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  • #1,381
  • Jun 20, 2021 12:00am Jun 20, 2021 12:00am
Stream Of Consciousness

Quote
PeterCaleb Post 1,353
re: DOM. Before one dismisses its usefulness, consider this - The "function" of DOM if anyone cares to notice, is hardwired (usually) into the platform. This means, technically, you can use any data you want if set to use dedicated data. No I've not done it myself but I know people who have. I suppose, either through using the platform as a thoroughfare OR, as I have done, create a "mimic" of it in Excel or another platform that allows for coding and programming eg Amibroker

Thanks Peter

I think I am getting it

Here is a summary of my current train of thinking.

Order Flow theory, (big) limit orders or icebergs, market orders, liquidity absorption etc all make sense. The effect that fits this theory appears to be observable in some but not all situations. Big Banks(BB) etc are cunning and their interactions difficult to interpret at times but sometime quite blatant. Solution: look for and trade the easy ones.

Order Book : we are never going to get access to the well guarded BB order books i.e. EBS & Reuters. Even if we could the information would still need to be interpreted. There are complex interactions going on within and amongst the BB’s. Some of it is possibly illegal but who cares. Unless you can get access to inside information you can probably never figure out exactly what is going on. Inside info is difficult and too risky. Retail traders go to jail if they get caught. Solution : forget it. Just look at readily available public and readily available commercial information like price and volume data, news releases etc.

Volume Data: People persistently say that FX markets are decentralised and there is no single source of volume data available. If we could get access, why could we not just extract it from the EBS and Reuters systems? But getting access is the problem so we have to use proxies. FX Futures and market maker tick volume are both available. Correlation tests show that both are viable but neither are perfect or 100% correlated. 70% + correlations however are probably good enough and there seems to be a reasonable causal hypothesis as to why correlations for either type of data work. A cheap source of CME FX futures data is readily available from Russia with Love.

Collecting operational data from traders in the field is proving to be difficult. Trying to filter the good stuff from the bullshit can be challenging. Solution: keep trying:
Quote
probably from ancient sufi (Islamic mystics) teachings

“He who knows not,
and knows not that he knows not,
is a fool; shun him.

He who knows not,
and knows that he knows not,
is a student; Teach him.

He who knows,
and knows not that he knows,
is asleep; Wake him.

He who knows,
and knows that he knows,
is Wise; Follow him.”



The Interface: That is where I am now at and looking - Excel, AmiBroker, Metatrader, DOM FootPrint Charts, Cumulative Delta Charts, Siberian Igloo Charts, etc

Solution: Dust off designers hat and create the best design I am capable of. Then dust off programmers hat to deploy the above design.

Intended outcome: Hopefully trade more successfully using volume/order flow. Share findings with any others on this forum thread who are interested, willing and able to follow this discourse.

Regards
Tim
Don't Guess Test
  • #1,382
  • Jun 20, 2021 12:30am Jun 20, 2021 12:30am
Everything is impossible until you make it possible
  • #1,383
  • Edited 4:13am Jun 20, 2021 4:02am | Edited 4:13am
Quoting TraderTim125
Stinking Thinking And False Data The term “Stinking Thinking” is generally credited to an American psychologist Albert Ellis who was prominent in the 1960’s. It describes a self-absorbed, low awareness state of mind that many of us experience from time to time together with the tendency to engage in thoughts and cultivate beliefs that do not serve us well. Once these beliefs become entrenched in our minds it can be very difficult to free ourselves from their self limiting effects. Stinking thinking seems to flourish in conditions of uncertainty...
Hi Tim

I have talked about the DOM using CME data on forex pairs many times
Its not too quick if you use futures DOM data to trade spot EURUSD, GBPUSD or AUDUSD.

At least 30% of orders are iceberg orders etc so it’s not useful in 90% of occasions.
However on occasions it shows order blocks caused by dense compacted orders, it shows large continuous orders and on big runs, also shows high delta values.
We can use this futures data to trade spotfx as I do everyday.


But the DOM only assists me when I use it with the footprint data.


