Welcome to the new Traders Laboratory! Please bear with us as we finish the migration over the next few days. If you find any issues, want to leave feedback, get in touch with us, or offer suggestions please post to the Support forum here.
HighStakes
-
Content Count
50 -
Joined
-
Last visited
Posts posted by HighStakes
-
-
Hello wrbtrader,
Thank you very much for your insightful reply. It is an added confidence to hear that you and your institutional friends prefer minute charts.
I will continue doing some research with this and I have already decided to use the 10 tick range chart in addition to the 1-minute.
Good trading to you.
HighStakes
Hi,If you're profitable while using a type of chart...their jealous you can use a type of chart and they can't.
Therefore, I wouldn't even exploring other types of different charts/software (you refer to it as upgrading) unless I wasn't profitable or I felts my profit level could improve if I use something that someone else has recommended. Also, you mentioned you're trading Light Crude Oil futures via the 1min charts especially during increasing momentum...that implies you're day trading and holding your trades usually no more than a few minutes or less.
I myself day trade via 2min, 3min, 5min and 15min charts. In addition, I swing trade via 60min and daily charts...position trade via daily and weekly charts. I've tried tick charts...they're OK but too fast for me especially in volatile price action. In other words, I have trade management problems when using tick charts.
By the way, I often visit some of my institutional trading pals at their offices...they aren't using any fancy types of charts...they're just using time based charts. Thus, if its ok for them...I'll continue using time base charts and not try to outsmart them in trading via the illusion of using a fancy type of chart. :doh:
-
Hello all,
Up until now, I have been strictly using 1-minute and 5-minute charts for my day trading operation.
A lot of guys, including a guy I know personally, bashes time based charts and accuse them for being random, noisy, etc.
This eventually lead me down the path to upgrade to a quality tick feed such that I can explore these type of charts on my own. I`m now in the process of completing an extensive study of range, tick, volume and renko bars across different settings, and I have to admit that I`m less impressed than I thought I would be based on the hype.
I still think the 1-minute chart gives a fairly good visual representation of the intraday movement and I don`t think it stands back for any of the others.
I will continue studying the 1000-volume, 10-range, 512 tick chart, 13 tick chart, ideally eliminating a few of these and settling with one or two in addition to the 1-minute.
There appears to be some added value with these charts and together with the 1-minute they may offer an extra edge, in particular for execution during momentum moves.
What are your thoughts and experiences on the subject?
I`m currently looking into the crude oil market, btw.
Kind regards,
HighStakes
-
You may want to write up your project and post it on guru.com and see if you get a good offer. The problem may be finding someone with knowledge of the financial markets, which may or may not be a problem. Actually, I did get a bid from a firm that had experience with financial markets, so I don`t think that will pose a problem.
I`m currently working with a programmer that I hired from that site for a very friendly price. I have not yet received the finished product, but if he delivers on what he promises, I will be very satisfied. If he don`t delivers according to the project agreement, I can refuse to pay him.
-
I would just get some historical data from anyone that is free and build your system FIRST.Not much point wasting money and time worrying about the data if you never build a system. Then once you have that getting the data is a whole other kettle of fish.
Getting a download is just a mass download of data, rather than waiting to try and collect and store your own over the next few months.
As others mention, accurate data and what you require in your data is the next step, but I would worry about that (thinking about it before hand is good) but build the system first. You can spend/waste a lot of time on data if you never build something.
Well, I took the plunge and have now bought MATLAB. I was pretty much already convinced it was the way to go and after watching several of the webinars on their site, I no longer had any doubts. It integrates very well with excel, so I will probably use both. I paid $205 dollar for the student version with the toolboxes that I want to use, so it is very affordable.
Where do I get free historical intraday data?
I`m upgrading to IQ Feed anyway and it will be no problem to start off with the data from their servers.
For now, I have more than enough to learn the basics of MATLAB, but I don`t think it will be that long until I need decent historical intraday data for the work that I plan on doing.
Anyone else reading who know any good forums or resources for MATLAB beyond what is at mathworks?
Thanks in advance,
HighStakes
-
Hello everyone,
Thank you all for your helpful replies and please accept my apologies for the late reply.
R is preferable because it is open source, which translates to more 'open and collaborative' user groups on the internet.Thank you for your opinion and for those links. I`ll spend time with them over the weekend.
As far as I can tell, the online community for MATLAB is not any less than that for R. I`ve read a few debates on R vs MATLAB and the consensus seems to be that MATLAB may be slightly better for the purposes I`m interested in and also easier to learn.
Then, you`ll hear others who say just the opposite.
in an attempt to help...Software...
