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Not so easy.
- Thread starter OfmY
- Start date
Quote from OddTrader:
Probably the forex markets would be still too small.
I'd agree with you that you'd find diffilculty at some point just becuase you could become noticed and eaten alive. Far be it from me to think I should try to make oodles of money from FX then try to take it all back to the market on high leverage. A matter of fact if you tried to place 1 billion dollars under 100:1 leverage all at once you'd move a single currency pair by 1000 pips. Which wouldn't happen because all the underlying aspects of the markets would be against you. Even if you were seeking to diversify that you'd still probally get stoped out pretty fast. You'd have to enter that kind of money into the markets in a very structured manner just for it to be able to survive...
Quote from OddTrader:
Any suggestions? Any good software/ services?
I really dislike the idea of advertising for companies on public forums, but do a search on volume weighted average price and algorithmic trading. As far as software goes I prefer custom made solutions. Although if you're not seeking to do anything outrageous a few multi-threaded dll's in tradestation or some other similar trading framework might work out for you just fine. You probably could even get away with using some of the popular scientific computing environments, but eventually custom will be the way to go.
Quote from mrvizion:
I really dislike the idea of advertising for companies on public forums, but do a search on volume weighted average price and algorithmic trading. As far as software goes I prefer custom made solutions. Although if you're not seeking to do anything outrageous a few multi-threaded dll's in tradestation or some other similar trading framework might work out for you just fine. You probably could even get away with using some of the popular scientific computing environments, but eventually custom will be the way to go.
Interestingly how vwma would be used for trading forex 24/7?
Q
Climbing the Algorithmic Learning Curve
http://www.wallstreetandtech.com/showArticle.jhtml?articleID=42700086
Traders use the models to obtain the returns of certain benchmarks - the most common of which is volume weighted average price (VWAP). But brokers offer strategies beyond the simple VWAP. "They've gotten far more complex and far more advanced than a simple volume weighted price model," says John Wheeler, vice president and director of U.S. equity trading at American Century in Kansas City. Strategies offered by brokers include: time weighted average price (TWAP), the previous night's close and implementation shortfall - a model that weighs the urgency of executing a trade against the risk of moving the stock.
"The whole game is about balancing time versus impact," while staying within the client's constraints for price, time and volume, explains Dan Mathisson, global head of advanced execution services (AES) at Credit Suisse First Boston (CSFB). There is a trade-off between "stretching out [the trade] versus how much impact it will incur, and picking the right times to be executing the stocks," he adds.
Major brokerage houses offer the algorithmic-trading strategies, which in most cases have been designed by their quantitative analysts and financial engineers. According to The Tabb Group's survey, the major suppliers are Credit Suisse First Boston (CSFB), Goldman Sachs and Morgan Stanley. Additionally, Investment Technology Group has been offering algorithmic trading since the '90s. But a slew of other marquee names are currently jumping on the bandwagon, including Banc of America Securities, BNY Brokerage, Citigroup and Lehman Brothers, among others. Other sources include buy-side quantitative analysts that create their own algorithms and third-party vendors like FlexTrade Systems and Portware, which offer canned algorithms and tools to develop customized algorithms.
"The advantage of a platform like Portware is that we can write our own algorithms for effective trading tactics," says Michel Debiche, president and CEO of Quantia Capital Management in Princeton, N.J., which runs an equity statistical arbitrage fund that does automated trading.
Despite the hype over algorithmic trading, for many buy-side traders, it is not the only electronic tool they utilize. When First Quadrant's Bui evaluates her order flow, she still negotiates big orders through crossing networks and floor brokers who give her market looks - prices from the floor. She uses the VWAP strategy from Instinet, the institutional agency broker, for her "clean-up orders" - the residual that is left over from bigger trades. "They're more like passive orders," Bui explains. Other brokers have offered her VWAP strategies, but Bui has declined because she believes VWAP strategies and crossing networks do basically the same thing.
UQ
Quote from OddTrader:
Interestingly how vwma would be used for trading forex 24/7?
Q
Climbing the Algorithmic Learning Curve
http://www.wallstreetandtech.com/showArticle.jhtml?articleID=42700086
Traders use the models to obtain the returns of certain benchmarks - the most common of which is volume weighted average price (VWAP). But brokers offer strategies beyond the simple VWAP. "They've gotten far more complex and far more advanced than a simple volume weighted price model," says John Wheeler, vice president and director of U.S. equity trading at American Century in Kansas City. Strategies offered by brokers include: time weighted average price (TWAP), the previous night's close and implementation shortfall - a model that weighs the urgency of executing a trade against the risk of moving the stock.
"The whole game is about balancing time versus impact," while staying within the client's constraints for price, time and volume, explains Dan Mathisson, global head of advanced execution services (AES) at Credit Suisse First Boston (CSFB). There is a trade-off between "stretching out [the trade] versus how much impact it will incur, and picking the right times to be executing the stocks," he adds.
