Correct ... But in real life things can be different. I mean when talking about
exits. Therefore I agree with your 'could well be that'. Anyway I am still
puzzling ...
Regards, Ton.
----- Original Message -----
From: Herman
To: Ton Sieverding
Sent: Monday, May 28, 2007 11:44 AM
Subject: Re: [amibroker] Re: Ideas for Swing Trading?
You should design your system to use LMT orders exclusively, the result could
well be that real-money fills are on the average better than your Backtest
fills. You can also implement smart LMT pricing that takes advantage of
positive excursions and guarantee an exit by tracking the price with no-fills.
herman
Monday, May 28, 2007, 4:19:48 PM, you wrote:
>
Thank you, Dennis. Yes that's also my major problem. Commissions are
just one side of the medal. Slippage can really kill you because there is no
guarantee for the maximum range. So high frequency trading amplifies this
source of unpleasant behavior. And of course the lesson then is to know the
stock you want to trade. This does not make things easier but in many occasions
a hell of a lot more interesting ...
Regards, Ton.
----- Original Message -----
From: Dennis Brown
To: [email protected]
Sent: Sunday, May 27, 2007 9:13 PM
Subject: Re: [amibroker] Re: Ideas for Swing Trading?
Ton,
I have run numerous simulations and actual high frequency trading (up
to 80 trades a day). The commissions on even very discounted brokers can make
a big difference. It pays to simulate, then adjust the commissions to some
popular plans and see what it does to your equity curve. Also don't forget
that the executed prices are usually at the top of the bar for buys and the
bottom for sells. However, stocks like AAPL trade often at just a one cent
spread. Others that trade thin can run the whole swing for a minute before you
get executed. You have to look carefully at the stocks you want to trade and
adjust the "commissions" to account for such slippage to give a real world
equity curve.
Dennis
On May 27, 2007, at 8:27 AM, Ton Sieverding wrote:
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
