Why scalping beats any other trading style

Quote from NickBarings:

... For example in the E-mini S&P the spread is 0.25 99,9 % of the time when trading 1 contract but when trading more than 1 contract the average spread will become
higher than .25. ...
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I thought that trading between 50-100 ES contracts a clip would still allow 0.25 spread???
 
My system is all limit orders and I cant seem to get the size larger then 30-40 contracts on the ER without getting no fills, even during high volume times. I have a direct connection to the exchange, so it cant be the connection issue. I am thinking of trying the NQ or YM. The ES is ridiculous, you have to give at least 2 ticks of slippage on every trade, 1 to get in and 1 to get out. Anyone have any experience trading large size on the YM or NQ, you think I might have a better chance with these instruments?
 
How about trading GEZ6 with huge volume? It barelly moves a few ticks per day and it looks like the LU or CMGI of the futures markets...
 
Quote from yoohoo:

enlightedtrader, you are going in the right direction and you can take it a stage further. Time can be a real enemy if you use it alone. eg a 1min signal isn't complete until the bar closes but that will allow whipsaws at times or missed entries if there's a wide range bar - and it gets worse the bigger the timeframe. Try adding range bars instead of time to your current set up. A 3R and 6R for the ER2 & YM - on second thoughts it might be better to start with 4R. The ES is more messy because it's not in 10th's so try 75R $100R. You should find a similar improvement as to when you reduced your timeframe.

As far as size is concerned test it for yourself when you have range bars to get you in earlier. Your experience will be different from mine as I'll enter earlier than you so you have to discover this for yourself by raising it in small increments. The answer on fills is yes & no. When it's busy and you're early yes - when it quiet no. If it's busy and you lag a little you'll suffer averaging and a lot of slippage, esp on the ER2. The ES is by far the easiest for 50 contracts. Slippage and averaging are determined by how quickly you enter at the turn, what time of day it is, the number of contracts you trade and of course the instrument traded. The answer could be anywhere from 2 - 1000+ depending on how these factors affect you.

As they say over here, there may not be so much left if you're sucking on the hind tit.
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Hi Yoohoo,

Thanks for your advice. Currently I'll stick to minute bars. I have a pretty good reading of market flow by minute bars. For range bars, I'm not so sure. It seems that my brain is more tuned to time.
 
I understand - it was a different planet to me too - I'd forgotten how strange it was. When you have time it's worth investigating.
 
Quote from yoohoo:

A friend of mine came up with this...

did a quick analysis to determine what I already knew in my head. Scalping definitely generates more Net Profit and for anyone with a calculator it is a no brainer. The following is a table from the analysis. The analysis was taken from the day session for the last 3 days on the Nasdaq E-Mini

(see attachment - it's a Word Doc)

The only way to have the potential to make more than a day trader is to position trade large size.
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If the drawdown factor is considered, it is unlikely any other trading style can beat day trading/scalping. I've not found good information about the Sharpe ratio for different trading styles. I would imagine for a good discretionary day trader/scalper the Sharpe ratio can easily be more than 15 to 20, even higher. I'm unaware any other trading style can have such a high Sharpe ratio unless the trader is exceptionally good. How do you guys think?
 
Quote from yoohoo:

A friend of mine came up with this...

did a quick analysis to determine what I already knew in my head. Scalping definitely generates more Net Profit and for anyone with a calculator it is a no brainer. The following is a table from the analysis. The analysis was taken from the day session for the last 3 days on the Nasdaq E-Mini

(see attachment - it's a Word Doc)

The only way to have the potential to make more than a day trader is to position trade large size.
More...

If the drawdown factor is considered, it is unlikely any other trading style can beat day trading/scalping. I've not found good information about the Sharpe ratio for different trading styles. I would imagine for a good discretionary day trader/scalper the Sharpe ratio can easily be more than 15 to 20, even higher. I'm unaware any other trading style can have such a high Sharpe ratio unless the trader is exceptionally good. How do you guys think?
 
Quote from princessa:

i agree - sort of. scalping is not more profitable for me than my position trades/investments, but i could see how it could be for some. having said that, i think you could scalp, daytrade for an hour a day and still make enough to live on. if you're good. (i.e. 6 hours/day not necessary) usually i play and do other things, returning to the computer now and then to see if there's a good setup.

today, i spent about 20 minutes making $200 with only 1-2 contracts at a time. then i went out to play. came back a few hours later and spent another five minutes making $50 more. i could've gone farther, but decided to call it a day after that. i trade from 2 minute charts but watch each tick. $200/d is about 50k/year, enough for most to live on. since i'm not trying to live on trading income at present, i don't trade every day and don't force myself to have high daily expectations. right now, i'm only doing what's easy for me to do so there's no pressure. i trade because i enjoy it. my personality type loves the concentration and stimulation that scalping provides. i don't like pressure, feeling like i HAVE to do it, so i don't force myself to do it every day, only when i feel like it. my goal is to be so good at it, that i can increase my daily take without any pressure. how high will my eventual self-imposed quota go? who knows. i'm taking it one day at a time....
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Good for you. I can't say I'm able to consistently extract $200 per contract for 20 minutes of trading.

I agree though that sitting exactly 6 hours is not needed. If you have enough skills to make enough money during the first and last hours of day you don't need to sit in front of screen for 6 hours.

But funny thing is the longer I do it (sit in front of screen) the more I like it and the more it becomes really interesting occupation rather than hard. :)
 
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