UQ
Mind you I hope you're realizing that I'm just attempting to point you in the right directions. Note that those types of strategies are used to create your own entry/exit algorithms also. I said VWAP first because you'd have an easy time finding it. A strategy based on a few forward looking indicators would be best suited for FOREX. There is a great deal that goes into just opening your mouth about strategies of that nature. And to be perfectly honest I don't usually open my mouth up for free...
Quote from OddTrader:
Probably the forex markets would be still too small.
http://www.elitetrader.com/vb/showthread.php?s=&postid=858046#post858046
10-01-05 02:26 AM
Quote from leverage:
How about 80-90 pips a month?
Leverage,
Trading EUR/USD with leverage of 100:1, a mothly average 85 pips would be around 70% gain per month.
Congratulations!
Q
Do you believe in 50% a month returns thru mech. system?
http://www.elitetrader.com/vb/showt...=6&pagenumber=2
Quote from dougcs:
Is it, can 50% be achieved in a month or is it can that rate be sustained for long periods?
Let's see: start with 50K
trade for 5 years and make 50% per month
at the end:
1.8 quadrillion dollars, yea I guess it can be done. I may need to to afford health insurance, forget about the jets and yachts.
DS
UQ
Quote from OddTrader:
http://www.elitetrader.com/vb/showthread.php?s=&postid=858046#post858046
10-01-05 02:26 AM
Quote from leverage:
How about 80-90 pips a month?
Leverage,
Trading EUR/USD with leverage of 100:1, a mothly average 85 pips would be around 70% gain per month.
Congratulations!
Q
Do you believe in 50% a month returns thru mech. system?
http://www.elitetrader.com/vb/showt...=6&pagenumber=2
Quote from dougcs:
Is it, can 50% be achieved in a month or is it can that rate be sustained for long periods?
Let's see: start with 50K
trade for 5 years and make 50% per month
at the end:
1.8 quadrillion dollars, yea I guess it can be done. I may need to to afford health insurance, forget about the jets and yachts.
DS
UQ
I'm not quite sure as to where you're getting that 85 pips =75% gain a month unless you're risking capital at a ratio 4:1 or something.
On the other hand about what you're saying about getting 600% returns a year is why after a while things would level off to risk not being worth the reward. I'm not kidding when I say George Soros or one of the other big players will find you and eat you alive!!! You'd be far better to start thinking about reducing your leverage to nearly nothing just to keep playing the game. After a while your money would be far better suited in industry. My plans for industry?... Biodiesel
http://forums.biodieselnow.com/topic.asp?TOPIC_ID=829
It occured to me to think that you may be a flamer of some sort so I decided to paste the message that Mak thanked me with after I gave him the tidbit I pointed him to... Notice **** was the subject I told him of, but what he didn't know was the specific area of the subject he should look at.
Much appreciated vizion. You are a gentleman and a scholar. I dropped a (leisure) ******* class in college for domestic reasons. ******* is advanced material even for graduate studies. For sure it will be fun for me to dive back into the material and in a more relaxed manner to figure out what is what. I sincerely appreciated your PM. By any chance, is there a textbook that you would specifically recommend? I will certainly put in some personal DD (due diligence) on the topic. As you can see, ET is a strange place in that people are very set in their ways and reluctant to be receptive to new material. It is, what it is unfortunately, but there are always nuggets to be found as you have displayed.
Kindest Regards,
MAK!
Quote from mrvizion:
My plans for industry?... Biodiesel
http://forums.biodieselnow.com/topic.asp?TOPIC_ID=829
Geeesh ETers.... please stop you're slamming there poor servers... I suddenly can't flip through the forums...
I talked to a FOREX trainer the other day.
He briefed me on his program of training, basically its One on One.
He has been training people for 8 years.
He was trained by an institutional trader that was in the business for 20 years.
Total Technical no Fundimental at all.
Said he can teach to gain 300 to 400 pips per month, said if he cannot consistantly do that he will quit teaching.
I am beginning to think that FOREX is the future of Day Trading.
The SEC has killed trading stocks with regulation, FOREX has no pattern day trade rule.
No uptick rules for shorting.
Trillion in liquidity.
5 years from now there will be a lot of ex-stock traders, trading only the FOREX.
The trainers approach is very conservative, 4 to 5 high confidence level turns a day, quits at 11:30, usually for the rest of the day.
He briefed me on his program of training, basically its One on One.
He has been training people for 8 years.
He was trained by an institutional trader that was in the business for 20 years.
Total Technical no Fundimental at all.
Said he can teach to gain 300 to 400 pips per month, said if he cannot consistantly do that he will quit teaching.
I am beginning to think that FOREX is the future of Day Trading.
The SEC has killed trading stocks with regulation, FOREX has no pattern day trade rule.
No uptick rules for shorting.
Trillion in liquidity.
5 years from now there will be a lot of ex-stock traders, trading only the FOREX.
The trainers approach is very conservative, 4 to 5 high confidence level turns a day, quits at 11:30, usually for the rest of the day.