Is Scalping or High Frequency Trading Less Risky?
- Thread starter aeliodon
- Start date
trendo,
If you PM me....I will tell you....don't want to do it in the forum.
Average number of trades per day....varies....depending on how many Scalp trades and Trend trades it takes to reach my Net Daily Goal.
On tight Range days....I may have 30 to 50 Scalps....at 4 contracts each. On a good Trend day....I may have just a few Scalps....and a good Trend or two. Sometimes there is a short Trend....then Range....then Trend....etc....in this case....more Scalps. Regardless of the combination....once I reach my NDG....I stop trading....could be in 30 minutes....could be a few hours.
A month or so ago....I did a couple of Webinars for the Broker I use....it was a two part series. First part was about Identifying a True Break Out of a Range Condition....Second part was how to Trade (Scalp) within the Range. I do a lot of Scalping when Price Consolidates (Ranging)....some of my best trades. Actually....I look forward to Price going into a Range....but I used to lose money when that happened....now I just Scalp within the Range....and wait for the True Break Out into a Trend. Once the Trend starts....I switch from Scalping to Trend trading.
Good trading to you.
Bill
VSTscalper
Anyone want to talk about the logistics of bracket trading?
An edge taken from a HFT-timeframe is very viable, as mentioned previously.
Though, it is vulnerable to changing markets and others.
Unfortunately, I can see from previous posts that most traders are under-capitalized and they are required to take more risk than they should be in portfolio terms. I've been there and we all need to take a chance.
My suggestion... trade discretionary. Most don't have the required capital and resources to fully utilize the HFT. (Most system developers are failed-discretionary trades and that's another problem for ET system developer crowd/population... )
Also, most hedge funds are not HFT oriented. Start another thread if you want to debate on this, it's off topic... and just because they're hedge funds (I run a fund), it doesn't mean we're always right/top notch/top dog/doing the right thing.
Finally, don't presume your experience's logic/rationalism to be right. Always, "TEST EVERYTHING". Before this, all debate is irrelevent.
Good trading.
Though, it is vulnerable to changing markets and others.
Unfortunately, I can see from previous posts that most traders are under-capitalized and they are required to take more risk than they should be in portfolio terms. I've been there and we all need to take a chance.
My suggestion... trade discretionary. Most don't have the required capital and resources to fully utilize the HFT. (Most system developers are failed-discretionary trades and that's another problem for ET system developer crowd/population... )
Also, most hedge funds are not HFT oriented. Start another thread if you want to debate on this, it's off topic... and just because they're hedge funds (I run a fund), it doesn't mean we're always right/top notch/top dog/doing the right thing.
Finally, don't presume your experience's logic/rationalism to be right. Always, "TEST EVERYTHING". Before this, all debate is irrelevent.
Good trading.
E = account equity = 100,000
P = 1% of account equity = 1,000
M = margin per contract(ES) = 500
PP = 1 point per ES contract = 50
P/PP = 20 contracts fluctuate @ 1 pt = 1% value acct fluctuations
20 * 500 = 10,000 in margin required
#contract ES points(stoploss) 1%ESpoints 1% acct equity
20 1 20 1000
10 2 20 1000
8 2.5 20 1000
5 4 20 1000
Using drift to calculate appropriate stop loss and quantity viable to trade for risk exposure.
If your trading 8 ES contracts, and the resolution your able to attain is 2.5 ES points(stop loss), and your TP is 2.5 points. Your goal is to make 1% on account equity per trade which is 20 points.
The assumption is the drift in the timeframe your looking at is less then 2.5 ES points.
Your taking advantage of directional drift. And entries are only at the outliers in the 'drift channel'.
260 trading days. If your successful 55% of the time, your up 143K, but would be down 117K, your returns would be 26% per year.
When you register a 1% loss you stop for the day. When you register 1% win, you could keep going till you lose 1% for the day. If you shift your TP even by an extra .5 ES points thats a extra 200 dollars or an extra 28.6K, your returns would be 54% per year.
P = 1% of account equity = 1,000
M = margin per contract(ES) = 500
PP = 1 point per ES contract = 50
P/PP = 20 contracts fluctuate @ 1 pt = 1% value acct fluctuations
20 * 500 = 10,000 in margin required
#contract ES points(stoploss) 1%ESpoints 1% acct equity
20 1 20 1000
10 2 20 1000
8 2.5 20 1000
5 4 20 1000
Using drift to calculate appropriate stop loss and quantity viable to trade for risk exposure.
If your trading 8 ES contracts, and the resolution your able to attain is 2.5 ES points(stop loss), and your TP is 2.5 points. Your goal is to make 1% on account equity per trade which is 20 points.
The assumption is the drift in the timeframe your looking at is less then 2.5 ES points.
Your taking advantage of directional drift. And entries are only at the outliers in the 'drift channel'.
260 trading days. If your successful 55% of the time, your up 143K, but would be down 117K, your returns would be 26% per year.
When you register a 1% loss you stop for the day. When you register 1% win, you could keep going till you lose 1% for the day. If you shift your TP even by an extra .5 ES points thats a extra 200 dollars or an extra 28.6K, your returns would be 54% per year.
260 trading days. If your successful 55% of the time, your up 143K, but would be down 117K, your returns would be 26% per year.
When you register a 1% loss you stop for the day. When you register 1% win, you could keep going till you lose 1% for the day. If you shift your TP even by an extra .5 ES points thats a extra 200 dollars or an extra 28.6K, your returns would be 54% per year.