Lastly, no one has yet talked about time and sales data which can be more useful that the DOM.

Cheers
Trading thin liquidity at the boundary of the charts
  • #1,384
  • Jun 20, 2021 4:29am Jun 20, 2021 4:29am
Is a 5% return on capital per day feasible?
Here is just a teeny bit of very simple maths to show how it could be done.

First of all you need a fairly decent, consistent trader. Such traders in my experience do exist but what specifically do I mean by "fairly decent" and "consistent"?

I have explained this in previous posts but we can go over it again for those who might have missed it. Let me begin by again quoting a simple but important formula that is the key to understanding the mathematics of trading.
Quote
TraderTim125 #Post 1,319

Profit is proportional to Capital x Risk x Edge



A few years ago I had a different opportunity to monitor the trading performance of a small group of prop traders for several months. They were the best traders that I have ever personally witnessed. For me their trading skills were impressive.

They each traded different time frames and strategies under very strict risk management rules. Their overall performance was remarkably similar and ranged from about 4% to 7% a month with a maximum intra-trade drawdown ranging from about 1% to 2%. The truly impressive thing was their consistency. They did this month after month.

When the market was in the doldrums, they all showed lower returns. When the market was buoyant, they all showed higher returns. When the market threw them a regime change, they all quickly adapted or modified their strategies to meet the changed conditions and hardly missed a beat in the process.


A few of my trading friends and I have a little peer-to-peer mentoring group where we share trading results on a monthly basis and provide support and practical assistance for each other. As a result of my experience with these prop traders, we set ourselves a a monthly bench mark of 5% with a maximum of 2% intra-trade drawdown. I have achieved that on a few occasions, as have some of the others, but not consistently. None of us have.



Please note that I am not the consistent pro level trader that we are looking for. I lack consistency which is mainly due to a lack of focus. I spend way too much time messing around with other interesting activities like analysing data, writing trading code for my mates and posting things on forums. To validate my claim that it is possible however, I have attached 3 months of MT4 reports from some of the relatively rare occasions when I did achieve those goals. Before you dive into those reports it is vitally important that you look at the numbers, not the dollars. If you don’t understand any of this I am happy to try and explain it to you.

Quote
TraderTim125 #Post 1,338

A simple way to define edge is $wins/$losses over a significant number of trades. This metric is commonly known as Profit Factor (PF). In my opinion a good trader should be able to achieve a consistent PF of 2 or more over time. A PF of 2 equates to an edge of 67%. Again a consistent edge of 70% or more seems to generally be regarded as an acceptable bench mark for a pro trader. When retail FX traders talk about trading for a living, they probably shouldn't even think about it until they can sustain an edge of this order or better over say a 12 month period.



What we are looking for is a trader with a Consistent Edge which we define as a Profit Factor of 2 or more.

What does that look like from a typical trading perspective?

Assume the following

  1. $10,000 of capital.
  2. Risk 1% of our capital ($100) on each trade
  3. 20 trading days a month
  4. We trade on 14 of those days when we find a tradable opportunity.
  5. 2:1 Reward risk on each trade
  6. 50% win rate
  7. max of 3 consecutive losing trades in a month


14 trades per month with 50% win rate = 7 wins and 7 losses in a month

Risking $100 on each trade with a 2:1 reward/risk ratio we get

Wins = 7 x 2 x 100 = $1400

Losses = 7 x 1 x 100 = $700

Profit Factor = $Wins/$Losses = $1400/$700 = 2

Max drawdown( 3 consecutive losses) = 3 * 100 = $300


The realised reward to risk ratio R/R = $profit/$drawdown = ($wins - $losses)/$max drawdown = ($1400-$700)/$300 = 2.33.

This is not quite the 5% profit with 2% max drawdown that was defined by our target benchmark but it is pretty close.

Achieving something like that is of course quite challenging but perfectly doable. Doing this consistently month after month is harder. It is a bit like being a 5 or better handicap golfer and maintaining your handicap. You need to be pretty focused on your game.

