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Grinding it out, day after day
- Thread starter lescor
- Start date
Hey Lescor,
long time reader, first time poster. Its a long read so thank you in advance for taking the time to read, and more thanks for taking the time to answer.
i have a couple of questions about your trading.
On your RTM, do you attempt to hedge directional risk with another product? Either intra-market or inter-market? I am developing a RTM strategy that attempts to remain delta-neutral while capturing spread + rebate.
For RTM, what would be in your opinion more important to your RTM strategies success. Volatility or Liquidity? is it better to capture more spread with less shares or less spread with more shares?
For RTM, how important is it to study how adding size skews risk/reward and maintaining an average share price relative to the current bid/ask? Should emphasis be placed on how deep one can make a market in relation to risk profile and product ATR? I'm looking at 2x daily ATR, so for a stock that trades 20 cents Daily ATR I want to quote a market 40 cents deep, risking 3%. what are your thoughts on this?
Considering your all in cost per share (prop) what is an acceptable Profit Per Share before you discard a trading strategy? Do ECN rebates play a big role your strategies? What is an acceptable minimum sample size to base this decision on? i was thinking at least 1 million shares.
Sorry for the long read and thank you for taking the time to answer my questions.
long time reader, first time poster. Its a long read so thank you in advance for taking the time to read, and more thanks for taking the time to answer.
i have a couple of questions about your trading.
On your RTM, do you attempt to hedge directional risk with another product? Either intra-market or inter-market? I am developing a RTM strategy that attempts to remain delta-neutral while capturing spread + rebate.
For RTM, what would be in your opinion more important to your RTM strategies success. Volatility or Liquidity? is it better to capture more spread with less shares or less spread with more shares?
For RTM, how important is it to study how adding size skews risk/reward and maintaining an average share price relative to the current bid/ask? Should emphasis be placed on how deep one can make a market in relation to risk profile and product ATR? I'm looking at 2x daily ATR, so for a stock that trades 20 cents Daily ATR I want to quote a market 40 cents deep, risking 3%. what are your thoughts on this?
Considering your all in cost per share (prop) what is an acceptable Profit Per Share before you discard a trading strategy? Do ECN rebates play a big role your strategies? What is an acceptable minimum sample size to base this decision on? i was thinking at least 1 million shares.
Sorry for the long read and thank you for taking the time to answer my questions.
It sounds like you are trading on a much tighter time frame than me. My rtm based trades often last hours and I'm not so concerned about spread and liquidity. For some strategies I will apply a hedge like SPY to reduce exposure to market direction if I'm getting too lopsided.
I don't know what's a good per share profit to shoot for. If your edge has a positive expectancy, you should trade it as much as you can, relative to the risk you are taking and the amount of time you have to invest.
I don't know what's a good per share profit to shoot for. If your edge has a positive expectancy, you should trade it as much as you can, relative to the risk you are taking and the amount of time you have to invest.
Quote from JScott:
Lescor,
Your trading style is high volume, thin "margins", semi-automated. Should aspiring traders be focused on the same approach in your opinion? Or do you believe that a guy/gal can make 4 or 5 trades per day and do as well as you do? What are the advantages between the two?
JS
Think of it like a retail operation. You can have a low margin, high volume business or you can target a niche that might not move much inventory, but has a higher mark-up on what you do. Both can be equally profitable.
In trading, your capital is your inventory. You want to put it to work in the most efficient way. There's many ways to do that and a lot of variables will determine which method is best for you. How much capital are you trying to put into the market, how much time do you have to dedicate to it, how much is your time worth? In other words is the extra time to be a tiny bit more profitable worth it to you? It's not always about money.
Quote from lescor:
If your edge has a positive expectancy, you should trade it as much as you can, relative to the risk you are taking and the amount of time you have to invest.
Lescor,
Everybody talks about positive expectancy. I totally agree. However I do have a question, how do we really know what is the expectancy of the current system? Markets change and volatility is different. How do you decide that expectancy is no good anymore and system need to be changed? Is it over 1000 trades, or over a year, etc? Is 100 trades enough, how much is enough?
Thank you
What you're asking is how do you know if the system is broken or it's just a drawdown. Not sure there's a clear answer to that and probably a ton of different opinions.
For me, if a system starts to have more than a typical bad spell, I'll cut the size down and continue to trade it. If it doesn't improve, I'll keep sizing down until it either turns around or I give up. Even then I'd continue to track it.
For me, if a system starts to have more than a typical bad spell, I'll cut the size down and continue to trade it. If it doesn't improve, I'll keep sizing down until it either turns around or I give up. Even then I'd continue to track it.
I would track it manually, but only if it's something I could do without taking too much time. I usually use excel to calculate and track positions so I'd know what I would have been in, then at the end of the day, copy and paste it to a log, or something like that.
I don't have a bare minimum number. Obviously it has to be > 0, but it depends how much time is required. I won't work an extra 5 hours a day to make $100.
I don't have a bare minimum number. Obviously it has to be > 0, but it depends how much time is required. I won't work an extra 5 hours a day to make $100.
That's an impossible question to answer. Probably would have done about the same as I did. I'm trading basically the same strategies since that time. Probably would have done better in the first couple years with the refinements I've made since.
Could you pls re-size your chart or remove it? I hate having to scroll sideways to read comments.
Could you pls re-size your chart or remove it? I hate having to scroll sideways to read comments.