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BlueHorseshoe
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Posts posted by BlueHorseshoe
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The conclusion that it is the small hospital is incorrect.Hi Seeker,
Your points are all quite correct: we can't be certain, and our best guess could involve flawed assumptions.
Ignoring the inadequacies of the way I stated the question though, hopefully the point about sample size remains valid.
BlueHorseshoe
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K foundation burn a million quid - YouTubeHa! I hope you're not Doctorin' the thread, Mitsubishi?
BlueHorseshoe
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I am Hiway1 or Hiway..The name comes from my hiway1 telecaster..for those that know what a tele is...I have been trading a while, but still just a breakeven trader with a full time job..Trying to get over that hill to be a good consistant trader..I am in Dallas, Tx if anyone is nearby...I am learning to trade the e-mini's..Have a decent options knowledge...Cheers..
Larry
Welcome to TL, Larry.
BlueHorseshoe
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The other great miss use of leverage is in quoting returns as well - today i made 500% - tomorrow I lost the lot!Its boring and skipped over because often its a tough one to explain to people as everyone has their idea about what is safe, whats not, what is leverage, what not.....try telling people how to use lots of leverage using options with little exposure these days - they think you are selling sub prime, even if you are not.
The only book I know of that will help you do exactly what you are describing is this one
(There may be others) I have not read this but have seen enough reviews from people who I know trade like this that it has some relevant information to be worthwhile.
Thanks for the recommendation - that looks good! Amazon are listing it alongside the Ivy Portfolio which is one of the other good books I've read on this topic.
Cheers!
BlueHorseshoe
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maybe i am confused.For the ES - if no leverage is requiring $76,000 in an account BUT you only have to have (I dont trade the ES so i am guessing at $5000).... $5000 per contract so you can have a wide range of leverage options if you have the full $76,000 (between 1 to 76/5=15 contracts)
So you can have anywhere between 1-15 times in this example here.
If you want 6 times, then deposit only $35000 to trade 6 contracts, and leave the rest in a separate bank account maybe?
For your example of getting 6:1 from a 3:1 instrument - well either a broker allows you to buy on margin, OR you borrow twice as much externally and deposit twice the amount more money. No different - look at total exposure.
If you are then talking about holding 10 similar instruments well then you will effectively be holding 10 times 1 instrument. Thats a lot of leverage - some brokers offer portfolio margin accounts that use offsets, but even then they still usually dont offer too much leverage - they have limits. A 30% drawdown if you are leveraged three times will see your account pretty much gone!
I reckon you are correct that one way of viewing it is how much can you borrow separate to the broker - this is not the easiest way, but a way of looking at it.
Whats to stop you borrowing 100k against a house that worth 500k with house equity of 400k then leveraging that up 10 times and trading like you have 1 mil....do you have 10 times leverage, or not???
or do you only have 400k leveraged to 1mil.
With 100k in an account you can probably manage to control that pretty easily. Make 10% a year on a mil, but its 100k on the account - sell that to someone!
(I am conservative and look at over all exposure - not just how many contracts can I trade, but everyone is different)
Hi SIUYA,
I think that's pretty much the answer I was expecting, but it's useful to compare my understanding - leverage is the sort of "boring" thing that books like to skip over.
I've been looking at a long-only trend-following type strategy with ETFs that ought to be suitable for a retirement account. The average yearly return in testing is about 8% but the drawdowns are relatively small (and unlike a stock, I can't see an ETF tracking all commodities or world real estate etc falling to zero), so I was wondering whether it is possible to get more juice out of it with a little leverage. But clearly the increased return is going to be hit by the cost of borrowing (wherever that's from).
Thanks for your help!
BlueHorseshoe
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Just because the leverage is there does not mean you have to use it, hence anything with 50 to 1 means that its just the maximum.It is up to you to have determine what leverage you want 'in between' and while providers may offer instruments, I dont know if there is much of a market for them to be offering too many varying structures/products just because.....
Plus dont forget the various futures leverage does change depending on volatility and exchange margins.
Brokers also may offer various leverage in different accounts - sometimes they offer portfolio accounts with more leverage based on offsetting positions (one long one short) or simply cash accounts that need to be fully funded.
Basically - there are already enough options available.
Hi SIUYA,
Thanks for your reply. I'm confused . . .
I understand that you don't have to use the leverage, but trading an ES contract with a $12.5 tick value means that (as I write) you'd need about $76,000 in the account not to require any leverage. A single share of the SPY ETF (also un-leveraged) is currently about $152. What lies between the two in terms of borrowed funding, anything?
Or to put it another way, if my worst drawdown using a 3:1 ETF is 15% and I'm happy to weather a 30% drawdown, how can I get 6:1 leverage? To get that on a single ES contract requires $13,000 deposited, but if I want to hold a portfolio of 10 similar instruments then that's $130,000 - a bit more than I can afford!
