Agree.
Schizo Greybox Trading
- Thread starter schizo
- Start date
1) Trade frequency, turn over, holding periods have nothing to do with edge. HFT turn over thousands of positions per hour. They have a real edge. Point proven wrong.
2) Where did you get the information that he did not buy at the offer and sell at the bid? If that is indeed the case then he in effect eliminated queue position issues. The fact that the market may move between order entry and fill should average out over time, sometimes the market moves in his favor in between order entry and fill and sometimes it moves against him. Assuming to be filled 1 point worse than market makes zero sense, unless you get fleeced by your broker. Another bizarre point you make.
3) Also a weird point: If a system captures larger moves then he may get thrown around in markets with very low volatility and sideways moves. That was exactly the case during the Asian trading sessions during which most of those trades occurred. I already commented on the fact that trading ES during the Asian session may not be the way to go and also he may consider a filter to not act on multiple signals right after the system flagged a reversal.
4) All trades were suboptimal and not what his system is aiming for due to market conditions. Those are 12 trades for heaven's sake, you can't make a judgement like this from 12 trades. Secondly you are wrong, a point is worth 50 gross, 12 trades cost around 48 dollars, in effect despite the mediocre performance he is net flat.
2) Where did you get the information that he did not buy at the offer and sell at the bid? If that is indeed the case then he in effect eliminated queue position issues. The fact that the market may move between order entry and fill should average out over time, sometimes the market moves in his favor in between order entry and fill and sometimes it moves against him. Assuming to be filled 1 point worse than market makes zero sense, unless you get fleeced by your broker. Another bizarre point you make.
3) Also a weird point: If a system captures larger moves then he may get thrown around in markets with very low volatility and sideways moves. That was exactly the case during the Asian trading sessions during which most of those trades occurred. I already commented on the fact that trading ES during the Asian session may not be the way to go and also he may consider a filter to not act on multiple signals right after the system flagged a reversal.
4) All trades were suboptimal and not what his system is aiming for due to market conditions. Those are 12 trades for heaven's sake, you can't make a judgement like this from 12 trades. Secondly you are wrong, a point is worth 50 gross, 12 trades cost around 48 dollars, in effect despite the mediocre performance he is net flat.
1) Trade frequency, turn over, holding periods have nothing to do with edge. HFT turn over thousands of positions per hour. They have a real edge. Point proven wrong.
HFT and what Schizo is doing (which is in fact more HFT trading than real trading) is to me no real edge. A real edge is when you can stay in a trade for 1 hour or longer. Because then you prove you have (some) control over the market. Jumping in and out for 1 point is far more easy to do.
2) Where did you get the information that he did not buy at the offer and sell at the bid? If that is indeed the case then he in effect eliminated queue position issues. The fact that the market may move between order entry and fill should average out over time, sometimes the market moves in his favor in between order entry and fill and sometimes it moves against him. Assuming to be filled 1 point worse than market makes zero sense, unless you get fleeced by your broker. Another bizarre point you make.
And where did you get the information that he did buy at the offer and sell at the bid? First of all it appears to be a SIMULATION so there is no real fill. Secondly depending on your fantasy you can calculate any return.
I wrote clearly “1 TICK” not 1 point worse than the market. Try to read ( if you can read correctly) what I write before reacting. Your comment doesn't make any sense.
3) Also a weird point: If a system captures larger moves then he may get thrown around in markets with very low volatility and sideways moves. That was exactly the case during the Asian trading sessions during which most of those trades occurred. I already commented on the fact that trading ES during the Asian session may not be the way to go and also he may consider a filter to not act on multiple signals right after the system flagged a reversal.
4) All trades were suboptimal and not what his system is aiming for due to market conditions. Those are 12 trades for heaven's sake, you can't make a judgement like this from 12 trades.
The trades are what they are not suboptimal nor superoptimal. It is easy to find excuses for every failure. I wrote:” I agree that the information available is too little to make a valid analysis, but there are to me at least, some thing you need to work on.” So AGAIN: Try to read ( if you can read correctly) what I write before reacting.
Secondly you are wrong, a point is worth 50 gross, 12 trades cost around 48 dollars, in effect despite the mediocre performance he is net flat.
His average profit per trade before commission was +0.0417 points, or in other words 0.0417* $50 which equals $2.085. So $ 2.085 profit - $4 commission equals an average loss of $1.915 (+2.085-4) per trade. You are wrong, not me. His total profit before commission was 0.5 points or $25. $25-$48 commission equals a loss of $23.
This was my first and last reaction on your postings because discussing with you is useless. You always know everything the best. Even if you have no clue what it’s all about. Even reading correctly appears to be a problem. I put you on ignore because I don’t need your expert advice. The way you write is quite aggressive and insulting too. Lack of education? Or lack of intelligence?
HFT and what Schizo is doing (which is in fact more HFT trading than real trading) is to me no real edge. A real edge is when you can stay in a trade for 1 hour or longer. Because then you prove you have (some) control over the market. Jumping in and out for 1 point is far more easy to do.
2) Where did you get the information that he did not buy at the offer and sell at the bid? If that is indeed the case then he in effect eliminated queue position issues. The fact that the market may move between order entry and fill should average out over time, sometimes the market moves in his favor in between order entry and fill and sometimes it moves against him. Assuming to be filled 1 point worse than market makes zero sense, unless you get fleeced by your broker. Another bizarre point you make.
And where did you get the information that he did buy at the offer and sell at the bid? First of all it appears to be a SIMULATION so there is no real fill. Secondly depending on your fantasy you can calculate any return.
I wrote clearly “1 TICK” not 1 point worse than the market. Try to read ( if you can read correctly) what I write before reacting. Your comment doesn't make any sense.
