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  • #101
  • May 8, 2019 12:26pm May 8, 2019 12:26pm
Vee with his coastal strategy against the market

Inserted Video
  • #102
  • May 8, 2019 1:32pm May 8, 2019 1:32pm
Quoting alphadude
Vee with his coastal strategy against the market https://www.youtube.com/watch?v=E0kNW4KQCoY
I don't see a coast line lol
I don't see uphill or downhill lol

Seems more like what happens during mean reversion... tiring the trader first during consolidation, then comes the circular whipsaw representing tiny bites from H to the struggling W :-
Staying in my lane...
  • #103
  • May 9, 2019 5:42pm May 9, 2019 5:42pm
Quoting VEEFX
1) do you have any algo that does NOT include orderflow? if yes, how long in live and how often do they require tweaks? if they won't survive beyond 3 months, this journey will come to a stand still very quickly for me. I better drop all this shit and get into understanding volume and footprint stuff which is all completely greek to me. if not, do you believe basic PA and indicator stuff really has any long term merit in algo trading (for NQ)?
My entire belief system is based on the actual mechanics of the market, the dual auction process, market vs limit, and so all my research and eventual trading is centered around these concepts. Personally, my belief is this is the baseline data and therefore the first layer and edge can be found within. Can complex price candles patterns and indicators calculating price over price through price divided by price provide an edge, maybe, obviously many people seem to think so. Personally, my beliefs are all price movements are caused by orders, therefore my focus in on the orders, the cause.


Quoting VEEFX
2) You will need to get me over the hurdle of how scaling up position size will have no effect on "orderflow mechanics" that the edge relies on (in your case). I am of the view that bigger position size will always result in different outcome than a smaller contract size (I am talking 1-3 contract versus 10-30 contract sizes). Perhaps this is a mental barrier for me but I need more supporting facts to get over this hump. I ask because I am focusing on more ticks to not so much rely on liquidity needs at any given time (and also to make my backtest...
Every market has its own liquidity profile, and they tend to fluctuate, however, in almost every market there is more than enough liquidity for retail traders. You will not have an issue finding liquidity and you will not have to worry about becoming a target as these markets are transparent. I assure you this is not a real concern, but if you want hard numbers PM me.



Quoting VEEFX
1) is it normal to see an edge "decay" as we progress thru strategy development
Yes and no. A raw edge should show pretty consistent results. The moment you start applying trade management to signals usually you will decrease both the win%, and lose% and create a new category BE%. This is why the trade management testing needs to be conducted after an raw edge is identified. You would be surprised what can be achieved with trade management, example, there was one particular signal i researched that produced very consistent results with simple management rules, however, occasionally, like 2 to 3 times a quarter, there would be a string of 8 to 10 consecutive losers within my session. Unfortunately, due the aggressive MM i wanted to apply, these consecutive losses were unacceptable. The solution ended up being applying a Max Consecutive Lose limit to the algo of 4 losers. Now, this did change the overall results, and it did have an effect on all sessions with 4 loses, but the trade-off was perfectly rational and the overall expectancy was well worth the overall risk in my view.


Quoting VEEFX
EDIT: my alternative to tackle this issue has been to always consider outcome of any trade to be 50:50 and then apply multiple strategies across multiple timeframes to trap price into winning more and losing less via strict initial and max DD controls and even rigorous and manipulative equity explosion episodes using volatility but all these techniques are very hard to do on a single futures instrument.
I recommend the opposite. Find the edge first, use MM, TM, & RM to tweak the results based on your overall strategy objectives. Sometimes this cannot be done, those are the edges to discard.
  • #104
  • May 9, 2019 6:02pm May 9, 2019 6:02pm
the fun is all in the raw edge studies

one of the important task of a pro trader, is to know the true edge in his existing profitable strategy.

