frugi
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Simon,
"Risk permitting" is of course the crux, as you pointed out. My swing trades need wider stops (hence fewer lots on the line) and more time to come good (or stop out), which is why I suspected (perhaps wrongly, now I've thought about it) that it should be possible to extract a greater return on capital from intraday trading as the money is working harder and capturing more of the fluctuations. However I imagine there are a number of swing traders who make a living commensurate with an intraday trader?
Ivor,
Did LD squeak again? The Ignore button must be working
BBB,
I would consider it an honour and a substantial career achievement to be a competent discretionary trader in the future and I believe you are right that the returns should be greater than those available to the mechanical trader as opportunities can be spotted earlier. I shall certainly be watching price action like the proverbial orc and trying to learn more about how/why moves and behaviours occur, but I am clearly not ready to commit any more capital to the endeavour at the moment. I hope, no I know (woah - self belief or arrogance - time will tell!) the requisite skill will come with diligence, practice and commitment. Meanwhile I am glad to have the pressure taken off by a mechanical system or two, even if they do generate a little too much heat for a slightly pitiful amount of light!
---
Enjoying my first taste of programming (well, apart from assembly language on the BBC Micro in my geeky youth - remember those beige beauties?) in Investor/RT as I'm keen to backtest a few ideas. Thanks to madasafish amd china for putting me onto it - it's a super slice of software, although I won't be using it for real time just yet as I believe some have suffered some slow/spurious data delivery problems.
I'm not the first to discover that MyTrack will only let me download 30 days of intraday data, which is a right old bore, but I am looking into buying more from another data provider as that seems to be the only alternative.
http://www.tickdata.com
http://www.price-data.com/one_quick_delivery_special.cfm
http://www.price-data.com/int_futures.cfm
are all quite expensive so
http://disktrading.is99.com/disktrading/#data1
may be the one to go for but I don't particularly want to wait weeks for a CD to arrive - shame they don't do online downloads. Also need to be sure that Investor/RT can import the ASCII data before I shell out on it.
Back on topic soon!
Edit: I lie, DiskTrading do provide online downloads of their most popular formats but if you want a custom set of data u have to order a CD.
"Risk permitting" is of course the crux, as you pointed out. My swing trades need wider stops (hence fewer lots on the line) and more time to come good (or stop out), which is why I suspected (perhaps wrongly, now I've thought about it) that it should be possible to extract a greater return on capital from intraday trading as the money is working harder and capturing more of the fluctuations. However I imagine there are a number of swing traders who make a living commensurate with an intraday trader?
Ivor,
Did LD squeak again? The Ignore button must be working
BBB,
I would consider it an honour and a substantial career achievement to be a competent discretionary trader in the future and I believe you are right that the returns should be greater than those available to the mechanical trader as opportunities can be spotted earlier. I shall certainly be watching price action like the proverbial orc and trying to learn more about how/why moves and behaviours occur, but I am clearly not ready to commit any more capital to the endeavour at the moment. I hope, no I know (woah - self belief or arrogance - time will tell!) the requisite skill will come with diligence, practice and commitment. Meanwhile I am glad to have the pressure taken off by a mechanical system or two, even if they do generate a little too much heat for a slightly pitiful amount of light!
---
Enjoying my first taste of programming (well, apart from assembly language on the BBC Micro in my geeky youth - remember those beige beauties?) in Investor/RT as I'm keen to backtest a few ideas. Thanks to madasafish amd china for putting me onto it - it's a super slice of software, although I won't be using it for real time just yet as I believe some have suffered some slow/spurious data delivery problems.
I'm not the first to discover that MyTrack will only let me download 30 days of intraday data, which is a right old bore, but I am looking into buying more from another data provider as that seems to be the only alternative.
http://www.tickdata.com
http://www.price-data.com/one_quick_delivery_special.cfm
http://www.price-data.com/int_futures.cfm
are all quite expensive so
http://disktrading.is99.com/disktrading/#data1
may be the one to go for but I don't particularly want to wait weeks for a CD to arrive - shame they don't do online downloads. Also need to be sure that Investor/RT can import the ASCII data before I shell out on it.
Back on topic soon!
Edit: I lie, DiskTrading do provide online downloads of their most popular formats but if you want a custom set of data u have to order a CD.
