Day Trading Strategy

smallAxe said:
I believe I have correctly shared the link. Yes: "What Happened To The Quants In August 2007?"

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What I understand about Shannon's Demon is that it does a daily rebalancing between cash and equity. Indeed there is no mention of Shannon's Demon there, but what the formula is trying to achieve I think is similar. I heard this after reading Chan.

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I am attaching an example:

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The second paper is more or less the same as what was in the first paper, the only difference is that it is long-only and orders are placed on opening and closing price (not just on closing as in the first paper).

The second paper claims day trading can still be profitable:

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What is your opinion?
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That (strategy from 1st paper) is not a day trading strategy. Holding period likely to be much longer.

GAT
 
qlai said:
What kind of reliability are you talking about? Are you talking about latency?
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Yes, execute many orders at once with real-time price feeds. Currently I still use EOD data, do calculations with excel, and execute manually.

And also as globalarbtrader said, theoretically orders are placed at the open and/or close price. In practice, it can't, right?

So, many orders at once will be placed a few minutes after opening and or near closing. I think it's hard for humans to do that kind of execution, unless automating it. I'm still learning programming languages and still lost :(
 
smallAxe said:
And also as globalarbtrader said, theoretically orders are placed at the open and/or close price. In practice, it can't, right?
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You can use MOO and MOC orders if you know what you’re going to trade ahead of open/close. You don’t even need price data
 
qlai said:
You can use MOO and MOC orders if you know what you’re going to trade ahead of open/close. You don’t even need price data
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That's not how strategy works.

You only know what to do once the day's opening or closing price is known, and execute it on the same day.
 
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I think it speaks volumes that when pressed Kullamagi will BEGRUGINGLY admit he made his first million daytrading. He tries to steer his followers away from daytrading and suggests they swing trade instead because that's how he made his fortune. However he was the beneficiary of a raging bull market in front of him for the next several years (2012-2021) and traders in 2022 dont really have that luxury.
 
globalarbtrader said:
That (strategy from 1st paper) is not a day trading strategy. Holding period likely to be much longer.

GAT
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But it's rebalanced daily
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globalarbtrader said:
That's not correct.

Consider a world in which there were no day traders. There would still be long term traders making decisions to trade, and trading with each other and with HFT market makers. That would be enough to cause prices to move a hell of a lot. Day traders add some additional noise, but not very much.

Finally prices don't move 'trillions of times a day'. There are around 30,000 seconds in the trading day. If prices were to move say 3 trillion times a day, that would be 100 million price changes a day, or 100 times per micro second. That is orders of magnitudes greater than the theoretical maximum possible update frequency.



You're correct. But the vast majority of people who day trade get poor fast.

GAT
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Good Morning globalarbtrader,

I respect your comments indeed. I really do not understand a lot of stuff in this trading stuff. Too complicated for the brain.

My motto: Dollar cost average sp500 index for get rich slow. Trade futures to get rich quickly. Do both forever. Sorry, but there is no other option on earth to get rich quickly. Quickly meaning less than 2 years max. You have to get rich while young, not old.
 
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