Help with Mixing Timeframe

Quote from Redneck:

Mr 99,

You interest me Sir – though why I’m not exactly sure

Been here 11 1/2 years

Former quant turned trader (your post dated June 21, 02)

Traded prop and institutional (posted same date)

And yet here you are…., trading for fun

You bullshitting us.., or yourself

RN
More...

Good investigative work. It's all true. I was a quant(mostly multi-factor equities modeling for institutional money managers). I used S-Plus, R, Barra, MSCI, Vision(esoteric OO db), etc. Standard institutional tools(except for Vision where I used at only one shop). They trade on a much longer timeframe.

I found the work kinda boring. Then I went into trading. Both at prop(Worldco,Echo, and a few others). Realized I suck at daytrading.

I briefly worked as a trader at a startup quant hedge fund in NY. Didn't like NY that much. I should have sticked with it, because the owner sold it for a nice sum years later to Citadeal. Don't want to give out too much details. If you are in biz you would know. Went back home and switched industry to something more stable because I got into a relationship and now married and we recently had a cute baby girl.

Now, I work in an ENTIRELY DIFFERENT industry. Not even financial related. Still enjoy a nice salary with a very big stable company. So trading on the side is for fun and some small profits.
Hoping that if I get good enough perhaps those small profits will become big profits over time. Who knows.

I have an old IRA account that I trade tax deferred. It has no bearings on my livelihood. I don't qualify to put any more money in the IRA anymore due to income bracket limitations. But it's an old account. I just use it to swing and daytrade a little in the morning before I go to work and afterhours at night. That gives away what timezone I'm in. :)

I'm up 66% for the year, albeit on an extremely small IRA test account. I was up 93% until yesterday.

I don't post that much. Once in a while. I still have an interest(as evident by my swing and small daytrades on the side) in the market. But it's no longer my career choice. There has been a mass exodus from finance. It's no longer the "it" place to be. No longer hip or cool for a number cultural and other reasons.

Any questions?
 
Quote from trader99:

FUDGE!!! I just did it again. My next trade after I posted this WIPED out my ENTIRE intraday scalping profits and SOME. All because I didn't cut my losses on an intraday basis because I was looking at the daily chart. Stupid mixing time frames again!

HELP?!!!
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Actually, I didn't take that loss. I held on overnight due to my daily charts. And it came all the way back. I got out at a small profit rather than take the intraday hit! Whew!

But irony would have it I decided to trade CL yesterday morning after a harrowing recovery. Didn't read the news. Whoosh! Cut losses fast(lost like $200). Nothing big deal.

Then I went to work and took a peak at my IB acct. WTF?! Apparently, I had a rest sell order that I forgot to clear. So, I thought I was flat. But instead I was short CL way down there. By the time I got to work and log in, I was down a lot. doh!

Maybe I was really tired with baby waking up at night.

Painful lesson. Check IB resting orders and clear them before I go to work.

Perhaps, it's the trading gods telling me to stop screwing around with the intraday stuff and stick with the daily charts. lol
 
Quote from trader99:

Good investigative work.

Any questions?
More...


Just a hunch, interspersed with a little due diligence
==============

As to questions;

I have none
=============

A thought though;

Before anyone can assist, you’ll first need to help yourself

Good trading

RN
 
Quote from Redneck:

Help w/ mixing timeframes – my ass

No matter how one chooses to slice n dice it – its all the same exact time – and all the same exact buying and selling

You can’t mix timeframes
=================================
First time I’ve tried explaining it this way, so if it fails to come across – feel free to blame me

Time;

Is one long and never ending continuum

Take two people with stop watches

They both start them at the exact same point in time

One stops his at 30 seconds / the other person stops hers at 60 seconds

Meanwhile time continues on

For the first 30 seconds – they both have an identical view of time

For the remaining 30 seconds – the second person has a bigger/ more comprehensive snapshot of time – although obviously nowhere near a complete picture

More...

what if we can create a wormhole to the 3rd dimension?
 
Quote from trader99:


What should I do?

1) Just stick with what works - swing trading though my entries are initially "horrible." But this tells me exits are what's important. When you exit is what makes you money.

2) Try to refine my entries and exits on my swing with some intraday trading. But my track record on intraday basis is not so great. Though it improved a bit.

3) ???
More...

Do more of what works and less of what doesn't work. However, if you find yourself bored waiting between swing trades, then refine intraday on sim, until you've a proven edge.
 
Quote from trader99:

Good investigative work. It's all true. I was a quant(mostly multi-factor equities modeling for institutional money managers). I used S-Plus, R, Barra, MSCI, Vision(esoteric OO db), etc. Standard institutional tools(except for Vision where I used at only one shop). They trade on a much longer timeframe.

I found the work kinda boring. Then I went into trading. Both at prop(Worldco,Echo, and a few others). Realized I suck at daytrading.

I briefly worked as a trader at a startup quant hedge fund in NY. Didn't like NY that much. I should have sticked with it, because the owner sold it for a nice sum years later to Citadeal. Don't want to give out too much details. If you are in biz you would know. Went back home and switched industry to something more stable because I got into a relationship and now married and we recently had a cute baby girl.

Now, I work in an ENTIRELY DIFFERENT industry. Not even financial related. Still enjoy a nice salary with a very big stable company. So trading on the side is for fun and some small profits.
Hoping that if I get good enough perhaps those small profits will become big profits over time. Who knows.

I have an old IRA account that I trade tax deferred. It has no bearings on my livelihood. I don't qualify to put any more money in the IRA anymore due to income bracket limitations. But it's an old account. I just use it to swing and daytrade a little in the morning before I go to work and afterhours at night. That gives away what timezone I'm in. :)

I'm up 66% for the year, albeit on an extremely small IRA test account. I was up 93% until yesterday.

