smwinc

no apologies, the only people who aren't learning in this industry are the ones who gave up. Cheers

Yes forsearch. Can you also make it cook and iron my clothes for me? Joking Joking... Theman: the nature of this indicator would not make sense overlaid on price. Why would you want it overlaid on price? What exactly do you want this indicator for, if you don't mind me asking?

Nice James :rofl:

No. . . to be honest my point was almost sarcastic. With respect Jo, it sounds like your still reasonably new to trading. Many of your questions are very simple things, that you REALLY need to know before you start churning out an automated trading system. Slippage can refer to two things: 1) As you said, you have a stop (let's say a buy stop market order) placed at a price, and the market sweeps down, and you get out 4 ticks lower. That is slippage. Or, sometimes people refer to slippage in the same context as realistic fills. 2) Say you have a system which was taking 1 tick profit 1000's of times a day in the S&P. Often people backtesting forget that price needs to trade through a price for you to get filled, as often you're near last in que. Hence, to take a 1 tick profit, you require a 2 tick move Let's say you have you a system which is 70% profitable, av. win 1,000, av loss 1,500. Your system's expectancy is positive, so in the long run you make money with these stats and live happily ever after. So you open a $4,000 account, and get hit with 3 losses in a row, as you would expect with this system, and you go broke. Happens more often than you would think.

Very good points MRW, couldn't agree more. Looking forward to your contributions.

DBPhonenix, have you read any of Joe Ross's material? Your boxes appear similar to his congestion boxes. Nice thread.

If you have a profitable automated system, I'd highly recommend at least contacting a few prop. firms to see if they are interested. What are the most important factors for system traders? Slippage, Speed, and ability to survive draw downs. Worst case scenario for you - your system doesn't work, and you leave the firm, and you're back to where you are right now.

I've attached a PDF of the full article for those interested. JohnMauldin.pdf

No problem, I missunderstood. I was referring to if you traded without consideration of when news is coming out. Try using a Stop in the DAX when FOMC comes out If you use a Stop Market, you will get out at the high/low, and a Stop Limit won't go off - always fun :frustrated: Yes, I agree. That is basically what I do as well. Often news is far too complex for someone like me to work out. I just try and get onboard. I basically shut out everything, and use a squawk Box to alert me for anything unplanned. I don't doubt that there are people out there who trade without consideration of fundamental events, however to be honest I just haven't met any. I have colleagues who trade 100% systematically, but they have rules in place to pull orders before news items. I guess the point of my post is there are many new traders out there who love seeing posts that tell them they can trade very simply and make lots of money. Similar to posts which show you can start trading with $100. I just wanted to highlight the difficulties as well.

I tend to agree with DB. I understand the point your making FireWalker, but I think rather than the generalisation "economic news doesn't matter", should really be changed to less focus on the result of the news, and more focus on what the market is doing into and out of the news. Especially in the markets you have listed like the DAX, there have been 100's of days where you would be blown out of the water if you were not aware of the news coming out. The vast majority of the time there is always "evidence" in the price action that something is going on, but it is often much harder to notice and have conviction when you don't have any reason for a sudden sharp reversal. It doesn't mean that you need to even understand what the news implies (this is almost always the case with earnings); rather using it as a potential timing tool and/or period of volatility.

That's basically the point John's making. If oil executives believed what many reports are saying - peak oil theory, etc. - and we are in fact entering a period of sustained high prices - there are plenty of other mining sites that failed a cost/benefit analysis at sub $100 oil, but would now be profitable at $130 + oil. It comes down to your own best guess. One of these parties is clearly wrong - either the fundamentals need to catch up to the current oil price, or the current oil price is due for a correction. Don't get me wrong here - I'm not a fundamental trader, or long-term investor, etc. It's just an observation, and I thought these points were worthy of discussion. I do love a good Bubble-bursting short though.

True - and because of the fractal nature of markets, it depends on your timeframe.

