I feel the entry is also critical

[Jayford]

Quote from Trend Fader:

Just to make it clear...

I have been posting on this site for a few months now... and I have noticed a few things ...

Almost every single person that opened a journal to daytrade was gone in a matter of weeks or months... just an interesting fact...

Personally... all of my friends daytrading have either all quit or started position/swing trading..

--MIKE

That's because most people here don't have much experience trading period. Day trading can bring in very consistent income, but it takes time to learn to do it properly, and I think most people blow up first. Also, many people are trying to day trade stocks which is awfully hard in this environment. Minis have enough volatility and volume however.

I don't believe you should give day trading a bad rep in general as thousands of people day trade for a career. Yes, far more people lose than win, but once you know what you are doing, it can be very consistent money with no overnight risk. BTW, I've been day trading on and off for 15 years, and its my sole source of income. Some guys here have been doing this much longer than I even. I do burn out sitting in front of the monitor all day though, and must occaisionally do something else (never last very long at the something else though).
Jay

Jay

 

[dbphoenix]

Quote from Jayford:

That's because most people here don't have much experience trading period. Day trading can bring in very consistent income, but it takes time to learn to do it properly, and I think most people blow up first. Also, many people are trying to day trade stocks which is awfully hard in this environment. Minis have enough volatility and volume however.

Plus, maintaining a daytrading journal on a daily basis is ultimately boring. You'll note that quite a few people do it until they give up and either quit or take a break, but other people do it until they have a system that works and that they like, after which point there's no longer any need to maintain the journal.

There is also the problem with being successful. All journals are by definition maintained in hindsight. Therefore, if one is successful in his log, he's accused of making up his trades. If he's NOT successful, everyone assumes he's being honest, largely because his struggles (and failures) make them feel better.

Moral: don't draw any conclusions regarding the success or failure of daytraders by perusing journals.

--Db

 

[geringer]

I ran an experiment with a random entry system.

after reading Van Tharp's claim that you can build a successful
trading system using random entry, i thought i would try it.

here is what i did. figuring the movements of the ES intra-day
were a good match for a random entry system. I simulated
trading ther E-mini in MS excel using IB's real time data feed.
Only market orders and $4.80 in commission for each contract traded.

1. flip a coin. heads go long, tails go short.
2. wait until either stop loss or target was reached, then exit.
3. repeat

I reran it numerous times with various stop and target strategies.

Results were HORRIBLE. I tried numerous entry and exit strategies and only 1 in 20 runs were even profitable.

I am not claiming that this was a fully scientifically complete experiment. But that it was my personal experience and observation only.

Here are my conclusions:


1. overtrading kills you
2. market orders are like the "0" and "00" on the roulette wheel.
the odds are immediately against you. you need something to
compensate for this. either wait for the market to come to you with limit orders or a good entry signal that lets you break even
within the first few ticks.
3. random entry is a foolish idea. you have to wait for the right time and right direction to get in, other you are simply flushing money down the drain.


the day i did this was particularly choppy, so i captured a few more days and reran the test. it always lost money.

the one time it did make money, I used a really big stop loss. ($400 on one contract...to give it a lot of breathing room). but that system failed miserably the next three times i ran it.

any thoughts, ideas, or ways to improve the system?

thanks

 

[Trend Fader]

Quote from dbphoenix:



Plus, maintaining a daytrading journal on a daily basis is ultimately boring. You'll note that quite a few people do it until they give up and either quit or take a break, but other people do it until they have a system that works and that they like, after which point there's no longer any need to maintain the journal.

There is also the problem with being successful. All journals are by definition maintained in hindsight. Therefore, if one is successful in his log, he's accused of making up his trades. If he's NOT successful, everyone assumes he's being honest, largely because his struggles (and failures) make them feel better.

Moral: don't draw any conclusions regarding the success or failure of daytraders by perusing journals.

--Db

Nice spin. Let me put it in a different perspective.. I have yet to read a consistently profitable day trading journal anywhere ...

When daytrading stocks.. systems can not be tested because of liquidity concerns and noise movement. The only intraday system that can really be tested are the ones based on futures...

Many people on ET trade futures... they try to scalp a few points here and there... some hold longer than others... In reality the longer you can hold onto the trade and ride the winner the better you will be off.. This lack of ability causes you to have a tremendously low % of killer winners.. which is what you need to succeed. Daytraders are flat into the close.. and huge rallies intraday are difficult to catch.. they are fast and furious... and the big drops are difficult to short because of uptick rule..

Regarding swing trading and holding overnight risk... you just bet very small.. always less than %10 of account per a position at best regardless of what type of position sizing strategy you have... The same risk exists at daytrading.. where you do the opposite and leverage account to one position... you have the occasional horrible fills and server/broker outages.. which can be just as devestating..