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Frugi,
If you think your bias is towards discretionary trading, then you should stop trading mechanical systems if your hearts not in it. Take some time out just to observe how the prices move. How does the asset behave when its price approaches a previous congestion area? Did volume give any clues (especially large volume on short bars - reversal).
It will be more profitable in the long term.
If you think your bias is towards discretionary trading, then you should stop trading mechanical systems if your hearts not in it. Take some time out just to observe how the prices move. How does the asset behave when its price approaches a previous congestion area? Did volume give any clues (especially large volume on short bars - reversal).
It will be more profitable in the long term.
The General
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Frugi,
Disktrading do do electronic file xfer if ure prepared to pay abt US12 per individual symbol. They are very responsive for queries FWIW.
The CD option is obviously the only viable way if you want their complete collection (as opposed to merely 4/5 symbols).
Cheers,
The General.
Disktrading do do electronic file xfer if ure prepared to pay abt US12 per individual symbol. They are very responsive for queries FWIW.
The CD option is obviously the only viable way if you want their complete collection (as opposed to merely 4/5 symbols).
Cheers,
The General.
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Frugi - can you save your files as .jpg instead of .gif? In my experience jpeg's work better on these boards.
frugi
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Jonnyy,
Varied/s (swings wildly?) between roughly 15% and 30% pa, slowly improving with experience. Not that you'd believe it on the evidence above (I'd be the first to admit my last year has been poor)! Of course this figure is less impressive when one considers the monster leverage available from SBs/futures, but I musn't grumble.
I had the impression that a skilled daytrader would be hoping to make more like 50%-200% pa, hence my desire to acquire new shorter term discretionary skills. But perhaps I'm just cut out to be a wider stop, more time, greedier target type of trader? Time will tell...
I posted some of my trades on fillyaboots.com a while back, but looking at a few of them now makes me feel a touch sheepish: Lots of schoolboy errors and far too many indicators, but at least the majority were discretionary.
Hey, perhaps that means I have learnt something in the interim!
Not sure what to do with this journal/thread now. I've been dipping into intraday YM occasionally (good advice re position sizing ChartMan: I do find YM less stressful and I'm beginning to believe for myself that the YM TA may be easier than ES!) while running a couple of slow-burnin' small stakin' 60min systems in the background which will be of little interest to anyone unless you're after a system with 35% accuracy and 10 max consecutive losers (backtesting over 1,2,3,4,5 & 6 yrs of ES hourly shows it grabs some big ones too and comes out ahead, fortunately!).
When my confidence and skill improves I'll post some more, but lurking, learning and devouring Jiler is the order of the day for the moment.
Varied/s (swings wildly?) between roughly 15% and 30% pa, slowly improving with experience. Not that you'd believe it on the evidence above (I'd be the first to admit my last year has been poor)! Of course this figure is less impressive when one considers the monster leverage available from SBs/futures, but I musn't grumble.
I had the impression that a skilled daytrader would be hoping to make more like 50%-200% pa, hence my desire to acquire new shorter term discretionary skills. But perhaps I'm just cut out to be a wider stop, more time, greedier target type of trader? Time will tell...
I posted some of my trades on fillyaboots.com a while back, but looking at a few of them now makes me feel a touch sheepish: Lots of schoolboy errors and far too many indicators, but at least the majority were discretionary.
Hey, perhaps that means I have learnt something in the interim!
Not sure what to do with this journal/thread now. I've been dipping into intraday YM occasionally (good advice re position sizing ChartMan: I do find YM less stressful and I'm beginning to believe for myself that the YM TA may be easier than ES!) while running a couple of slow-burnin' small stakin' 60min systems in the background which will be of little interest to anyone unless you're after a system with 35% accuracy and 10 max consecutive losers (backtesting over 1,2,3,4,5 & 6 yrs of ES hourly shows it grabs some big ones too and comes out ahead, fortunately!).
When my confidence and skill improves I'll post some more, but lurking, learning and devouring Jiler is the order of the day for the moment.
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jonnyy40
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Have you given shares a go?4X leverage with IB.Timing's not so critical and as you've done it before (swung)! 15-30% pa should be sufficient?
This last year was a special case with the war giving the capitulation sell signal and heralding the bull market so it's been unusual but you've been trading since before so you'll know prices can go down as well as up.
When you've perfected your system maybe you'll remember your old mate jonnyy and tell me about it?
This last year was a special case with the war giving the capitulation sell signal and heralding the bull market so it's been unusual but you've been trading since before so you'll know prices can go down as well as up.