Quotes from John Mauldin - for more information: http://www.frontlinethoughts.com/learnmore For a few weeks now, observers have noticed that Iran is leasing tankers and storing oil in them. At about $140,000 a week or so, that is expensive storage. At first, conspiracy theorists were wondering if they were preparing for some kind of war or attack. But more conventionally, it may be they are having problems selling their oil. Their oil is not very high-quality, and there are only a few places that can take it and refine it. India, China, and the US are among the countries with refineries that can take Iranian oil. (And yes, George Friedman of Stratfor tells me some of it does end up in the US from time to time.) India's refiners are telling Iran they no longer want their oil, preferring the higher-quality oil that is readily available in the area. So Iran has to decide whether to send it to China or "repackage" it so that it can end up in the US, while they try to get refiners in India to change their minds. Thus, they are leasing tankers to store the oil they are pumping. ............ ..New York in the early '80s. Outside the harbor were 30 or so tankers just sitting, waiting for prices to continue to increase as they had been doing for some time. When they did not, they all tried to get into the harbor at the same time, and of course they couldn't. It was the top of the market. Prices dropped, and the owners of the oil had to go to the futures market to hedge what they could. .......... If you are leasing tankers to deliver oil that is already hedged in price, you want to get it to port as soon as possible so that your lease payments stop as soon as possible. You only hold it on the high seas if you think the price is going up by more than your carrying costs (the cost of money and leasing the tanker). If you start to lose money, you sell your oil on the futures market and get it to port as fast as you can. ........... more importantly pay attention to their actions, oil company executives simply do not believe that the price of oil is going to be $135 a barrel for the next few years. If they did, they would be punching more holes in the ground in places where it might be expensive to get the oil to market - but at $135 a barrel it would be profitable. ---------------------- Thoughts? Comments? Super long term, I'm bullish. Medium term, I'm not. Coming into $150 MAY provide a very nice short opportunity. I, for one, will be keeping my eyes pealed for an opportunity. To hedge, I'll be longing a beat-up sector like Airlines.

Brownsfan, I used to use Feedreader, nice little program. Links: http://www.feedreader.com Program Tips: Right click on a feed and choose "edit feed". Select update period to your choice. Fastest is every 1 minute. Feeds: Brett Steenbarger's Twitter feed: http://twitter.com/statuses/user_timeline/7520262.rss U.S. Bureau of Economic Analysis: http://www.bea.gov/rss/rss.xml Reuters: Top News http://feeds.reuters.com/reuters/topNews/ CNNMoney.com http://rss.cnn.com/rss/money_markets.rss Earnings - MSNBC.com http://rss.msnbc.msn.com/id/3033805/device/rss/rss.xml Earnings - WSJ.com http://online.wsj.com/xml/rss/3_7088.xml StreetInsider.com News Articles http://www.streetinsider.com/freefeed.php?cid=26

Exactly. The general progression people tend to make is from a "general" solution to more specialised solutions, as their needs widen: 1. trading with "all in one" software for charts, orders and your broker/clearing firm. Usually a market-maker. 2. using specific software for charting (e.g. Tradestation, Ensign Windows, etc), and different software to process orders (e.g Interactive Brokers, Infinity Futures, etc.) 3. Using one computer with specific software for charting, and one computer with specific software for placing trades. 4. Using one computer & one internet connection for charting, and one computer with a dedicated network for placing trades. 5. using one computer & one internet connection for charting, and one computer with a dedicated network for placing trades through software, which communicates with your own private clearing firm (e.g. Infinity AT clear through TransAct futures. If you use software such as TradingTechnologies, you nominate your own clearing firm.) As your trading progresses, your needs progress. This is fine and a normal process. When you just start trading with a Simulation account or 1 lot's, your not going to go out and buy 2 new computers and start needing 30k a year just to cover costs. The only issue comes when someone at stage (1) is trying to copy what someone at stage (3) - (5) is doing. I.e. If you don't have a risk management plan - back up internet connection, computer, phone access, back-up trading account - don't trade with size that would send you bankrupt if one or more of your trading tools failed (because it happens to everyone, eventually).

exactly - that's the very reason I analyse the previous days. Often the reversal has already taken place before everyone arrives. For example, it is common for a reversal to occur in the European session (US-premarket), and have a false break on the US open.