Any suggestions are much appreciated.
BlueHorseshoe
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can anyone here please figure out the expectancy of my system with the above figures based on Tharpe's teachings? for some reason I cannot figure it out, however, I do know all of my losses are 1R or less.. and most of my winning trades (on avg) are between 2R-3R gain.
is my expectancy 1.86?
is the avg win/loss ratio the same thing as Tharpe's expectancy rating?
Hello,
It's while since I have read Tharp's books but, at a glance, I think you might not have the information that you need above.
The avg win/loss is not the same, as it relates the average win to the average amount lost, rather than the average outcome to the average amount risked.
Forgetting about the R Multiple stuff for a minute . . . Here's what you need to know:
1) The average dollar amount you risk per trade. If you always use a $200 stop-loss, say, then this is simple. If you vary your stop (based on something like ATR for instance) then you need to add all the different dollar stop sizes together and divide by the total number of trades. This is the average amount you risk on all your trades (not just those that become losers).
2) Your average dollar outcome. This is the summation of the outcome of all your trades (winners and losers) divided by the total number of trades.
To calculate your expectancy (expressed as a dollar ratio) you simply divide number 2 above by number 1 above.
For example, if your average trade outcome is $150 and on average you risk $30 per trade, then your expectancy is to make ($150 / $30 = $5) . . . $5 for every $1 that you risk.
I hope that makes sense and you are able to get the necessary information from your charting package in order to calculate this. If you need any more help then just ask.
Regards,
BlueHorseshoe
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Hi,
I was wondering whether anyone who has a wider knowledge of the derivatives universe than I do could suggest any instrument that offers a moderate amount of leverage?
As far as I am aware there is a complete jump from the x3 ETFs to the Futures that are 50:1. The ETFs are obviously geared towards Buy-and-Hold, and the Futures towards very short term traders with smaller accounts or longer term traders with lots of capital.
Is there anything in the gap between these?
Thanks,
BlueHorseshoe
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Alan - please come back!?!?!
I thought you were different from the other vendors and put my trust in your predictions for Apple . . . And then you just disappeared!
Now I've lost 39% of my pension on this nightmare trade and my wife is going to kill me when she finds out! Please come back and advise me as I don't know whether to swallow the loss or hope the stock moves back to breakeven. Please help!
BlueHorseshoe
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Hi Ingot,
Thanks for taking the time to put together such a great thread - I'm finding it very useful and it seems that plenty of others are as well. Looking forward to seeing a walk-through example of a trade (and then I might bombard you with questions!) . . .
Kind regards,
BlueHorseshoe
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If you want volume information on a Forex chart you’ll have to stick with conventional time-based charts and plot tick count as a proxy.If you want volume for any liquid FX pair then why not just use the actual volume of the relevant currency futures contract?
BlueHorseshoe
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I thought you were some kind of teacher? If you really have to ask this question I suggest you Google it.Here :......A tick is a single trade irrespective of size. A tick chart builds each bar based on a certain number of ticks per bar. A 233 tick chart will create a new bar after every 233 trades have gone through. BOTTOM LINE IS NOTHING PRINTS ON A CHART UNTIL AFTER IT HAPPENS......
Hi Gekko,
I'm afraid that maybe you need to google this also, as your description is incorrect.
A tick is not a single trade irrespective of size. A tick is the minimum possible fluctuation in an instrument's price. So, 233 (or indeed 233000) trades can be executed, but if they don't cause price to move (to "tick") at all then your chart won't change.
This can easily be seen by viewing volume alongside your tick chart. You'll see that underneath each of your 233 tick bars the number of contracts traded varies wildly and is not 233.
233 is actually the minimum volume per 233 tick bar because the minimum scenarios are:
a) the bid is one contract deep through 233 price tiers and is hit 233 times by market orders crossing the spread (or the ask is lifted 233 times in a similar fashion).
b) price "flutters" with perfect single contract alternation between bid and ask 233 times.
Of course, in the real world neither of these scenarios is actually likely to occur, and hence the number of trades associated with a 233 tick bar is typically greater than 233.
The type of bar that you describe is a "volume bar" or a "share bar".
Hope that all makes sense.
BlueHorseshoe.
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MC's post is six years old. He hasn't been around for a couple of years.Thanks - I hadn't noticed. Still, a conversation with a six year dead avatar is probably better than what's going on in most of the more current threads right now
Regards,
BlueHorseshoe
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You really just need to tinker with the setting till you get one that provides the most instances of your setup that end up profitable. Back testing along with forward testing is really the only way to get your answer. And if you don't have a setup yet that's the first step because to just trade on a whim or a chance will end up with you in the poor house. Get that setup with a nice risk to reward ratio and get testing.On the YM for my setups I use 144 tick. The ES is usually about 10 times the volume so in theory 1440 tick would be best for me. Guess what, it doesn't match up so if I ever want to trade the ES I need to do my testing all over again. :o:crap:
Hi MC,
I'm not sure if you're confusing two slightly different things here. . .