Most people can't live on 26K per year. And most can't trade full time. Multiply acct equity by 10 and you would need a minimum of a million dollars to make 260K per year.
Calculate the number of trading days you have available for the year. Lets say its 5 weeks. 25 trading days. If you use the same W:L 55:45 (14:11), 14 days you would win, 11 days you would lose. 14K -11K = 3K. Not worth the infrastructure expense and time consumption. Since treasury yields offer around 5% per year. Taking 50K of your trading capital and investing in 1 year maturities would give you 2.5K. 2.5 + 3 = 5.5% still not worth it.
Your risk exposure 3% account fluctuations. 42K - 33K = 12K + 2.5K = 14.4% per year. Better then most hedge funds. If you take consecutive hits of 3% 3 times, your down 9% on account equity. Its very possible that you have 3 losing days in a row. What would a 9% loss do to your psychology? What if your making risk free 1% acct fluctuations per day. Is it really worth trading, when your making 235K when your not trading. And making 5.5K the 25 days your not. It really isnt worth it. You would need to shift to 10% account equity fluctuations. Then you would make 30 % per year on just trading.
10% is 10,000
10,000 / 50 = 200 points
200 points with 2.5 resolution = 80 contracts.
Can you afford to lose 10K on a given day when your making 230K the whole year?
So what it comes down to is, unless your good at trading, trading is really not worth it, your just spinning your wheels, unless your doing it for entertainment. And your TP:SL is greater then 1:1, and your W:L is greater then 1:1.
When you register a 1% loss you stop for the day. When you register 1% win, you could keep going till you lose 1% for the day. If you shift your TP even by an extra .5 ES points thats a extra 200 dollars or an extra 28.6K, your returns would be 54% per year.
Most people can't live on 26K per year. And most can't trade full time. Multiply acct equity by 10 and you would need a minimum of a million dollars to make 260K per year.
Calculate the number of trading days you have available for the year. Lets say its 5 weeks. 25 trading days. If you use the same W:L 55:45 (14:11), 14 days you would win, 11 days you would lose. 14K -11K = 3K. Not worth the infrastructure expense and time consumption. Since treasury yields offer around 5% per year. Taking 50K of your trading capital and investing in 1 year maturities would give you 2.5K. 2.5 + 3 = 5.5% still not worth it.
Your risk exposure 3% account fluctuations. 42K - 33K = 12K + 2.5K = 14.4% per year. Better then most hedge funds. If you take consecutive hits of 3% 3 times, your down 9% on account equity. Its very possible that you have 3 losing days in a row. What would a 9% loss do to your psychology? What if your making risk free 1% acct fluctuations per day. Is it really worth trading, when your making 235K when your not trading. And making 5.5K the 25 days your not. It really isnt worth it. You would need to shift to 10% account equity fluctuations. Then you would make 30 % per year on just trading.
10% is 10,000
10,000 / 50 = 200 points
200 points with 2.5 resolution = 80 contracts.
Can you afford to lose 10K on a given day when your making 230K the whole year?
So what it comes down to is, unless your good at trading, trading is really not worth it, your just spinning your wheels, unless your doing it for entertainment. And your TP:SL is greater then 1:1, and your W:L is greater then 1:1.
if your using 10% account fluctuations on 100K, you would net 260K per year, and you can quit your day job.
If your just a intraday trader. How do you increase W:L above 1:1 , and achieve greater then 1:1 in TP:SL?
What setups increase the probability that your SL isn't hit first before your TP?
What factors increase your W:L win days: loss days ratio?
If your just a intraday trader. How do you increase W:L above 1:1 , and achieve greater then 1:1 in TP:SL?
What setups increase the probability that your SL isn't hit first before your TP?
What factors increase your W:L win days: loss days ratio?
if you can make 1.2% per day greater then 50% of the time. You can start a fund. if DD(drawdown) is less then 10%, consecutive hits are minimized to less then 10 in a row or even better less then 5 in a row, money will flow into your fund.
26% return per year is twice what the average hedge fund attains. If your consistently making 26% per year and have it audited by a reputable firm, money will flow in.
a 100 million dollar fund would be making 26 mil, 20% incentive fee is 5.2 mil per year and 1% management is 1 mil = 6.2 mil per year in management takeout.
A 100 million dollar fund 1 % is 1 million dollar fluctuations. Or with 2.5 ES point resolution is 8000 contracts. What happens to the ES price when you send a order for 8000 contract fill? You can shift the price by a few points. In the larger pit 1000 lots are bought by institutions. Larger pit traders trade 100 lot increments.
So institutions cant unload unless the price shifts 10 points. The slippage itself will be couple points.
26% return per year is twice what the average hedge fund attains. If your consistently making 26% per year and have it audited by a reputable firm, money will flow in.
a 100 million dollar fund would be making 26 mil, 20% incentive fee is 5.2 mil per year and 1% management is 1 mil = 6.2 mil per year in management takeout.
A 100 million dollar fund 1 % is 1 million dollar fluctuations. Or with 2.5 ES point resolution is 8000 contracts. What happens to the ES price when you send a order for 8000 contract fill? You can shift the price by a few points. In the larger pit 1000 lots are bought by institutions. Larger pit traders trade 100 lot increments.
So institutions cant unload unless the price shifts 10 points. The slippage itself will be couple points.