an example is CP, judging from his many detailed posts, his true edge was not in the signals, but in trade management and gut feel.
  • #105
  • May 9, 2019 9:04pm May 9, 2019 9:04pm
Quoting Nik-Nyc
{quote} My entire belief system is based on the actual mechanics of the market, the dual auction process, market vs limit, and so all my research and eventual trading is centered around these concepts. Personally, my belief is this is the baseline data and therefore the first layer and edge can be found within. Can complex price candles patterns and indicators calculating price over price through price divided by price provide an edge, maybe, obviously many people seem to think so. Personally, my beliefs are all price movements are caused by orders,...
Way back in the day you would have been a tape reader. I have narrowed my approach to trading to something similar, basically removing anything from
my screen which distracts from observing price movements, so I would say any "edge" I have is to be able to see the market I want to trade so I can then make a
decision on whether to trade or not.
Just for info, a couple of graphs/stats as to whom we are trading against.
good luck,
regards
goma
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  • #106
  • May 9, 2019 10:20pm May 9, 2019 10:20pm
From a purely systematic perspective, you have only then an edge if your system can generate consistent profits.

In the discretionary world there are much more factors.
  • #107
  • May 12, 2019 10:20am May 12, 2019 10:20am
Quoting Nik-Nyc
{quote} My entire belief system is based on the actual mechanics of the market, the dual auction process, market vs limit, and so all my research and eventual trading is centered around these concepts. Personally, my belief is this is the baseline data and therefore the first layer and edge can be found within. Can complex price candles patterns and indicators calculating price over price through price divided by price provide an edge, maybe, obviously many people seem to think so. Personally, my beliefs are all price movements are caused by orders,...
Thanks man. I am at the crossroads in my journey to figure out if the path I have chosen is the right path or not. I still think it is as I started with the expectation of not finding any such raw edge in price for NQ as well. Perhaps there is some magic in studying orderflow but not in price alone imo. If any such raw edge in price exists then there is really no need to apply a "strategy" on it. just simple MM could yield above average returns but then everyone would know and exploit so the so called raw edge would have to decay over time to maintain the logic of zero sum game in the long run. Regardless, the goal and success criteria set for me is not changing.

Time to take another break from trading and forum world and head on my second vacation. See you guys in 2 weeks.

EDIT: I really doubt anyone here or elsewhere is able to meet my "success criteria". I would love to know if this is even possible!
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Staying in my lane...
  • #108
  • May 12, 2019 11:23am May 12, 2019 11:23am
Quoting VEEFX
{quote} Thanks man. I am at the crossroads in my journey to figure out if the path I have chosen is the right path or not. I still think it is as I started with the expectation of not finding any such raw edge in price for NQ as well. Perhaps there is some magic in studying orderflow but not in price alone imo. If any such raw edge in price exists then there is really no need to apply a "strategy" on it. just simple MM could yield above average returns but then everyone would know and exploit so the so called raw edge would have to decay over time...
V,

All paths are valid as long as they have clearly defined success and failure criteria. It seems your current path checked a few boxes, but was unable to deliver on the rest of your criteria. No harm, no foul, at least you learnt something along the way.

Regarding orderflow, there is nothing magical about it. It is just simple market mechanics of any and every price movement. I have a feeling this type of analysis might be in your wheelhouse because all the data is purely numeric and quantifiable. Approach it with an open mind and at the very least you will learn something new.

Regarding your success criteria, they are all completely achievable and no doubt many have achieved even more stringent criteria. Embrace the fact that what you desire is very possible, you simply haven't gotten there yet.

Enjoy the vacay!
  • #109
  • May 12, 2019 12:31pm May 12, 2019 12:31pm
Quoting Nik-Nyc
{quote} V, All paths are valid as long as they have clearly defined success and failure criteria. It seems your current path checked a few boxes, but was unable to deliver on the rest of your criteria. No harm, no foul, at least you learnt something along the way. Regarding orderflow, there is nothing magical about it. It is just simple market mechanics of any and every price movement. I have a feeling this type of analysis might be in your wheelhouse because all the data is purely numeric and quantifiable. Approach it with an open mind and at the...
Thanks for lifting my spirits :-)

You do know a whole lot more on orderflow than anyone here. Share your wisdom or atleast provide us noobs with a step by step guide on how to approach this new field. Your posts are helping and following your "likes" are helpful as well but dude.... you can do so much more to encourage the process of learning and self-sufficiency among us for the greater good. we have incredible amount of collective intelligence and yet we (retailers) continue to fail in this field by handing over our accounts to the pros lol

