Filters For High Frequency Trading

[greysquirrel]

Hello all, I wanted to start a thread for filters, basically the narrowing of down of a trading system from a core amount of trades.
An example would be a speed filter like

z= absvalue(c-c[1]);

if [conditions] and z > z[1] then.......

I think this was in an old stocks and commodities mag. Anyway, there it is, I will add more if people are interested in the thread. My hope is that we can build our vocabulary of filters.

 

[trendo]

Roughly how many trades per day do you define as high frequency? What time frame(s) are you using and what are you trading?
Thanks

 

[greysquirrel]

I use 100 tick, 1 min, 2 min charts. As far as the frequency, over 8 trades a day on the same instrument. I do not have a CME membership so I cannot scalp a few ticks. I am going for a couple of points on average. I normally have about 10-15 trades a day.

 

[Arbitrageur]

8 trades per day is not "high frequency" trading

 

[asap]

100 to 1000 trades per day in one instrument is high frequency.