You seem to have this covered and if it is a long term project then learning any language will not be a problem. If going down this route then others are better qualified to answer. For me, I have always used excel for a few reasons - its flexibility, ease of use (I use a lot of macros and so am self taught vba), the massive number of users worldwide and help, cost, and the only real downside i see is its speed and for really big database files it is not ideal. Basically this all boils down to what suits you and what you like.
Data...
This is the biggest nightmare IMO. Mainly because of cost, accuracy and details both in terms of instruments and depth of what you need. Ideally tick data is the basis for everything and so the best, however it is clearly overkill if not needed.
One issue with data is the on going maintenance and getting it into formats that are usable and relevant. Plus the accuracy often leaves a lot to be desired. There are many data vendors and they vary in cost and accuracy, and there are probably only about 5 of note- the same names always come up. Most will determin if you just need a download, or live continual data going forward....for back testing, i suggest you go the simplest cheapest option, get a download and then build your system - you can add to it later.
Additionally trading futures you have the issues of continuous contracts - there are some threads about building those, here and elsewhere......a real pain (I will try and dig up a file I had on it, but I think it has been loaded here on TL)
Data Organisaton
See Q2....a lot will depend on how they give you the data and how big it is. For me I use text files for the same reasons I use Excel....but I think there are probably more efficient/faster ways of doing it. Plus they can usually interact with most other systems.
As part of building a back tester you do need to have two other things of note - how to analyse the data, and how to store and compare the results of the test. Again Excel is simple and easiest.
For all of this, work out a plan of what you want, where you want to get to and what is not relevant - it will save you a lot of time.
There are plenty of good ready built systems out there that will save you a lot of time and effort - multicharts, NT, Siera Chart, Tradestation etc etc; Currently I prefer Sierra chart. So again dont replicate what has already been done. (I think if you really get detailed you will need to build your own) Often these system have a lot but not quite enough....
hope this helps.
Hello and thank you for your input.
The problem with talking to geeks is that they may not be able to relate to us mere mortals when handing out advice, referring to two of my aquaintances who both are proficient programmers.
Since I am not an Excel wizard yet and do not know any VBA, I was told by them that my time was better spent moving on to MATLAB right now.
I have not decided yet, but I will probably buy MATLAB (student version) and try to get my fet weet and see if I feel it is something I can learn without too much effort. I know that I can learn it if I want to, but the question is how much time and effort I will need to put into it before I`m at a level where I can use it without too much pain.
Regardless of whether I choose R, MATLAB, Excel, etc, the first step would be to buy data?
You seem to know a few things here, so I would be appreciative of any advice on where to get it. I think 1-minute data is enough for now. The plan was to sign up with IQ Feed and use Qcollector to rip data from the feed. It seems like a very easy way to do it including automatic updates and real-time integration. Also fairly cheap, compared to many of the other vendors. I read some users who experienced bad high/low readings on the 1-minute historical values from IQ Feed, so that was a little discouraging if it`s not something that`s improved upon by now.
You said, "get a download", do you mean purchasing quality data from a vendor as opposed to ripping of a feed?
One option I see could be to buy tick data and then use IQ Feed to build on that since tick data is available for 30 days. I am primarily interested in only two symbols, ES and CL, and that could be affordable to buy from a vendor. Using only IQ Feed, I have a lot more at my hands.
I rip my data off an eSignal data stream. I thought a long time about creating a database for storage and analysis but I came to the conclusion that simple text files offer the most benefits: (1) the data is human readable (great for bug hunting and cross-checking), (2) offline storage and backup is a non issue, (3) the data is universally accessible and easily transformable. As for data organization, I have a folder per security with a file per contract (i.e. ZC\Z2011_D.txt is daily settlement prices for December corn, ES\H2012_1.txt is one minute data for March ES, you get the picture.) It's not very sexy but it works.A word about ripping data off streams - if you want real tick data check with your provider first. IB for instance does NOT provide realtime tick data, they stream snapshots. Also, check how far back your provider's historical data goes. With eSignal some contracts go back 30+ years on EOD data but intraday prices are backward available for a few years at most. If you need more you'll need to buy your data from a specialized vendor (this can get expensive real fast, so check if you really need it.)
Once you got the data on your hard drive you'll need to think about scrubbing it (filtering out bad ticks / quotes.) You'll find some pretty technical stuff on the web, google it; then decide whether it's really worth the hassle. Obviously this really depends on your strategy, if you trade long-term trends this is gonna be easy (just ignore the errors), if you scalp this is going to be a major pain.
If you'd like to trade futures you'll probably need to construct a perpetual contract for backtesting purposes. I found Ed Seykota's article pretty useful (while you're there do check out his article on risk management, it's a good read.)
