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  • #921
  • May 23, 2021 3:53am May 23, 2021 3:53am
Quoting RickM
{quote} Hi Tim_isoara Well if they worked for me, I would sack the lot of them. That's unacceptable to lose 10% in a day. They must be bloody idiot's gambling the firms money without a care in the world. THAT IS NOT HOW A RETAIL TRADER SHOULD TRADE THEIR OWN MONEY My maximum loss would be 1% and I am done for the day - but that's rare anyway. Lets keep this to how a retail trader should manage their funds.
Do you guys think is there a final conclusion of this thread ? or a conclusion of the conclusions ? or we are just getting played out here.
Really can't understand what you guys want to explain.
Hope you guys get into some conclusion with real time charts or information.
  • #922
  • May 23, 2021 3:57am May 23, 2021 3:57am
Quoting Tim_isoara
{quote} Trade 4-6 hours. Start 2-3 hours before London open. After you are free.
Hi Tim,
I'd rather trade or study trading related topics or watch recorded level II and T&S in the time I have after trading from 9am-3.30pm. But if some other work needs to be done then I'll get it done and get back to trading.
OR I'll play ludo

One thing is you can make time when necessary.

Thanks for your time
A trade should be based on an assumption based on facts
  • #923
  • May 23, 2021 4:00am May 23, 2021 4:00am
Quoting RickM
{quote} Hi Tim_isoara Well if they worked for me, I would sack the lot of them. That's unacceptable to lose 10% in a day. They must be bloody idiot's gambling the firms money without a care in the world. THAT IS NOT HOW A RETAIL TRADER SHOULD TRADE THEIR OWN MONEY My maximum loss would be 1% and I am done for the day - but that's rare anyway. Lets keep this to how a retail trader should manage their funds.
You are a retail trader and you have your rules.
A proprietary trading company have the money and have his rules.
  • #924
  • May 23, 2021 4:48am May 23, 2021 4:48am
Quoting PeterCaleb
Please read this .... https://awealthofcommonsense.com/201...probabilities/ If a human doses themself with self interest and too much greed, they lose sight of certain basics. Statistics and probabilities help but do not tell the whole story. If day trading cannot be seen from ALL aspects and perspectives you WILL waste time and lose more of your money than necessary. You need to understand the 4 Tiers of probabilities. Combined with time and context. Go here and start really learning .... https://www.forexfactory.com/thread/...ng-and-trading...
An Interesting Read

I skimmed through your two pdf documents Objective Thinking Part 1 (321pages) and Objective Thinking part 2 (83 pages). I found some of your ideas and discussions quite interesting. If I may put the central theme of what you appear to be saying into my own words it would be something like this.

Unless you think about what you are doing and why you are doing it, either in the context of trading or life in general, then you are almost certain to finish up following predetermined conventional paths. With trading, this spells disaster because markets are forever changing and a great deal of the information available is either irrelevant or downright wrong. Using wrong or irrelevant information to deal with any situation and particularly one that is constantly changing is only likely to result in poor or sub optimal decisions.

If my understanding is approximately correct then I would agree totally with what you are saying. It doesn’t surprise me at all however that many people get upset and refute your assertions.

Another point you allude to in your writings is the significance of beliefs and the impact they can have on trading as well as life outcomes.

To quote you directly “In layman terms, they're addicted to their opinions and ill-informed beliefs”

I would like to share a true trading story that illustrates both the above points.

A few years back I met a lady who had become quite a successful stock trader. She was a retired maths/science secondary school teacher, so by convention she would be considered quite intelligent. Over a period of time she had developed a trend based stock trading system. In her own words she claimed that she had done this “by trial and error”, She had also built up a client base of about 30 people to whom she sold this system on a subscription basis for a very reasonable price. Each week she updated her system and emailed the the current information (not stock tips or recommendations) to her clients. From time to time she also ran seminars for new or existing clients. I was impressed enough by what she was doing to recommend her system to a couple of stock traders I knew who were struggling at the time. They benefited significantly by switching to this system.

A few years down the track this lady approached me and asked for help to analyse her system with a view to improving its performance. I agreed to do so and discovered that most of the indicators she was using had no significant affect either individually or collectively. One indicator however had a significant negative affect. It was also the “crown jewel” of her system. It was a multiple moving average gloriously presented in multiple colours. It looked very impressive. This indicator had been heavily promoted by an Australian stock market guru. Books had been written about it and its usefulness had been touted around the world. It just didn’t work in the context in which she was using it.

