Why scalping beats any other trading style

[Pekelo]

This is a very silly thread for the obvious reason. It is not the style that determines the winning strategy but the results, the R:R, Sharpe,etc.

Quote from yoohoo:

Pekelo, in your example I'd be the better trader....

My profit would almost always exceed yours by a very large margin after slippage and commissions.

So you would be a better trader because you needed 200 trades to achieve exactly the SAME profit what I did with 5 trades??? I am sure your broker loves you more though...

And no, your profit wouldn't exceed mine, because in the example we both had the SAME profit!!!

Now for those who come up with the "stay in the market for shorter time to reduce risk" argument all I can say, if you don't stay in for the big winners, you obviously won't have them...

Now I am done with this thread....

 

[mcichocki]

Quote from RedDuke:

Tick and Volume charts are very close. They both move only when something is going on, and are perfect to catch momentum.

I found volume charts to be easier to spot momentum since every bar represent constant # of contracts. With tick bar you can have several very large trades, but every one of them will add just 1 to count, where volume bars will create few bars thus highliting the momentum.

Thanks for the feedback.
I'm gonna give volume charts a try at EOD here since we finally broke the tight rangebound BORING action.

 

[cnms2]

The opportunity vs. time scale relation is not linear. If you go from 5 min to 15 min bars, your price envelope widens significantly less than 3 times. If you go from daily to weekly, your price envelope widens less than 5 times. So the faster the time frame, the better the opportunity. Obviously there factors that go the other way like noise, slippage and commission relative size, etc.. Your abilities matter too... You should determine yourself your best trading vehicle and time frame.

Quote from ElectricSavant:

Would you rather bank 60 ticks/pips an hour? or 1 tick/pip a minute?


AND...

what are you able to do?

 

[ZeroSigma]

Quote from cnms2:

The opportunity vs. time scale relation is not linear. If you go from 5 min to 15 min bars, your price envelope widens significantly less than 3 times. If you go from daily to weekly, your price envelope widens less than 5 times.

That would be true when moving from monthly to quarterly time frames or longer. But for any shorter time scales, volatility scaling laws are not necessarily range-contracting (risk / opportunity lowering). Short term (up to weekly) volatility and returns are highly serially correlated. And don't option traders love it - once a trend in vola starts, it goes on until the next panic rate cut Thus volatility cannot be shown in shorter time frames to be mean reverting as the neat square-root-of-time rule wants it. So when widening the time scale 3 times, we may need much more space for max adverse excursions (and thus for stops) than textbook sqrt(3) times. For the symmetrical (commodities) case, the formula for scaling risk estimates when moving from shorter to longer time frames (VaR reports et al) was developed by Drost and Nijman (PM me if you could use a C implementation). As for stocks and their indices (and other instruments with a bias, and thus asymmetric distributions), last time I checked, we were still swimming in uncharted waters (correct me if I'm wrong). So we had better put less trust in mean reversion and loosen that stop a bit to prevent non-Gaussian noise from shaking us out. And on the positive side - let's ride that multi-sigma divergences at the vola seller's expense and thank Mr Taleb afterwards (I wish I listened to him earlier

 

[ZorglumGlouton]

Quote from ZeroSigma:

Short term (up to weekly) volatility and returns are highly serially correlated.

There are high correlations in volatility (volatility clustering) but returns are not highly correlated - that would be too easy!

In my experience, there are very *weak* temporal dependencies in the returns - it can be checked for instance using the BDS statistics - most likely those temporal dependencies are mainly nonlinear since the autocorrelation of the returns is very weak.

My 2 cents,

Nicolas

 

[Charly]

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.

HI yoohoo

just saw this thread the first time:

same system and parameters for all the time frames mentioned?

Charly

 

[fluttrader]

Quote from Charly:

HI yoohoo

just saw this thread the first time:

same system and parameters for all the time frames mentioned?

Charly

It is not a system, just calculating the max points available based on high and lows

 

[greysquirrel]

just curious how many points that scalper system was trying to capture on the word document. commissions and slippage tend to bite. Commissions and Slippage are huge factors in scalping systems, I would not assign a figure like 30 percent. I have seen equity curves that go straight up go straight down in real trading.

 

[boid-dog]

i know one who's traded in the pit w/ Baldwin & co. Ask him how he trades--"by feel." (it's probably true by now). Scalps Interest Rates, and and Index. No charts just a half dozen TT doms...he has levels and recognizes bluffing. Also pays member fees, like 10 cents; commissions stop after a certain point.

Today I scalped euro...stayed up till six, and passed on er2 and sp 400. A little ES and Ym... about $1500 with $4 commission (about 220 contracts), which I can cut in half if I continue in this way. Averaged down a couple times and got whacked. Work with 15 & 8 min charts, levels and use 18 tick for entry. If i see a potential 20-30 point trade and and exit, add and exit. Throw in b/o's in convenient spots (when trading er or fast market watch for T&S to go red, in large orders behind you; risk is minimal at these times.. adding to er for 4-5 ticks . It is enjoyable but I also want to work on long term portfolio; e.g. etfs, forex.

I've seen people turn $40k in a day, $100k month, but they have a few hundred grand in their accounts.

Still interest in finding more information on scalping, which is why I wandered here. I believe a great deal of the NAZDAQ volume, as much as 20-30% is the result of one firm in Kansas City...a former trader/programmer who programs algorhythms all day as a couple dozen minions monitor their progress.

 

[yoohoo]

Quote from greysquirrel:

just curious how many points that scalper system was trying to capture on the word document. commissions and slippage tend to bite. Commissions and Slippage are huge factors in scalping systems, I would not assign a figure like 30 percent. I have seen equity curves that go straight up go straight down in real trading.

Goodness there's some dust now on this thread and I lost touch with this guy. Must see If I can renew contact but he was doing very well trading when I last spoke to him.

I can't remember now if he was even able to make a profit on the systems he developed until he met this hot trader who uses indicators to make his decisions. He trained my friend who basically copied the indicator set-ups (plus some ideas from another trader and one idea from me) and the next thing he's got this monster automated system.

It doesn't enter with a set final target, rather it runs until the indicator calls a final exit, but he averages out in 1/3's.