Deadline June

This is a discussion on Deadline June within the Trading Journals forums, part of the Reception category; Originally Posted by brettus I am a complete discretionary trader and profitable, but i also do believe in mechanical models. ...

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Old Aug 23, 2010, 2:42am   #379
 
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Re: Deadline June

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Originally Posted by brettus View Post
I am a complete discretionary trader and profitable, but i also do believe in mechanical models. Some extremely successful ones can analyze the liquidity as you say and dont even require any technical analysis. Just because you're an IT guy with 27 years experience it doesn't mean you should be better than anyone else at programming and creating a black box. Variations and parameters are programmable. Many would consider automated trading to be more profitable, due to the fact that it takes away the emotion from trading.

Name the variations and parameters and think about whether or not they are programmable.
Actually - I have 27 years coding experience and I am NOT trying to automate.

Bottom line - you have to learn to trade first. Once you learn to trade, you will find there's no need to automate.
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I cannot see., however why we should expect to find a "system" which will work in the stock market; surely the possibilities of profits for the student justify the time and effort required to learn market interpretation.

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Old Aug 23, 2010, 3:06am   #380
 
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Re: Deadline June

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Originally Posted by Adamus View Post
Aha. This is the argument that caused BSD to throw his toys out of the pram, IIRC. Book trading.



Are you trying to turn me to the Dark Side?

Talking of icebergs, you obviously have an iceberg of knowledge on this subject, because there is no logic in your conclusion. You haven't destroyed my faith that I can automate trading. You have merely inspired my belief that there is more to be automated than I previously realised.
There is plenty of logic in watching orders being pulled/refreshed on the DOM. The problem is you haven't watched it, nor has it been explained to you the way people are sucked into positions over & over again before being run over. I am fairly sure you could learn it though. It's not rocket science. You certainly would not be able to automate it unless you got your head around the games first.

It's not the dark side - we all trade off information. Some people like to pigeonhole information into certain categories and just look within that category. Some people have an information category called TA and shun everything that doesn't fit in there.

Retail traders that automate generally only have information related to the chart to use because that's all that the retail automation platforms give them to play with. They don't give you DOM info & an n minute bar will not show you how the flow of orders is changing over time.

Good luck with it though.
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I cannot see., however why we should expect to find a "system" which will work in the stock market; surely the possibilities of profits for the student justify the time and effort required to learn market interpretation.

Humphrey B Neill - 1931
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Old Aug 23, 2010, 11:11am   #381
 
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Re: Deadline June

Adamus started this thread I can see the book, although it looks like it could use some attention from a UI specialist.

So what do you do with it? It looks to me like you have to be fast.
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Old Aug 23, 2010, 11:21am   #382
 
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Re: Deadline June

Actually - it won't help you much for Forex.

For fatter contracts try - ES, FESX
Thinner contracts try - NQ, YM, Bund

Fat & thin contracts work slightly differently in terms of how you use the DOM & the tape.

If you want some pointers - I can tell you what sort of things I use - but I would rather not discuss such things on the board. Hence the PM of a Skype id.

Cheers

DT
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I cannot see., however why we should expect to find a "system" which will work in the stock market; surely the possibilities of profits for the student justify the time and effort required to learn market interpretation.

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Old Aug 24, 2010, 3:22pm   #383
 
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Comparative Analysis of Trades using two different data providers

Adamus started this thread I'm concentrating on the GBP-USD from 2009-09-01 - 2010-06-30, using the same system.

This is the first run:

Series 1 Tenfore minute data
Series 2 Disktrading.com tick data

Start to Finish: 301.23 days
Time in market series 1: 24.91 days
Time in market series 2: 24.43 days
Trades in 1: 150
Trades in 2: 178
Trades from series 1 not corresponding: 71
Trades from series 2 not corresponding: 99
Trades overlapping in same direction: 75
Trades overlapping in same direction within 75% similar profit: 28
Both in market in same direction: 10.15 days
% simultaneous: 40.74
Trades against each other: 5
Series 1 profit: -1455.00
Series 2 profit: -2415.00
% similar profit: 165.98
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Last edited by Adamus; Aug 24, 2010 at 5:29pm. Reason: Had to amend the analysis period since IB only goes back 1 year with history
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Old Aug 24, 2010, 3:51pm   #384
 
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Post Re: Deadline June

Adamus started this thread Series 1 Tenfore minute data
Series 2 FXCM minute data

Start to Finish: 300.94 days
Time in market series 1: 24.66 days
Time in market series 2: 31.52 days
Trades in 1: 150
Trades in 2: 188
Trades from series 1 not corresponding: 49
Trades from series 2 not corresponding: 87
Trades overlapping in same direction: 98
Trades overlapping in same direction within 75% similar profit: 39
Both in market in same direction: 13.82 days
% simultaneous: 43.84
Trades against each other: 3
Series 1 profit: -1455.00
Series 2 profit: -9170.00
% similar profit: 630.24
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Last edited by Adamus; Aug 24, 2010 at 5:28pm.
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Old Aug 24, 2010, 4:12pm   #385
 
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Post In terms of simple profit difference, it's massive, but equity curves are so similar

Adamus started this thread Series 1: Tenfore data
Series 2: IB historical data

Start to Finish: 301.69 days
Time in market series 1: 24.91 days
Time in market series 2: 41.68 days
Trades in 1: 150
Trades in 2: 239
Trades from series 1 not corresponding: 26
Trades from series 2 not corresponding: 115
Trades overlapping in same direction: 123
Trades overlapping in same direction within 75% similar profit: 52
Both in market in same direction: 20.13 days
% simultaneous: 48.30
Trades against each other: 2
Series 1 profit: -1455.00
Series 2 profit: -9825.00
% similar profit: 14.81


Tenfore data equity curve on the left, FXCM, then IB historical (not from live feed), and DTC last
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gbpusd-10-4.jpg   gbpusd-fxcm.jpg   gbpusd-ib.jpg  

gbpusd-dtc.jpg  
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Last edited by Adamus; Aug 24, 2010 at 5:44pm.
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