I spent the last couple of years searching, developing, backtesting and forward testing few strategies to trade ES/NQ that I believe are highly profitable. However, my current problem is to become disciplined to execute these strategies as well as cutting losses. I'll use E2T combine and this journal to help me sticking to my trading plan. I'll update this journal at the end of each trading day.
My E2T journal using quantitative strategies to trade
- Thread starter QTrader20
- Start date
If it is a quantitative strategy why not just automate it?
That way it is impossible for you to not follow the rules.
ok so what is the premise of what you are doing?
also trader 221 o fcourse it back tests like a ferrari. that is unreal fills only hft gets those now you know why they spend billions to be fast as your ferrari while you get the scraps if you are lucky. it has been mathematically and backtest proven that the pairs trades hve been exploited so much that many are not doing them anymore because to many people are doing them professionals and the bigger better money is trading less symbols in an outright position of long or short. that is one reason the mkts have been running so hard lately smart and big money is not buying and holding in long short pairs as much anymore which reduced reduced volatility and increased liquidity or book depth. so we have the mkt we have now which is trend following outrights with very little incentive to buy or sell with big limit orders as you would normally see back in the day for the big entry and exit of pairs trades.
You will come to discover that the paris trade just like teh outrights lately as far as trend that since there is NO BANKRUPTCY risk ANYMORE due to gov bailouts and bank loans and operating with negative profits but the stocks still go up that your mean reversion is also almost non existant anymore.
it was a great strategy for a lot of years but now with hft and so many doing it just to make 3 to 5 % annually when it used to be 10 to 12% ANNUALLY but the outright mkt is doing 15 to 30 % annually so you gotta chase returns
also trader 221 o fcourse it back tests like a ferrari. that is unreal fills only hft gets those now you know why they spend billions to be fast as your ferrari while you get the scraps if you are lucky. it has been mathematically and backtest proven that the pairs trades hve been exploited so much that many are not doing them anymore because to many people are doing them professionals and the bigger better money is trading less symbols in an outright position of long or short. that is one reason the mkts have been running so hard lately smart and big money is not buying and holding in long short pairs as much anymore which reduced reduced volatility and increased liquidity or book depth. so we have the mkt we have now which is trend following outrights with very little incentive to buy or sell with big limit orders as you would normally see back in the day for the big entry and exit of pairs trades.
You will come to discover that the paris trade just like teh outrights lately as far as trend that since there is NO BANKRUPTCY risk ANYMORE due to gov bailouts and bank loans and operating with negative profits but the stocks still go up that your mean reversion is also almost non existant anymore.
it was a great strategy for a lot of years but now with hft and so many doing it just to make 3 to 5 % annually when it used to be 10 to 12% ANNUALLY but the outright mkt is doing 15 to 30 % annually so you gotta chase returns
What you are saying is certainly true.
You must be in this universe of HFT?
I see myself as a small fish that takes advantage of the shark hunt to feed on their remains.
Or like a traditional gold miner looking for gold nuggets in an already operated mine.
You have to be constantly evolving to move from one vein to another.
I like the idea but another issue is fees. the cme keeps upping fees as more people start to trade less volatile and less return style trades which is on purpose of course. amazing that as technology and memory etc have gotten cheaper the electronic exchanges have started charging more typically to retail and the nfa fees omg 4 cents a round turn! on micros. my god. they have tripled their usual 125 million dollar take. thats huge on 1 pair thats 8 cents to a regulatory body when im doing a self directed trade!!! 100 trades i paid 8 bucks why??? its bullshit
Quantitative is an adjective that simply means something that can be measured. For example, we can count the number of sheep on a farm or measure the gallons of milk produced by a cow. In a world of abstract findings that can't be quantified, such as anger or memories, it's important to be able to measure what we can.
I eventually will automate my setups once everything is materialized but not right now. I still need to figure out how to be careful with market trading sideways. Take last Friday as an example. It was day #1 to trade E2T 50k combine account. My short trade was in nice profit at first and I didn't take my profit of the table because my signals suggested it'd drop more than that. That said, most of my bad trades were screwed up by sideways and I have to figure out a proper way to deal with that.
Yah... I surely believe the only way to make money by trading is to create reliable strategies with tons of stats to back up or else we are just gamblers aren't we?