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Scalping, +100% Returns, and beating HFT

  • #1
  • First Post: Edited Feb 27, 2013 9:48am Jan 3, 2013 2:16pm | Edited Feb 27, 2013 9:48am
Like many others, I'll start a new journal for a new year.
My previous exploits are available in my other threads. I scalp short-term EUR/USD trades.
I believe that scalping (trading for a few pips... usually less than 5) can be profitable in the most liquid
pairs at the most liquid times of day. High-frequency trading has become a significant part of the foreign
exchange market place, and I still believe there are "edges" for the quick, short-term trader.
I just haven't been able to prove it (yet).

Over the past six months, I have put much mental effort into examining the weaknesses of my style and money management.
I also read all of Steenbarger's trading books. I received some psychological support from Hedge Fund Market Wizard's, as a few
of those money managers are very discretionary (non-automated).

I trade with MB Trading's Free EXN account now. I use their Desktop Navigator Platform.
I have always avoided MetaTrader. The Level II style market-depth quotes with MB
allow me to quickly cancel and modify orders for fractions of a pip very quickly. I actively "fight" for execution,
modifying and canceling orders constantly.

This year I'm looking for at least a 100% return, with at least 30% positive gain by June 30.
Though I scalp, I don't do that many trades per day anymore (probably less than 10).
I also skip days which are extremely high volatility or low liquidity.

I use high-leverage (50-1). My max risk per day is 5%. Depending on position size, I can reach that with one 15 pip loss.
I normally look for the best conditions for my style. I have no problem skipping days if conditions are not favorable.
Usually, I trade a couple of hours per day during the London-US overlap (approx. 9:45am-11:45am).

More than 80% of my trades are exited within 4 minutes or less.
Read my previous thread for insights into my style, Paradigm Shift.

This is my $5000 account for 2013. I actually started it in November 2012 and it has 50 previous trades on it.
Hence, my cumulative return is -1.4% at the beginning of this year.
http://app.currensee.com/forexpert/f.../profile/FXAON

The main purpose of this thread is to:

-prove that “scalping”, or short-term trading,
can be very profitable for the retail trader.

-track and analyze my progress in 2013.

2013 Performance Results
Attached Image
  • #2
  • Jan 3, 2013 7:13pm Jan 3, 2013 7:13pm
Quoting Intu


This year I'm looking for at least a 100% return, with at least 30% positive gain by June 30.
Though I scalp, I don't do that many trades per day anymore (probably less than 10).
I also skip days which are extremely high volatility or low liquidity.



This is my $5000 account for 2013. I actually started it in November 2012 and it has 50 previous trades on it.
Hence, my cumulative return is -1.4% at the beginning of this year.
http://app.currensee.com/forexpert/f.../profile/FXAON
so you want to show us all you can scalp and make 100% returns but you balance is already in negative?
The best indicator is price.
  • #3
  • Jan 3, 2013 7:17pm Jan 3, 2013 7:17pm
You need to give him a break, he has just started. Atleast he has the balls to put up a link to his performance unlike the other talking heads over here in FF.
  • #4
  • Jan 3, 2013 10:31pm Jan 3, 2013 10:31pm
Thanks for taking a look at my thread.

Honestly, I have separated my ego-needs from my posting on FF.
I really just want to make some money to justify my time spent trading.

It's really not about me "showing off", or creating an uber-thread with millions of posts.
I would like to dispel the myth that trading on small time-frames cannot be profitable.

The spread is a serious cost factor... but I believe it can be overcome on the 1 minute or 5 minute time frames
if your trades are carefully selected during the best conditions.

I won't post much, perhaps weekly.

I generally use counter-trend entries (I don't buy breakouts), my profits are smaller than my losses on average,
and I have a high winning trade percentage.

I can't trade Fridays often (job scheduling conflict).

I intend to avoid the 'crazy' days this year and trade the less volatile days.
  • #5
  • Edited 6:20pm Jan 11, 2013 8:36am | Edited 6:20pm
Being fair and honest, I wanted to take a moment and make a post for this week.
I've had some losses, more than my usual 2 losing days per month, already.

The markets have been "trendy", and generally what is good for trend followers is not so good for my style.
Breakouts and moves primarily in one direction do not serve me well.

I've adjusted my maximum position size downward to account for my current drawdown.
But my healthy state of mind is still intact... for this account, they are just pips.
And I will make more pips.

(note: I'm getting many partial executions on exits, it is definitely skewing my Win % on Currensee,
but over the course of the year, perhaps it will converge to something accurate.)

attached: a quick snapshot of my monthly
Attached Image (click to enlarge)
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  • #6
  • Jan 14, 2013 9:45am Jan 14, 2013 9:45am
Just a quick post to show the kind of market action I will try to avoid.
I started around 9:45am EST, initially trying some short scalps.
Looks like a stop run above the 1.3350 area at 10:00am, which I did not predict.

This is followed by some long candle wicks, higher volatility, and no clear direction.
The bulk of the longer candles after 10:00am would form in 5-10 seconds.
You'd have these 4-8 pip moves in seconds.
I prefer a more tame range bound market.