 

[Trend Fader]

Quote from geringer:

I ran an experiment with a random entry system.

after reading Van Tharp's claim that you can build a successful
trading system using random entry, i thought i would try it.

here is what i did. figuring the movements of the ES intra-day
were a good match for a random entry system. I simulated
trading ther E-mini in MS excel using IB's real time data feed.
Only market orders and $4.80 in commission for each contract traded.

1. flip a coin. heads go long, tails go short.
2. wait until either stop loss or target was reached, then exit.
3. repeat

I reran it numerous times with various stop and target strategies.

Results were HORRIBLE. I tried numerous entry and exit strategies and only 1 in 20 runs were even profitable.

I am not claiming that this was a fully scientifically complete experiment. But that it was my personal experience and observation only.

Here are my conclusions:


1. overtrading kills you
2. market orders are like the "0" and "00" on the roulette wheel.
the odds are immediately against you. you need something to
compensate for this. either wait for the market to come to you with limit orders or a good entry signal that lets you break even
within the first few ticks.
3. random entry is a foolish idea. you have to wait for the right time and right direction to get in, other you are simply flushing money down the drain.


the day i did this was particularly choppy, so i captured a few more days and reran the test. it always lost money.

the one time it did make money, I used a really big stop loss. ($400 on one contract...to give it a lot of breathing room). but that system failed miserably the next three times i ran it.

any thoughts, ideas, or ways to improve the system?

thanks

Yea.. here is an idea.. why dont you do a random system on the QQQ, SPY, DIA daily bars not intraday bars.. I bet your results will be different. Van Tharp's random system was based on daily bars...

Anything testing intraday.. whether random or not... is very difficult... Intraday is prone to a lot of noise.. especially at the middle of the day...

If you were convinced on testing eminis.. then test from 9:30-11 and 2-4pm..


--MIKE

 

[Kernol]

What would results look like if you switched your target and stop amounts in one of your horrible strategies?

Profitable scalping or beaten up by market orders?

 

[dbphoenix]

Quote from Trend Fader:




Nice spin. Let me put it in a different perspective.. I have yet to read a consistently profitable day trading journal anywhere ...

When daytrading stocks.. systems can not be tested because of liquidity concerns and noise movement. The only intraday system that can really be tested are the ones based on futures...

Many people on ET trade futures... they try to scalp a few points here and there... some hold longer than others... In reality the longer you can hold onto the trade and ride the winner the better you will be off.. This lack of ability causes you to have a tremendously low % of killer winners.. which is what you need to succeed.

Regarding swing trading and holding overnight risk... you just bet very small.. always less than %10 of account per a position at best regardless of what type of position sizing strategy you have... The same risk exists at daytrading.. where you do the opposite and leverage account to one position... you have the occasional horrible fills and server/broker outages.. which can be just as devestating..

That you haven't found a journal of profitable daytrading anywhere doesn't provide a persuasive argument for anything. What's the motivation for maintaining such a journal, unless perhaps one is planning on opening a for-fee chatroom?

As for futures, which is what I trade, I have no interest in scalping. I'm no good at it, therefore there's no profit in it. I prefer to trade trends.

And as for horrible fills and broker outages, I enter using a stop-limit, so no slippage, and I always have my stops in place, so outages are not an issue.

--Db

 

[Jayford]

Quote from Trend Fader:




Regarding swing trading and holding overnight risk... you just bet very small.. always less than %10 of account per a position at best regardless of what type of position sizing strategy you have... The same risk exists at daytrading.. where you do the opposite and leverage account to one position... you have the occasional horrible fills and server/broker outages.. which can be just as devestating..

That's huge risk by day trading standards. I never risk more than 2.5% per trade.

That said, I know some people do very well swing trading. I think it all comes down to the personality of the trader.

Jay

 

[Trend Fader]

Quote from dbphoenix:



That you haven't found a journal of profitable daytrading anywhere doesn't provide a persuasive argument for anything. What's the motivation for maintaining such a journal, unless perhaps one is planning on opening a for-fee chatroom?

As for futures, which is what I trade, I have no interest in scalping. I'm no good at it, therefore there's no profit in it. I prefer to trade trends.

And as for horrible fills and broker outages, I enter using a stop-limit, so no slippage, and I always have my stops in place, so outages are not an issue.

--Db

I trade trends too... intraday trends are more difficult to trade then daily bar trends...

For one thing... daily bar trends... last much longer... like a recent example EBAY, GRMN...

 

[Trend Fader]

Quote from Jayford:



That's huge risk by day trading standards. I never risk more than 2.5% per trade.

That said, I know some people do very well swing trading. I think it all comes down to the personality of the trader.

Jay

I agree 100%.. but I believe the further horizon you go out.. the greater the chance of profitability...

For me.. day trading is too much noise... and long term is too long ...

swing trading combines the best in terms of position sizing, avoiding the intraday noise.. and high frequency of trades,, unlimited profit potential per a trade...



-MIKE