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Grinding it out, day after day
- Thread starter lescor
- Start date
Quote from wutang:
-Did you have profitable strategies before you went to a prop shop (ie. did it just take the discipline of the office setting to get you over the top)?
-Did you receive any meaningful training at the firm or did you figure it out on your own?
-How much did being in an office with other traders who were already successful contribute to you becoming profitable?
I was moderately profitable as a swing trader, but hadn't seriously tried daytrading. I learned a couple strategies there, most of the traders in the office were scalping merger arb spreads. I really liked that though it basically died soon after. Meaningful trading instruction though? No.
Being in the office helped me focus on my own work, but there wasn't anyone there who was a standout trader to learn from. It wasn't a big office. Met one of my best friends there though, and we chat daily and have worked together on ideas lots. We were both in the same boat, making sacrifices and working our butts off to make it. We worked harder than anyone else there and it contributed to a good vibe.
Quote from dalentar:
How do you measure weather an idea has promise or not? What metrics, if any, do you use to determine weather you should move the ideas into your day to day mix of strategies?
First I observe something that looks like it might work, then a form a theory as to why. Then I put together some simple rules and start trading it with small size and keeping records. It should be obvious pretty quickly if it's a viable idea or not. It has to be worth the risk, effort and time though. I won't sit at my desk all day to make and extra hundred bucks, I'd rather knock off early and go work out or something. My time pre-market is also at a premium, I already have a lot on my plate then and I can't divert much time to something else unless it has a very good pay off.
Quote from OsbourneCox:
Can you speak a bit about the difference between viewing trading as a mathematical/technical endeavor vs a crowd psychology exercise?
I agree with you that TA is basically crowd psychology. It sounds like you are focused on the trees and miss the view of the forest. I don't try to read the fine details of order flow, time and sales, or identifying who's doing what from the tape. If I'm trading off a chart, any TA I do is very basic. If I'm trading based on numbers spit out by some formula I wrote in Excel, I just do it and don't think about it. I'm not sure I understand what you're asking btw.
Quote from jones247:
I'm completely befuddled... How can intraday reversion to mean work in this current market environment? It seems that a trend style strategy would work best for intraday with this current market...
Any stock can make any kind of move at any time, regardless of what the rest of the market is doing. Thinner stocks especially can spike up and down because they are more sensitive to bursts of volume. That's why we call them thin, it doesn't take much to move them. Find a stock that trades 100,000 shares a day and send a 10,000 market order. After you get raped on your fill look at the chart again an hour later, I bet your position is under water.
Quote from bs2167:
Any limits on the % of capital you'll allocate to a given strategy?
That's a great benefit of prop leverage. If I see a valid trade setup I take it, I don't have to worry if I have enough capital to do the trade. I just have to worry about overall risk.
-Did you have profitable strategies before you went to a prop shop (ie. did it just take the discipline of the office setting to get you over the top)?
-Did you receive any meaningful training at the firm or did you figure it out on your own?
-How much did being in an office with other traders who were already successful contribute to you becoming profitable?
I was moderately profitable as a swing trader, but hadn't seriously tried daytrading. I learned a couple strategies there, most of the traders in the office were scalping merger arb spreads. I really liked that though it basically died soon after. Meaningful trading instruction though? No.
Being in the office helped me focus on my own work, but there wasn't anyone there who was a standout trader to learn from. It wasn't a big office. Met one of my best friends there though, and we chat daily and have worked together on ideas lots. We were both in the same boat, making sacrifices and working our butts off to make it. We worked harder than anyone else there and it contributed to a good vibe.
Quote from dalentar:
How do you measure weather an idea has promise or not? What metrics, if any, do you use to determine weather you should move the ideas into your day to day mix of strategies?
First I observe something that looks like it might work, then a form a theory as to why. Then I put together some simple rules and start trading it with small size and keeping records. It should be obvious pretty quickly if it's a viable idea or not. It has to be worth the risk, effort and time though. I won't sit at my desk all day to make and extra hundred bucks, I'd rather knock off early and go work out or something. My time pre-market is also at a premium, I already have a lot on my plate then and I can't divert much time to something else unless it has a very good pay off.
Quote from OsbourneCox:
Can you speak a bit about the difference between viewing trading as a mathematical/technical endeavor vs a crowd psychology exercise?
I agree with you that TA is basically crowd psychology. It sounds like you are focused on the trees and miss the view of the forest. I don't try to read the fine details of order flow, time and sales, or identifying who's doing what from the tape. If I'm trading off a chart, any TA I do is very basic. If I'm trading based on numbers spit out by some formula I wrote in Excel, I just do it and don't think about it. I'm not sure I understand what you're asking btw.
Quote from jones247:
I'm completely befuddled... How can intraday reversion to mean work in this current market environment? It seems that a trend style strategy would work best for intraday with this current market...
Any stock can make any kind of move at any time, regardless of what the rest of the market is doing. Thinner stocks especially can spike up and down because they are more sensitive to bursts of volume. That's why we call them thin, it doesn't take much to move them. Find a stock that trades 100,000 shares a day and send a 10,000 market order. After you get raped on your fill look at the chart again an hour later, I bet your position is under water.