Never had an issue. Reasonably frequent user also. Using Firefox. Seems that most/all of the people having issues are using I.E.

Nice idea for a thread. Friday was a good example of a sell the open day. I put together 6 images of how I traded it, and how I came to my conclusions. I start with looking at Wednesday, then briefly how I traded Thursday, to give the reasoning for how I traded Friday. Image 1 - Overview: It's before Thursday's open, and we look at the previous days. The market is net selling, but we had evidence of failed buying - so we're stuck with some really pissed off longs. These guys probably know they are wrong by now, and need to get out for a scratch / small profit. End result for Thursday: looking for a reversal up, before a reversal down (resuming the main "net selling" trend). Image 2 - Morning: Small gap up. I took the scalps labelled, fading the half gap fill (orange line) in the ESTX50, and then the half gap fill (orange line) in the DAX (half gap = (todays open - yesterdays close)/2 + yesterdays close) I was trading with a bullish bias. There were shorts available - I just didn't take them :-) Remember that we really have a SHORT bias for today, that is where I expected the major moves to be. Image 3 - Afternoon-a You can see I almost missed the opportunity to get long. In hindsight I would have got a better price taking the first test, however volume was too low for me to be convinced. The more obvious test came here - you can see that the morning volume is now immaterial in comparison. We are seeing strong protection from Yesterdays Low up to today's Half gap fill. Image 3 - Afternoon-b Drift down to test for demand / squeezing weak longs. Opportunity to buy more here, a gift in fact. Image 3 - Afternoon-c Finally a push up, and we see major selling as we take out today's high in the DAX and find some stops. Notice how much further down (bearish) the ESTX50 is - we didn't even make it to today's high. This is where I find having a view before hand helps - it would be easy to get out here. Longs were caught from prices above - a good 10+ points in the ESTX50. Unlikely someone would take that kind of hit. We should try to move higher. Personally, I chose to reduce risk and cut half my position (the portion I bought in at on the second test down in Image 2). Image 4 - Afternoon-d We went higher than I thought - what likely happened was that those who were caught long finally got their positions back to break-even, and were able to push the market higher (with the new-found margin) to liquidate at a profit. Our opportunity to sell came at a similar situation SoulTrader has mentioned -the standard test of yesterdays HVA worked very well. We had strong evidence of selling all the way up, and we had determined our major bearish bias before the day opened. I mentioned at the start I was looking for the move down today - we never really got there. I was wrong, but trading isn't about being right or wrong, it's about making money. Image 5 - Today (Friday) open Finally, we get to today, the important part - WHAT HAS CHANGED? Nothing. The market opened basically where it closed. We have stepped through the last 2 days, and seen the pullback to the upside, and seen where the longs have had a chance to get out. Everyone is already short. This is one of those rare chances to just sell the open, and wait for some evidence of something to change. Image 6 - End of Day Nothing changed the whole day - there were minimal pullbacks, because no one 'big' was caught long. Anyone who missed their chance to get out yesterday was going to get killed today. On these days, I find it best to spilt my position up between: 50% short in ESTX50, 30% short in DAX, 20% scalping the squeeze longs. This isn't a magic formula, it's just mine. For hours we just went sideways - the action is basically: locals getting quick longs squeezing weak shorts all day, arb/spreaders/position traders selling it back down all day. We saw strong volume as shorts took profit, likely to get out before the US holiday on Monday. In one sentence we saw: reversal up EOD Wednesday, swing up Thursday, reversal down EOD Thursday, swing down Friday. SMW