I don't post that much. Once in a while. I still have an interest(as evident by my swing and small daytrades on the side) in the market. But it's no longer my career choice. There has been a mass exodus from finance. It's no longer the "it" place to be. No longer hip or cool for a number cultural and other reasons.

Any questions?
More...

if you were a quant before and know your stuff, then why are you doing discretionary trading? do you not believe in quantitative methods? or were you just doing as you were told, writing code / doing analysis without actually trading or thinking about the bigger picture?
 
Quote from trader99:

What should I do?

1) Just stick with what works - swing trading though my entries are initially "horrible." But this tells me exits are what's important. When you exit is what makes you money.

2) Try to refine my entries and exits on my swing with some intraday trading. But my track record on intraday basis is not so great. Though it improved a bit.
More...

It's possible I'm missing something - but it seems to me that you have tons of room to improve your entries using only the swing trading charts, without zooming straight from the weekly down to the intraday. If you get "horrible" entries on swing trading charts, what makes you think you would get better ones by using a faster, much noisier intraday chart?

Incorporating the intraday into a swing-trading system is what you do when you can already consistently nail swing entries on the slower charts, and you want to gain extra edge by reacting faster or getting more precisely timed entries. In other words it's for further refining an already sharp edge, not trying to salvage a dull one.
 
Quote from ssrrkk:

if you were a quant before and know your stuff, then why are you doing discretionary trading? do you not believe in quantitative methods? or were you just doing as you were told, writing code / doing analysis without actually trading or thinking about the bigger picture?
More...

ssrrkk:

That's a good question. The "quant" stuff I did was for extremely long term investment models. It's not quite applicable to swing or daytrading. There are many different "types" of quants. Not all quants work on HFT though I did sit next to the high freq traders when I am at the NY hf.

But the quant I was doing was more fundamental driven quant. Earnings revision. Momentum. Reversals. Models based on MONTHLY and QUARTERLY data with monthly rebalancing.

Many institutional quant firms employ this stuff. The signals are not even weekly. So, these types of models are usually pretty difficult to replicate on a retail basis without subscribing to expensive institutional fundamental data. Also, you need a big account size to make the long term investments to be effective. If you want to compound a small account fast, then the only way is to trade it. At least that's how I see it once you are on the other side(retail).

I went the daytrading route seeking excitement and quick wins. But it was a net loser for me.

For intradays and swing trading, I use exclusively TA. No fundamentals. So the multi-factor equity models I'm accustomed to do not apply in this space.

I've been thinking to apply my old quant skills toward TA. Don't want to build things from scratch. I looked at several retail platforms and software packages for backtesting,etc. That's a totally different can of worm.

I'm sure it's probably worth it to spend the time to write trading system code,etc. But the problem is data quality. I know you can use NT for "free" for backtesting. But you still need to get high quality data.

When I was a quant, we subscribed to very expensive and high quality institutional grade data. I'm not sure if I can trust the free stuff one can download off the net to base trading decisions off.

I'll definitely look more into this
 
Quote from Specterx:

It's possible I'm missing something - but it seems to me that you have tons of room to improve your entries using only the swing trading charts, without zooming straight from the weekly down to the intraday. If you get "horrible" entries on swing trading charts, what makes you think you would get better ones by using a faster, much noisier intraday chart?

Incorporating the intraday into a swing-trading system is what you do when you can already consistently nail swing entries on the slower charts, and you want to gain extra edge by reacting faster or getting more precisely timed entries. In other words it's for further refining an already sharp edge, not trying to salvage a dull one.
More...

Specterx:

I'm not sure I understand your contentions completely. So, I'll explain my position and perhaps you can correct me if my understanding of TA is wrong. TA is quite interesting to me though EMT tells you chart patterns shouldn't work. But chart patterns DO work in some sense. Consistency is another issue.

Anyhow, so after doing fundamental quant for a while, I ventured into TA. Reading some books and mostly watching markets. Then I became fascinated by this new retail vista so to speak. So different.

So, I use daily charts for swing trading. The "patterns" I used are based on my losing daytrading days. I must have pored over hundreds if not thousands of charts during that time period. And I've internalized a few patterns.

THe reason why I said I think an intraday chart would help is let's say I see this daily chart pattern. Looks good. Let's enter it somewhere at this bar. I don't have a price I know I should enter. I think that will take some further TA and/or quantitative/analytical investigations.

But I'm usually right about that bar or a few bars close by on a daily basis. So, I just wait. Then a few days later, the trend follows through. Not bad. But many times I have to sit through some HARROWING initial loss just to see my eventual pattern to follow through.

So, there are several things here:

1) For the patterns that I "nailed" it to the single daily bar, then it seems worth to get better timing entry on intraday basis. Using RSI or whatever.

2) For the patterns that I'm close(a few daily bars off), I can either be better at recognizing the pattern and nail it to one day, which isn't always possible I think. Or what?

Perhaps you TA mavens can point me the way. I'm interested in this TA world. And I'll figure ways to quantify this better and use some retail platform. Maybe retail platforms aren't that bad(??)

I think the normal swing traders just call that "noise" and sit through it. Put on their stops and leave it at that. But since I screw around with a few daytrades along my core swing trade positions it cause a lot of problems.

I still think there are values in mixing TF if the mixing can get you more precise entries and exits.

Any swing traders trading off of daily charts can suffer some horrendous pullbacks based on just daily bar. They can exit and preserve more profits if they know how to use the intraday chart better.

But how? Or is that part of the holy grail? hehe.
 
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