Quote from bs2167:
Any limits on the % of capital you'll allocate to a given strategy?
That's a great benefit of prop leverage. If I see a valid trade setup I take it, I don't have to worry if I have enough capital to do the trade. I just have to worry about overall risk.
"First I observe something that looks like it might work, then a form a theory as to why. Then I put together some simple rules and start trading it with small size and keeping records"
Thanks for the reply. One of the things I've noticed when backtesting an idea is that it often will tend to work well for awhile then go through a period (almost equal in length) when it doesn't work well (and would have significant drawdown if I started trading it at that point) then moderately well and so on. I've seen this happen many times and I suspect others see the same thing. Often if you try to build some rules around it like trend, or stops and so on the numbers aren't as good than if you didn't add rules but there is still the cycle of performance of the strategy to deal with. When backtesting, have you had to handle this issue in your strategies? Have you ever had a situation where an idea worked well during testing and then didn't work as well when you started trading it? How did you manage it?
Thanks for the reply. One of the things I've noticed when backtesting an idea is that it often will tend to work well for awhile then go through a period (almost equal in length) when it doesn't work well (and would have significant drawdown if I started trading it at that point) then moderately well and so on. I've seen this happen many times and I suspect others see the same thing. Often if you try to build some rules around it like trend, or stops and so on the numbers aren't as good than if you didn't add rules but there is still the cycle of performance of the strategy to deal with. When backtesting, have you had to handle this issue in your strategies? Have you ever had a situation where an idea worked well during testing and then didn't work as well when you started trading it? How did you manage it?
Corey, thank you for your time with us.
When choosing stocks to trade after open bell, you have almost familiar approach as setting some kind percentage envelope(or standard deviation from some period) against peer group of stock(sector, industry, index like Dow Jones, S&P500) comparing to Don's openings strategy? So it gives you a small advantage. Except earnings news or other meaningful news do you consider volume? In your opinion, what size of volume can affect move in case of RTM, how big that volume should be? Do you have preferable industries to choose stocks from for trading?
And last one, do you see some value in these "20 golden rules of trading", like posted here http://www.hardrightedge.com/wheel/tcrules1.htm
Thank you very much for sharing your valuable experience with us.
2all/once again sorry for my english, not my native.
When choosing stocks to trade after open bell, you have almost familiar approach as setting some kind percentage envelope(or standard deviation from some period) against peer group of stock(sector, industry, index like Dow Jones, S&P500) comparing to Don's openings strategy? So it gives you a small advantage. Except earnings news or other meaningful news do you consider volume? In your opinion, what size of volume can affect move in case of RTM, how big that volume should be? Do you have preferable industries to choose stocks from for trading?
And last one, do you see some value in these "20 golden rules of trading", like posted here http://www.hardrightedge.com/wheel/tcrules1.htm
Thank you very much for sharing your valuable experience with us.
2all/once again sorry for my english, not my native.
I think we are sying the same think...example: ES is trending at or veragin around say 1000...spikes or floats up to 1100..you short ES at 1100 knowing it will coming back to the mean of 1000...is that it?Quote from jones247:
I don't know what you mean by "exposing divergences and spikes"; however, reversion to mean is a contrarian or fade type strategy...
What do you mean by "exposing divergences and spikes"?
That's it; however, most prop intraday traders would typically seek to enter and exit all trades during the same day. Your example seems to fit a swing trade type strategy. A intraday rtm would try to fade the anticipated hi's or low's for the day, averaging down a couple of times because it's hard to be perfect with one's timing. The bad thing is that it adversely skews the risk:reward profile...
Quote from increasenow:
I think we are sying the same think...example: ES is trending at or veragin around say 1000...spikes or floats up to 1100..you short ES at 1100 knowing it will coming back to the mean of 1000...is that it?
Lescor, I presume, that with your amount of capital at IB you should be using their portfolio margin mode. How does it compare with normal RegT margin in real life with your type of strategies? Does it provide significant margin improvement? Thanks.Quote from lescor:
That's a great benefit of prop leverage. If I see a valid trade setup I take it, I don't have to worry if I have enough capital to do the trade. I just have to worry about overall risk.
Quote from leon7:
And last one, do you see some value in these "20 golden rules of trading", like posted here http://www.hardrightedge.com/wheel/tcrules1.htm
A couple points make sense but most of it looks like some witty sayings written to sell something to newbies.
Quote from dalentar:
"First I observe something that looks like it might work, then a form a theory as to why. Then I put together some simple rules and start trading it with small size and keeping records"
Thanks for the reply. One of the things I've noticed when backtesting an idea is that it often will tend to work well for awhile then go through a period (almost equal in length) when it doesn't work well (and would have significant drawdown if I started trading it at that point) then moderately well and so on. I've seen this happen many times and I suspect others see the same thing. Often if you try to build some rules around it like trend, or stops and so on the numbers aren't as good than if you didn't add rules but there is still the cycle of performance of the strategy to deal with. When backtesting, have you had to handle this issue in your strategies? Have you ever had a situation where an idea worked well during testing and then didn't work as well when you started trading it? How did you manage it?
I don't really do much for backtesting. I will take a new idea live with small size and see how it goes. It should be obvious early on if it's worth continuing or not.