Thanks a lot for your very positive answer. It gives me hope again.
Any idea if the examples in your PDF are before or after
transaction costs ? Should be after of course but you never know. I
understand that high frequency trading and more in particular lots
of different stocks can give you a smooth equity curve. But my
experience is that a high frequency system creates 'the most bang
for my broker' in stead of for my bucket ...
And finally, yes that's what your email says : "a few percent on
good days". So I assume that the good days represent the famous
20%, 30% is acceptable and 50% of the trades create a Stop Loss ...
Regards, Ton.
----- Original Message -----
From: Herman
To: Ton Sieverding
Sent: Sunday, May 27, 2007 11:36 AM
Subject: Re: [amibroker] Re: Ideas for Swing Trading?
Hi Ton, to be exact I wrote "a few percent on good days..."
I found that trading smaller time frames and not staying in the
market overnight reduces DDs significantly.
To see a typical example of what increasing frequency does to your
DD see http://www.aima.org/uploads/Omega64.pdf
Most high-performance EOD trading systems try to predict price
movement, this in my opinion, is virtually impossible. imo, Success
here can be equated with a lot of luck and good money management.
On the other hand trading pure short-term volatility or noise,
which varies far slower or is more constant if you like, and which
is almost completely trend-immune, you can create systems with very
small DDs. Further diversifying such systems by trading many stocks
(10-100) you can create equity lines that make your mouth water.
Such systems would be totally useless to traders trading large
amounts of money however they would be perfect to the small trader.
Regarding "minimum code". About a dozen lines is it for most of my
systems however automation code can easily run into 500-1000 lines
of code.
A simple answer to your simple question: Yes.
Of course compounding is impossible or at best limited, for these
systems, that is simply common sense.
best regards,
herman
Sunday, May 27, 2007, 3:35:44 PM, you wrote:
>
Herman thanks for your short resume of the Trading world. Just a
simple question. Do you really believe that group number 1 exists ?
So Traders that do generate with a minimum of code on a consistent
basis a daily return of 2,5% without losing their pants on a
terrible outlier or drawdown that will take them out of business ?
My experience is that only a very small group of about 5% of the
'2,5%+ return Day Traders' is reaching for a relatively short
period of time the above target ...
Regards, Ton.
----- Original Message -----
From: Herman
To: Howard B
Cc: [email protected]
Sent: Sunday, May 27, 2007 2:08 AM
Subject: Re: [amibroker] Re: Ideas for Swing Trading?
Every few years this type of discussion surfaces and it is great
fun to read
It always surprises me how two types of traders can be so oblivious
to each others' way of thinking. Consider two types of traders
(ignoring the many types in between):
1) Those who scan 100+ stocks in Real-Time and trade small lots of
100 shares (or whatever the market allows) 5-100 times a day,
easily making up to a few percent on good days, using an automated
trading system.
2) Those who trade portfolios with 1000-10000 shares/trade and must
roll over millions of dollars trading for others, making, if they
are lucky a few percent/month.
We have both of these traders on this list but really they should
have their own lists, perhaps AmiBroker-Fat and AmiBroker-Skinny
their expectations are not and cannot be the same.
In the first category volumes, market trends, market analysis,
traditional TA, etc. play a minor role in system design. Their
systems can be extremely simple and their trading rules may be
expressed using only half a dozen lines of code while their
automation code may easily exceed 1000 lines. Their trading screen
may only display a lists of tickers with order status: no charts.
They work hard to design and optimize code for maximum execution
speed so that to can get their orders placed before the next quote
comes in - speed translates in profits and 20-40 mSec execution is
typical.
Almost everything for the second category is reversed: they thrive
on traditional TA using many colorful chart-layouts, perhaps
totalling 1000s of lines of code. Their automation code, if they
use it, may just be a a hundred lines long and aims to save them
some typing - not to catch a trade. They use old (10-20 years!)
techniques and statistical analysis that are rehashed over and
over, they thrive on sophisticated analysis to squeeze out a
fraction of a percent more per month (or reduce awful DDs). Code
can be bloated with cosmetic stuff and its OK if it takes 5 minutes
to execute.
Traders from both categories ought to respect each others.
best regards,
herman
Sunday, May 27, 2007, 5:27:22 AM, you wrote:
>
Hi Dennis --
Averages 2.5% per day!?
That same $1,000 starting account becomes $294,000,000 in two years.
(1.025) ^ 510 = 294,558
Please pass my email address on to your friend who gets 2.5% per
day. howardbandy at gmail.com I have contacts who will reward him
handsomely.
When Larry Williams ran $10,000 to $1,000,000 in one year and
became famous for it, that required a return of 1.84% per day.
2.5% per day turns $10,000 to $5,039,800 in one year.
Help me understand -- Assume I can average 1% per day on, say,
$100,000. Every month, I start with $100,000 and make $24,471 on
that $100,000. Why would I pull my $24,471 profits out so that
they can make 1% for the next month instead of continuing to trade
them and making 24% for the next month?
And, yes, trading in size affects the market. But if your friend
is trading several times per day in markets with high liquidity and
narrow bid-asked spreads, then $1,000,000 is still small size.
QQQQ and IWM each regularly trade $5 billion dollars a day --
$1,000,000 is 5 seconds worth of trading.
Pardon my skepticism --
Thanks,
Howard
www.quantitativetradingsystems.com
On 5/26/07, Dennis Brown <[EMAIL PROTECTED]> wrote:
I know of more than one 1% per day method, but of course it will
not work to compound. That is not the way a
true trader does it. I know a trader who averages 2.5% per day on
about 5 trades per day on one ETF, and holds no position
overnight. He pulls his profits out and lives on them or puts them
to work in longer term investments. High rates of return only
work for small investments and usually require a lot of personal
attention and pattern recognition during the day. If it worked for
large sums, or easy computer algorithms, the big boys (or hoards)
would work that angle to death and the edge would get neutralized.
Once you try to increase position sizes above a certain amount, you
start to influence the market and you have no one to play against --
it takes two to have a market. That is why large mutual funds must
look to a fundamental value model. They can not trade the
technicals quick enough without killing the market. A true trader
will just work the market technicals to pull out a small amount of
money at a consistent rate (no home runs). Over time, the results
add up to a decent living.
Dennis
On May 26, 2007, at 4:02 PM, Howard B wrote:
One percent a day. Yeah, right.
Compound one percent a day for five years and a $1,000 trading
account becomes $278,000,000. Start with real money and own
Manhattan.
(1.01) ^ 1260 = 278,567
Howard
On 5/26/07, dralexchambers <[EMAIL PROTECTED]> wrote:
T-ohrt - the thing you are missing is not your technical ability, but
your BELIEF and your ATTITUDE to new things.
You seem to mistrust my recommendation when in fact you nothing of
me, my level of trading knowledge, this system or my involvement with
it (my involvement is none other than my affiliate link - just to
make that entirely clear).
If you believe that 1% a month is all that is possible, that will be
your reality, and you will discount ideas that make more as trickery.
If you want trade lists, further explanations on the system I
recommended - discuss it with David, the author. It is not my job to
divulge a system that someone else owns.
However, I will say that David's system is very credible and also
very simple. I have recieved a lot of support from David and his
system opened my eyes to swing trading.
I also know of an individual who makes 1% A DAY - and publishes all
his methods and indicators for free, online.
Look for The Rumpled One at:
www.kreslik.com.
I am currently porting his work over to Amibroker on that site.
And yes, once again - it is all FREE, and you definately won't find
it in your "Beyond Technical Analysis" book.
AC