A tick in the sense of your 144 tick chart has almost nothing to do with volume. A tick is the minimum fluctuation of price movement. So it doesn't matter whether a hundred or a thousand trades (volume) occurs, if price doesn't move the market won't 'tick'.
Volume at bid or ask ("volume delta") is often referred to as "Uptick Volume" and "Downtick Volume". This is to do with volume, naturally.
If you look at volume delta under a, say, 1 tick chart of the ES, you will see that the number of Uptick and Downtick transactions (volume at bid and ask) is typically far greater than 1, even though the chart is a one tick chart.
Hope that made sense and was helpful?
BlueHorseshoe
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Hi,I am happy that i made it through a little bit difficult registration process and eager to meet others of like interest.
Welcome to TL! Binaries aren't too widely discussed here for some reason, but you'll hopefully gain ideas you can apply from other areas. Will look forward to seeing you around the forum.
BlueHorseshoe
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I've traded the equity and futures markets successfully, and would like to consider adding currency trading to the mix. I'm looking for reference material that explains the currency markets in depth. The sort of material that would explain the how, why, and what of currencies, not trading strategies. I'll figure out how to trade it on my own.Thanks.
Don't forget - you've always got currency futures and you already understand the technicalities of how the futures contracts work, rollover, order matching etc. Just a thought.
It's good to hear you're having success with what you've been doing so far.
BlueHorseshoe
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Is this the start of a new trend amongst vendors for pushing HFT and algorithmic trading?
Let's hope not.
Anyone who has any experience with this firm please feel free to share . . .
BlueHorseshoe
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Apple isn’t dead it’s just pulling back
Hi Alan,
Where did you go?
I bought into Apple big time like you recommended, but now I'm underwater on the trade.:doh: Should I sell now or try and get out at break-even?
Please help!!!
BlueHorseshoe
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including those who propose that others can be just as great if only they'll buy the great trader's software or course or whatever.Or their e-book?
BlueHorseshoe
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There are only two or three people here that I am persuaded actually trade. The rest talk the talk, frequently and at length, but they provide zero evidence that they trade.
I think everybody who posts on TL but doesn't currently trade should be dragged outside and burnt. How dare they visit a forum to try and learn more about trading before committing real money? These non-traders are the lowest of the low . . .
BlueHorseshoe
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Now lets not get off topic anymore from here. I'm not planning to respond to anyone who wants to muddle this up some more and try to divert the attention from the vendors.
Hi JohnE,
Nice idea, but I think that you need to invite more vendors. Here is a list:
http://www.traderslaboratory.com/forums/general-discussion/10860-tl-vendor-list.html
Why not send each of them a PM and ask them to take up the challenge?
BlueHorseshoe
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Yes!! :applaud: SIUYA wins a party size carton of smarties.Anyone get the answer to no 1 yet?Nope. Lee was in "Man with the Golden Gun", so I considered Gold-Man, and seafood . . . fish have scales, and I'm sure one of the banks have a pair of scales as a logo but . . . No.
Man with the Golden Gun was a Bond film and Salomon Brothers were big in bonds and sound a bit like 'salmon' but . . . My lateral barrel-scraping just nose-dived into desperate anti-semiticism, didn't it?
Shame, I just fancy some smarties.
BlueHorseshoe
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lolol, i know it wasn't meant this way, but at first it came across to me as a subtle shot at The Dude.
It definitely wasn't meant that way - I'm sure the Dude knows from our previous conversations on TL that I genuinely respect his opinion.
What's the screenshot from, by the way?
BlueHorseshoe
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Quant/Algo/HFT:
High Frequency Trading by Irene Aldridge (enough maths and stats to keep you amused)
Hi Dude,
I nearly bought this last week, but was put off by the poor reviews on amazon, eg:
"A complete waste of money and time ............I presume that this book will be bought mainly by those that have a decent level of statistical and financial knowledge (as the title obviously targets a pretty niche area) - these people will be sorely disappointed.
This book is a cross between basic introductory courses in econometrics and finance (and it even does this poorly)"
Maybe I'll take another look or try and find reviews elsewhere, but it's useful to know that you recommend it.
BlueHorseshoe
Indicators Vs. Price Data
in The Markets
Posted
Yes . . . and no . . .
By the time such moving averages cross over, some price action has ocurred (enough to cause the cross). It doesn't mean that more price action isn't going to occur.
If a twenty day move has unfolded by the time of the cross, and you're looking to exploit twenty day moves, then the signal is too late; if you're looking to exploit two hundred day moves then it may be just fine.
And the "it fails more often than it works" argument is not valid - as long as you make more on the samll number of occasions when it works, and lose little on the majority when it fails, then you'll be net profitable.
BlueHorseshoe