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The Birth of a Quant Trader

  • #61
  • Mar 23, 2011 5:58am Mar 23, 2011 5:58am
Quoting jag1966
Funny you should ask that, I was just showing a trader friend the 2b reversal pattern on skype.

I would learn everything I could about that pattern, learn it inside out. Watch how support becomes resistance, it shows you stop hunts / dealers games and best of all it works on every timeframe.

Watch them meticulously, many fail, learn the difference between the winners and the failures, learn about 2b's within 2b's.

For me they epitomise support becomes resistance or ppz as j16 would say.

Sorry for the off topic but it's your thread and you...
AU is a great example of nested 2bs, h4, h1 and even m15, all longs
  • #62
  • Mar 23, 2011 6:02am Mar 23, 2011 6:02am
Quoting Pipalicious
Could you give me an example of both please?
The market being a psycho-social phenomenon, perhaps the charts speak a language telling you about what is happening in the market.

If you have some understanding of the markets, then that language may give you signs as to what is about to happen. Learning to read such signs comes with experience, and it involves interpretation and gut-feeling - just like you use interpretation and gut-feeling in trying to make sense of what you are reading now.

Quote
Why is this naive man? Could you give me your interpretation of volatility please?

Because it is based on absolutely no understanding of the markets.

The relevant measure from a quant perspective would be whether profitability of trading rules stays the same apart from being proportional to volatility. That is not the case.

Volatility has a precise definition, and I thought you knew that.

Quote
What do you suggest I do then?

Im open to ideas, that the whole point of this thread.

Im here to learn, or did I not say that?

Take an open and sceptical stance - sceptical to your own pet project - and try to uncover the truth of things instead of searching for evidence that would strengthen your beliefs.
  • #63
  • Mar 23, 2011 6:06am Mar 23, 2011 6:06am
Quoting jag1966

I would learn everything I could about that pattern, learn it inside out. Watch how support becomes resistance, it shows you stop hunts / dealers games and best of all it works on every timeframe.

Watch them meticulously, many fail, learn the difference between the winners and the failures, learn about 2b's within 2b's.

For me they epitomise support becomes resistance or ppz as j16 would say.
Good example of what I just posted
  • #64
  • Mar 23, 2011 6:09am Mar 23, 2011 6:09am
Quoting triphop
Pipalicious,
There are successful quant traders, there are successful discretionary traders. If I were you - I'd stay on the discretionary side of the fence. Here's why.

Trading is a dirty grubby business about traders screwing over one another. Whichever way you cut it. And in this market, like others, it's against the backdrop of necessity for transactions, but here's the thing. Spec activity is by far the biggest component of any move in FX.

Spec activity - means everyone of size runs around trying to trip one another up. Bait and switch,...
Very well put! I agree with that 100%.

So, Pipalicious, now you have some experienced full-time traders expressing strong caution. Maybe it's time to wake up from your dream?
  • #65
  • Mar 23, 2011 7:05am Mar 23, 2011 7:05am
triphop - Thanks for the advice. May I ask if you use any type of indicators when you trade? (if you dont mind...)

jag1966 - Thanks for your examples. May I ask how do you select your S/R levels? Is there anything in particular that you use (discretion, gut feeling, systematic approach) in order to 'fine-tune' and select the appropriate levels?

medici - I appreciate your intent of helping/advicing me. Could you give me your exact definition of volatility please?

Would you agree with the following definition?

"The relative rate at which the price of a security moves up and down. Volatility is found by calculating the annualized standard deviation of daily change in price. If the price of a stock moves up and down rapidly over short time periods, it has high volatility. If the price almost never changes, it has low volatility."

I think I dont make myself clear as to what my 'pet project' is and why I mention the word 'quant'. But the irony is that it is based on 'price'. Based on the concept of 'following price' and not predicting its direction.

Im not searching for evidence to 'strengthen my beliefs'. Im looking for "truths" that assist me in my system development, which doesnt rely on predicting direction nor anctipating moves. Isnt this what all trend traders do?

You mention the markets as being a psycho-social phenomenon and that the charts speak a language that tells us what is happening (I agree).

Did I not say anything along the lines of targeting predictable aspects of the markets via sheer fear/greed/mass panic? (the shopping center example?)

What is it about this thats 'fantasy like'? I think its creative personally...

Tools being indicators (quantified data derived from price).

