Questions for experienced ES daytraders?

[wtfauoa]

I found a sweet spot in mean moves on the ES. It sometimes goes well beyond that before it retraces which used to bother me but I am looking for a piece of moves. My gains exceed and out number my losses and at the end of the day, that's good enough for me.

@speedo How do I work out the mean moves? Today I just used the 1 minute chart to place my 2 trades as per attachment. How do I know when the mean moves will work and will not work? How can oscillators help to determine what price will do next? How do I know if an Arb or HFT programme has just kicked in?

 

[Apophenia]

@speedo How do I work out the mean moves? Today I just used the 1 minute chart to place my 2 trades as per attachment. How do I know when the mean moves will work and will not work? How can oscillators help to determine what price will do next? How do I know if an Arb or HFT programme has just kicked in?

And how do you know that what you believe to know is actually the truth ?

Nothing's going to be sure. And if you wait for confirmation then you'll certainly be late.

There are also Known Unknowns and Unknown Unknowns. You can't know it all. And even if you would, there are stuffs you would overlook. Great traders aren't Omniscient...

Learn Statistics, Probability and to Backtest. You'll first frame your questions differently then you'll get realistic (Empirical, Significant) Answers.

 

[wtfauoa]

And how do you know that what you believe to know is actually the truth ?

Nothing's going to be sure. And if you wait for confirmation then you'll certainly be late.

There are also Known Unknowns and Unknown Unknowns. You can't know it all. And even if you would, there are stuffs you would overlook. Great traders aren't Omniscient...

The only thing I want to know is how to improve my entries and exits. If I can improve my entries I will have less losers. If I can improve my exits I will make more money. How are statistics going to help me do this, as the reasons why something happened previously might not be the same reasons as why it is happening now. Statistics will not show me the reasons why?

 

[Apophenia]

The only thing I want to know is how to improve my entries and exits. If I can improve my entries I will have less losers. If I can improve my exits I will make more money. How are statistics going to help me do this, as the reasons why something happened previously might not be the same reasons as why it is happening now. Statistics will not show me the reasons why?

In Statistics there is something called Dependence (Or Conditional in Probability) which tell you if and how A affects B. Does the weather has an influence over the markets ? Let's run a test !

How does one improve his trading ? By either increasing his P(Gain) or by maximizing his Reward to Risk. Or as you said ... By perfecting entries and exits.

But perfection doesn't exist in practice.

Your optimizations are going to be probabilistic ones ! You don't know what side the coin will land. But over the long run you know it's going to be 1/2 per side for a fair coin.

We don't care about the reasons but about the frequencies, their payoffs and dependences (Informations).

Information is what shape frequencies. Without information the probabilistic model is 1/n (Principle of Maximum Entropy).

So let's say you play a game with a friend. You pick a coin from your pocket but there is an information asymmetry btw you and him as he doesn't know the coin is biased toward head (You). He assumes it's a fair coin and set Payoff 1 to 1 (Fair Game according to his model) as he's kind. Do you expect to 1.Lose 2.Break Even 3.Win in the long run ? Do you ever know how the coin will land next, next, next ? Do you know the variance ? Do you know how likely is 10 consecutive losses ? Do you know your risk of Ruin ?

 

[Apophenia]

I am going to help you visualize the market.

Here is a Bell Curve :

See the middle (Mode) of the distribution ?
It's nothing more than the last price and the tails (Extremes, which are actually fatter) have to be fitted according to the time forward and the volatility. This is your Maximum Entropy (A Priori & Dumb) expectations.

Now when you look for informations such as indicators, trends & Co it's because you're actually looking to find an edge ! A different probability distribution which would actually look like this :

The difference btw the first and the second is your edge !

See ?! It's all statistics and probability. Now you got to test if the informations (That morph the 1st distribution into the 2nd) are actually good ones (Your Edge). So you run tests, see if you can do better than a random strategy. Often gamblers do worse than simply random because of Switches, Psychology, Fallacious Reasoning & Co ...

Simple.... See ?

You don't need to know everything. What you need to know before jumping in the market with real money is your advantage. If you have one and how much of your capital to allocate.

