Edge types, efficiency, etc

I find myself drawn to the idea of attempting either intraday or short-term trading on minis like the YM, TF, ES, or NQ. I suppose my approach is simply looking for patterns either over the course of several days or even solely intraday and testing them in multiple periods (present, past, and future). I have found some things that look promising but they dwindle. Do any mechanical edges permanently exist on futures? Not asking for freebies, just wanting to know if there are methods so robust that they always work if not just sometimes better than other times? Or is the real edge in adapting to the times when one method loses a leg?

Am I barking up the wrong tree? I hear people say these markets are highly efficient, but if that's so, then which comparatively are the least efficient? That would seem a better place to start I guess.

Thanks.
 
Thanks for your post. I suppose an issue of mine is try so deperately to understand things and have a hard times just going with the flow. In other words, assuming I did find something that worked, I'd need to convince myself of why it works before I'd even trust it. I know this can be helpful in many disciplines but can be a liability in others. I can see it being a liability in trading seeing as trading/ecomomic theory is far from an exact science. I guess I just get hung up a lot in the details you mention. If some academics say it's a waste of time, if you have any respect for acadamia it makes you think. I'm clearly biased though because I want to believe. However, i'm smart enough to know that wanting to believe isn't a good enough reason to do so. I guess I'm really just reaching for reasons to "know" I can earn excess returns. I'm trying to create a belief system about what might or can really work so I can silence the voices of doubt that are in my head. ;)

Quote from spindr0:

Month after month there are endless debates/arguments here about what does and doesn't work. Math versus economics, TA versus FA, ad nauseum. Who's right? No one. The only thing that matters is if you can find something that works for you. You can spend years reading, learning, chasing down OP's ideas and if you get lucky, you find one that suits your risk tolerance and provides an edge. So you look at everything you can and explore what makes the most sense to you.

I'm no rocket scientist or trading genius. Just a retired peep trying to make enough to cover the bills so I don't have to crack into the nest egg. And then along comes a global financial crisis and a trading strategy gives me two of the most rewarding, exciting trading years that I could have ever dreamed of. Now that it's over, in retrospect, I think that I now comprehend what it's like to need an intervention. :) And now it's back to grinding out small gains to cover the bills.

My point? I've been to Pareeee and I hope to get back. It can happen - it took me 15 years of investing and 7 of day trading. Don't get discouraged. Even if you don't get there, it's far better to understand and manage your risk and destiny than to be an everyday lemming trusting your life savings to a former used car salesmen now vice presidents at Bear Stearns or Lehman and following them over the cliff in a period like '08 to '09.
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Hi nazzdack,

That's a fair comment. I don't expect shortcuts and I have a whole pile of wheat to separate from the chaff. I believe I already know a lot, and am currently in the process of weeding out the uselessness. I suppose it's the small nagging prospect in my head that wonders if it's nearly all useless. I suppose i'm trying to get help trimming the fat so that I can learn to focus better. Hope that helps you help me.

Thanks.

Quote from nazzdack:

You ought to have an expectation of "learning everything about everything" and then realizing what you need to ignore and forget. If you're going to mine for gold, you have to work through all of the slag, it cannot be bypassed. :cool:
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Interesting... unkown unknowns are the worst kind... I suppose this is another thing I'm trying to find more about. Am I missing some things that I don't even realize i'm missing. Or, potentially worse yet, are some of the things I KNOW really bunk... I know Soros would suggest much of what we think we know isn't so, but then no one seems to buy into his theory of reflexivity, do they? It seems reasonable to me though.

Quote from intradaybill:

The Unknown (by Donald Rumsfeld)

As we know,
There are known knowns.
There are things we know we know.
We also know
There are known unknowns.
That is to say
We know there are some things
We do not know.
But there are also unknown unknowns,
The ones we don't know
We don't know.

http://www.slate.com/id/2081042/

I hope you had fun...
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It depends on the language/software, but I am fairly capable. I definitely have the capacity to learn it at the least. Any particular reason you ask?

Quote from sappjason:

Just out of curiosity, do you know how to program?
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lol.
Reading your posts is like reading my own thoughts, especially my thoughts from a few months ago, although you have gone deeper into it than me.

One of my threads is here:
http://www.elitetrader.com/vb/showthread.php?s=&threadid=183933

(I ask more questions than just those in my openeing post)

Since that post my results have not changed. Im becomming less paranoid about everything and am not overthinking everything so much.

Have you been demo trading? Have you managed to string together a period of consistent successful results at all?
 
Great, I'm glad my thoughts resonate with some of you. I will read your thread in a little bit. I have been demo trading and I mentioned earlier that I do find some pretty promising tendencies but I see enough variation that it forces me to assume that it's no better than the null hypothesis. That is, even though it still may be quite valid (or not)... I know theoretically assuming a 1:1 R/R that one could make quite a living from a 5% edge net of costs but in reality when trying to convince yourself in trading with real money, or even demo money for that matter that 55% is good enough, it's hard. It's hard because I know this "edge" could be explained by standard deviation. It really ruins baseball for me too ;) Most teams' winning records could be attributable mostly to chance, how disappointing. How did you reconcile yourself and learn to relax and just trade?

Quote from flatron:

lol.
Reading your posts is like reading my own thoughts, especially my thoughts from a few months ago, although you have gone deeper into it than me.

One of my threads is here:
http://www.elitetrader.com/vb/showthread.php?s=&threadid=183933

Since that post my results have not changed. Im becomming less paranoid about everything and am not overthinking everything so much.

Have you been demo trading? Have you managed to string together a period of consistent successful results at all?
More...
 
Quote from New2thegame:

I suppose an issue of mine is try so deperately to understand things and have a hard times just going with the flow. In other words, assuming I did find something that worked, I'd need to convince myself of why it works before I'd even trust it. I know this can be helpful in many disciplines but can be a liability in others. I can see it being a liability in trading seeing as trading/ecomomic theory is far from an exact science.

I guess I just get hung up a lot in the details you mention. If some academics say it's a waste of time, if you have any respect for acadamia it makes you think. I'm clearly biased though because I want to believe. However, i'm smart enough to know that wanting to believe isn't a good enough reason to do so. I guess I'm really just reaching for reasons to "know" I can earn excess returns. I'm trying to create a belief system about what might or can really work so I can silence the voices of doubt that are in my head. ;)
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Geez, you sure are in need of therapy :)

I had a friend/mentor in the 80's who had worn a number of financial hats, one of which had been running a mutual fund. At one of our happy hour adventures, I laid out my best but confused hypothesis for gold (whose stocks I was actively trading at that time) and asked, "What am I missing?" His response was, "Understanding it will only confuse you." In essence, his position was that understanding it is far less important than recognizing it, eg. going with the flow (riding the trend).

You have to understand it to some degree. You can't be ignorant of market basics. But AFAIK, seeing is more important than believing. If something works, you trade it incrementally and eventually you bang it hard but you make sure never to never take your eye off the risk and make sure you're in control of it.
 
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