I just sit out at this point.
Attached Image (click to enlarge)
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  • #7
  • Jan 14, 2013 10:10am Jan 14, 2013 10:10am
hi intu

cool thread. Just wondering
how come you don't go with the pay for limits option? Isn't it cheaper overall than MB's EXN?
NocturnalFX is no longer offering commercial services
  • #8
  • Jan 14, 2013 1:23pm Jan 14, 2013 1:23pm
Heya TPO Trader...Thanks for taking a look.
I traded Pay for Limits for about a year, mostly before they reduced the payouts. It was very good.

It may be my own opinion, but... I just don't see the customer-to-customer interaction with
my orders. I can be best offer or best bid by a far margin, say half a pip, and I simply don't get any executions
until the quote (offer) becomes my bid or vice-versa.

I would guess the costs are SLIGHTLY better, but as I traded it for a year; I wanted to see what the liquidity was like
on the Free EXN for Navigator. It's very similar. Not a lot of customer-to-customer interaction.

I might be slightly hurting myself cost-wise, but... I was (or am) hoping to see more customer orders on the Free EXN
because of MetaTrader traders. They all cannot be making good entries and exits all the time. I wanted to try to take
advantage of those situations. Time will tell.
  • #9
  • Jan 30, 2013 9:59am Jan 30, 2013 9:59am
It has been an ugly month. I've had multiple max loss days and a very low winning trade percentage. I had some trouble at the beginning of the month, trading a divergent Euro as compared to the S&P. I've stopped the comparison. Though it sometimes helps, when they are diverging I push many bad trades and have large losses. I've traded as large as I ever have, a jump to more than twice my previous position sizes with this account. Honestly, the main issues were my entries. There were many poor entries, I made some poor choices.

Counter-trend moves in low liquidity (before news) happen often around 9:45am EST to 10:00am EST. I wasn't capitalizing on these times, often my best time to trade. Instead, I might get caught in a quick move against me, leading to a larger loss. I let some losses go much larger than my general 15 pip limit, but I also had some smaller position sizes. In general, even with strict loss limits, I would've lost at least 15% this month, my entries were that bad.

Down about 25% this month, I traded smaller this last week or so... to get back on track. It has worked, I've had two losing trades in the last 18, and they were for small amounts. Within the past year, my best month was +24%.

Historical highlights for this month include:
S&P at 5 year high
EUR/USD at 1.3570ish (today)
  • #10
  • Edited 1:17pm Jan 30, 2013 11:57am | Edited 1:17pm
You used to have TradeExplorer or Myfxbook on public view right? Or was it at Currensee?

Quoting Intu
Yes, I still do. (It's in the first post of the thread and below.)
I'll try to incorporate a link into my signature, even though there isn't much to brag about at the moment. (edited: done)
Thanks, I'm quietly following and learning from your progress. I don't really like the bragging types that think they are invincible:
Quote
Been getting pretty good streaks lately.
so I'm shoutin on top of my lungs
WHERE ARE YOU MR DRAWDOWN!!?!!? I AM HERE!!!!
No longer trading forex. Looking for full time job.
  • #11
  • Edited 12:52pm Jan 30, 2013 12:05pm | Edited 12:52pm
Yes, I still do. (It's in the first post of the thread and below.)
I'll try to incorporate a link into my signature, even though there isn't much to brag about at the moment. (edited: done)

I really favor MB Trading as a broker. Additionally, I despise MetaTrader. Unfortunately, there is no way to use a MB Trading Navigator Pro platform with MyFxBook. I have used Oanda before, which works really well with MyFxBook. I love MyFxBook (and TradeExplorer here on FF as well). Sadly, all the connections to these tools are through MT4. I discovered last year that Currensee and MB Trading have an API connection. I used it with my Pay For Limits account. It had problems (connections and reporting). This FreeEXN account seems to stay connected much better, and will catch old trades (same day) if connection is lost and regained.

It is the best of what is available to me. I know, it's imperfect. It doesn't really show the depth of what I am doing trade-to-trade.
But it's real reporting, real draw down stats, win%, etc.
http://app.currensee.com/forexpert/f.../profile/FXAON

2013 Performance Results
  • #12
  • Edited Feb 6, 2013 10:36am Feb 5, 2013 12:26pm | Edited Feb 6, 2013 10:36am
The list of supported brokers at Currensee seems limited, I didn't see MBTrading in there.

Update:
Quoting Intu
With MB Trading in particular, you need to activate a Third Party Software located in Account Management on MB's site before it will communicate.
(pic provided, as well as the settings page in my Currensee profile).
I see, many thanks.
Attached Image
No longer trading forex. Looking for full time job.
  • #13
  • Edited 10:42am Feb 6, 2013 10:31am | Edited 10:42am
Heya mmaker,

I think....that is the list of brokers that they have an IB (introducing broker) agreement with for people who want to sign-up as Investors.
To start a profile similar to mine, join the Social Network, not Be an Investor.
To join Currensee in any form, it must be real money account, it will not accept any demos.
Then, you can link up almost any MT4 account I believe, as that is the bridge for many brokers.
MBT and Oanda (maybe a few others, can't remember) have non-MT4 connections available.
With MB Trading in particular, you need to activate a Third Party Software located in Account Management on MB's site before it will communicate.