I was not only able to show her that that this indicator was reducing the performance of her system but I was also able to explain why. Of course the solution to improving her system was obvious. She had to either drop this indicator from her system completely or totally reinterpret the way in which she was using it. Unfortunately she couldn’t do either. She was too heavily invested in the belief of what she had been doing and the story she had been telling for quite some time. She was no longer in a position to objectively consider reality.

She quickly became very cool and somewhat hostile towards me. I have had little to do with her since. Quite recently I heard that she had discontinued supplying this system to clients. Apparently it has stopped working but attached to her old dysfunctional belief systems she is unable to fix the problem or adapt to current market conditions.

Regards
Tim
Don't Guess Test
  • #925
  • May 23, 2021 4:50am May 23, 2021 4:50am
Quoting RickM
{quote} Hi Tim_isoara Well if they worked for me, I would sack the lot of them. That's unacceptable to lose 10% in a day. They must be bloody idiot's gambling the firms money without a care in the world. THAT IS NOT HOW A RETAIL TRADER SHOULD TRADE THEIR OWN MONEY My maximum loss would be 1% and I am done for the day - but that's rare anyway. Lets keep this to how a retail trader should manage their funds.
I was just about to post something very similar. A 10% loss?? That prop firm is not going be around long. If five traders have just one bad day, they have lost half of their capital! I agree with you on position size. For me it's a 0.025% position size on total capital, max loss is 0.5% per position.
If you are good at something, never do it for free--Joker
  • #926
  • May 23, 2021 5:01am May 23, 2021 5:01am
Quoting RickM
{quote} Hi TraderTim I spend 5-6 hours every night studying the order flow books and their data - I just trade what I see without assumptions. Just my view for what's its worth. Looking at EURUSD (its futures market twin), I see about 1 to 2 extremely large orders and about 10-15 large orders go through the order books each day. Then there is hundreds of mid size orders as well which really seem to be the real drivers on the market, the work horse of the big players objectives. Without doubt, at least 80% or more would be from those big players...
Looking at other possible approaches to working with order flow
Hi Rick
Thanks for answering my questions. I think I now understand what you are trying to do.

One of the numerous question in my mind is how correlated is the Depth of Market (DOM)’s on the Reuters and EBS interbank platforms with those of CME FX futures?

I did some quick and dirty analysis comparing intraday spot FX data with FX futures data. The price correlation was roughly what I expected with the futures price slightly leading the spot price. What I didn’t expect was the high correlation between futures and spot volume. They were also synchronous i.e. neither volumes led or lagged the other.
As said, this test was pretty rough. It would probably be worth repeating it with better data over a much longer time period and a range of different currencies. ( I used EUR)

Many spot FX traders regard a retail broker’s tick data as useless. I do not agree with this view. I have been able to get hold of broker feeds to confirm that there is a very high correlation between intraday tick data and volume data. Furthermore there is a very good explanation for why this is so. The data feeds that I have looked at are not in accord with the common belief that an ECN broker immediately places trades from retail client directly into the open market. The data feeds show that trades are “packaged” in to multi lot blocks. The tick volume seems to be a count of these packages. It is therefore little wonder that they are so highly correlated.

While actual tick volume varies significantly between retail brokers depending on the market maker/liquidity system they are using, the ones I have looked at all seem to correlate reasonably well with each other. On this basis, it would, in my opinion be quite easy to model a reasonable approximation of total FX spot intraday volume for the entire global market. I see no point in doing so however. Its only purpose would be to satisfy the whims of people who don’t understand the math.

Metatrader MT5 features a DOM. See attached image. I am told that some but not all retail brokers provide DOM data for the MT5 platform. I have made a few enquiries but have not been able to find anyone who uses it or even seems to know anything about it. Again the belief that it is not centralised and is therefore useless seems to prevail.
I am interested in trying to work out how correlated the DOM from a major FX retail broker network is to CME futures data.

