Very short-term intra-day strategies?

Here's where the scalper gets killed.
1. The easy money is over. 6 pt moves with 2 pt stops are harder and and harder to find. So everybody starts getting smaller and smaller until finally,

2. No new high or new low has any follow thru. Every new high on the 1 min chart is then challenged, and it moves down and shakes out every small scalper. Then another new high is made, and same thing, until finally no one is left but the strong hands, and the market advances again.

3. Then all you hear is how you can't make money scalping, I tried it, so on and so forth and the way you make it is on the big moves.

4. And the cycle starts all over again.
 
Scalping hit rate should be high. 75% is the magic number. You can't survive on less.

Anything over 50% is unsustainable.

But hit rates, like markets trend.

Every scalp should be a winner. No exceptions.

You have a loser, you have a problem. Drop size, all the way down. Back to one contract or 500 shares.

When it's going bad, it's usually going very bad. And badness lasts for days or even weeks.

When it's going good, you know it, and life is a breeze and you start piling on size, like throw everything at it even the kitchen sink.

Now, can you put this all in a system?

All I know is, whenever I start trading like a machine, evil is soon to follow.

The system is a framework, something that is stable, but the values are always changing.

Don't want to be negative, not sure you can program the computer to do it. But what do I know, I'm happy if I can sign on.
But the problem isn't scalping.
 
More great responses everyone....thanks again.

Agreed that a high hit-rate (75%) is a must -- my initial impressions are that the systems I'm playing with are very good at capturing the moves I want, but also seem to get faked out by the moves i don't want.

And though I'm not getting killed because of the right stops, every little $0.05, $0.10, and $0.15 loss + slippage + commissions adds up.

So right now I'm actually looking to cut down on the number of trades the system makes, working on ways to filter out those times when things look good-but-not-great. I imagine the best way to do this is going to be by adding another indicator or two as confirmation to the indicators/situations I'm starting with.

And if I've done my reading properly, this will best be done by using indicators that use _different_ input data (i.e. use a volume-based indicator to complement a price/volatility-based indicator). Or perhaps I can throw time into the mix....

Any more suggestions (other than momentum indicators) on the type of system that could be effective in mechanized scalping?

--Noah
 
Already you run into problems. Hitrate of 75% is almost impossible, plus just hitiing 3 out of 4 isn't going to help. What you need is a long string of wins, back to back, unbroken, and many trades during that favorable period. As many as you can make. You don't want to be filtering anything when it's going good and the money is easy.

Then when it goes bad, that's when you trade small, less often, and filter everything, and then you are just hoping and praying that the days of 75% return.

Should be very challenging if you can come up with a system.

It is all perfectly balanced. Less trades need bigger moves. Tighter stops means less hits. Longer times needs more money. No improvement can be made without sacrificing some other need. And cost is the constant drag.

I think you are mistakenly observing the market as continuously constant. It is like night and day sometimes. Sometimes you wake up and think you went into a time warp. You begin to wonder, was this the same market I was trading yesterday?

That's what you need to teach your system, the changes and how to adjust. The perfect scalping system would be like a horse at the starting gate, and it would just sit there and do nothing until something triggers the starting bell and lets you know the race is underway, and then it would just run like hell until it places or shows.
 
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