When you've perfected your system maybe you'll remember your old mate jonnyy and tell me about it?
frugi
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Hourly system's been in operation since 02/04 but today I couldn't resist a little extracurricular trading after the morning's sudden waterfall decline.
I was scared by the spike below the trendline (strongly tempted to close system long, but remained resolute!) but reassured by what I later realised was a clean bounce off 61.8%.
Cautiously late into a long on the 2nd wave pullback to the 10 day EMA / 38% level at 1145 then out on the 5th /wedge top at 1149. Then a small short below R1 upper pivot (red) 1147.5 closed at 10 day EMA / 38% 1145. Edit for the eagle of eye: Taking this short involved closing my IB long first and temporarily transferring it to SB to keep the pos open. A pointless squandering of commission - next time I will trade SPY from IB! D'oh.
I missed some obvious fare - e.g those 3 123 patterns that Skim illustrates here but content to be cautious.
If any scintilla of interest can be drawn from today it is that running my 'always-in' relaxed hourly system provides a lot of reassurance. I've backtested it thoroughly and though it's rather tepid in performance I still trust it to eke out a sufficient return to at least pay my bills, though not of course to furnish me with a fiscally unfettered existence boasting an infinite supply of designer chinos. Groan. Another month of fettling Investor/RT and this may change though (I wish!).
To precis a foolish ramble perhaps "following a mechanical system without deviation has improved my discretionary discipline and yielded a suitable reward." Good habits stick etc. And of course following the hourly makes the 10 min decisions easier, filtering or reinforcing as necessary.
Anyway here's a chart...
I was scared by the spike below the trendline (strongly tempted to close system long, but remained resolute!) but reassured by what I later realised was a clean bounce off 61.8%.
Cautiously late into a long on the 2nd wave pullback to the 10 day EMA / 38% level at 1145 then out on the 5th /wedge top at 1149. Then a small short below R1 upper pivot (red) 1147.5 closed at 10 day EMA / 38% 1145. Edit for the eagle of eye: Taking this short involved closing my IB long first and temporarily transferring it to SB to keep the pos open. A pointless squandering of commission - next time I will trade SPY from IB! D'oh.
I missed some obvious fare - e.g those 3 123 patterns that Skim illustrates here but content to be cautious.
If any scintilla of interest can be drawn from today it is that running my 'always-in' relaxed hourly system provides a lot of reassurance. I've backtested it thoroughly and though it's rather tepid in performance I still trust it to eke out a sufficient return to at least pay my bills, though not of course to furnish me with a fiscally unfettered existence boasting an infinite supply of designer chinos.
Groan. Another month of fettling Investor/RT and this may change though (I wish!). To precis a foolish ramble perhaps "following a mechanical system without deviation has improved my discretionary discipline and yielded a suitable reward." Good habits stick etc. And of course following the hourly makes the 10 min decisions easier, filtering or reinforcing as necessary.
Anyway here's a chart...
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frugi
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It's a little confusing trying to run an hourly system and simultaneously daytrade through TWS so as of yesterday night I've transferred the whole hourly thing to steal4afatfee, leaving TWS free for intraday only (although I'm happy with the odd weekday overnight if the situation looks particularly inviting).
Yes I did hold over the weekend and wasn't entirely comfortable doing so without a guaranteed stop (one of d4f's better points when compared to Globex, of which there are very few!) which is one reason why I have separated my activities/systems. Perhaps I should have hedged it a little I agree, since the market is closed for a long time.
You were right about my nature I think, BBB - my heart is simply not in mechanical, though, for the moment at least, I thrive on the enforced discipline and need it to yield an influence somewhere in my trading. That said, I'm gonna make a sterling effort to get this intraday ES discretionary business sorted within a year or two as I feel that style is most sympathetic to my temperament and ambition.
Yes I did hold over the weekend and wasn't entirely comfortable doing so without a guaranteed stop (one of d4f's better points when compared to Globex, of which there are very few!) which is one reason why I have separated my activities/systems. Perhaps I should have hedged it a little I agree, since the market is closed for a long time.
You were right about my nature I think, BBB - my heart is simply not in mechanical, though, for the moment at least, I thrive on the enforced discipline and need it to yield an influence somewhere in my trading. That said, I'm gonna make a sterling effort to get this intraday ES discretionary business sorted within a year or two as I feel that style is most sympathetic to my temperament and ambition.
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