From the above example

Profit (P) = $Wins - $Losses = $700
Capital (C) = $10,000
Risk (R) = Draw down = $300
Edge (E) = Profit Factor = 2


Profit is proportional to Capital x Risk x Edge
or more specifically
P= K x C x R x E
where K is a constant

substituting values in the above formula to solve for K

700 = K x 10000 x 300 x 2
K= P /(C x R x E)
K = 700/(10000 *300 *2)
K = 700/6,000,000
K= 1.16667 /10^4 (0.000116667)



$700 profit in a month is only 7% of our $10,000 capital.

We are looking for 5% /day over 20 trading days which is 100% per month


Back to our formula

Profit is proportional to Capital x Risk x Edge
or more specifically

P = K x C x R x E where K = 1.16667/10^4


In this hypothetical scenario we have a fixed amount of capital ($10,000). We may be able to squeeze a little more performance out of our trader but not much and certainly not enough to increase our profit from 7% to 100% in a month. What we can do however is increase our risk?

Transposing our specific Profit(P) formula for Risk (R)

R = P / (C x E x K)


Substituting values to solve for Risk (R) drawdown

R = 10000 * 10^4 /(10000 * 2 * 1.16667)

R = $4,286 maximum draw down (assuming 3 consecutive losses)

Which is approximately 43% drawdown of our $10,000 capital


That is certainly an awful lot of draw down and you would need nerves of steel to trade like that even with a modest $10,000 of capital. Most people who try to do this sort of thing simply blow up their account. This may be due to bad luck or more commonly because they aren’t good enough traders.

I have come across a few traders who seem comfortable enough trading with 20 -25% maximum drawdown but their edge is often appallingly low because of poor trading technique. In any case, even with a good edge, 20% max drawdown would only give you around 2.3% profit per day. Who could be bothered with such trifling little amounts?

Before people fill this forum with posts saying that it is psychologically impossible to trade sizeable amounts of capital with this level of risk, I should perhaps tell you that there is a method of doing it. It is known as the Ulysses technique. It was first described about 2800 years ago in a book called The Odyssey, by the Greek poet Homer. In my opinion it is worth reading.

I understand that the technique has been recently resurrected by some grumpy old Australian trader using modern techniques. Ulysses just used wax and rope which was pretty crude but did the job. I will make enquiries about this modernised technique and get back to you.

Last but not least we should mention the magic money formula known as compounding. It is another important formula that traders should all know and use.

Quote
Albert Einstein
Compound interest is the eighth wonder of the world. He who understands it, earns it; he who doesn't, pays it.

Quote
Winston Reed #Post 1,290
Below is an example of one who achieves a daily return of 2% for one year with a starting amount of $1000.

I find it somewhat strange that someone who claims such a return would be wasting time posting here in these forums with such silly arguments.

I have to agree. All this stuff does sound very, very silly. People who think this way and post articles like this one on forums are obviously quite mad. Such people should probably be permanently locked away for the good of society.

Tim.
Don't Guess Test
  • #1,385
  • Jun 20, 2021 5:22am Jun 20, 2021 5:22am
Tim,
I am a ignorant. I know. But be so kind and explain where is an edge in your calculation when you shows 50% win rate?
Will be very much appreciated
  • #1,386
  • Jun 20, 2021 5:26am Jun 20, 2021 5:26am
Quoting Viktory
{quote} Hi, Tim. More than "fake/unreal", it's like very "incomplete" and delayed (non-representative). Although, if you wanna see a real complete DOM for centralized markets in regulated exchanges, take a look at e.g. JigsawTrdading, with cheap data from Tradovate or Zytrade (decent easy options). With all due respect, you have to pay a little in order to openly watch and produce good individual R&D. Best.
Hi Viktory,

With all due respect I don't have delayed or non representative data from Tradovate or Zytrade. I have real time, complete CME fx futures data that I have personally validated. I could not have done the correlation testing, particularly the lagged cross-correlation tests that I did and reported on with delayed or incomplete data.

