Predictor

I use time stops extensively. They work very well but can't be set TOO restrictive. I've found price to be dominant over time, primarily. However, time stops are very effective. Time-based stops are really just a variation of a hypothesis based stop. A hypothesis based stop has a rule and an implicit time-based function. In general time-based stops or any method of making the market a series of discreet events will be helpful psychologically. This is the real benefit and helps to provide balance. -Curtis The Market Predictor

I have found the answer. The TS stores user work in the "MyWork" folder in the program files location. This is a bad practice because user data should be stored under MyDocuments. Fortunately I backed this up because I knew TS did not work to standard in this regard.. very close though.

I recently re-installed my os in order to get the Tradestation 9.1 update to work. I backed up my Tradestation program folder and my documents. But, I didn't export my strategies. Where are my strategies located and how do can I import them into my now new copy of Tradestation? Thanks Curtis

There are many sorts of edges (or repeatable patterns) that traders attempt to take advantage of including: technical, fundamental, seasonal, and various relational ideas. I'm sorry but there is no easy way to develop these sorts of ideas. You're first step is to get some professional backtesting software such as Tradestation and start programming out your ideas. I recommend Tradestation for the beginner because of the integrated data. But, there are many other competent applications out there. You might want to take some statistics courses. Typically building trading systems involves programming buy/sell rules and then evaluating their performance. You should ask the author if you have a specific question. Curtis The Market Predictor PS: As I said, building trading systems is not a science. This is the first thing you have to get around.

As I said, MOST professionals.. that is the guys managing the most money/making a living, I do believe are using programming, automated, and partially automated strategies. However, I also know that it is possible to get to a high level of competence using discretion. I think both methodologies offer something. As Dr. Steenbarger wrote to the effect, it is possible to trade in a way such that one weighs historically what the market has tended to do with what the market is doing in real time, in order to capitalize on that or push it. There are really a lot of combinations when using the mixed approach.. see my blog entry on systematic methods. But really I can't help you with your question. Its too general. Its like if I were to ask "how do you make a game?" There really is no simple answer as the number of methods are multitude. The key thing I think that helped me is to understand that trading building trading systems is NOT a science but a craft that blends both objective and scientific measures with subjective and intuitive ideas. This is the first thing you have to understand and the most critical because once you understand that then you'll understand there is no one "right way" to build a system. As with building any model, we simplify "reality" in order to build a model that we can understand.. obviously the model is not the reality but that doesn't take away the benefit that can come from having a model. Thanks, Curtis The Market Predictor

Josh.. interesting views As both a discretionary trader with a high degree of ability and someone who has built profitable trading systems AND traded them: I feel I'm well informed on both sides of the coin. I've always felt that the really great trader needs to understand more then what can be gained from "backtesting". However, having said, it is certainly possible to create profitable trading systems.. I view a trading system as another profit center. It is a great feeling to know I can "hand off" the trading to my systems when they signal and after I'm too tired to trade.It is no wonder then that most professional trading firms do use simulations and systems. Now to the second aspect.. it sounds like you are trying to find how to build worthwhile trading systems. This is not a trivial task. Building trading systems is a craft that blends objective tests, ideas with subjective decision making. It takes a huge amount of work to build a worthwhile system and there really are no short cuts to it. You should be able to find a good deal of information on building trading systems if you do a search on Amazon or go to your local library. As Josh relates, the most difficult aspect is to know how the system will perform in the future.. There are a number of ways that have been developed that can aide in this but there is really no sure way to know. Search for backtesting, building trading systems, etc.. that should give you a start. Curtis The Market Predictor

