Probably the best Intraday strategy for Index Futures & Options

[lawrence-lugar]

I believe that confidence comes from perfecting the strategy

No such thing as perfect, or a perfect strategy -- the best you can hope for is a certain degree of confidence from experience.

Each day is a different battle that will test your mettle.

 

[Gueco]

what ltp, tbq and so on?

 

[onemoreshot]

U ain't giving away a grail, what's your angle? @Baron doesn't this whole thread smell a bit off? Does to me.

 

[ironchef]

Good one,

But I'm being serious, back in the day (decades ago) I wrote a market simulator using GBM and prevalent realized volatility values to simulate 1 minute intraday moves. Then I applied my complex algorithm (coin toss) with a few more parameters (like closing and stop criteria) and I watched my system achieve returns in excess of 40% some simulated days, other days I got like 120% return!

Of course over a full 1000 simulated days run, I was at break even

But I always wondered if you could do something like that, get a few series of winners and then retire

Or after a few lucky bets, set up a hedge fund, live off the fat fees collected and be famous. Not unlike some of the billionaire hedge fund managers that you read in Yahoo Finance.

On a side note, I was never able to profit from day trading. To me the short term market seemed random: When I curve fitted short term price movements, they seemed to have random characteristics and no clear patterns?

 

[blueplayer]

Or after a few lucky bets, set up a hedge fund, live off the fat fees collected and be famous. Not unlike some of the billionaire hedge fund managers that you read in Yahoo Finance.

On a side note, I was never able to profit from day trading. To me the short term market seemed random: When I curve fitted short term price movements, they seemed to have random characteristics and no clear patterns?

Day trading price with linear instruments (shares, futures, CFD's) is an attrition game. I'm surprised by how little statistical analysis is done about this. In an efficient market (like the US equities market) the maximum you can achieve with any price systems is 50% success. Of course this could be tipped in your favor by leveraging nun public information (like order flow) or arbing price differences in different venues (HFT) but those things are beyond the capabilities of a retail trader.

However, there are still some spaces open to retail when non-linear instruments are used (like options). There are meaningful edges still present in certain short and long gamma strategies. In short gamma for instance, extracting skew is a type of trade that performs well in almost all market regimes. Skew of course is present because that is the nature of the beast (regulation, portfolio insurance etc.).

In the long gamma side, while we all agree that option prices carry a Variance Risk Premium (VRP) the effects of it are only felt on the long run (basically from opening to expiration). In theory we could find short periods of time where the VRP is reduced or negated altogether and we could scalp gamma with an edge. This is possible because continuous dynamic hedging is impractical (impossible) and also because the underlying variance is not uniformed distributed during the lifetime of the option.

 

[rajesheck]

No such thing as perfect, or a perfect strategy -- the best you can hope for is a certain degree of confidence from experience.

Each day is a different battle that will test your mettle.

Agreed

"Perfecting" is an ongoing process.

Thats why i have placed the vote widget to receive feedback.

 

[rajesheck]

what ltp, tbq and so on?

LTP = > Last Traded Price

TBQ = > Total Buy Qty of Pending Orders
TSQ = > Total Sell Qty of Pending Orders

*Limit Type orders cause Pending orders until the mentioned price is met.

 

[rajesheck]

Trading Knowledge VS Trading Skillset

Unlike knowledge, skillset is a phenomenon.

For example swimming skillset is a phenomenon.

Swimming knowledge is different from swimming skillset.

A person with only swimming knowledge, without swimming skillset, is not supposed to jump into water with the expectation of floating.

Similarly a person with only trading knowledge, without trading skillset, is not supposed to jump into trading with the expectation of making profits.

The level of skillset that a person can develop is proportionate to his level of passion and perspiration.

We can achieve any skillset provided we have genuine passion & dedication to learn it.

Interest in earning money through trading is different from passion for trading.

One has to analyse his own real intention in trading, whether he is involved in trading just for making shortcut money or for the love of trading.

Because genuine interest/passion in trading alone can give us success in trading.

There are two kinds of genuine traders.
1. Those who have natural trading skillset
2. Those who developed trading skillset out of sheer passion for trading

Now, how to develop genuine trading skillset?
First, we have to keep asking ourselves if we have genuine interest/passion for trading. Next we have to put our heart and soul in developing trading skillset.

How can we know that we have genuine interest/passion for trading?
When we realise that our failures in trading does not have the power to kill our enthusiasm to learn trading, then its a symptom of genuine passion.

When do we know that we acquired trading skillset?
The one and only proof is when we consistently started earning considerable amount of money in trading. (minimum ROI/month of 10% for a positional trader and 20% for intraday trader)

 

[rajesheck]

Do you know, You treat stock trading as...
1. BUSINESS
...if you have a precise return on investment (ROI) calculation.
2. GAMBLING
... if you do not have proper Risk Reward ratio.
3. LOTTERY
...if you believe that there is a secret/luck to win Jack Pot in trading.

Any trading is an entry level business with proper ROI ingredients:
1. Sufficient trading OPPORTUNITIES (Not one BIG SHOT opportunity)
2. Success rate (PROBABILITY of success)
3. Risk reward ratio (GOAL setting)

ROI = Success Rate x Rewarded opportunities - Failure rate x Risked opportunities

 

[onemoreshot]

What are you selling guru?