When I look at a chart, I dont see fibs, s/r, wedges or whatever...

I look at charts and ask myself...

"Where are all the stops, and what will I do IF they trigger, creating a surge in momentum?" And is this momentum quantifiable to such a point that it allows me to statistically tell IF the setup is "ripe", or not...

So, if I dont predict but follow, doesnt this in itself show how one could trade without charts, based on certain data?

Anyways thats just my current thoughts...
  • #66
  • Edited 8:11am Mar 23, 2011 7:56am | Edited 8:11am
Quoting Pipalicious
I think I dont make myself clear as to what my 'pet project' is and why I mention the word 'quant'. But the irony is that it is based on 'price'. Based on the concept of 'following price' and not predicting its direction.
Following vs. predicting has nothing to do with quant vs. discretionary. On the contrary, quant rules have to be predictive to work, whereas a discretionary trader can follow without predicting.

Quote
Im not searching for evidence to 'strengthen my beliefs'. Im looking for "truths" that assist me in my system development, which doesnt rely on predicting direction nor anctipating moves. Isnt this what all trend traders do?

But that's exactly what I meant! The proper attitude would be to look for the "truths" that could possibly make your project fail, and then thoroughly explore those issues one by one.

Talking to you is like talking to somebody from Jehova's Witnesses, i.e. is a bit pointless.
  • #67
  • Mar 23, 2011 8:18am Mar 23, 2011 8:18am
Indicators? Mostly the amount of tea I've drunk is a good indicator of how well I'm doing but the answer is nothing worth sweating about, but specifically ATR indicator + % strength on the day (for cross-correls & checking range).

Anything else is fine so long as you're using them for self-discipline, not for prediction.

Actually, that said, there is a nice quant edge to the golden ratio; given that's your preferred route, crack open Excel and try and find it. No advanced maths degrees required.
  • #68
  • Mar 23, 2011 8:21am Mar 23, 2011 8:21am
Quoting medici
Following vs. predicting has nothing to do with quant vs. discretionary. On the contrary, quant rules have to be predictive to work, whereas a discretionary trader can follow without predicting.

But that's exactly what I meant! The proper attitude would be to look for the "truths" that could possibly make your project fail, and then thoroughly explore those issues one by one.

Talking to you is like talking to somebody from Jehova's Witnesses, i.e. is a bit pointless.
How did you know I used to be one?? Just kiddin...

Ok lets cut the BS now.

You recomend I look into Carol Osler's Microstructure.

Is there any specific topics within this you can recommend? Or shall I research them all one at a time?

What else do you recommend I look into thoroughly if you dont mind.

No more quant/discretionary BS. Just straight forward research and academic docs.
  • #69
  • Mar 23, 2011 8:23am Mar 23, 2011 8:23am
Quoting Adal
But this is what quants do. You're confusing me

Proprietary indicators written 10 years ago, but which lost their edge are still better than proprietary indicators written 40 years ago which lost their edge. At least for seeing the way they approached things. Retail is stuck with 40 years old indicators working on linear time candles. I haven't seen not even one retail software which supports non-linear time, which is somewhat similar to Renko charts in intention - adjust time based on volatility. Probably because it's quite complicated to...
i have read that the algos are mostly based on weighted volume
the average price on where the biggest volume is
  • #70
  • Mar 23, 2011 8:34am Mar 23, 2011 8:34am
Quoting Pipalicious
How did you know I used to be one?? Just kiddin...

Ok lets cut the BS now.

You recomend I look into Carol Osler's Microstructure.

Is there any specific topics within this you can recommend? Or shall I research them all one at a time?

What else do you recommend I look into thoroughly if you dont mind.

No more quant/discretionary BS. Just straight forward research and academic docs.
Forget the academic papers - you will find nothing of value for trading there.

Read Osler's papers to get an understanding of how the market works.

Check out the Auction Market Theory thread and related docs for an understanding of how that plays out on the charts.

That's all you need apart from a few years of watching the screens until you get it
  • #71
  • Mar 23, 2011 8:34am Mar 23, 2011 8:34am
Quoting dragan53
i have read that the algos are mostly based on weighted volume
the average price on where the biggest volume is
Which is what auction market theory is about.

