Is there anyone here who has a consistently profitable automated trading system?

[destriero]

If you disagree with my assessment, show me how I'm wrong. Show me how a a huge order showing up, or a huge order that consistently staying in the market, provides an edge. Tell me where I should go long or short based on the liquidity shown.

I'm willing to wait for when you come back... have a good day!

I can't. THAT is your argument (half the time).

 

[NoahA]

I can't. THAT is your argument (half the time).

Well if you feel like there is a better way to analyze what "thick" liquidity is telling us, I'm all ears! But I would bet you would say it completely useless.

 

[murray t turtle]

With day trading, it's generally hard to achieve those higher R/R ratios, though. It becomes easier with swing trading as the moves generally are much larger and you can still enter near extremes.

I won't disagree that it's a good aim to increase your win rate above 50 %, .....It can work well for a time, but eventually that bigger loss that takes away all prior profits comes.

%%
Exactly\;
+ why so many funds do better than daytrading time wise % wise.
One rather well known big blow up occurred because the ago auto system ''did not feel the pain ''LOL. Pain could be a good signal;
i prefer some signals not so crudeLOL
Certain exception apply.

 

[destriero]

Well if you feel like there is a better way to analyze what "thick" liquidity is telling us, I'm all ears! But I would bet you would say it completely useless.

It is useless.

An analogy would be "max pain" in index vol. Futures don't lead cash save for what amounts to 3-10 tick scenarios. You can't exploit that as 1) you won't know what's legit or spoofed and 2) you're fcked as a price taker.

I suppose it doesn't matter (real v spoofed) if the result is the same. TBH it doesn't matter. What is the value of a hedger 40 ticks below the mkt showing 5K? I realize that isn't a true analog to what you're discussing. I don't really care how much time you waste on it. I would suggest trades Rates/spreads/curve-flies.

I know, you think you can read the tape/microstructure and I will tell you that you're 20Y too late. You're asking me to prove that something doesn't exist.

 

[destriero]

You won't listen but you're wasting your time. Have at it.

 

[NoahA]

It is useless

I agree that it's useless, about 75 % of the time. The trick is to figure out when it might work, but this would require major work, something along the lines of what Chris is doing with his algos.

I do think some firms might show heavy liquidity in order to gauge the market, but once again, this isn't something I can take advantage of. We are 20 years too late for this kind of analysis.

 

[virtusa]

Conclusion is that resting orders, on their own, is a coin toss for the retail trader as to which direction the market will go. The person placing that order might have a good reason or a good strategy, but I'm not sure if it helps me put on a profitable trade.

The only thing that counts is the PRICE where the market is filling orders. That's were the profits or losses are generated. Not in the open orders situation.
All orders are filled at the price where the market is, and the fake ones are irrelevant as they are cancelled before the price reaches them. So that's all you need to follow.

So you need to try to understand what direction the price will go. I NEVER watch resting orders as they can be fake. Orders are many times placed and cancelled just to trap people. There are also a lot of orders that are not even seen on the DOM.
I trade my whole life with a system that never watches level 1 or level 2 data. Just study the price and it's evolution. Why make things difficult if it can be done easier. The filled orders are the ones that make the trades, not the fake ones.

Try to find the secret in the price, not in the open orders.

 

[virtusa]

I agree that it's useless, about 75 % of the time. The trick is to figure out when it might work, but this would require major work, something along the lines of what Chris is doing with his algos.

I don't think he used liquidity as his liquidity was 100 times bigger than reality.
If he said that they use liquidity it would get his credibility down a lot.

 

[NoahA]

The only thing that counts is the PRICE where the market is filling orders. That's were the profits or losses are generated. Not in the open orders situation.
All orders are filled at the price where the market is, and the fake ones are irrelevant as they are cancelled before the price reaches them. So that's all you need to follow.

So you need to try to understand what direction the price will go. I NEVER watch resting orders as they can be fake. Orders are many times placed and cancelled just to trap people. There are also a lot of orders that are not even seen on the DOM.
I trade my whole life with a system that never watches level 1 or level 2 data. Just study the price and it's evolution. Why make things difficult if it can be done easier. The filled orders are the ones that make the trades, not the fake ones.

Try to find the secret in the price, not in the open orders.

I totally agree for us retail traders. But I'm sure there are algos out there that are playing this game.

I don't think he used liquidity as his liquidity was 100 times bigger than reality.
If he said that they use liquidity it would get his credibility down a lot.

Correct. For fills for a dozen contracts, there is no problem, but if they were flashing limit orders of a few hundred contracts, then this for sure would have some sort of impact. Maybe no impact in terms of general direction over the next hour, but certainly this type of stuff does help with fills.

I can see algos designed to fill a few hundred contracts, and so what you do is flash a big sell order, hoping that a) it doesn't fill, and b) that this pushes price down into your sell orders. You of course don't have limit buy orders waiting, but you simply buy up what is available as price moves down a few ticks.

There would of course be other algos that when they see this order, they force price in that direction in order to fill that order, and who knows what happens if someone ultimately wants to be long but ends up short. Anyway... these are games on the millisecond time frame, so nothing I can do about that.

 

[alistera]

I ask because I heard an interview with Linda Raschke where she said she didn't know any such traders. I thought that was pretty significant as she is a very successful trader herself.

I have tried quite hard over the years to automate some winning trading rules, but with no success in the long term.

I am not asking anyone to reveal any secrets, I'm just interested to know if it is possible.

Yes, actually I haven't checked it this month, 718.04% gross to yesterday, but don't use it as crypto based and can't be bothered dealing with that most of the time, some people did want it for signal providing but they were so useless and cheap have more interesting things to do, turns out XTZ was the leader this month, the other month it was DOGE, funny how it cycles

As for automating standard assets, that's an interesting and very perilous road, some make it work, most don't because the algos just replace traders and analysts, so you need programmers to keep them updated as the markets change, almost daily these days.