All interesting stuff
Regards
Tim
Attached Image
Don't Guess Test
  • #927
  • May 23, 2021 5:04am May 23, 2021 5:04am
Quoting jmn5611
{quote} I was just about to post something very similar. A 10% loss?? That prop firm is not going be around long. If five traders have just one bad day, they have lost half of their capital! I agree with you on position size. For me it's a 0.025% position size on total capital, max loss is 0.5% per position.
You are not good on math.
"If five traders have just one bad day, they have lost half of their capital!"
They will lose 10% from 5 traders allocated capital. But they have more than 100 traders, so...
If all their traders lose 10%, company still have 90% of capital.
  • #928
  • May 23, 2021 5:21am May 23, 2021 5:21am
Quoting Tim_isoara
{quote} {image} I am a day trader. No gambling, trading.
OK! BTW how many aliases do you have on this board? I thought your name was "RickM"?
  • #929
  • May 23, 2021 5:21am May 23, 2021 5:21am
Quoting joyny
{quote} I trade only automated with a bunch of EAs runing. Have built VPS Infrastructure and monitoring tools. So I very rare need to do anything.. just some monitoring. I did and have what a lot people dream off - "earn money while you sleep". I can spend my time as I wish... Yes I work on new strategies/EAs now too. But no rush. As hobie. So here in ff I communicate. Some social entertainment for me. And I learn from other people here. Ideas can be found everywhere. Not usable 1:1 but with right adjustments its posible to turn a lot of ideas in...
Do you feel secure?
Do you belive in destiny?
Practice makes a person perfect
  • #930
  • May 23, 2021 5:25am May 23, 2021 5:25am
Quoting simnz
{quote} I trade for entertainment and mental stimulation. If I become a slave to indicators or signal arrows, do you think I will be able to enjoy it? My enjoyment comes from practising the Pareto principle of the 80/20 rule. That means I must not focus too much on making instant money but on finding flaws/situations/hours which can provide me chances of practising my 20% rule. It is not magic. It is planning. Backwards for a Profit Target. Forward for a Loss target. Setups that lay down targets with scaled-down expectations provide exponential...
"Great Expectations" - A little project for a lot of fun

Hi Simnz,

It is my opinion that in order to develop any sort of automated or semi-automated trading system you first have to be a competent manual trader. From that position you can analyse what you are doing and look for ways to automate some of the many tasks involved.

The objective in doing so may be to reduce screen time or manual workload, improve reliability, reduce or eliminate missed opportunities etc etc. Breaking the problem down into manageable chunks that can be tested in a live trading situation makes an automated trading project practical and viable. I call the software modules that perform these tasks Automated Trading Assistants or perhaps Automated Trading Agents (ATA's). They can be designed to operate independently or to collaborate with each other. Ultimately a collection of collaborative ATA’s may be able to perform most or perhaps all of the tasks involved in executing a strategy.

Trying to build an all singing all dancing trading robot in one hit that does all your thinking for you including the ability to detect and adapt to ever changing market conditions is to my mind an exercise in folly. It becomes an exercise in grand folly when the person trying to build this super trading robot doesn’t even know how to trade properly.

If you would like to have a bit of fun on this forum we could set up a project to develop a set of interrelated trading EA’s as described above. One condition to solicit my involvement would be that everything we do including all the software source code should be made publicly available on this forum.

Some people will of course just help themselves to what they can and not contribute. Who cares. I would expect some others to join in and contribute. They will be the ones who get something worthwhile out of a project like this.

Between the two of us we have nearly 70 years of trading experience. Together that might be just enough to produce something useful or at least interesting. Hopefully we would all learn something along the way.

The place to start is to come up with a clear written specification of what we want to try and achieve.

Regards
Tim
Attached Image
Don't Guess Test
  • #931
  • May 23, 2021 5:32am May 23, 2021 5:32am
Quoting Mtinifx
{quote} OK! BTW how many aliases do you have on this board? I thought your name was "RickM"?
RickM don't like what information I shared.
This is my name from may 2009, on FF.
  • #932
  • May 23, 2021 5:57am May 23, 2021 5:57am
Quoting TraderTim125
{quote} An Interesting Read I skimmed through your two pdf documents Objective Thinking Part 1 (321pages) and Objective Thinking part 2 (83 pages). I found some of your ideas and discussions quite interesting. If I may put the central theme of what you appear to be saying into my own words it would be something like this. Unless you think about what you are doing and why you are doing it, either in the context of trading or life in general, then you are almost certain to finish up following predetermined conventional paths. With trading, this spells...
Yeah, Guppy moving averages can get you into real trouble in a ranging market. They do look pretty on a chart though.

