See attached.
Technical Analysis, from a Quant's Perspective
- Thread starter fatrat
- Start date
See attached.
the other way doesn't overcome costs either. critical point that these gurus never mention. good observation.
surf
Fatrat,
I think the point re hiring maths Ph.D's is they have demonstrated the capacity for original thought and research.
If they're hired, there is a belief they can produce unique approaches, be innovative, and solve problems, eg identify potential arbitrage.
At worst, they can design new products to sell to clients.
Grant.
I think the point re hiring maths Ph.D's is they have demonstrated the capacity for original thought and research.
If they're hired, there is a belief they can produce unique approaches, be innovative, and solve problems, eg identify potential arbitrage.
At worst, they can design new products to sell to clients.
Grant.
whister
Below is a quote from a post I made on October 13
in the thread at
http://www.elitetrader.com/vb/showthread.php?s=&postid=1230440#post1230440
"Many people will tell you you can not make money with a reward to risk ratio of less than 3 to 1 and definitely not less than 1 to 1.
When trading for larger moves, I tend to agree. But when scalping the ES I definitely disagree.
The only way I have been able to make it work is just the opposite, with a reward to risk ratio of 1 to 4.
That is with a 1/4 profit target with a 1 point stop.
I can nearly hear the laughter now, but I can tell you that is the only way I have been able to personally make it work.
With the 1/4 target and 1/4 to 1/2 stop the win rate is too close to 50/50 (just because of the normal shoving back and forth) and with the slippage and commissions I can't make it work. With the 1 point stop and very very selective entries I have been able to hit a win rate of over 85% for a 1/4 target. One really important thing is to use a trading platform that automatically enters you stop order when you enter your original order. Also I use a stop market order NOT a stop limit order. Yes this usually means a fill 1 1/4 below entry. But with this type of trading if it gets that close to your zone you had better be out and ask questions latter."
Below is a quote from a post I made on October 13
in the thread at
http://www.elitetrader.com/vb/showthread.php?s=&postid=1230440#post1230440
"Many people will tell you you can not make money with a reward to risk ratio of less than 3 to 1 and definitely not less than 1 to 1.
When trading for larger moves, I tend to agree. But when scalping the ES I definitely disagree.
The only way I have been able to make it work is just the opposite, with a reward to risk ratio of 1 to 4.
That is with a 1/4 profit target with a 1 point stop.
I can nearly hear the laughter now, but I can tell you that is the only way I have been able to personally make it work.
With the 1/4 target and 1/4 to 1/2 stop the win rate is too close to 50/50 (just because of the normal shoving back and forth) and with the slippage and commissions I can't make it work. With the 1 point stop and very very selective entries I have been able to hit a win rate of over 85% for a 1/4 target. One really important thing is to use a trading platform that automatically enters you stop order when you enter your original order. Also I use a stop market order NOT a stop limit order. Yes this usually means a fill 1 1/4 below entry. But with this type of trading if it gets that close to your zone you had better be out and ask questions latter."
nice post, nutseal
my stops (and targets ) are dependant on the setup
and since i generally scale out (for most setups), it's hard to talk about the so called R/R ratio cause there is a fixed INITIAL stop, but more than one target
one of my most frequent YM setups is a
10 pt stop 6 pt first target 8 pt second target, 3 target runner (trail the stop)
it's not REALLY a 5/3 risk/reward because there are incremental targets as you can see
but that one is a successful trade 80% of the time.
also,. the stop is moved to entry +1 upon the 6pt target being hit
imo (and ime) for scalping, entries are CRITICAL.
i almost always try to buy the bid/sell the ask.
this is also true with the nikkei, considering the 5 point spread
my stops (and targets ) are dependant on the setup
and since i generally scale out (for most setups), it's hard to talk about the so called R/R ratio cause there is a fixed INITIAL stop, but more than one target
one of my most frequent YM setups is a
10 pt stop 6 pt first target 8 pt second target, 3 target runner (trail the stop)
it's not REALLY a 5/3 risk/reward because there are incremental targets as you can see
but that one is a successful trade 80% of the time.
also,. the stop is moved to entry +1 upon the 6pt target being hit
imo (and ime) for scalping, entries are CRITICAL.
i almost always try to buy the bid/sell the ask.
this is also true with the nikkei, considering the 5 point spread
Given the discussion of stops and targets, I think it would be wise to distinguish the use of TA for futures versus equities. The two inherently behave differently. Derivatives being elastic and subject to not only different TA principles but also different profit/loss targets.
EDIT: I'm not sure I can accept a stock trading strategy that allows for fractionally skewed (in favor of risk) risk to reward trades... whereas with derivatives, the instrument itself being the defining factor, I could definetly see a risk skewed R/R strategy working.
EDIT: I'm not sure I can accept a stock trading strategy that allows for fractionally skewed (in favor of risk) risk to reward trades... whereas with derivatives, the instrument itself being the defining factor, I could definetly see a risk skewed R/R strategy working.
