Day Trading Strategy

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globalarbtrader said:
Normally I charge $10,000 for this, but I'm offering it you for free on ET for one day only. OK, here it is, this is my day trading strategy:

Don't

GAT
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Hi, globalarbtrader

Yes, I personally don't day trading because I don't (yet) have a reliable execution. But if I could do the coding stuff and automate trading, I'd set aside some equity for day trading. I found studies that day trading can be done.

If I may know, why don't (with assume automate trading)? Is there something I missed?
 
smallAxe said:
Hi, globalarbtrader

Yes, I personally don't day trading because I don't (yet) have a reliable execution. But if I could do the coding stuff and automate trading, I'd set aside some equity for day trading. I found studies that day trading can be done.

If I may know, why don't (with assume automate trading)? Is there something I missed?
More...

Do you have a link to those studies?

Personally I can't find a strategy that isn't massively over fitted that I could rely on to beat trading costs. But ET is full of successful day traders who are clearly much smarter than I am and I'm sure one will be along shortly.

GAT
 
globalarbtrader said:
But ET is full of successful day traders who are clearly much smarter than I am and I'm sure one will be along shortly.
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Thanks globalarbtrader,

Haha is that some kind of sarcasm?

globalarbtrader said:
Do you have a link to those studies?

Personally I can't find a strategy that isn't massively over fitted that I could rely on to beat trading costs
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These:

https://papers.ssrn.com/sol3/papers.cfm?abstract_id=1015987

https://papers.ssrn.com/sol3/papers.cfm?abstract_id=2272795

what is your comment for those?
 
smallAxe said:
Thanks globalarbtrader,

Haha is that some kind of sarcasm?



These:

https://papers.ssrn.com/sol3/papers.cfm?abstract_id=1015987

https://papers.ssrn.com/sol3/papers.cfm?abstract_id=2272795

what is your comment for those?
More...

The 1st paper has nothing to do with day trading.

The 2nd is more relevant but like many academic papers has quite unrealistic assumptions that aren't properly checked eg effect of delaying opening trade by X minutes and executing over next Y minutes. May also be data mined. SR>6....

GAT
 
globalarbtrader said:
The 1st paper has nothing to do with day trading.

The 2nd is more relevant but like many academic papers has quite unrealistic assumptions that aren't properly checked eg effect of delaying opening trade by X minutes and executing over next Y minutes. May also be data mined. SR>6....

GAT
More...

Thanks globalarbtrader,

First paper formulated L/S (0) strategy with the weight rebalanced daily at closing price.

My understanding, I think it is similar to Shannon's Demon. Correct me if I'm wrong.

Appreciate your comments.
 
globalarbtrader said:
Do you have a link to those studies?

Personally I can't find a strategy that isn't massively over fitted that I could rely on to beat trading costs. But ET is full of successful day traders who are clearly much smarter than I am and I'm sure one will be along shortly.

GAT
More...
Hello globalarbtrader,

If day trading strategies did not exist, then instrument prices would not fluctuate trillions a time per day.

Just because you can not see it, does not mean it is not there. Day trading is best way to get to rich fast on the planet.

Its about get rich fast, that getting rich slow stuff is over with. Day trading is how you get rich fast.
 
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