Quoting TraderTim125
{quote}Trying to build an all singing all dancing trading robot in one hit that does all your thinking for you including the ability to detect and adapt to ever changing market conditions is to my mind an exercise in folly.{image}
Whoever does will have built a positronic brain. I am sure the best quantitative minds in the world are also on the same chase. Imagine if you could quantify the direction and magnitude of a move? This group of traders would quickly eclipse the richest people on earth that we are aware of.
If you are good at something, never do it for free--Joker
  • #933
  • May 23, 2021 6:33am May 23, 2021 6:33am
Quoting PeterCaleb
GEfx etc, you want a fist fight but I always carry a Bowie knife and a pistol into a fight. It's the same with these other people here. Out from behind the keyboard, I've used a cricket bat, Bowie and a pistol to do my hunting... as in .... REAL life hunting. Not this crap with video games and "trading platforms". My only goal here is to pull the curtain away to show the victim mentality of the so-called "knowledgeable traders". I don't care if I hurt your "feelings" as I have no intention of putting a daisy in you hair while you try and spit in...
Lol...Okay, you can bring your knife, your gun, and that keen mind of yours to the challenge, which remains on the table. I do not suffer from a victim mentality. My feelings have never been hurt by you. So let's put aside all this bravado, and focus on the challenge. Less talk, tough guy, and more action.
  • #934
  • May 23, 2021 7:12am May 23, 2021 7:12am
Quoting TraderTim125
{quote} Looking at other possible approaches to working with order flow Hi Rick Thanks for answering my questions. I think I now understand what you are trying to do. One of the numerous question in my mind is how correlated is the Depth of Market (DOM)’s on the Reuters and EBS interbank platforms with those of CME FX futures? I did some quick and dirty analysis comparing intraday spot FX data with FX futures data. The price correlation was roughly what I expected with the futures price slightly leading the spot price. What I didn’t expect was the...
Hi TraderTim

Here is the thing, volume can be seen in both futures data and also in tick data on FX spot but that does not give you the edge.
The edge comes in reading the amount of liquidity that's present on a chart and its never recorded.

Volume and liquidity are not even closely related, but if we can read the density of liquidity present on the DOM correctly, we are getting close to mastering the trading game.

An example from the last trading day on EURUSD. I started trading this pair about 1 hour after London open where it was grinding bullish with medium volume levels. The shape of the grind I would label as Passive type A because the shape wasn't offering pullbacks of any depth so logic was telling me a flipping of the delta was likely soon.
About this time, we received a few high volume levels on M1 indicating a possible change was near - but not quite yet.

Then it started.

The liquidity on the Asks coming from sellers doubled in quality providing a 2:1 current stacking of sellers all within the central zone of the order book.
Price dropped bearish with the Sellers stacking high density orders a few pips behind price in an attempt to block any bullish pullbacks. Most of this was not executed therefore did not record as volume.

Forget about the volume now, its all about the liquidity in vast quality blocking Bids from flipping price.
I Sold and stayed in till the first sign of weakness in the Asks and was reward with about 35 pips.
I could have got more pips because this action repeated itself soon after- but that's trading.

So my point is liquidity is never recorded and the average trader never knew what forces were driving the market on that move on Friday. The volume never increased to high levels and the average volume trader was left clueless.

Clarity for a liquidity trader like myself is understanding the relationship between current volume levels and predetermined liquidity levels. I already know what the volume is so I have to establish the density of liquidity to be profitable.
Trading thin liquidity at the boundary of the charts
  • #935
  • Edited 7:52am May 23, 2021 7:21am | Edited 7:52am
Quoting TraderTim125
It is my opinion that in order to develop any sort of automated or semi-automated trading system you first have to be a competent manual trader. From that position you can analyse what you are doing and look for ways to automate some of the many tasks involved. The objective in doing so may be to reduce screen time or manual workload, improve reliability, reduce or eliminate missed opportunities etc etc. Breaking the problem down into manageable chunks that can be tested in a live trading situation makes an automated trading project practical and...
"Of his 200 employees, ensconced in a fortress-like building in unfashionable Long Island, New York, a third have PhDs, not in finance, but in fields like computer science, physics, mathematics and statistics. Renaissance has been called “the best physics and mathematics department in the world” and, according to Weatherall, "avoids hiring anyone with even the slightest whiff of Wall Street bona fides".
— Sarfraz Manzoor, The Telegraph, 2013

For quantitative data analyst it is not required knowledge about manual trading. It is all about maths&stats, probabilities, extremes, fluctuations, risks, diversifications etc
  • #936
  • May 23, 2021 7:47am May 23, 2021 7:47am
Quoting simnz
{quote} Do you feel secure? Do you belive in destiny?
Good questions. I know how feels pure and how feels wealthy. I beter chose to be wealthy. But money does not give security.

Feelings fluctuate... There are bad day's and then good.