As for software I'd recommend MATLAB. It's simply a fantastic peace of software. It's very flexible, the online community is huge and very helpful. The learning curve is a bit steep (especially if you don't have prior programming experience) but it's doable, given the right motivation :missy:. Caveat: you'll have to program most of your indicators yourself, there aren't that many that come standard out of the box. But, strange as it might seem, I found this rather helpful -- it made me *think* about what those shiny lines on my screen actually meant instead of just trusting them because They Told Me To use them. This is me though, I don't really know R or Octave (a free MATLAB clone.)
Hope this helps,
A
Hello Avarice,
Thank you, it does help indeed. I`ll look over those links over the weekend, thanks.
Have you needed to go through this process of scrubbing your data from eSignal? My system is short-term and I am absolutely dependent on accurate intraday data. I`m aware of the snapshots from IB, which happens to be my data feed and brokers today. That`s why I have to upgrade to a better feed, both for retrieving accurate historical data and also for getting more accurate tick/volume charts in real-time. My plan was to upgrade to IQ Feed and rip data from their database using Qcollector, but I`ve seen a few complaints about their 1-minute high/low values being out of whack. Need to do some more research there.
Nice to hear that you are satisfied with MATLAB. I can understand what you mean by it being helpful to write the indicators yourself, to really understand it. For my current trading, I do not use any indicators, save a simple 20-EMA that`s really not that important.
How long did it take you to get up to speed on MATLAB? I know it`s a fairly useless question to ask as we`re all different, but I`m asking anyway.
I bought a MATLAB book from Amazon that looks great, but my shipment never seems to arrive. I plan on buying the software and follow along in the book, to see if it is something I feel I can learn without too much effort. I guess I need to find out for myself. Thanks again!
Regards,
HighStakes
-
Hello everyone,
Old thread, but I ended up with a HTC android phone. Very satisfied overall for my needs.
When I worked a full-time daytime job and traded the U.S. session in the evenings, it was very beneficial to track the AH market and news headlines while at work, so that I was not completely in oblivion when the time came to start trading.
I use the CME group application for delayed futures quotes. Very nice application, but I greatly prefer the older version compared with the new update.
The Bloomberg application is great for news headlines.
These days, I still use all three, but the greatest benefit for me is that I can access Interactive Brokers TWS on 3G to manage my positions, if something should happen with my in house connection.
Regards,
HighStakes
-
Hello everyone,
I would like to ask for some help in getting started with my project of statistical analysis, strategy development, modeling and eventually automation.
I am a neophyte with regards to this type of work, but I`m not new to trading having studied the markets for close to 5 years now. I eventually decided I wanted to day trade and I`ve been day trading the ES contract for over a year now. The last months my results have started being satisfactory and I feel that I start understanding this market. I already use basic statistics in my trading, the most simple done by myself in Excel and some of it obtained from external sources. To clarify, I`m not a scalper, but attempt to trade the larger intraday swings.
Now that I have more time to devote outside of market hours, I want to take my trading to the next level and start working more seriously with the data on my own. I consider it a long-term project. At first, I expect my work to compliment my current strategy and remove some of the current discretion in my trading. Eventually, as I learn more, I may re-write my whole strategy and eventually I hope to be able to automate my day trading. In essence, I want to become intimately familiar with the market that I`m trading and learn it inside out and capitalize on that.
1) Software for analysis
I know a lot of people use Excel to perform impressive historical studies. Brett Steenbarger comes to mind. I already use some basic Excel myself and while it probably have a lot of potential for me right now, I feel that I will eventually run into some limitations and thus it would be better to focus on learning a more powerful platform from the start.
After some online research, it seems like a mathematical platform such as MATLAB or Mathematica would be my best bet. More specifically, MATLAB seems to be the way to go for a trader after what I`ve read. Price is not a major issue for me, as I can buy it for a student dicsount.
Are there some other options that I need to consider or is MATLAB the way to go?
How big is the learning curve? I have no prior programming experience. What I like about MATLAB (not sure about Mathematica) is that since it is so popular there seems to be so many great resources online where one can get help to learn the platform. I also have a few aquaintances that know it very well and that should provide useful when learning to use it on my own.
2) Data for analysis
This is probably where I`m most clueless and really could need some help.
I currently do not have any intraday data for the ES market, so the first step would be to obtain that.
Do I really need TICK data? It seems to me that if I could buy 1-minute data, that would be more than adequate for my current needs.
Do I buy the data from a vendor such as TICK DATA? Or is it a better choice to upgrade to a quality feed such as IQ FEED and rip 1-minute data from there? I`m thinking both practically and economically.
