
Trading around High/low of the day.

Basically, I think it is my Trade management I need to work on and to keep the models much simpler than so far. I have also been day trading (not paper trading) a couple of months for getting a feeling of ordertypes/fills when going to be used fully automated.

Any comments are appreciated.
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GAMMA SCALPING
 
Quote from estim:

From my savings I started out in marts 2008 fulltime trying to build fully automated systems. So far 10 months working on
More...

TRUTH 1:

It is estimated that 95% of traders lose their money. Of the remaining "5%", almost all just break even, make sporadic small profits, or have only made made short term

TRUTH 2: Almost all of the people here claiming to be successful here are only successful on paper or are outright lying. It only seems like there are many successful traders.

TRUTH 3: Even after many years of trying, most of the people will STILL fail and lose their money.

TRUTH 4: You are no different than every other "trader." Your overwhelmingly most likely path will not be an outlier, but a casualty.

TRUTH 5: Even after "arriving" as a successful trader, most traders will then blow up anyway. Longterm success is REALLY rare.

TRUTH 6: You will burn up a lot of money and a lot of time learning these truths.

FINAL TRUTH? The best path for almost every trader, is to get out of the field.
 
Quote from TraderZones:

TRUTH 1:

It is estimated that 95% of traders lose their money. Of the remaining "5%", almost all just break even, make sporadic small profits, or have only made made short term

TRUTH 2: Almost all of the people here claiming to be successful here are only successful on paper or are outright lying. It only seems like there are many successful traders.

TRUTH 3: Even after many years of trying, most of the people will STILL fail and lose their money.

TRUTH 4: You are no different than every other "trader." Your overwhelmingly most likely path will not be an outlier, but a casualty.

TRUTH 5: Even after "arriving" as a successful trader, most traders will then blow up anyway. Longterm success is REALLY rare.

TRUTH 6: You will burn up a lot of money and a lot of time learning these truths.

FINAL TRUTH? The best path for almost every trader, is to get out of the field.
More...
You're a real buzz kill.
 
Quote from estim:

From my savings I started out in marts 2008 fulltime trying to build fully automated systems. So far 10 months working on fully automated systems and I still have not found a stable solution. Living in Copenhagen, that’s in Denmark (which is why my English a mess), the US market is open from 15:30-22:00 local time. Normally I program the models during the day and follow the market when it opens at 15:30.

My focus has been high liquid US stocks. I have an account with IB which I connect to from MatLab or NinjaTrader, depending on what types of models I have tested.

All my models so far are intraday. I have been working on different timeframes from 5 secs – 5 mins. These are some of the methods I have tested without luck:

Pairs trading: scanning the equities in the Nasdaq 100 index for correlations/cointegration and trying to bet on the spread. No luck. Statistical arbitrage models using principal components. No Luck. Typical indicator models: Crossover systems, channel breakouts, ect ect. No Luck

I am down to 3 models that I will give a go:

Sector/etf models. Scanning for leaders and laggards in the first 30 minutes or so.
Trading the gap.
Trading around High/low of the day.

Basically, I think it is my Trade management I need to work on and to keep the models much simpler than so far. I have also been day trading (not paper trading) a couple of months for getting a feeling of ordertypes/fills when going to be used fully automated.

Any comments are appreciated.
More...

Takes about 7-10 years of screen time to get the hang of it. You need to see both bull and bear cycles.
 
Here is a little tip for you. Yesterday the stock indexes were down, all day today they have been negative to.

The odds of some sort of small rally into the close is highly likely. I could see us make a new low in the last 30 minutes to clean out some stop under todays support, then a burst higher.
 

Attachments

I have attached a screen shot what my automated system looks like in Tradestation 8.4. This is what I started 12 years ago. The green dots are long stops and the red dots are short stops. My system is built on cycles and cycloids (of all things). The indicator is a cycle tool I built as part of the foundation of the trading system.

I designed this software using the same commercial standards I was trained to do. What you say, commercial standards? Yes, I it is what I did for 35 years before I retired. I even wrote all of the user manuals and design documents. I know that sounds stupid to many of you traders but keeping an organized mind is good medicine for an old man. And since I love to write code, novels and documentation (not bad for a kid who flunked English) it has kept me sane on cold winters days.

The trading model of:

- Sector/etf models. Scanning for leaders and laggards in the first 30 minutes or so.
- Trading the gap.
- Trading around High/low of the day.

is far too generalized for an automated trading system. You are building a stock scan. Automated trading software is built to the price bar about specific trading conditions that are taking place. A simple model answers as many “common” questions as are repeated through out the price data.

For example Trading the Gap. Did price gap above yesterdays high. Was yesterday and the day before and up day. Has the gap been filled before we do an entry.

If this is the condition you are coding in your model it must be common to ALL stocks to be useful. This is the part that makes automated system testing a monster.
 

Attachments

Come on guys.

You are not being very helpful.

Yes. It takes 10 years to master a field.

But what does that mean?

If you are an engineer and you decide make a search engine - something you haven't done before - does it then mean that will take 10 years until you succeed?

Surely not.

I assume estim has some kind of relevant background and thus general experience he can rely on.
 
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