I came to futures for this very reason and got stuck with ruling out all the retail indicator and price action crap learnt from 2 decades (strong believer of process of elimination but time consuming, labor intensive and a excruciatingly painful process etc). I have learnt nothing new and the principles and opinions I formed in price movements in SpotFX also apply to NQ. As a pure momentum scalper relying only on rate of change in price, it is possible to dive into orderflow imo and just trade the DOM (my primary style I tried on day 1 of live trading) but I am not there yet to go manual trading and further deteriorate my vision. When I return, I still have a few dozen ideas to try out but only on Tick chart first. I certainly don't want to dive into the field of volume profile on my own etc as I will only spin in circles (knowing how my mind churns up ideas at a rapid pace lol).

Also / recent post in Hilmy's thread about rithmic complete order book makes me want to dump CQG. Knowing where the long term pending orders are residing in itself is more sufficient to find confluence with some of the MM techniques described by George_AUS.

Second alternative, if all algo attempts fail, is to go completely un-leveraged and play the long term investor game with the indices. overnight carrying of 8 contracts on a 100K account is certainly doable with IBKR.

Third alternative (thinking out loud), is to device a HEDGED PORTFOLIO of e-minis with e-micros into a market-neutral always-in type strategy. Perhaps there is some room to introduce Options on Futures as well with this model.

As I said, full of freaking ideas but no implementation skills lol
Staying in my lane...
  • #110
  • May 12, 2019 12:40pm May 12, 2019 12:40pm
V, keep it simple. you are running away from the problem. changing markets, brokers, platforms aint gonna get you anywhere.

trade a raw edge. improve trading as you go. follow the law of large numbers.

forex is gold
  • #111
  • May 12, 2019 1:14pm May 12, 2019 1:14pm
Quoting alphadude
V, keep it simple. you are running away from the problem. changing markets, brokers, platforms aint gonna get you anywhere. trade a raw edge. improve trading as you go. follow the law of large numbers. forex is gold
Does your algo or collection of algos meet my pre-defined success criteria? if yes, Is it one algo or collective actions of more than one algo is all I want to know. (no worries, I won't ask for evidence... just want to know if it is possible outside of MT4 :-)
Staying in my lane...
  • #112
  • May 12, 2019 1:19pm May 12, 2019 1:19pm
Quoting VEEFX
{quote} Does your algo or collection of algos meet my pre-defined success criteria? if yes, Is it one algo or collective actions of more than one algo is all I want to know. (no worries, I won't ask for evidence... just want to know if it is possible outside of MT4 :-)
I repeat again... you guys keep telling me "focus on raw edge" and then apply filters/RM/TM/etc and I keep telling EVERY bit of RAW edge DECAYS the moment I try to apply filters to meet my success criteria. I have also posted some AWESOME results of raw edge in the past (although inaccurate because of market replay but still!). Whatever or however you want to define raw edge, it decays over time or over 100s of trades or over any filters you apply to create a tradable strategy. It decays the moment it time-slice my backtesting duration, it decays the moment I apply time filters to tweak the trade frequency. It decays the moment I try to introduce SL and TP or tweak any one of them. follow what I am trying to convey ???
Staying in my lane...
  • #113
  • Edited 7:09pm May 12, 2019 5:30pm | Edited 7:09pm
Quoting VEEFX
{quote} Thanks for lifting my spirits :-) You do know a whole lot more on orderflow than anyone here. Share your wisdom or atleast provide us noobs with a step by step guide on how to approach this new field. Your posts are helping and following your "likes" are helpful as well but dude.... you can do so much more to encourage the process of learning and self-sufficiency among us for the greater good. we have incredible amount of collective intelligence and yet we (retailers) continue to fail in this field by handing over our accounts to the pros...
Am happy to participate in discussions and help where possible, but i do not see opening a thread in my immediate future. Switching to futures offers three main benefits 1)trading a centralized markets, 2)trading transparent (regulated) markets, 3)access to real baseline data(bids/offers). #1 & #2 are "free" gifts to anymore who chooses to trade futures, but #3 is something that needs to be understood and taken advantage. Its certainly not required, but, it's no coincidence that it is the starting point for almost all professional training.


