Thanks. I appreciate the detail of the reply. I thought it must be something like that but wasn't certain. The cross-margining is esp. interesting.
High Frequency Trading - Hype or Substance?
- Thread starter CPTrader
- Start date
Thanks. I appreciate the detail of the reply. I thought it must be something like that but wasn't certain. The cross-margining is esp. interesting.
One still has to buy low and sell high to make this system work, so it's not free money folks!
Nitro--------- yes many futures brokers can do this.
T4S---------- good point as the starting point for this method is very important. You could start this modified on any day but waiting to start right at the best price level is very important to getting off on the right track from the start. 1170 to 1160 levels for the es would be an excellent starting point for the current 50 to 50 level I have.
I would also suggest to use an FCM for this directly instead of using an IB broker---------- you want to have a good broker with good customer service to handle this without hassles or problems.
Some of the FCM's out there are like TransAct, Man, Velocity, etc.
Avoid brokers like Tradestation------trust me on this one----hahaha!
T4S---------- good point as the starting point for this method is very important. You could start this modified on any day but waiting to start right at the best price level is very important to getting off on the right track from the start. 1170 to 1160 levels for the es would be an excellent starting point for the current 50 to 50 level I have.
I would also suggest to use an FCM for this directly instead of using an IB broker---------- you want to have a good broker with good customer service to handle this without hassles or problems.
Some of the FCM's out there are like TransAct, Man, Velocity, etc.
Avoid brokers like Tradestation------trust me on this one----hahaha!
Hi MacroEvent,
What kind of returns per annum are you looking for in this type of trading and what kind of drawdown is anticipated? Just curious. A rough figure will do.
The success of your system still depends on your ability to recognise trend days and "delay" your profit taking and also your averaging, right? How do you determine whether you take profits at 1 point or wait for higher profits?
Also, what do you mean by the cost basis moving further out? Do you mean taking into accounts realised profits every day and move your buy costs for existing positions down and your sell costs up?
Thanks
Loosenup--------------- First off, the system does not need to do anything special on trend days and that is very important or this system would have a big weakness in my opinion. If you have a big price swing like Thursday then sure I will try to take advantage off this, but I do not need to for robustness of returns.
What I was looking for when I started to develop this ratio non-linear trading method was three primary points.
1. I wanted to have a system that could return 3% a month or more on the account balance.
2. I wanted to not "need" the market to go any particular direction on a daily basis.
3. I wanted a method that would benefit from growing position size and not be hindered by this------ I did not want the system to degrade in performance from an increase in position sizing.
Running the short and long cost basis away from the current actual trading range is a function of the way I trade all the intraday constant up and down 1 point profits that continually accumulate----------you would have to watch me for 30 minutes to see what I am talking about, then it would make perfect sense.
What I was looking for when I started to develop this ratio non-linear trading method was three primary points.
1. I wanted to have a system that could return 3% a month or more on the account balance.
2. I wanted to not "need" the market to go any particular direction on a daily basis.
3. I wanted a method that would benefit from growing position size and not be hindered by this------ I did not want the system to degrade in performance from an increase in position sizing.
Running the short and long cost basis away from the current actual trading range is a function of the way I trade all the intraday constant up and down 1 point profits that continually accumulate----------you would have to watch me for 30 minutes to see what I am talking about, then it would make perfect sense.
Macro,
I have never really considered trading in this manner before -- ES/NQ, TED, whatever certainly but not a "market making" style.
Can you offer some pointers as to where I might learn more about the in's and out's of the style? I'm not interested in the details of what you are doing per se but rather what the concept is in general.
From what you say, it seems that you don't have a position on market direction. But I find it hard to see how you could put positions on and take them off without some sense of direction.
Thanks,
Sam
I am currently working on an ES system that does a simliar thing. I look on the daily timeframe to find what would probably be the most likely outcome for the day. Then I use the 30 minute timeframe to determine which way I should take my position trade and scalps. Then I look at the 5 minute and buy pullbacks within my overall position trade to scalp within my position. The key thing is determining when to switch ones position trade direction. You have to get callibrated to the volume of the 30 min and 5 min timeframe along with an absolute indicator.
I think its best to look at the big picture and try to firgure out how the small timeframe influences the longer timeframe.
This is my ultimate goal. Its a work in progress.
I think its best to look at the big picture and try to firgure out how the small timeframe influences the longer timeframe.
This is my ultimate goal. Its a work in progress.
ssternlight----------- Today both my short and long side made booked profits, but what was todays direction------ a little down, some sideways, a nice move up, a little down. My system picks the direction of the market on a macro basis by the ratio----------the higher the daily price levels the more the short side is accumulating positions and just the opposite when the market moves downward. Of course I look at these ratio's in relation to where I have my daily chart fib levels plotted.
On strong intraday trends I am playing one side heavier then the other side based on the indicators I use. At the end of each day though, if I have played the long side real heavy intraday, I must make sure my ratio is in line just prior to the cash session close. For instance, yesterday I had to close out extra longs to be at my proper ratio right at the end of the day. Actually there has been numerous days in the past several weeks where I have had to close out extra positions because of very strong trends running to the finish of the day.
There is several different techniques that I use to move both sides cost basis away from the current trading range-------- but the primary event that moves the cost basis up for the shorts and down for the longs is the way I trade all the constant intraday up/down 1 point profit covers---------some of this is done with the play of position size at these levels and some of it has to do with what gets covered when---------but 1 point of profit is the minimum I take per trade when handling the intraday repetitive trades.
See the "direction" of the day is not always clearly defined or what is the primary means to collecting profits day after day. Daily direction is at times the wrong focus or the wrongly weighted focus for a trade system--------- again I have to comeback to the power of the repetitive and constant intraday price movement within each candlestick and within each intraday trend.
ssternlight--------- I really do not know of specific references for this method, it is just what I have gravitated too from frustration with the limitations of linear based trading----------getting into a trade with a target and a stop, then "needing" the market to go a specific direction to claim profits for that individual trade. Apparently this is what some traders call non-linear trading, so maybe under NON-LINEAR in google there is some additional ideas for this--------not sure though?
On strong intraday trends I am playing one side heavier then the other side based on the indicators I use. At the end of each day though, if I have played the long side real heavy intraday, I must make sure my ratio is in line just prior to the cash session close. For instance, yesterday I had to close out extra longs to be at my proper ratio right at the end of the day. Actually there has been numerous days in the past several weeks where I have had to close out extra positions because of very strong trends running to the finish of the day.
There is several different techniques that I use to move both sides cost basis away from the current trading range-------- but the primary event that moves the cost basis up for the shorts and down for the longs is the way I trade all the constant intraday up/down 1 point profit covers---------some of this is done with the play of position size at these levels and some of it has to do with what gets covered when---------but 1 point of profit is the minimum I take per trade when handling the intraday repetitive trades.
See the "direction" of the day is not always clearly defined or what is the primary means to collecting profits day after day. Daily direction is at times the wrong focus or the wrongly weighted focus for a trade system--------- again I have to comeback to the power of the repetitive and constant intraday price movement within each candlestick and within each intraday trend.
ssternlight--------- I really do not know of specific references for this method, it is just what I have gravitated too from frustration with the limitations of linear based trading----------getting into a trade with a target and a stop, then "needing" the market to go a specific direction to claim profits for that individual trade. Apparently this is what some traders call non-linear trading, so maybe under NON-LINEAR in google there is some additional ideas for this--------not sure though?