System Developers Journal

As the present situation is that the electronic markets are closed for a very short period, only for a hour in most markets we no longer have an open which will work for opening range breakout, what should we do now?


My broker told me that the markets are quiet from 5:00-7:00 pm and that he is not worried about updating the data before CSI gets it to him at 7:00 pm. Hence, it should not make much of a difference what do you think?
 
Who should I use as a data vendor. I want to trade end of day. The current issues with electronic and combined sessions creates issues with this selection process, because it depends how they are now handling it
 
Quote from JaiSreeram:

Who should I use as a data vendor. I want to trade end of day. The current issues with electronic and combined sessions creates issues with this selection process, because it depends how they are now handling it
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Our two prefered vendors are CSI and Pinnacle. CSI for both stocks and futures and Pinnacle for stocks. We have special deals with them for our customers which all you to save as much as 50% off of what the data would cost if you puchased it from them directly.

CSI data http://www.tradersstudio.com/Produc...cmd/CatalogItemDetails/psmid/657/Default.aspx
Notice the dropdown to change between stock and futures data

Pinnacle data
http://www.tradersstudio.com/Produc...cmd/CatalogItemDetails/psmid/657/Default.aspx
 
Quote from SuperCruz:

As the present situation is that the electronic markets are closed for a very short period, only for a hour in most markets we no longer have an open which will work for opening range breakout, what should we do now?


My broker told me that the markets are quiet from 5:00-7:00 pm and that he is not worried about updating the data before CSI gets it to him at 7:00 pm. Hence, it should not make much of a difference what do you think?
More...

This is the same thing my brokers are tell me,
 
Sincere apologies for the delay, as I was out of town on business. Now, I need to catch up, and continue with the System Development.
 
Now, I am back to discussing the systems development. However, before that I would like to state that the kind of system which one tends to develop, depends on the developers’ personality. For example, trend following systems are only about 40% accurate, which shows that you have a 60% chance of losing a trade. Hence, 2 losses in a row means (0.60*0.60) 0.36 or 36%; while to run for 5-6 losses in a row, depicts the amount of stress and strain required to be handled by your personality.
 
Next, we shall discuss an inter-market divergence bond system having a winning percentage of about 60% and show how different that is to live with.

Supposing, we have three losses in a row (0.40*0.40*0.40) or 6.4%. If you win only 40% and lose 60% then three losses in a row is 21.6%.

The reason is as follows. If your system wins 40% of it’s trades, every year or so, you expect to lose 5 or 6 in a row. However, if your system wins 60% it will be every 3-4 years. Hence, if you are not ready for 6 losses in a row you can not trade the trend following.

Nevertheless, the bigger problem with trading a system is that you need to follow the rules. Thus, when the system loses six trades in a row, and you do not understand that it is expected once a year. Hence, you do not take the next trade which is a sure big winner and would have got back all your earlier lost money. Thus, at this point, you are down and have lost more money since you let go of the big winner and lost the big win.

Now, when the next losing streak comes, you lose more without making profit, because you skip trade due to nervousness, and the fear of failure. However, it is mostly, because you do not understand or is unable to grasp the ways of markets.

Hence, due to fear and ignorance of the markets, you unknowingly turn a “Winning System” into a “Losing One”.

Thus, in a nutshell, you need to know what to expect and if you can not follow it you simply can not trade it.
 
I just wanted to inform everyone that I am going on a vacation till April 14th 2008 and shall continue posting when I get back.
 
Your personality plus the amount of money you have in hand for trading purposes, has impact on the types of system you can trade on. Consider this case, if you have $ 25,000 or less, then you can not trade “a basket trend following system”. If you can not take losing 5-6 trades in a row then “trend following system” are also difficult to trade. Moreover, if you are trading a small account and desire a reasonable winning percentage, then it would be preferable to trade the “ten year note with Inter-market analysis”. This is a very good option.

In the days of pit trading the above was really one of the only options for a small account of $ 10,000 to $ 25,000, as you required the average trades to be greater than $ 250.00 to overcome slippage and commissions.

Now, with the electronic trading, smaller trades work; which means that in addition to “Inter-market interest rate system” we can develop “pattern based methods” in smaller commodity based electronic markets. Therefore, an average trade of $ 120.00 is now workable in many markets.

Please have a look at Mr. Murray post regarding the above:

http://www.elitetrader.com/vb/showthread.php?s=&postid=1812488#post1812488
 
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