High Frequency Trading - Hype or Substance?
- Thread starter CPTrader
- Start date
I suppose my average of under 1 trade a day on the index futures does not qualify me as a high frequency trader 
Anyway, I know a number of successful scalpers (20 - 100 trades a day) who are consistently earning a living on a high frequency basis, so I am not gonna slam the concept...
Anyway, I know a number of successful scalpers (20 - 100 trades a day) who are consistently earning a living on a high frequency basis, so I am not gonna slam the concept...
MacroEvent wrote:
"<b>My trading is kind of high frequency in the futures with either a profit fill order or an new entry order every 1 point level in the es sp mini. No mater what price is doing in the es at each 1 point level I have short and long orders pending---------buy to covers, sell to covers, new long orders, or new short orders. As price moves up and down on a daily basis my ratio between my short and long positions constantly changes........</b>"
Macro - are you still trading this? As best I understand your method of trading, it seems to be a short volatility (mean reversion/option selling, etc) type of strategy with a martingale element embedded into it.
What do you do with the accumulating unrealized losers? It seems like in a period of prolonged trending (accentuated by large directional moves), you can easily blow up (or build substantial loses). I simulated your approach (from what I could gather) and it did poorly in the late 90s and during the Bear market of 2000-2002 (as expected). You must have some other signal you are relying on - pure position sizing won't give you a true edge. Like with any martingale strategy, the drawdowns could be huge and provided no artificial limits are hit (forcing liquidation) the capital requirements needed to withstand the drawdown make the resulting returns unattractive. In terms of the mean reversion element, you can probably do better by avoiding the costs associated with frequent trading (i.e. average down less frequently). I don't mean to be critical of your strategy, just trying to understand it (and sharing my concerns in the process). Thanks for posting.
Regards!
"<b>My trading is kind of high frequency in the futures with either a profit fill order or an new entry order every 1 point level in the es sp mini. No mater what price is doing in the es at each 1 point level I have short and long orders pending---------buy to covers, sell to covers, new long orders, or new short orders. As price moves up and down on a daily basis my ratio between my short and long positions constantly changes........</b>"
Macro - are you still trading this? As best I understand your method of trading, it seems to be a short volatility (mean reversion/option selling, etc) type of strategy with a martingale element embedded into it.
What do you do with the accumulating unrealized losers? It seems like in a period of prolonged trending (accentuated by large directional moves), you can easily blow up (or build substantial loses). I simulated your approach (from what I could gather) and it did poorly in the late 90s and during the Bear market of 2000-2002 (as expected). You must have some other signal you are relying on - pure position sizing won't give you a true edge. Like with any martingale strategy, the drawdowns could be huge and provided no artificial limits are hit (forcing liquidation) the capital requirements needed to withstand the drawdown make the resulting returns unattractive. In terms of the mean reversion element, you can probably do better by avoiding the costs associated with frequent trading (i.e. average down less frequently). I don't mean to be critical of your strategy, just trying to understand it (and sharing my concerns in the process). Thanks for posting.
Regards!
Is Macroevent still around to reply to the last question?
The dual directional aspect is contained within zones, as the price proves a directional measured bias only one account remains active. My main filter for trade initialization of the dual directional zone is a parsed volume/price divergence. Feb sell off day I was short for a very long time after the dual directional zone was transitioned to single directional, second most profitable day for me this year.
Great !
Is having 1 elevator the same as 2 in a building?
Different number of passengers can access
different combination of levels at all times with 2.
Everyone going up at multi-levels have to wait for
everyone going down to clear before entering the
lift with 1.(Or you can enter first knowing well it
is going down and spend more time/chance getting
stuck in the lift
)Quote from scalpmaster:
Is having 1 elevator the same as 2 in a building?
Different number of passengers can access
different combination of levels at all times with 2.
Everyone going up at multi-levels have to wait for
everyone going down to clear before entering the
lift with 1.(Or you can enter first knowing well it
is going down and spend more time/chance getting
stuck in the lift
There's nothing wrong with swaps.