Since my post(#1379) was at least partially to do with unsubstantiated claims about tick data, are we now claiming, on top of everything else, that tick data is also delayed or incomplete? I suppose we can say that all data is delayed to some extent by fractions of a second but this seems to me to be straying a very long way from the central topic of enquiry as to which type of volume data works best for the order flow method of trading and why.

The idea that price always equates with quality is another good example of "stinking thinking" that pervades the minds of many people resulting in beliefs that do not always serve us well and consequently result in sub optimal decisions. The reality is that price sometimes equates to quality and sometimes it does not. One always needs to be discriminating and not just accept other peoples assertions as fact.

This of course is a technique that marketers, particularly of upmarket products, have exploited for decades. I also believe that this sort of thinking plays a huge disruptive role in the minds of many if not most retail FX traders. I see blatant examples of this all over this forum.

I will take a look at Jigsaw Trading when the markets open. Thank you for that piece of information.

Regards
Tim
Don't Guess Test
  • #1,387
  • Jun 20, 2021 6:39am Jun 20, 2021 6:39am
Quoting BlackNapkins
Tim, I am a ignorant. I know. But be so kind and explain where is an edge in your calculation when you shows 50% win rate? Will be very much appreciated
Hi BlackNapkins
In general terms I would describe an edge as measure of a traders skill. I would describe win rate as a function of the traders strategy. Skill, or lack of it, can certainly have a significant impact on win rate.

It is quite possible and not uncommon to have a low win rate of say 30% and a healthy edge. On the other hand it is possibly to have a very high win rate of say 90% and a very weak or even no edge.

Here are two examples

Example 1
10 Trades 3 Wins (30%) 7 Losses
Each win = $100 = 3x100 = $300 total Wins
This trader cuts losses quickly so the average loss is only $20
Total Losses = $20 x 7 = $140

Profit Factor, which is a common and easy way to measure edge = $Wins/$Losses = $300/$140 = approx 2.14 which is a nice healthy edge

Example 2
10 Trades 9 Wins (90%) 1 Loss
In this case the trader accepts small quick profits
Each win = $20 = 9x20 = $180 total Wins

This trader uses a very wide stop loss as part of a "hold and hope" style of mean reversion strategy. In this hypothetical case, one trade goes the wrong way and doesn't revert.

This one trade looses $150

Profit Factor = $Wins/$Losses = $180/$150 = 1.2 which is quite a weak edge.

You often see scam adds for trading robots and strategies advertising very high win rates. They play upon inexperienced belief that high wins rates means high profit. This is not necessarily the case as this second hypothetical example shows.

Hope this helps
Regards
Tim
Don't Guess Test
  • #1,388
  • Jun 20, 2021 7:02am Jun 20, 2021 7:02am
Quoting bilal1947
{quote} a dashboard seems interesting, some times price goes back (how far that depends how price manipulates itself) to fill some fair value gap which itself do the liquidity hunt, and price can leave some fv gap for later time, so a dashboard can only tell price is above yesterday price this many pips but only eyes can see price action. may be you can crack some thing in you efforts. i only look for a pair or two max three and target is 0 drawdown entries, attached one screenshot with small story i wish peter to guide us like that. liquidity is...
Actually, the dashboard is intended to provide at-a-glance- look facility for a technologically-challenged person to source actionable trading opprtunities and decide what instrument/s to trade. Spike zone is an idea that can be used there.
As a speculation entrepreneur I have provided a business plan The dashboard is primarily meant for it.
https://www.forexfactory.com/thread/...1#post13567631
You are welcome to contribute your ideas .
Practice makes a person perfect
  • #1,389
  • Jun 20, 2021 7:19am Jun 20, 2021 7:19am
Quoting TraderTim125
{quote} Hi BlackNapkins In general terms I would describe an edge as measure of a traders skill. I would describe win rate as a function of the traders strategy. Skill, or lack of it, can certainly have a significant impact on win rate. It is quite possible and not uncommon to have a low win rate of say 30% and a healthy edge. On the other hand it is possibly to have a very high win rate of say 90% and a very weak or even no edge. Here are two examples Example 1 10 Trades 3 Wins (30%) 7 Losses Each win = $100 = 3x100 = $300 total Wins This trader...
Profit Factor is the main business metric used by me as a speculation entrepreneur. 45 days of latest previos one day gains defines categorising a drawdown trade as Doubtful Debts. Doubtful debts turn into equity loss on the 48 day daily profit sum loss. There are no fixed trading tactics. Risk Management is determined by PF. I do not use Stop Loss. Only Equity Loss.
Now quarapule wiching has dealt a big blow to me and I will create a new risk matrix. On the whole I find speculation -- given the amount of capital and time invested any enterprise involving risk needs -- far lucrative and easier to manage. My enerprise is not looking for effortless quick gains and will grow like a vine tree gradually but in a time bound programme.
Practice makes a person perfect
  • #1,390
  • Jun 20, 2021 7:37am Jun 20, 2021 7:37am
Quoting PeterCaleb
A $500.00 (Or any denomination) account. 500 / 5% AKA 20 = 25 Therefore $25.00 is your profit target for THAT specific day of activity. NB - IF you cannot gauge even in some general way the new day's range then you definitely should not trade. For manual trading I don't want "mechanical" guessing I want a good understanding of what I can expect to happen. The market you trade, will have its very quiet times, it's quiet times, it's partly active and it's very active times. And depending on whether you want to trade the correction/retracement or breakthrough,...
I am not gonna discuss this any further. Because this discussion is not helpful. I can refute everyone's thesis with only one question: Are you profitable? Prove it.