3) Also a weird point: If a system captures larger moves then he may get thrown around in markets with very low volatility and sideways moves. That was exactly the case during the Asian trading sessions during which most of those trades occurred. I already commented on the fact that trading ES during the Asian session may not be the way to go and also he may consider a filter to not act on multiple signals right after the system flagged a reversal.
4) All trades were suboptimal and not what his system is aiming for due to market conditions. Those are 12 trades for heaven's sake, you can't make a judgement like this from 12 trades.
The trades are what they are not suboptimal nor superoptimal. It is easy to find excuses for every failure. I wrote:” I agree that the information available is too little to make a valid analysis, but there are to me at least, some thing you need to work on.” So AGAIN: Try to read ( if you can read correctly) what I write before reacting.
Secondly you are wrong, a point is worth 50 gross, 12 trades cost around 48 dollars, in effect despite the mediocre performance he is net flat.
His average profit per trade before commission was +0.0417 points, or in other words 0.0417* $50 which equals $2.085. So $ 2.085 profit - $4 commission equals an average loss of $1.915 (+2.085-4) per trade. You are wrong, not me. His total profit before commission was 0.5 points or $25. $25-$48 commission equals a loss of $23.
This was my first and last reaction on your postings because discussing with you is useless. You always know everything the best. Even if you have no clue what it’s all about. Even reading correctly appears to be a problem. I put you on ignore because I don’t need your expert advice. The way you write is quite aggressive and insulting too. Lack of education? Or lack of intelligence?
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1) what it is to you unfortunately does not matter at all. Fact remains that an edge can be defined over a strategy with holding periods of years or micro seconds. And this is not about controlling the market. It is about reacting to the market and making predictions about future market dynamics.
2) I said "if indeed he bought at the offer and sold at the bid...". Why does it appear to you to be a simulation. It does not even matter whether it is a simulation or not other than his (paper or real) trading account. And apologies you indeed wrote tick not point, though it again does not change a thing about what I said. You make assumptions where there is no information provided to validate your assumptions.
4) A reversal strategy strives during market dynamics that are non trending and vice versa. His strategy, as OP mentioned, attempts to capture larger moves rather than the 1-2 point ranges during today's Asian trading session. Hence it very much matters which 12 trades you pick and during what market environment those 12 trades occurred in order to make a valid judgement (though making a judgement about a strategy based on 12 trades is naive to start with). -> So if the trades are not enough to cast judgement why don't you spare your air and just shut up instead of making a big fuss and then at the end concluding that all your points are invalidated because the sample size is too small?
And your math sucks big time: He had 14 trades on the book and +1.75 points gross across all trades. Makes $87.5 gross pnl. Then he paid $2 per contract per side, makes 14*2*2 = $56. Net Pnl = 87.5 - 56 = +$31.5
You are wrong and insist to be right and still are wrong....yes...please do not bother us with your weird approach to judge trading strategies anymore.
2) I said "if indeed he bought at the offer and sold at the bid...". Why does it appear to you to be a simulation. It does not even matter whether it is a simulation or not other than his (paper or real) trading account. And apologies you indeed wrote tick not point, though it again does not change a thing about what I said. You make assumptions where there is no information provided to validate your assumptions.
4) A reversal strategy strives during market dynamics that are non trending and vice versa. His strategy, as OP mentioned, attempts to capture larger moves rather than the 1-2 point ranges during today's Asian trading session. Hence it very much matters which 12 trades you pick and during what market environment those 12 trades occurred in order to make a valid judgement (though making a judgement about a strategy based on 12 trades is naive to start with). -> So if the trades are not enough to cast judgement why don't you spare your air and just shut up instead of making a big fuss and then at the end concluding that all your points are invalidated because the sample size is too small?
And your math sucks big time: He had 14 trades on the book and +1.75 points gross across all trades. Makes $87.5 gross pnl. Then he paid $2 per contract per side, makes 14*2*2 = $56. Net Pnl = 87.5 - 56 = +$31.5
You are wrong and insist to be right and still are wrong....yes...please do not bother us with your weird approach to judge trading strategies anymore.
1) so gambling is also an edge.
2) if if if if makes everything possible but has no value. If I was Warrene Buffet , I was a Billionaire!
4)Posting number 21: check and reread the posting:
Cumulative P/L:
1.25
(0.75)
(1.00)
0.25
2.25
0.00
(0.25)
(0.75)
(1.00)
0.25
0.50
(0.25)
+0.50
Pretty lousy so far. I think I could do better. But then again, it's far too early to tell.
12 trades and total profit 0.5 points. Not 14 trades and 1.75 points profit.
And even with 14 trades and 1.75 points profits, profit would explode to a staggering $2.25!!! per contrcat per trade. The revelation of the century! Noone can beat that!
2) if if if if makes everything possible but has no value. If I was Warrene Buffet , I was a Billionaire!
4)Posting number 21: check and reread the posting:
Cumulative P/L:
1.25
(0.75)
(1.00)
0.25
2.25
0.00
(0.25)
(0.75)
(1.00)
0.25
0.50
(0.25)
+0.50
Pretty lousy so far. I think I could do better. But then again, it's far too early to tell.
12 trades and total profit 0.5 points. Not 14 trades and 1.75 points profit.
And even with 14 trades and 1.75 points profits, profit would explode to a staggering $2.25!!! per contrcat per trade. The revelation of the century! Noone can beat that!
is there a downvote button? What a tool.
Can you count? There are 14 trades, and a total +1.75 points profit. I thought you put me on ignore???
Can you count? There are 14 trades, and a total +1.75 points profit. I thought you put me on ignore???