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Journey from investment bank to independent automated trader
- Thread starter lolatency
- Start date
Quote from timmyz:
these monkeys are trained to laugh at retail traders just like pavlov's dogs can be trained to salivate when it sees a triangle.
retail traders challenge their social status. that's why they ridicule. the reality is that they can trade no better than the retail trader. subconsciously, they refuse to accept it, yet they can't produce any proof that they are better, so they resort to ridiculing.
Nobody who is an institutional trader is afraid of retail flow, because retail flow is where the HF traders make their money. They need fools who think their RSI and MA strategies will make money.
Given the chance to take the opposite side of retail flow vs institutional flow, who do you think institutional traders would choose? I'll give you a hint: it's most of the posters on ET.
Also, I meant retail-idiot in jest. Me trading on TradeStation would make me a retail idiot, no? I don't get some of you angry posters.
Quote from lolatency:
Nobody who is an institutional trader is afraid of retail flow, because retail flow is where the HF traders make their money. They need fools who think their RSI and MA strategies will make money.
Given the chance to take the opposite side of retail flow vs institutional flow, who do you think institutional traders would choose?
you're sounding one of those pavlov's dogs. "we are not afraid. we choose to take the opposite side. bring it on. i go to war every day." lol
bottom line is the only thing of any value from your run of the mill "institutional trader" is the institutional part. without the institution spoon feeding him, he is nothing. the institution is worth something. he himself the trader is worthless.
oh before you go belittling moving average too much, a most famous and wealthy institutional trader uses it. john henry. i know you needed to hear that he's an institutional guy.
bye.
Quote from lolatency:
Nobody who is an institutional trader is afraid of retail flow, because retail flow is where the HF traders make their money. They need fools who think their RSI and MA strategies will make money.
Given the chance to take the opposite side of retail flow vs institutional flow, who do you think institutional traders would choose? I'll give you a hint: it's most of the posters on ET.
Also, I meant retail-idiot in jest. Me trading on TradeStation would make me a retail idiot, no? I don't get some of you angry posters.
Actually, I personally know a few large traders and one >100mil fund that uses TS. Its actually quite a powerful tool if you know the details.
Also, I personally know a 300mil+ mananger that uses Wealth Lab.
"Institutional" level tools many mean something at sub 1 minute intervals, but, possesion of such tools is often also mistakenly associated with high trading skill/competency.
Mike
This is a little off-topic, but can you describe, in general terms, any precaution that needs to be taken when backtesting with high frequency data? I assume you are working with tick data from the orderbook. How do you make sure that the trades in backtesting would actually be executed in real life?
Please pardon my ignorance but I have only worked with 1-minute "bars." With these bars data it's easier to design backtesting such that execution is more realistic, but that's a totally different story when you use the orderbook.
Please pardon my ignorance but I have only worked with 1-minute "bars." With these bars data it's easier to design backtesting such that execution is more realistic, but that's a totally different story when you use the orderbook.
Quote from Mike805:
Also, I personally know a 300mil+ mananger that uses Wealth Lab.
"Institutional" level tools many mean something at sub 1 minute intervals, but, possesion of such tools is often also mistakenly associated with high trading skill/competency.
Mike
Word, now you know someone else with $5 mil+ at the institutional level, too.
Quote from bwolinsky:
Word, now you know someone else with $5 mil+ at the institutional level, too.
I don't want to take this thread off topic, but didn't you say you'd get *matched* on funding you could already produce?
http://www.elitetrader.com/vb/showt...erpage=6&highlight=\\\\\\\\\\\\&pagenumber=11
Very interesting thread so far. Good luck, LoLa, in all your endeavours to become independent.
However, as a retail trader paying brokerage and slippage your opportunity to develop a reliable edge - which I would define as a decent expected return *WITH LOW VARIANCE* backtested over at least 20 years' data - is extremely limited. If you try to develop an intra day system you will, I'm afraid, only ever be fodder for the big boys. You simply won't be able to capture enough price movement to cover your trading costs.
You *can* develop a system that will give you an edge in medium to long term position trading. But these days it's not easy. Do you know how to backtest open position management algorithms at the portfolio level? There are very few commercial packages than can actually do this. What about risk & money management? Do you know how to statistically filter conflicting signals from multiple systems working together? Any idea how these strategies affect standard deviation?
Expect to spend a good couple of years (at least) just backtesting before you risk a single dollar bill. Otherwise all you'll be doing is paying your old iBank bosses.
You may ultimately find that the best trade you ever make is simply to hand your capital over to someone who's a better trader and system developer than you. That's what I did a few years ago and I've never looked back.
However, as a retail trader paying brokerage and slippage your opportunity to develop a reliable edge - which I would define as a decent expected return *WITH LOW VARIANCE* backtested over at least 20 years' data - is extremely limited. If you try to develop an intra day system you will, I'm afraid, only ever be fodder for the big boys. You simply won't be able to capture enough price movement to cover your trading costs.
You *can* develop a system that will give you an edge in medium to long term position trading. But these days it's not easy. Do you know how to backtest open position management algorithms at the portfolio level? There are very few commercial packages than can actually do this. What about risk & money management? Do you know how to statistically filter conflicting signals from multiple systems working together? Any idea how these strategies affect standard deviation?
Expect to spend a good couple of years (at least) just backtesting before you risk a single dollar bill. Otherwise all you'll be doing is paying your old iBank bosses.
You may ultimately find that the best trade you ever make is simply to hand your capital over to someone who's a better trader and system developer than you. That's what I did a few years ago and I've never looked back.