Everyone here expected a proof from you. Yet you never showed anything. Those paragraphs are meaningless unless you show a proof. People know you for what you have done, not what you plan to do. So you can keep saying how bright your way of thinking and trading is, but it is not true unless you really enlighten something objectively. If there's nothing proven about it, it's not worthy of my time. Come back with a proof, and i will respect it.
You have to have an IQ higher than 90 to interact with this user.
  • #1,391
  • Jun 20, 2021 8:07am Jun 20, 2021 8:07am
Quoting Nordling00
{quote} I am not gonna discuss this any further. Because this discussion is not helpful. I can refute everyone's thesis with only one question: Are you profitable? Prove it. Everyone here expected a proof from you. Yet you never showed anything. Those paragraphs are meaningless unless you show a proof. People know you for what you have done, not what you plan to do. So you can keep saying how bright your way of thinking and trading is, but it is not true unless you really enlighten something objectively. If there's nothing proven about it, it's...
I provided real results in this post here and explained my strategy.
  • #1,392
  • Jun 20, 2021 8:14am Jun 20, 2021 8:14am
Quoting gepards
{quote} I provided real results in this post here and explained my strategy.
I was mainly talking to Peter but okay, your strategy seems fine. There's only 26 trades though, let's see how it goes in the long run. Good luck mate, trade safe.
You have to have an IQ higher than 90 to interact with this user.
  • #1,393
  • Jun 20, 2021 8:20am Jun 20, 2021 8:20am
Quoting TraderTim125
{quote} Hi BlackNapkins In general terms I would describe
Tim,
Thank you very much of your explanation … However this explanation is well know, and I am familiar with it. However, have feeling you are trying to describe, predict future with statistic.
Definition of edge sounds good to me. I myself feel similar … but conclusions mentioned do not suit edge definition for me… you are quantifying something we are not able precisely quantify and which plays tremendous role in trading.
“There is a random distribution between wins and losses for any given set of variables that define an edge/system. In other words, based on the past performance of your edge, you may know that out of the next 20 trades , 12 will be winners and 8 will be losers (1). What you don’t know is the sequence of wins and losses or how much money the market is going to make available on the winning trades(2).” M.D… Trading in the Zone…
Any trading system having an edge HAS to describe entries and exits. What I mean is separate strategy of entries and separate strategy for exits… that’s way I have such problem to understand ad agreed with your calculations.
M.D. is wrong in bolded text signet marked 1 and your calculation can be far from truth because bolded text marked with 2. Tim do you understand my objections?
Have nice Sunday.
  • #1,394
  • Jun 20, 2021 8:38am Jun 20, 2021 8:38am
Just related to the RRR and accuracy ideas.