Today's high in €/$ was exactly at yesterday's highest activity price level...
  • #72
  • Mar 23, 2011 8:40am Mar 23, 2011 8:40am
Quoting medici
Forget the academic papers - you will find nothing of value for trading there.

Read Osler's papers to get an understanding of how the market works.

Check out the Auction Market Theory thread and related docs for an understanding of how that plays out on the charts.

That's all you need apart from a few years of watching the screens until you get it
Cheers mate.
  • #73
  • Mar 23, 2011 8:56am Mar 23, 2011 8:56am
man if u want to be a quant
u have to go to college for it
adn spend like 20k per year

theres u education
but sstudying yourslef,coding ,maths,

u cant learn that way
  • #74
  • Mar 23, 2011 9:01am Mar 23, 2011 9:01am
Quoting medici
Which is what auction market theory is about.

Today's high in €/$ was exactly at yesterday's highest activity price level...
and thats where vsa hits it

go where the biggest volume is heading towards

many vsa guys like many other noobs on ff,think of everything as a system
u follow the system and u make money
the shit doesnt work that way

u have to go outside the barriers,and spend endless hours starring at the chart,years,follow economic events,the latest,and most important the paricipant physhcology,where osler hits it right
plusmt4 volume sucks
u need futures

cqg is free with 5k deposit with velocity futures,they have the real volume
i find futures demos fine
  • #75
  • Mar 23, 2011 9:02am Mar 23, 2011 9:02am
Quoting dragan53
theres u education
but sstudying yourslef,coding ,maths,

u cant learn that way
Not true. There are quant edges a schoolleaver can find - the fact is, most people can't be a*sed to do the research and sit around expecting someone to tell them. Truth is, most of those who've sweated their guts out finding them aren't that inclined to tell others.
  • #76
  • Mar 23, 2011 9:08am Mar 23, 2011 9:08am
Quoting triphop
Not true. There are quant edges a schoolleaver can find - the fact is, most people can't be a*sed to do the research and sit around expecting someone to tell them. Truth is, most of those who've sweated their guts out finding them aren't that inclined to tell others.
I agree with you 100%.

As for volume in Fx (dragan) I also agree with you. Its decentralized so pointless.

But there are other ways of seeing this 'volume' hitting the market in Fx and its equally measurable as VSA intends to do. (and no, it aint on this forum...).

But I aint getting into it. Im going to go and read stuff now.

Thanks for all your comments guys its been an interesting discussion.

As for ideas, research and 'out of the box thinking' im all ears (and eyes)
  • #77
  • Mar 23, 2011 9:09am Mar 23, 2011 9:09am
Quoting triphop
Not true. There are quant edges a schoolleaver can find - the fact is, most people can't be a*sed to do the research and sit around expecting someone to tell them. Truth is, most of those who've sweated their guts out finding them aren't that inclined to tell others.
maths is hard man,maybe if u know advanced maths and are good with computers

ive seen the algo movie on youtube,theres only russians ,east europeans ,asians attending classes mostly because they know physics maths so good
,rare to see americans,they are the minority at the algos thing,as teh uni prof said
  • #78
  • Mar 23, 2011 9:11am Mar 23, 2011 9:11am
Quoting Pipalicious
I agree with you 100%.

As for volume in Fx (dragan) I also agree with you. Its decentralized so pointless.

But there are other ways of seeing this 'volume' hitting the market in Fx and its equally measurable as VSA intends to do. (and no, it aint on this forum...).

But I aint getting into it. Im going to go and read stuff now.

Thanks for all your comments guys its been an interesting discussion.

As for ideas, research and 'out of the box thinking' im all ears (and eyes)
memory is key
  • #79
  • Mar 23, 2011 9:13am Mar 23, 2011 9:13am
old people cant memorize stuff anymore
i wonder how merlin is going?
does anyone know if hes still alive
  • #80
  • Mar 23, 2011 10:30am Mar 23, 2011 10:30am
Quoting medici
Forget the academic papers - you will find nothing of value for trading there.
That is one of the most incorrect comments of this thread. Of course there are academic papers with value out there.

This thread has turned into quant vs non-quant approach war and I think it's totally unnecessary.

Oh well, I go back to my cave

ps. Medici you didn't answer to question to what is the exact definition of volatility, I'm quite intrigued to learn your answer to that as afaik there is no such thing (is it maybe sq of var which is flawed? IV maybe? Both are correct answers btw)?
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