Quoting VEEFX
Also / recent post in Hilmy's thread about rithmic complete order book makes me want to dump CQG. Knowing where the long term pending orders are residing in itself is more sufficient to find confluence with some of the MM techniques described by George_AUS.
Rithmic's greater depth is nothing new. Indeed other data providers are now providing the same service.

Perhaps this is a good moment to make what i believe is an important point about orderflow. Focus on the NOW. This tick, this order, this second. The hard right edge is where the money is made, levels are obviously important, but what is of even greater importance is being able to correctly read what is happening once price comes to a "level". Is the level actually being attacked (aka is the market order activity even present)? How is the level being defended (aka are the limits being refreshed or did pulling commence at a certain point)? Who is defending this level (aka are the limit refreshs large)? You should be able to see and interpret with a high degree of accuracy (aka edge) whether a level will hold or fail during the actual battle. Sometimes it's difficult to read, sometimes it's unclear, but plenty of other times its like stealing candy from a baby. Its your choice when to participate. Edit: to be clear, knowing there is a super thick level of limits 20/50/120 ticks away is almost meaningless. What is critical is how did price get there and what happens once it does.


All this said, using orderflow for a more macro analysis of swings and days is perfectly valid, indeed encouraged.
  • #114
  • May 13, 2019 2:09am May 13, 2019 2:09am
Quoting Nik-Nyc
{quote} Am happy to participate in discussions and help where possible, but i do not see opening a thread in my immediate future. Switching to futures offers three main benefits 1)trading a centralized markets, 2)trading transparent (regulated) markets, 3)access to real baseline data(bids/offers). #1 & #2 are "free" gifts to anymore who chooses to trade futures, but #3 is something that needs to be understood and taken advantage. Its certainly not required, but, it's no coincidence that it is the starting point for almost all professional training....
Alpha can feel free to stop me if I am cluttering his journal. Perhaps our interaction is helpful to others. I hear you loud and clear and I normally re-read your posts several times but as I said earlier, specificity matters to me and my personal journey towards quantification of all moves I see on the chart. Like this one below that I am currently researching on a tick chart (i.e. 1Tick range chart) to see the finer actionable details on some levels I am investigating.

Please tell me by looking at this chart, can the baseline bid/ask reference data in #3 have the SAME or SIMILAR DNA of a collection of moving averages moving in one direction? would the Bid/Ask volume series of data have a similar footprint of price series moving away from it's averages? Can I put logic at the tick by tick level to gauge the expansion and contraction of bids and offers to get a directional bias WITHOUT giving any regard to price or price levels or any price based indicator? if yes, how or where should I start looking for this specific information at the basic data level. If I am digging into volumes and order flow, I do not want to start with some indicator giving me a fancy pictorial representation of orderflow or buyer/seller strength. I want to start with the basics, a DNA of what represents orderflow strength changes from buyers to sellers. Just vaguely saying look into ask-bid delta or cumulative delta volume (as an example) is not enough.