All that is just guessing if someone is able to make R trades within a T period which gains average a certain percentage (positive in this case).

So if you guys are looking for an answer about the likelihood you just need to think, instead, in a formula which worst possible return is better than the DO-NOTHING formula.

So if you consider that for a trade that consists on (b,s), b=buy, s=sell which gain is s/b, then you need to find a formula that ALWAYS improves the DO-NOTHING action, meaning that your gain ratio is higher than 0, let's say.

For that you have to study, not the RRR, but several factors more related to P(i), price of day i, and P(n), price of day N and try to tie those two variables or prices to get something out of it. I am just considering that the minimum T=T' is one day. But it could be any time period you wish.

Now, when we focus on RRR, we expect that we will keep a constant ratio and accuracy, and that limits our capacity to improve.

Think in terms of two or more prices, a time period and what you can do with it. And prove mathematically with your lemma that your action ratio improves the do-nothing ratio.

Money management depends on your strategy, it is the last thing to consider even if, for sure, it is also the most important part in trading however. But you need your strategy first.
  • #1,395
  • Jun 20, 2021 9:10am Jun 20, 2021 9:10am
Quoting Nordling00
{quote} I hold my positions for several weeks generally. Sometimes even for months. So i take D1 swings. I don't think i am a position trader since they even hold their trades for a year or more.
You might wanna have a look at this https://www.investopedia.com/article...ve-traders.asp I will admit I myself was confused very often too between swing trading and position trading

Quote:

Position trading uses longer term charts – anywhere from daily to monthly – in combination with other methods to determine the trend of the current market direction. This type of trade may last for several days to several weeks and sometimes longer, depending on the trend.

https://www.ig.com/sg/trading-strate...ategies-200717

Quote:

Often, position traders use fundamental analysis and technical analysis to evaluate potential market trends and risks before opening a position. The strategies below can be used by position traders to analyse price charts and make predictions about market movements.
  • #1,396
  • Jun 20, 2021 9:35am Jun 20, 2021 9:35am
Quoting BlackNapkins
{quote} Tim, Thank you very much of your explanation … However this explanation is well know, and I am familiar with it. However, have feeling you are trying to describe, predict future with statistic. Definition of edge sounds good to me. I myself feel similar … but conclusions mentioned do not suit edge definition for me… you are quantifying something we are not able precisely quantify and which plays tremendous role in trading. “There is a random distribution between wins and losses for any given set of variables that define an edge/system. In...
Trading edge depends on from which side are you wrestling.
Random trading or free style wresting is a show and depends upon whether the match is fixed or if you are an insider. Both sports have large following and attract huge betting.
Practice makes a person perfect
  • #1,397
  • Edited 10:23am Jun 20, 2021 9:57am | Edited 10:23am
Quoting simnz
{quote} Trading edge depends on from which side are you wrestling. Random trading or free style wresting is a show and depends upon whether the match is fixed or if you are an insider. Both sports have large following and attract huge betting.
Because of the high stakes, random trading attracts all kinds of speculators using DOM, Time and sales, moving averages, envelopes/bands, boxes, hi low and AD ranges and a few variations of all these to locate wet and dry liquidity spots. Based on my experience I can say you can make 480 pc a year or lose 550 pcs in a zero-sum game, where on both sides marketplace managers make money for providing the trading sports facilities.

That's the reason I am now shifting to basket trading of totally diverse unrelated assets now available as OTC CFDs on the MT4 and exchange-traded instruments on the regulated marketplaces hoping to find a mix of winners and losers so that I remain in business and make money with Trading Expectancy guiding my free-style wrestling tactics.
Practice makes a person perfect
  • #1,398
  • Jun 20, 2021 10:06am Jun 20, 2021 10:06am
Since we are talking about a 5% average then some trading days will yield less than 5% and some days will need yield more than 5% to make up the losses and keep the 5% average return. No matter how you do it the assumption must come out to a 5% return. A 5% return on capital (no matter how you do it) would result in the following. (It's unnecessary to show trades below/above 5% because we are talking about an average). I hope everyone gets it.