Yes - I was just making it clear it was only my opinion, I'm not saying I'm right here. I didn't want to come across like an asshole. ;-) Apologies for a slightly long post. Let me explain the same thing differently. If you have read either of Brett Steenbarger's books, he explains it in a much more elaborate, accurate and detailed way than I did. With what I said about: "..X number of trades that equates to becoming a successful trader." Lets make a few really broad assumptions here to keep it simple: 1. the majority of your ability to trade comes from actual trading - not looking at charts, reading about trading, thinking about trading, etc. Real trading. You learn to swim by swimming, learn to ride a bike by bike riding, you learn to trade by trading. 2. That the core concepts of trading on a 1 minute, 5 minute, daily weekly are the same for this example. Taking those assumptions, no matter how much "trading smarts" you have, it will take you a certain number of 'attempts' before you something clicks and you start becoming profitable. This is the "X number of attempts" I'm referring to. I work in a prop. trading firm and we bring in intakes at least twice a year. If you sit someone down on a simulated trading environment for a week, and just tell them to "trade"; no rules, with no prior knowledge, it's amazing how much people learn. It is feedback mechanism. Tried strategy A, didn't work. Tried strategy B, didn't work. Tried strategy C, didnt work. etc. By the end of a week, these guys have tried THOUSANDS of different things. We just want them to trade as much as possible, trying ideas: Following size. Fading size. Fading momentum. Going with momentum. Trend lines, fibs, elliot wave, square root of the moon's radius / 342.1. etc. They are doing what people do as kids when they try and learn to ride a bike. Or learn to swim. The main PROBLEM with starting this same trader out in trading on a weekly timeframe, is he is lacking the feedback. He is only allowed to ride the bike once a week. Or try to swim once a week. Transfer what experience though? After 2 years you might have what, 100 trades? 200 trades? Across completely unrelated market environments? Maybe you even made money, your sample is struggling to be statistically significant? There is a lot of variables here - does the trader want to trade for a living, or are they managing their savings instead, or is this just a hobby they would like to make a little money out of. No, I'm saying to drive NASCAR in a simulated environment. Of course i wouldn't suggest jumping into live day-trading right off the bat. No one would suggest that. That is what simulated trading is for. Actually, I'd prefer you to drive cars FASTER than NASCAR, so that when you eventually master that, NASCAR feels like a piece of cake, but that's another story.. :-) The blunt reality is that with trading, there is NO "little league", or C grade basketball to practice in. ALL trading is the NASCAR. There is no "warm up markets" unfortunately. To add to the fact most people don't want to do the work involved, they come in under capitalised. The majority of you reasons (and others) against day-trading is to do with risk-management, and losing capital too quickly. Honestly - that has nothing to do with the market. We all have to trade differently based on our account size and current P&L, despite the whole concept of "don't trade your P&L", I don't think the real world works like that. However, there comes a point when you can't blame the market, and need to accept the reality that your enforcing too many restrictions on your trading. Trading is not a game, or a hobby. We are trading assets that control hundreds of thousands, if not millions of dollars, worth of equity. It is far from being on the "country road". In the same way that casino's change your cash into chips to remove the reality of "money" away, markets remove the reality of how much money is really moving around. I'm assuming from your view that you trade longer-term? Do you day trade? I'm interested as I can only speak from my own experiences here. I've seen plenty of people who only trade longer-term. Every time I go out to dinner, I'll meet someone who thinks they're a trader, or that it's easy. I wonder how many thousands of people thought they were traders in the tech boom, before finding out the harsh reality they really had no idea what they were doing. When you trade longer term, "reality" will take longer to realise. You can get lucky for YEARS depending on your trading style. This creates false assumptions, i.e. like your future performance. If someone is trading 50+ a day, it's going to be VERY hard to "fluke" a year's performance. I'm focusing my views on the assumption here that someone wants to trade for a living, or for a decent income. This is not about making pocket money, or playing with your savings randomly picking stocks Cramer shouts out on CNBC.