3) Organizing and working with the data
Assuming that I have now bought a platform and data, how do I organize, store and work with my data?
Do I need to set-up a database? Can this be done in Excel?
How should I organize and store the statistics and analysis that I produce?
I`m sorry if this is asking to much, but I would be greatly appreciative if someone who got knowledge on this could help me cut some corners and point me in the right direction so that I can get started.
If any books on the subjects are worth reading, please let me know.
Thanks very much in advance,
HighStakes
-
I appreciate the input, rwk.
I`ve read well over 100 books on trading and extensively studied half of them. Knowing that 80-90% of what is written on trading is mostly useless and recycled garbage from guys who don`t know how to trade, I`m usually fairly critical, especially when it comes from some online vendor where the barrier for releasing something is pretty much non-existent.
The other thing is that I`m not so sure how reliable reading order flow is in a market such as S&P, considering arbitrage and program trading.
I`m intimately familiar with the works of Al Brooks. I read his book twice and then re-wrote it on the third time in a language I could understand. Learned a lot from him and myself:)
SpideySense,
When did you visit Oslo? I`m actually embarrassed over our capital as parts of it is dirty and full of visible drug abuse,etc.
Glad you liked it though. Parts of it is truly beautiful
Kind regards,
HighStakes
-
Anything new here?
Not sure what I can gain from reading order flow in the ES with my style of trading, but this is still a gap in my knowledge base that I may be interested in filling.
-
Hello everyone,
This course (book + videos) came to my attention last week. It seems to fill a few gaps in my knowledge base and covers stuff I`m interested in learning more about.
http://www.nobsdaytrading.com/
Anyone here who`ve read it yet?
Thanks in advance,
HighStakes
-
I also thought I wanted to be a stock broker at a certain point, but that was before I found out that a broker is basically a seller.
Watch Wall Street Warriors and you will quickly see the difference between traders and brokers.
Anyway, you will probably need a job while you learn the ropes, so working in the industry as a broker until you can make it as a trader (if you ever do, it`s hard) is not a bad idea if you like that type of work.
-
Appreciate it, TIKI.
Thanks.
-
Hello all,
I was very disappointed to find that Forex OTG is only available for iphone.
Is there any similar apps (for free) that one can use for forex?
Thanks in advance!
HighStakes
-
I have to respectfully disagree. With stocks which is all I know about, your chances are 50/50 In all fairness to that, you can throw a dart and you have a fifty percent chance it will go up. There is no other places for it to go. Up, Down... That's it. Now if you incorporate stop losses, when you lose you don't lose much. Sure that is in really simple terms but it is the truth.Now as you hone your skills you will become more proficient and therefor increase the amount of profitable trades.
This post does not make sense.
You believe that the markets are random and that there is a 50% probability that it will go either up or down? Flip a coin?
Then you say that "as you hone your skills you will become more proficient....."
Which is exactly the point emg was making. It takes time to learn trading and the failure rate is high.
Markets can go up, down AND sideways. Add commissions and slippage and it is easy to understand how someone who is not "proficient" can quickly become broke, especially trading leveraged instruments like futures.
-
I think you've chosen 3 good markets to choose from - but also three very unique markets so make sure you study each very closely before making your choice on which to focus on.For example....
ES: Highly liquid, esp during EST trading hours, can get very range bound / choppy at times but when it catches a trend it will go.CL: My personal favorite as I think you get great moves every single day. Even the range bound moves here can be substantial when compared on a dollar to dollar basis to other markets.6E: Personally I have a love/hate with this thing as many times the substantial moves occur while I am fast asleep so I awake to trading a tight, range bound market. When you do catch a trend here it can be substantial.IMO you've got 3 very different markets there and it will come down to your risk tolerance and what types of moves you are looking for. I would not choose the ES purely based on total volume traded there daily as that will not be an issue for a very long time for you starting out so don't use that as the basis for your decision. I get tired of reading how new traders focus on the ES purely b/c of the liquidity there even though they will be trading 1 contract to start.
Interesting analysis. Thank you!
I live in Europe and do not have the opportunity to trade the market open. My personal trading session would be limited to approximately the last 4 hours of the US session.
One important qualifier then would be that the market of my choice need to be active during that time window. My superficial impression (have not done much research here yet) is that the best moves in crude oil usually happens during the market open, while the ES usually have good moves during the close as well.
Any opinions here?
-
You are very welcome HighStakes.By the way, I think Thalestrader has some very good and important points. He's right up my alley. It is this attitude that has always helped me when I would like to accomplish something in my life. This finding the best people to teach me and doing my best performance. I love the statement "You can keep on saying it can't be done, and I (and many others) will keep right on doing it anyway."
