Great reference----------thank you for that link!
High Frequency Trading - Hype or Substance?
- Thread starter CPTrader
- Start date
Hi Macro,
It is wonderful to see someone using an unconventional method successfully - especially on these boards. This technique itself has been around for a while though. The following was written more than a hundred years ago (around 1895) by Charles Dow (founder, Wall Street Journal).
"Catching the Fluctuations-
During a "Traders' market:, or a market without any pronounced trend one way or the other, any active stock will move over certain points dozens of times. The plan is to place a net that will catch these daily fluctuations. Buy 100 shares of, say, St. Paul, at the market price, and 100 more every half point up or down, but don't hold more than a 100 at a time at the same figure, and don't accumulate more than 600 shares altogether. Treat every purchase as a separate transaction, and whenever a profit of one point net is shown , sell that 100 shares, buying back on a one point reaction, When a purchase and sale are both indicated at the same figure, do nothing - simply hold that 100 shares, but for convenience assume that 100 has been sold and 100 bought. If St. Paul should keep on going up without a reaction, you would thus always be long 200 shares. Don't get frightened because of a temporary downward tendency. The fluctuations are what bring you profit. Great care must, of course, be taken not to work this system on the bull side if the general trend is downward, or on the bear side if the trend is upward."
Several variations of the above general method are being used in the ES market. An Exchange member of CME I met last year was using a very similar method and doing as much as 8K to 10K roundturns per day. He, though, viewed his method as an attempt to 'make the spread'.
Good Luck to you.
Last few questions:
By end of day ratio do you mean that required to stay within the margin requirements or do you use some specific formula -- i.e. want to end near market neutral or some particular bias for the next day.
Finally, what's to stop you from just taking a net position throughout the day and saving on commissions?
I appreciate your taking the time to describe the approach.
Thanks,
Sam
Your ratio of fractal durations (30/5) is good (B+); for the same purposes, try using the 15 and 2 for a ratio of (15/2).. This will shift your timing ahead. What I mean it that you will make the same set of decisions but they will be made sooner than before.
There are three threads here now: this one; the clininical hypnothreapy one (crying..etc) and the trends stuff that collectively show how persons who are able to entertain with a depth of understanding and can get past being "too smart" and really be able to consider how one "grows" to be able to, optimally, take out of the market what is being offered by the market.
The salient ingredients involve:
1. Knowing concurrent independant trades are required; the trades must be able to run independantly of each other so no netting of positions is taking place.
2. All measures of performance are focused upon return of total leveraged capital being in the market at all times (Thus, edge trading is passe and not a possibility for makng money).
3. The mind and its growth, maintenance and repair is a 24/7 obligation based upon the fact that there is no alternative. Your subconscious mind works all the time and, particularly, when you sleep. Its function is to "organize" your immediate past EXPERIENCE into the subconscious belief system your life has given you. Imagine going from "edge trading" to continuous seamless trading where coordinated independant accounts continuously extract money as price change occurs.
4. Knowing that all sensory inputs are continually paired with the emotions (and the biochemical generation of what "greases" the
facile operation of the mind and/or blocks you from thinking about that which endangers you).
Very interesting comment here. I have found that when my position trading bias changes, it can change into either a reversal OR congestion. If its a reversal, the position trade works out great and I continue to scalp in the direction of the reversal. If its congestion, then I can scalp a little in my position biased direction and the day will still end up a little positive as I am essentially buying down and exiting when a more favorable swing comes in. More often than not I can wait in a lateral trend to exit my position trade at a minor loss.
After congestion comes a BO and then the whole process above starts again.
My trading methodology in 2 paragraphs.
LMeyers----------------- I will VERY VERY gladly pay truckloads of commissions because every time I complete a round turn it is at a 1 point or better profit return---------------the MORE commissions I am paying is the requirement to accumulate additional profits. As the system has grown {more and more round trips} the lower my commission rate has been reduced--------so now I am keeping more and more profits on a per trade basis. Worry about how your system makes profits and please do not worry about truckloads of commissions, the focus is all wrong if your first reaction is a worry of excessive trade costs.
The more my monthly commission costs increase {as a result of more round turn trades then the previous month} my profit side returns are increasing more--------------this is a good trend!
If someone said to you, give me a dollar and I will give you fifty dollars back-----------how many times a day would you want to do this------------- once, or three hundred times? I will spend the $300 that day to gain $15,000 as this math is simple.
If your focus and time is the development of a good system, the commissions will take care of themselves---------that is my experience.
The more my monthly commission costs increase {as a result of more round turn trades then the previous month} my profit side returns are increasing more--------------this is a good trend!
If someone said to you, give me a dollar and I will give you fifty dollars back-----------how many times a day would you want to do this------------- once, or three hundred times? I will spend the $300 that day to gain $15,000 as this math is simple.
If your focus and time is the development of a good system, the commissions will take care of themselves---------that is my experience.
Sam--------- A net position {if you picked the right direction that day----IF!} will rarely on a daily basis beat a system that literally profits from almost every single gyration of price movement during that day. There is more potential POINTS of profit stored in every single candlestick and every little fluctuation of price movement then there is in most trends from beginning to end during the day. Price moves so erratic through out the day that every little fluctuation has the potential for profits and the only way I have found to take advantage of this, is to be in both sides of the market at all times.
Sam---------- I pull off any extra contracts that I played intraday just prior to the close to be within a formula of the ratio I need to be at for the current price level at that decision time. So yes it is a formula that I use to get my overnight position set properly for the ratio at the current price level when the market closes.
Sam---------- I pull off any extra contracts that I played intraday just prior to the close to be within a formula of the ratio I need to be at for the current price level at that decision time. So yes it is a formula that I use to get my overnight position set properly for the ratio at the current price level when the market closes.
ForrestGump---------- Yes this has been around for some time, and I know of many places where it is being done on a scale that I am no where near yet. I can't wait to pay those levels of commissions!