Destiny... Yes and no. View world you see as an movie. It have scenario. And if you play +/- according to movie scenario then yes - it is your Destiny. But there exists unlimited paralel movies going on. And it is posible to shift movies. So you shift from one destiny to another. And there are infinity layers of paths how and when movies can be changed. So we dont feel that all is pre-defined and we can "change anything"... (no destiny then).
  • #937
  • May 23, 2021 8:15am May 23, 2021 8:15am
Quoting TraderTim125
Unless you think about what you are doing and why you are doing it, either in the context of trading or life in general, then you are almost certain to finish up following predetermined conventional paths. With trading, this spells disaster because markets are forever changing and a great deal of the information available is either irrelevant or downright wrong. Using wrong or irrelevant information to deal with any situation and particularly one that is constantly changing is only likely to result in poor or sub optimal decisions
quantitative data analysis does not care about data mess or "randomness" or "changes"... fundamentals, news, manipulations etc Its just working material - data. With maths it is possible to predict with probabilities some outcome. You never can predict 1 particular trade outcome. But you can predict 100 trades total outcome with some probabilities. Then diversify. Make system of N paralel setups. And it again have probabilities. Its like insurance business... They working with probabilities all the time. And each insurance company is reinsured by biger insurance company. And that is reinsured again... Several layers. When you have all that calculated and frequently recalculated then you get +/- consistent profits. Like renesance Tech. do it already 30+ years consistent.

Your example of women with indicators ilustrate how people misuse them... Indicators are good to build stable identical states to establish data points for statistical calculations. No other purpose. You cant trade by dirrect indi or sets of indi signals. Its "random" and its fluctuating.
..
  • #938
  • Edited 3:31pm May 23, 2021 9:26am | Edited 3:31pm
Quoting TraderTim125
{quote} "Great Expectations" - A little project for a lot of fun Hi Simnz, It is my opinion that in order to develop any sort of automated or semi-automated trading system you first have to be a competent manual trader. From that position you can analyse what you are doing and look for ways to automate some of the many tasks involved. The objective in doing so may be to reduce screen time or manual workload, improve reliability, reduce or eliminate missed opportunities etc etc. Breaking the problem down into manageable chunks that can be tested...
I have plenty of time on my hand. So for last 5 years I have taken up a few hundred EAs for a re-engineering toss. My conclusion is: nothing can beat Pip Height and Bar width to draw tradable scenarios for you. It is as simple as that. I will provide mql of an EA which is based on random trading. It will accept random trades and supply direction bias based on first bid ticks if I chose not to give a clear bias. If given, random trades will pick ticks related to that bias. I have tried trading linked to hot hours and it has worked fine. I am a minimalist and just enjoy having simple exit by Timeframe close or TP or SL. I don't use trailing stops or stop loss but I do use equity loss and equity profit.
Can you code an EA that can sense range trading based on previous H4 pip height criteria and trade 4 positions and after exiting them with profit or loss reverse the gear to trade 4 positions in the opposite direction?
I have made 80% of my money from sideways trading. It needs patience. I am not so fond of breakouts. It makes me impulsive. So I avoid it totally unless it is part of sideways trading emanating from the middle line.
No need to have a group. No no need to keep secrets. Only if you promise to post your mql on FF I will be interested. Copying ideas or stealing mqls and trying to sell is a failed enterprise. Digital marketing is so expensive. Leads (just leads not the converted leads) cost a bomb. If you share on FF there is no such risk now. Not only that there will be a few downloads but actually no testers. It is a fad to download indicators and EAs with no apparent goal. FF is littered with hobby traders or demo video game players.
EAs won't allow you to rest with mental peace. Only a competent trader can make use of it.
Practice makes a person perfect
  • #939
  • May 23, 2021 10:11am May 23, 2021 10:11am
Quoting TraderTim125
Metatrader MT5 features a DOM. See attached image.
TraderTim125 Joined Feb 2011

Observer effect
  • #940
  • May 23, 2021 11:40am May 23, 2021 11:40am
Quoting joyny
{quote} "Of his 200 employees, ensconced in a fortress-like building in unfashionable Long Island, New York, a third have PhDs, not in finance, but in fields like computer science, physics, mathematics and statistics. Renaissance has been called “the best physics and mathematics department in the world” and, according to Weatherall, "avoids hiring anyone with even the slightest whiff of Wall Street bona fides". — Sarfraz Manzoor, The Telegraph, 2013 For quantitative data analyst it is not required knowledge about manual trading. It is all...
It doesn't matter what you try to do in life there always seems to be someone there saying sternly that you can't or it wont work, or you are stupid for even trying.
I am so glad that I learnt many years ago to simply ignore griefers and just get on with it.

C'est la vie'
Don't Guess Test
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