I agree with Josh. I do offer some great order flow techniques and there are other professional traders who use the order flow. Dr. Steenbarger wrote a lot about the order flow on his blog for free. I feel I'm offering some of the best instruction on this now. There another trader/vendor here too Urmablume who wrote some interesting stuff on trading order flow. Now having said that... most HFT systems do not look at any past trades. They are ONLY looking at the orders but they are able to "cheat" by placing offers and canceling them. If you want to try to trade off the book then you're attempting to market make. In order to market make, you need quite a few complicated pieces such as an inventory management system, a queue estimation system, and some way to "lay off the risk". Even if you were able to see something in the DOM then its probably going to be worth less then 1 tick which means you'll have to place a LIMIT order and in order to do that you need the ability to estimate your probability of getting filled in queue. All of this means that these sorts of edges -- if they even exist -- are only suitable for those who are building automated HFT systems. I don't doubt there may be something to what you're seeing. For example, it is certainly possible that some arbitrage system was loading orders into the limit to near simultaneously execute in another market.. As soon as that opportunity is gone, perhaps within milliseconds, those trades could be pulled. Obviously, to be able to make sense of such micro edges in real-time, execute, AND get your orders to the exchange is going to be a virtually insurmountable task for the discretionary trader. I think that looking into some of the other routes I've suggested will prove more fruitful. Thanks, Curtis The Market Predictor

The close shows the path the market took through time, as measured at an arbitrary but consistent point in time. This pondering on the close is really a specialization of a more general question on how important that the path, even whether it is important, that the market takes over time is meaningful. Some methods such as point/figure and range bars minimize the importance of the path while other charting methods (line on close) focus primarily on the path taken. Curtis

I think the highs/lows are more useful... I agree what you claim makes sense. Only one thing is that the close could work similar to a moving average, so I would have to disagree that its meaningless. But, I agree it may not be the most meaningful way to view price..

dark.. I have some materials on reading order flow (check my site, see profile). I don't use the DOM. However, if you think about it, the largest traders are probably the guys using the limit orders and they usually intend to get filled. I kinda chuckle when traders talk about leaning against size. The closest thing possible to this idea is to take the other side of heavy market orders if you don't think they will be able to clear. You're not leaning against size so much as running profiting from their reversal.

There are many professional trading firms. Yet, few of us will be able to meet their stringent requirements. However, that doesn't mean that we can't learn something about their methods by studying their job advertisements. True, some that these methods may not be suitable for the average retail trader. Even so, there may be something to learn from a close inspection of their job advertisements. I'm not going to reveal any of the firms but all information was gathered from their public job postings. Below are some of the keywords from my latest fishing expedition: Liquidity Provider (many times) Eurodollar calendar spreads, butterflies, condors, packs and bundles Fixed Income Excel, C#, Statistical packages such as MATLAB Market Making Relative Value Arbitrage Volatility Trading Fundamental Derivatives Market micro-structure Tick data Automated trading strategies Order flow analysis Tick data analysis Signal processing Machine learning Co-location Strategy modeling building Data mining Back-test Statistical methods Analyzing and optimization Options market making Automated and manual execution strategies Market make Manage and optimize a portfolio Patterns Models FX options books Derivatives pricing and hedging tools Managing a portfolio High frequency trading systems Adjust parameters based on market conditions Treasury Yield Curve Overnight Bond Market Treasury market and yield curve Economic news/fundamental news and Treasury yield curve Probability/Regression analysis Treasury cash products/futures Finally, I thought I'd highlight a few of the keywords that most interested me: Order flow analysis Tick data analysis Treasury market and yield curve Relative Value Arbitrage High frequency trading systems Strategy modeling building Market micro-structure Analyzing and optimization --------- These key words will help to guide me as I explore new strategies and think about the markets and the various market participants. Curtis http://themarketpredictor.com

My subscribers have made thousands of dollars from taking my signals. On C2, you can look and see what trades have registered fills (only for subs that autotrade). I keep in close contact with my real money traders and track their results. So, yes they've been profitable. Even though someone may be taking my signals with real money, all results still must be treated as hypothetical. Curtis

I didn't take time to read through all the replies.. But there is something very important.. just because 95% of businesses "fail" doesn't mean the owners didn't make a profit. Businesses fail for a variety of reasons.. just because someone gives up on trading also doesn't mean they blew out. I had a software business for several years. It "failed" but it doesn't mean that I lost money. In fact, it led to a lot of good things for me. I imagine that the really good traders, those who are well trained, don't blow out so much as find they aren't making as much money as they want and can do better in other activities. The idea of the blow out trader is I think over blown (pun intended). Curtis The Market Predictor