10000 + 5% = 10500
10500 + 5% = 11025
11025+ 5% = 11576.25
11576.25 + 5% = 12155.0625
12155.0625 + 5% = 12762.8156
12762.8156 + 5% = 13400.9564
13400.9564 + 5% = 14071.0042
14071.0042 + 5% = 14774.5544
14774.5544 + 5% = 15513.2822
15513.2822 + 5% = 16288.9463
16288.9463 + 5% = 17103.3936
17103.3936 + 5% = 17958.5633
17958.5633 + 5% = 18856.4914
18856.4914 + 5% = 19799.316

Being able to maintain this rate of capital appreciation would be truly astounding and really not sustainable over any reasonable length of time.
  • #1,399
  • Jun 20, 2021 10:06am Jun 20, 2021 10:06am
Quoting BlackNapkins
{quote} Tim, Thank you very much of your explanation … However this explanation is well know, and I am familiar with it. However, have feeling you are trying to describe, predict future with statistic. Definition of edge sounds good to me. I myself feel similar … but conclusions mentioned do not suit edge definition for me… you are quantifying something we are not able precisely quantify and which plays tremendous role in trading. “There is a random distribution between wins and losses for any given set of variables that define an edge/system. In...
Hi again BlackNapkins

Quote
Thank you very much of your explanation … However this explanation is well know.
Yes of course it is. You asked a very beginners question so I assumed you were a complete beginner and answered your question in a way that I thought was appropriate for your apparent level of understanding.


Quote
However, have feeling you are trying to describe, predict future with statistic

You have jumped entirely to the wrong conclusion. I gave up trying to do that years ago.

Quote
you are quantifying something we are not able [to] precisely quantify and which plays tremendous role in trading
You are quite correct. There are many assumptions in the model that I presented. It is extremely simplified but that doesn't make it invalid. Nor was it an attempt to create a predictive model. The original article that I assume you are referring to (#1,384) was already quite long and if I had gone into the maths of even a few of the important assumptions it could have blown out to 100 pages. In my experience almost nobody would then have bothered reading it or been able to understand what I was even talking about. It would also have taken me a couple of weeks instead of an hour or so to write.


Quote
Any trading system having an edge HAS to describe entries and exit
Nowhere have I attempted to define a trading system. My original article (#1,384) mentions, although in not much detail, that this style of analysis was used (very successfully I might add) with a small group of prop traders who each traded their own very different trading strategies.
Quote
They each traded different time frames and strategies under very strict risk management rules

Quote
Tim do you understand my objections
No I don't to be quite honest. I have almost no idea of where you are coming from.

I wrote this article because this subject of being able to make 5% profit per day had developed into a verbal and irrational slinging match between opposing views. I was trying to show objectively, with a little bit of simple math and some real world trading examples that these sort of returns, while theoretically possible would entail extremely high risk.

Quote
That is certainly an awful lot of draw down and you would need nerves of steel to trade like that even with a modest $10,000 of capital. Most people who try to do this sort of thing simply blow up their account. This may be due to bad luck or more commonly because they aren’t good enough traders.

High risk, high return trading is an interesting subject. There is quite a lot more I could say about it but I would probably just be wasting my time and efforts. I would love to be able to have some more in depth discussions with people about some of the trading areas that I have been or currently are involved with. I don't think this is going to happen on this forum.

Regards
Tim
Don't Guess Test
  • #1,400
  • Jun 20, 2021 10:40am Jun 20, 2021 10:40am
Quoting MaryAnne
{quote} You might wanna have a look at this https://www.investopedia.com/article...ve-traders.asp I will admit I myself was confused very often too between swing trading and position trading Quote: Position trading uses longer term charts – anywhere from daily to monthly – in combination with other methods to determine the trend of the current market direction. This type of trade may last for several days to several weeks and sometimes longer, depending on the trend. https://www.ig.com/sg/trading-strate...ategies-200717...
Thank you for the useful information Mary I am more of a position trader then
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