Take the coin exemple again. Your friend is setting the payoffs 1 to 1. At 0.5 P(Gain) it's a fair game so you don't bet. But the coin is biased toward head with 3/5 P(Gain). So your advantage is 10% (0.6-0.5) ! Bet 5% (10/2) of your capital and enjoy the smooth ride to heaven especially if your friend is infinitely rich and is an economist (Impossible).

 

[Gotcha]

As a Scalper who averages down on every signal, like Sept 9 and 12 were losing days for me, those days were hard trending days, my systems don't do well on these types of days.

This is a very interesting piece of information. Thanks for sharing. It does appear to me that many expert traders average down, instead of taking a loss, because for the most part, they are able to get out BE or with a win. They key of course is knowing where your max pain is, and how often something like this can happen. If all the numbers fall into place, then this is certainly a worthwhile strategy it seems, especially since heavy trending days aren't the norm.

 

[Gotcha]

And how do you know that what you believe to know is actually the truth ?

Nothing's going to be sure. And if you wait for confirmation then you'll certainly be late.

There are also Known Unknowns and Unknown Unknowns. You can't know it all. And even if you would, there are stuffs you would overlook. Great traders aren't Omniscient...

Learn Statistics, Probability and to Backtest. You'll first frame your questions differently then you'll get realistic (Empirical, Significant) Answers.

Not to be rude... but may I ask a question?

You are offering lots of advice, none of which seems bad, but your journal of trying to make 1 point per day didn't go too well. In fact, you took such heavy losses right at the beginning, that it seems like you were trading more emotionally, rather than with some sort of back tested or stats based system.

Where is it that you went wrong with your trading if the advice you give seems to be rooted in good mathematical analysis?

I don't mean to pick on your, and I'm sure most on this board are in the same boat where their theory is top notch, and yet extracting money from the market still seems elusive.

 

[Handle123]

This is a very interesting piece of information. Thanks for sharing. It does appear to me that many expert traders average down, instead of taking a loss, because for the most part, they are able to get out BE or with a win. They key of course is knowing where your max pain is, and how often something like this can happen. If all the numbers fall into place, then this is certainly a worthwhile strategy it seems, especially since heavy trending days aren't the norm.

Whoa Whoa Whoa, I don't average down to not take a loss, it is extra ways to get in on same signal. I risk approx. $150-175 on original entry. And year ago I changed from eight extra levels to 4 levels, I noticed ES was getting more choppy and less deeper retracements, I was able to get 4.00 point moves, but now less so. I have found never to be "happy" with what I am doing, then you get lazy and don't notice changes cause overall market action is getting choppy in first hour. I think the key is asking every question of your system and knowing the answer. Plus, keeping losing percentages low overall. Reason I had huge losses was from averaging down, but overall that works for me. BUT, I never recommend to others to do so, losses can snowball if you don't treat this like any business and stick to your rules.

 

[speedo]

I should review my trades and drop those in sync with the Prevailing & Higher TF Bias to compare performance. What's your %Risk with 5K margin ? Sure, you better be at your ease while trading. Agree for the minimum capital requirements however this alone ain't what determines success or failure but, definitely, sufficient capital allows one to stay (longer) in the game. Sure it's going to be from harder to impossible but Infinite Capital and Zero Skills doesn't work neither.

I never risk more than $87.5 (7 ticks) per contract on any trade and rarely have more than 3 or 4 losses in a row.

 

[Handle123]

The only thing I want to know is how to improve my entries and exits. If I can improve my entries I will have less losers. If I can improve my exits I will make more money. How are statistics going to help me do this, as the reasons why something happened previously might not be the same reasons as why it is happening now. Statistics will not show me the reasons why?

It not how I think at all, I want to discover what is the chart saying so I won't take certain entries which might become 50/50. When I back test going back 16 years of tick data and have over 20,000 plus sample sizes of each signal, want to bet that I have large amount of stats that tells me how long to stay in a trade before it becomes a losing trade? Or based on winning trades what should be my max for risk? Or what is mean average I can attain for profit?

History always repeats itself, it has too, people are born and they die.