Stops And Max Adverse Excursion It is often difficult to apply stop losses effectively to mean reversion systems. In order to understand why one needs to understand how the max adverse excursion (MAE) and the average win/loss relate. First, the MAE is the greatest drawdown that a position/trade experienced. MAE is the worst heat a position takes. If one only looks at the distribution of the closed profits/losses then it might appear that a stop could easily be applied to make the system better. For example, imagine that the distribution was similar to the following: % of Losses, Avg Loss 60%, < $250 20%, < $350 10%, < $500 5%, < $600 Rest, < $1000 All figures in absolute value terms for ease of reading. Based on the size of the losses, it might first appear that one could set a stop somewhere around $500 on this system. However, if we drill down into the MAE we will often see something that looks like this: AVG Loss, MAX MAE -$250, < $535 -$350, < $710 -$500, < $1200 -$600, < $1600 Rest, < $2500 (MAX MAE EVER) In other words, if we set a stop on this system of $500 then we increase the average $250 loss to an average $500 loss! Likewise, we increase the average $350 loss to a $500 loss. The only possible result is that the drawdown for this system will increase. I find it highly valuable to study the MAE, MFE (MAX FAVORABLE EXCURSION), MAX LOSS, and AVG WIN/LOSS for a trading system. I did an analysis on a subset of my own trades and found that my average winning trade only experienced about 2 points of heat. In other words, I found that my entries were very precise and didn't take much heat. However, when I attempted to apply a tight stop: my performance would have suffered a considerable hit. After some study, I found that the reason was that a considerable portion of my performance came from exiting losing trades at relatively favorable prices. Even though tight stops will not work: there are methods that can be used to manage the risk in trading such a system. One option is trade the system without a stop loss and use a smaller account. Another method is to set the stop where it decreases performance the least. A third and similar option is to set the stop slightly greater then any historical loss. There are advantages and disadvantage with any of these methods. Curtis http://themarketpredictor.com

I think you're over playing the "system specific" recording. But, I do think in terms of combinations and I think that is important. Now, in general, mean reversion systems will do better without stops but momentum systems can in some cases benefit from stops. Of course, with any system one is assuming that the system will continue to work which may not be the case. I think trend following methods are the hardest actually to make work with stops. I suspect this is why so many amateurs lose: they are using the wrong combinations. But, I'm not claiming I have the answer either.. this is something I think about a lot. I'm pretty sure if I could find the answer then I could make a lot more in terms of profits. The Market Predictor

I do know many professionals who don't use price stops. In my experience, I've also seen that no stops perform better then price stops. I think one needs to be very willing to admit when a trade goes wrong. I think one is well served by making their trades discreet. I like time stops. The main thing is a trader needs to be able to accept a risk upfront or get out. The problem is when traders take these losses, they need someone else usually to get them out. I like a hard (controlled by the broker/someone else) max percent risk per day.

Not advocating anything. I'm just sharing some realities and thinking outloud. Often I use tight stops and at other times I use larger stops. I've observed that PRICE stops are very difficult to apply effectively. The concept is good. I don't have all the answers. From my experience, the tighter stop one uses the more aggressive they have to be at re-entry... so the losses can still grow to what a larger stop would have been at the start except the profits are usually less due to poorer pricing.