Regarding the discussion of the 90-95 percent who do not make it I think this too often comes out of perspective. This is the truth about all other business startups also. Rather than stating the 90-95 percent all the time one should focus more on why and learn from it. Trading, no matter what level, is a business and should be treated as so on all points. Trading has its distinct areas as a business which one have to know about and follow and so has other businesses too. If you would like to and have not already seen it, I would recommend the "Trading As Your Business" webinar at TraderKindom.com by Brian McAboy to put things into perspective. You have to be registered to get access. As a next step I would highly recommend the book "Super Trader" by Dr. Van K. Tharp. The subtitle of the book can be misguiding I think, but it is an excellent book on trade management and psychology. Dr. Tharp is a top notch trading psychologist, NLP (Neuro Linguistic Programming/Peak Performance) modeler, and trader. He is one of those interviewed in the book "Market Wizards" by Jack D. Schwager.
Best regards,
Laurus12
Thanks, Laurus
I will check out that presentation and look at Tharp`s new book. His book, "Trade Your Way To Financial Freedom" is probably among my top 10 books, so I`m already familiar with some of his work.
Best regards,
HighStakes
-
Hey laurus,
Thank you for the support.
Since writing this post I have decided to trade one market exclusively, but I have not yet decided which one. It will most likely be the e-mini S&P500, crude oil or possibly EUR/USD.
Best regards,
HighStakes
-
Thanks guys.
It sounds very promising. I kind of hate being on work for 8-9 hours and not knowing what`s going on in the markets.
Does anyone know if the same applications are available for Android phones as well?
I would have loved to buy the iphone 4, but I`m afraid it`s a little pricey right now.
Regards,
Highstakes
-
I will read that book, thalestrader. Great post.
If my prospect of annualized returns were merely 10-15%, I would never waste any time on trading. I`d rather work the extra hours with my current job and invest my savings in an index or similar.
If anyone is interested, I may upload an excel sheet I made with montecarlo simulations of a trading profile. Commissions, break even trades, win percentage, average winner, number of contracts as a function of margin, expectancy, etc. Every variable (within reason) is included.
It`s fun to play around with the variables and see what`s possible, how it`s possible, etc.
-
I`m a technical trader, but I don`t like to trade in ignorance of the big picture and recent news.
So, I won`t place any trades purely off the news and fundamentals, but they might affect how I trade and even prevent me from trading. Much like you say about not wanting to stay in a trade during news releases and such.
Many people say that smart phones give them increased freedom, but my view is the complete opposite. I see that most people are slaves to their phones and their desires, so I would actually rather avoid it.
-
Anyone?
I found some old threads here, but would like to hear people`s recent experience as well.
It seems like using a smart phone to stay informed can work really well. Not curious if it will give me an edge though, but it can save me some time probably.
I have not decided whether I will buy an iphone or an android though. The new iphone is close to twice as expensive as the HTC Desire, so if I go for an iphone it will have to be the old model I think.
-
Hello everyone,
I am considering buying a smartphone for the purpose of following the markets and the news during my daily job (lunch, commute, etc), so that I am not completely disoriented when I start to trade in the evening.
I`m not sure if this is a great idea or not, but I would be curious to hear your guys experiences.
Are there any decent applications that allows you to track the market in a meaningful way? What about browsing news?
I`m of course not thinking about using it for charting
The phone I`m considering is the HTC Desire. Looks nice
Thanks in advance,
HighStakes
-
Thanks guys,
May I ask which other markets you are watching, brownsfan019? And how many trades do you usually average per day in crude oil?
I`m not looking to place several trades simultaneously, so margin will not be an issue.
I may consider trading one index in addition to crude oil. I don`t like that I can`t trade during the opening hours of the US session, especially with regards to crude oil, but I have to work with what I`ve got I guess
-
MadMarketScientist,
Thank you! I agree
1pipatatime,
Those questions seems very useful.
Thank you for your insights!
Regards,
HighStakes
Time Based Charts Versus Price Driven Charts?
in General Trading
Posted
Thank you for your detailed reply, roztom.
How`s day trading ES been for you lately, btw? I used to trade ES and have a lot of experience with it, but now want to focus more on CL since it is consistently more volatile, suits my personality better and the hours are a little better since I live in Europe. ES seems to periodically turn into a day trader`s nightmare when the volatility shrinks.
Using a renko chart to stay in the trade is an idea I`ve considered myself, but for execution or identifying a swing high or low, I found that it was too slow for me.
Good trading to you.
Highstakes