For analysis, I don't recommend Currnesee, TradeExplorer or MyFxBook are far better.
If you do not use MT4 or Oanda, then their are no other options for trade stat publishing/tracking that I know of.
(pic provided, as well as the settings page in my Currensee profile).
Attached Image(s) (click to enlarge)
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Click to Enlarge Name: 1.png Size: 22 KB
  • #14
  • Feb 27, 2013 9:43am Feb 27, 2013 9:43am
February update:

I was far more conservative this month, with a deliberately patient style. Sometimes just 1 trade a day, waiting 20-30 minutes for my entry.
Profits of about +3%, trading only 15 days...I missed most Fridays and skipped Bank holidays and Bernanke testimonies.

Only 5 days had me at my full position size, the rest at 1/2 my normal size.
It's only small headway towards making up the losses from last month, but I have all year to trade.

65% win rate
avg winning trade: 2.3 pips
avg losing trade: 2.7 pips

Expectancy ~ .55 pips / trade
34 trades, ~ 9 hours screen time total

2013 Performance Results

Exported data from Currensee with my quick calculations (see below)
Attached File(s)
File Type: xls FebTrades.xls   13 KB | 847 downloads
  • #15
  • Feb 27, 2013 10:38am Feb 27, 2013 10:38am
Quoting Intu
February update:

I was far more conservative this month, with a deliberately patient style. Sometimes just 1 trade a day, waiting 20-30 minutes for my entry.
Profits of about +3%, trading only 15 days...I missed most Fridays and skipped Bank holidays and Bernanke testimonies.

Only 5 days had me at my full position size, the rest at 1/2 my normal size.
It's only small headway towards making up the losses from last month, but I have all year to trade.

65% win rate
avg winning trade: 2.3 pips
avg losing trade: 2.7 pips

Expectancy ~...

But you had 93 trades so far this year?
  • #16
  • Feb 27, 2013 11:41am Feb 27, 2013 11:41am
Quoting Intu
65% win rate
avg winning trade: 2.3 pips
avg losing trade: 2.7 pips
Can I make a suggestion? Don't look at the average winners/losers, look at the actual. Your closed trade losers are many times larger than your closed trade winners.

Attached Image


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  • #17
  • Edited 2:24pm Feb 27, 2013 1:26pm | Edited 2:24pm
Thanks for the input... yes, the stats presented in the previous post were for February only ... a very small, insignificant number of trades.
January was disastrous and the losses were large. I let some run. I had poor, impatient entries.. perhaps too excited to start a new calendar year.

In reply to Larseg,

yes, I've had 93 trades this calendar year. Obviously, I'm still in the "negative".
(just making a historical post with notes for reference regarding February's actions)
  • #18
  • Mar 1, 2013 12:57am Mar 1, 2013 12:57am
Quoting Intu
Thanks for the input... yes, the stats presented in the previous post were for February only ... a very small, insignificant number of trades.
January was disastrous and the losses were large. I let some run. I had poor, impatient entries.. perhaps too excited to start a new calendar year.
In reply to Larseg,
yes, I've had 93 trades this calendar year. Obviously, I'm still in the "negative".
(just making a historical post with notes for reference regarding February's actions)
Let's treat your account like a public company run by a CEO (yourself) and advised by a Board Of Directors. Do you think you need a major "management review" of results and strategies? Going forward, do you have a working profitable plan, and do we still proceed in this same direction? What if the Board Of Directors are now demanding that you stop all trading, to cut the losses, and to resume only after presenting a new Plan? If things are not working, continuing down the same path will just produce the same (poor) results.

Just thinking out loud.
No longer trading forex. Looking for full time job.
  • #19
  • Mar 1, 2013 11:04am Mar 1, 2013 11:04am
Quoting Intu
Thanks for the input... yes, the stats presented in the previous post were for February only ... a very small, insignificant number of trades.
January was disastrous and the losses were large. I let some run. I had poor, impatient entries.. perhaps too excited to start a new calendar year.

In reply to Larseg,

yes, I've had 93 trades this calendar year. Obviously, I'm still in the "negative".
(just making a historical post with notes for reference regarding February's actions)
Just pointing out a problem I did myself some time back...
  • #20
  • Mar 19, 2013 9:25am Mar 19, 2013 9:25am
I've had problems with Currensee not reporting trades previously in my Pay for Limits account. There were many times last year where I could not maintain
(or initiate) a connection at all. Yesterday, although I updated my connection in the morning before trading, Currensee missed two trades completely.
They were only worth a little more than +1%, it's minor but disheartening. I tried to force an update by doing a small trade in the Asian session
for 1/10th of a pip...which eventually appeared, but the other two were lost.

With the Free EXN account this calendar year, this is the first instance this has happened. I will keep plugging forward.
I did have a larger loss on Wednesday, March 18th. With about 8 trading days left in this month, let's see what kind of progress I can make.

2013 Performance Results
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