Actually, most vendors tell newbies they must use a tight stop loss because its what they want to hear and then they berate them when they lose. You see most traders quit when they learn will have to take some risk. Let's say you're positioned in a trade and you get stopped out. What do you do? You quit and go home? If you take another trade then what do you think can happen? You take more risk. Do you always reverse? If not then why would you take the stop loss in the first place? Curtis- The Market Predictor

First, many pros use a catastrophic stop which is a stop many times larger then what you would imagine -- in most cases. We read the tape and order flow and monitor the trade over time and exit before the stop is hit, in most cases It is not uncommon for a trade that is exit in this way to actually work out. What I have seen is that trading in this way, using order flow, will tend to produce a more consistent ratio between the average win/loss versus using the largest stop possible. Using the largest stop possible will produce greatest net return assuming one can consistently hit targets but it leaves one open to taking a larger tail risk The edge is very small in active trading.. so giving up needless ticks by taking stop hits is costly

What "seems" to be true often isn't the case.. I've tested dozens of systems and most systems that use price stops perform worse. In fact, taking needless stop losses is the fastest way to ruin an account. Many professionals do not use stops or at least tight stops. They control risk using other methods. Let me say MOST professionals don't use hard stops. This is part of the benefit in learning to read the order flow is that a skilled trader in futures market can see the order flow starting to change and use a limit order to get out at a better price (or exit outright) then using a stop. Of course, there are those times when the market doesn't retrace and one has to take a larger loss. Again and we're talking futures here.. in stocks market can gap and take out stops. Among skilled traders.. most of these huge losses are the result of a move that occurs so fast/unexpected that taking a stop loss no longer makes sense or one is psychologically unable to respond. And that is why I use catastrophic stops. These mental "hiccups" can happen to the best. Now.. as you seem to suggest, when a trade goes in favor and works out great can make one more reluctant one from taking a loss because they don't incorporate the new information. This can happen too.

Trail stops is good in theory but bad in practice because you end up taking liquidity when there isn't a requirement. If I'm so worried about a position that I'm going to trail a stop, its best just to exit. I will typically do better.. Where trail stops have some benefit is when the market moves too fast for me to hit a target.. on very fast moves, trail stops might help me.

Josh pretty fair assessment. Yes, my video cable came out of the back of my computer (pulled lose by headphones). I think this is a pretty fair assessment but I did give several general examples and one specific example. I provide the most specific examples possible in my newsletter. I feel pretty strongly, as well, that I gave a lot more information then I've received from various webinars I've attended. Although, I look forward to future webinars here. Indeed, my techniques are highly discretionary. I have some non discretionary stuff but I don't share that because it just wouldn't make any sense for me. And, the discretionary stuff is, in my opinion, more powerful. I think one aspect of my trading that is different from most is that I'm not much for waiting on setups. I like to be able to run with an idea and the orderflow helps me to do that while managing my risk and pushing my winners. This is why I feel methods like market profile are more "static" vs "fluid"/dynamic as I teach. I don't have anything "against" such other methods and might even change things up and wait on a "setup" one day but probably I'd just try to automate something like that. I think part of this basis for my trading comes from both a feeling and knowledge that most setups/edges/etc aren't worth a "lot". Thanks again, Curtis The Market Predictor

Thanks to all who attended and appreciate the turn out. I did not make available a recording because I covered all the slides and all the content that offer in my precorded copy. There may be a possibility down the line, if TradersLab endorses, it for me to do something in the future. I don't see myself covering so much material again. But, I might provide an introduction or go into another topic. I have nothing planned for now though. Thanks again, Curtis The Market Predictor

Scalping or liquidity provision is the goal of buying bid and selling offer or selling offer/buying bid. This is very difficult to do for a retail trader due to commissions, sub penny, etc. Some traders take "micro" trades and refer to these as scalps. This is possible in the futures market but difficult. I imagine most scalping is done by computers that are co-located at the exchanges.

Hello, first to the administrators if this post isn't appropriate then feel free to delete it or if it should go in another section. I PMed an moderator about this but haven't received a reply. I wanted to announce to all concerned that I will be hosting a webinar on how I read the tape and orderflow this Saturday at 9 AM. I've read everything that I could find on order flow and I know there have been some good discussions here about such topics, for example by Urmablume. This is a webinar on MY proprietary techniques and methods. This is not sponsored by TradersLab but I'm certainly interested in that in the future. I know its short notice but really pumped about this speaking about this topic. You can register here: https://www4.gotomeeting.com/register/942990135 Thanks!