And finally, I simply cannot/do not want to trade without momentum. Momentum (i.e. volatility) and direction is the only thing important to me. I only want to participate in the move while it is happening and not wait for it to when it may happen. Is that also what you are saying right? I am also all about the NOW with that mindset. Actually, "when I am at my trading station, I command the market to make a move that is worth my time in $/hour" is my primary mindset. I got absolutely no patience to stare at my chart for hours, draw lines and what for shit to happen. Not in my DNA and the primary reason why I only like session opening times or news events.
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Staying in my lane...
  • #115
  • May 13, 2019 2:18am May 13, 2019 2:18am
Quoting VEEFX
{quote} Alpha can feel free to stop me if I am cluttering his journal. Perhaps our interaction is helpful to others. I hear you loud and clear and I normally re-read your posts several times but as I said earlier, specificity matters to me and my personal journey towards quantification of all moves I see on the chart. Like this one below that I am currently researching on a tick chart (i.e. 1Tick range chart) to see the finer actionable details on some levels I am investigating. Please tell me by looking at this chart, can the baseline bid/ask reference...
Adding another screenshot to show the price level and give you further context of why I am asking these questions. Price did not touch 7600 level. I am sure or atleast hoping that orderflow would have some clues to tell me price is not going to touch the level. What is that clue or early warning if price is the causation of orderflow ?
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Staying in my lane...
  • #116
  • May 13, 2019 3:08am May 13, 2019 3:08am
Quoting Rmg
If you all have time to listen this .. there is answer to all your questions. Oh yeah , he is not an engineer, he used to be a chef and musician. Also his free course contains 30 hrs of videos particularly last 2 chapters will cleanse your heads !! only if you are ready to listen and drop your egos!! https://www.youtube.com/watch?v=dfRPZfkrDKk .
he is a decent chap to listen to. I really liked what he said about discretionary traders (at around 47 mins) who consider "themselves" to be the raw edge of their system and how their trading 'edge' is affected when the trader runs into personal/financial/health problems. This is the primary reason why I want to remove myself from all trading decisions/calculations/biases and focus only on data-driven decision-making process (either manual or algorithmically).
Staying in my lane...
  • #117
  • May 13, 2019 3:27am May 13, 2019 3:27am
Quoting VEEFX
{quote} he is a decent chap to listen to. I really liked what he said about discretionary traders (at around 47 mins) who consider "themselves" to be the raw edge of their system and how their trading 'edge' is affected when the trader runs into personal/financial/health problems. This is the primary reason why I want to remove myself from all trading decisions/calculations/biases and focus only on data-driven decision-making process (either manual or algorithmically).
Same thoughts here, hence I am leaning towards systematic approach.
on a postive roll...
  • #118
  • May 13, 2019 3:49am May 13, 2019 3:49am
Quoting Rmg
{quote} Same thoughts here, hence I am leaning towards systematic approach.
but then he also says traders with emotional discipline problems can't succeed in systemic trading. I would probably change this sentence to "emotional decision-making" problems. In systemic trading, most decisions should be on data-driven logic (price data, volume data, indicator-generated data, account related data, trade stats related data etc etc). I believe my execution problems (caused by lack of focus/distractions) will most likely go away with letting my algo do most of the just-in-time decisions. Atleast that is my hope. Most algos are intervened because the trader is unable to trust the design especially when going thru consecutive loss sequence. That is why, my first and foremost desire is to design a consecutive winning frequency sequence to deal with the losses later on and remove the emotion out of the equation (hopefully). That was the main reason for my 3-contract trading exercise last week and paid some necessary tuition.

I also liked to hear him say that you will lose when you move to a new market no matter how experienced of a trader you are. Gives me a little comfort for all my struggles hehe :-)

EDIT: And just to say it, 1) Execution and 2) "To know all the Unknowns in the market that affect consistency" are the two main reasons for me to go the systemic route.
Staying in my lane...
  • #119
  • May 13, 2019 8:17am May 13, 2019 8:17am
Quoting VEEFX
{quote} but then he also says traders with emotional discipline problems can't succeed in systemic trading. I would probably change this sentence to "emotional decision-making" problems. In systemic trading, most decisions should be on data-driven logic (price data, volume data, indicator-generated data, account related data, trade stats related data etc etc). I believe my execution problems (caused by lack of focus/distractions) will most likely go away with letting my algo do most of the just-in-time decisions. Atleast that is my hope. Most algos...
I have discipline issues, no wonder chasing my own tail after all these 4 years or so.
Also i strongly came to believe recently that if i have an edge it must be quantifiable as well as statistically proven through backtest.
If backtest results are positive despite various market conditions, executing systematic is the way to go.
Given the fact that backtest results must include what to expect in terms of loss occurances/frequency.
Statistically proven data should convince our monkey brain not fiddle with the system while executing.
Discretionery comes into play when/ when not to trade or making changes to system when live results are not similar to backtest.
on a postive roll...
  • #120
  • May 13, 2019 10:21am May 13, 2019 10:21am
Quoting VEEFX
{quote} Alpha can feel free to stop me if I am cluttering his journal. Perhaps our interaction is helpful to others. I hear you loud and clear and I normally re-read your posts several times but as I said earlier, specificity matters to me and my personal journey...
By all means V, the more discussioin the merrier.
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