With respect, going to have to politely disagree with basically everything you said my friend. A common assumption, but I believe 100% false. Every skill in life requires X number of attempts (opportunities to learn) before someone achieves some type of skill. Day-trading provides the fastest 'feedback'. If I trade 10 times a day, every day for a year, I've had more opportunities to learn than someone who trades EOD would have in 10 years. Yes, you need capital preservation & risk management to avoid sending yourself broke in a week of day-trading. But the same rule applies to ANY form of trading / investment / financial activity in life. Not really. The type of decisions you make intraday are completely different to trading a daily or weekly timeframe. They require different types of personalities, skill-sets. It is also MUCH easier to teach a successfully day-trader to swing trade. It is not that easy to take a successful weekly trader and turn them into a high-frequency trader. If someone can make decisions under pressured, time-constraint situations (intra day trading), they are likely to be able to make decisions under relaxed, time generous situations (daily / weekly trading). Clearly, this assumption does not work as well in reverse. Let's look at 2 extremes here - two traders who know nothing about trading, never traded before. Two traders who do the same prep, and same analysis of their trades, same effort to learn, same "brain" for this example: Trader A traded once in 2007, Long EURO. Made a stack of money. Analyses his trade. Writes in his journal. Etc. Trader B traded Euro 100,000 times in 2007. Lost a little / Broke even. Has analysed every trading day. Has entires in journal to account for at least half of those 100,000 trades. Who is going to do better in 2008? I'd be backing Trader B - Trader A made a guess, and probably thinks he's the next George Soros.

Hi Tom, No issues. Was just telling it how I saw it from my end. To be clear, I wouldn't put infinity AT in the unstable group either. I can see how my post could be read that way though. Cheers

You will find at the VAST majority of prop shops, trading firms, or any institutional trading environment where their are intraday traders, there will be a majority of traders trading with the methods discussed there. Trading at a very high frequency is like trying to standing under a shower of really hot water. You can't stand "still" or you burn - so you're constantly moving around, shifting in and out of the water. You need to know what style is best suited to your trading environment. To trade in the way these guys do (and the same as most people in a prop. environment) you need the right commission structure & technology to trade in that way. As most people on the forum are independent traders, it's best to focus on what is best suited to your situation. Even if you are too slow, or it's not worth the cost (commission / slippage) to try and nick a tick on every opportunity, you can still learn to read the depth and games to perfect your own entries, run your trades longer, and have a better understanding of how many events will play out that day. Local traders test everything out by 'feeling'. Let them do it for you - you don't have to be the person making ticks from looking for stops, testing where demand & supply is, etc. But you SHOULD be trying to gain the same information they are gaining. On a major event day, they are doing it to learn what the big boys are planning on doing when the news comes out. The profit they make / loss they incur is secondary.

Yep, Correct.

Most of us trade heavy volume instruments - ES, T-Bonds, Bund, Eurostoxx, etc. I'm sure there are complex automated systems out there, but they are the minority. Most automated systems are a) working order ques b) working pre-defined spreads c) arbing. Quite of a few us use auto-trading spreaders. Pretty simple stuff. Things do happen at blinding speed, but you can still anticipate. Think of the DAX / ESTX50 automated trading. Last I heard it was something like a 2 millisecond lag between a tick in ESTX50 to a 2 tick move in the DAX. You can't take advantage of that - but you can still watch the depth in EXTX50 and see HOW it it starting to rally / fall. Is it likely to KEEP upticking, or did it uptick on a 5 lot? Did we just take out 150 offer, to run into 2,500 offered? Are we likely to get through that? What is the Bund doing? How about the ES? The Euro? How MUCH did the DAX react? Over enough to start a short? How many people do you think just got long - is there a squeeze opportunity? The problem with the ES is that it is filled with NON directional players now, who are fading every move as they spread it off to something else. (In my opinion, I don't get why so many private traders are attracted to the ES. Big traders like it because they can squeeze a point on an insanely large trade. But if we don't care about huge liquidity, the volatility isn't actually that good.) Everyone still has pressure points, and spreaders get ripped bigger than anyone else. You just have to understand your market, and how the traders within it operate. In my opinion, you can "scalp" off the price depth all day, but the BETTER trades are to sit there and understand what is going on today, to understand how to trade a news event later the day or week.

Yes, exactly. This is just one small example. Like you said, it happens in a few seconds, and it doesn't always work out that way of course. It's hard to explain in a forum.