Jurik JMA

[nitro]

Waw,

There is nothing wrong with market orders trading spoos when you are going for a decent move. However, when scalping, that is a bad mistake. Even though the slippage is often "less" with a market order as opposed to a limit order, remember that will only be the case when the momentum is going against you and your order happens to go in at the moment the spoos step down (in the case where you want to buy.) When the bid/ask are just sitting there, you will pay the spread. So even though it may seem like sometimes you are getting a better price, you are, but only at the OTHER price of having them go against you. I don't know about you, but I would rather pay 981.25, and have the bid step up to 981.25, then to pay 981.00 and have the offer step down to 981.00.

Market orders are not the way to go when "scalping." In fact, it is nearly impossible to "scalp" spoos without:

a) getting to the FIFO list early - that means anticipating where you want to get in _early_ This is nearly impossible to do without software that is constantly helping you do this.

b) having your comissions be so compressed that the cost of getting in and out is negligeble.

As the E-MINIS mature and the MERC and others fight for the volume of traders, b) will start to come down. THEN it will be heaven, assuming the ranges are like they are today and there is movement.

nitro

Quote from DT-waw:

alfonso,
I think your method of calculating slippage (when using market orders) overestimates it. Last trade price is either at bid or ask. So, 1/2 of your trades should have zero slippage, while other half - slippage = spread. That's why my calculations assume 0.25 / round turn.

 

[DT-waw]

Sorry Scientist but your post is a mess.

No, mechanical trading systems don't. They have a lot of downsides to them, anyway.

+

I have a fully thought-out trading system with rules (written down) that I follow, improve and update religiously.

Confusing. One time you say it's impossible to code a system based on order flow, market depth. Then you say you have thought-out trading system.

That's why I tend to use a CPU that has several times more processing power than yours (in fact: 100,000,000*E^10,000 - larger than the number of known particles in the universe and cannot be written out fully on any medium!) - This CPU has amazing speed, abilities and runs on BrainOS '81 by GOD.

You have though-out system with rules written down and that's why you use your CPU - brain. "several times" = "100,000,000*E^10,000 times" Nice use of word "several" Do you think extensive processing power has something to do with trading? I'm not sure I get your metaphor "CPU which runs on BrainOS", because computers have more processing power than human brains. I'm several times confused! I wouldn't say your brain was made by GOD, Mr. Scientist BTW: you were born in 1981?

I want my brain to be filter to my trading opportunities, not a machine.

+

Intuition, feeling? In TRADING??? What are you talking about man?

You want to replace machine with your flexible tool for filtering - brain. Clearly, you want to use your intuition.

Actual scalping performance, smartie.

+

Yes, I can have "no losing days" If I'm scalping very short-term.
If I do 10-20 or more trades (a realistic daily scalping frequency on ES/NQ), then I expect to be net profitable at the end of the day. Otherwise, how good am I if I'm not net profitable after 10-20 trades???

Actual scalping = "I can have", "IF i'm scalping", "IF i do", "I expect to be", "IF i'm not" :eek: alfonso mentioned about it earlier.
Would you consider yourself not a good trader if you won't be net profitable after 20 trades? For me, it's too small number of trades in order to judge it. Rules of statistics and probability, Mr. Scientist.

If you're afraid that the market may "move against you quickly", such as in a breakdown promising high velocity, then you put in a market order and i.e. sell 1/2 of your position as soon as you're up 4-5 ticks and trail your stop initially 3-4, then 3-6 ticks behind.

What happens if prices move AGAINST my position? Your answer is "sell 1/2 of position as soon as you're up 4-5 ticks" ! Woow, pretty simple!

No noise, brother. You just can't read it. If I showed you an EEG, you wouldn't know what it means, and nothing makes sense and seems all fuzzy and random to you.

OK. You suggest not to look at tick charts, which even in your opinion are random. The proper way to read the action at tick or 1-min level is order flow and market depth. From my personal experience, I can tell that changing-fast market depth picture also seems random to me. Yes, sometimes esp. when intraday range is high I see large orders flowing, thus moving the market. But the same thing can be observed on the chart, it goes more or less in vertical direction. I watch eurex futures bid and ask sizes (1 level deep only) 11 hours/day for over a year and I really don't recognize any edge here, which can overcome slippage and commission costs.

Scientist, with "no losing days" you're truly Elite of the Elite, trading Super-Star I'm pretty sure other scalpers like metooxx, candle and nitro have many losing days. I'm not saying scalping cannot be profitable at all. Inefficiencies do occur also on intraday level, however I don't believe in consistency of returns you claim.

 

[just21]

Let's get abck to the moving average discussion. Can someone post the t3 algorithm so I can get it programmed in neoticker.

thanks

 

[Gordon Gekko]

some of you may find this pic interesting..

 

[vanilla2]

I thought about purchasing the JMA, but after comparing examples from the sample days they put on the website I decided that the T3 gets you 99.9% of the way there. You can find the T3 for free here:

http://trader.online.pl/ELZ/t-0-tytulowa-t.html

I was also intrigued by the discussion on the Jurik site of The July 2000 issue of TASC containing an article by John Ehlers describing a "Modified Optimal Elliptical Filter" (Abbreviated as "MEF"). From the description on the JMA FAQ, this also appears to be extremely similar in accuracy to the JMA, and I checked and you can get it online from TASC for $2.50 I think.

 

[man]

does anyone know more about the background of jurik's methods?


g

 

[onewaypockets]

Their web site has basic background as well as papers and books Mark Jurik has written. Once you get past the basic stuff I am sure the advanced math gets wild quickly. Not my strength.

His indicators are the best I have found. I use them ONLY in my trading, ALL else is noise to me.

 

[just21]

Generally speaking, how do you use the jurik indicators? thanks for any advice.

 

[onewaypockets]

I trade a small basket of stocks using Jurik RSX for eSignal. The trick is finding the stocks and the time frame that mesh well. From looking at hundreds I have come down to eight stocks. Of the eight I usually trade four. The very general rule is high beta that moves smoothly with volume. Some do much better than others.

Since RSX and the Jurik indicators are not trading systems per say I have come up with lots of my own rules for stop losses, re-entry, earnings avoidance, and others.

 

[Jabez1947]

I too only use Jurik RSX and DMX for trading ES and NQ. I use John Clayburg's methods with Mark Jurik Indicatiors. John's methods can be found in his book "Four Steps to Trading Sucess"