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Herman thanks for your short resume of the Trading
world. Just a simple question. Do you really believe that group number 1
exists ? So Traders that do generate with a minimum of code on a consistent
basis a daily return of 2,5% without losing their pants on a terrible outlier
or drawdown that will take them out of business ? My experience is that only
a very small group of about 5% of the '2,5%+ return Day Traders' is reaching
for a relatively short period of time the above target ...
Regards, Ton.
----- Original Message -----
From: Herman
To: Howard B
Cc: amibroker@xxxxxxxxxxxxxxx
Sent: Sunday, May 27,
2007 2:08 AM
Subject: Re: [amibroker]
Re: Ideas for Swing Trading?
Every few years this type of discussion surfaces and it
is great fun to read
It always surprises me how two types of traders can be
so oblivious to each others' way of thinking. Consider two types of traders
(ignoring the many types in between):
1) Those who scan 100+ stocks in Real-Time and trade
small lots of 100 shares (or whatever the market allows) 5-100 times a day,
easily making up to a few percent on good days, using an automated trading system.
2) Those who trade portfolios with 1000-10000
shares/trade and must roll over millions of dollars trading for others,
making, if they are lucky a few percent/month.
We have both of these traders on this list but really
they should have their own lists, perhaps AmiBroker-Fat and AmiBroker-Skinny
their expectations are not and cannot be the same.
In the first category volumes, market trends, market
analysis, traditional TA, etc. play a minor role in system design. Their
systems can be extremely simple and their trading rules may be expressed
using only half a dozen lines of code while their automation code may easily
exceed 1000 lines. Their trading screen may only display a lists of tickers
with order status: no charts. They work hard to design and optimize code for
maximum execution speed so that to can get their orders placed before the
next quote comes in - speed translates in profits and 20-40 mSec execution is
typical.
Almost everything for the second category is reversed:
they thrive on traditional TA using many colorful chart-layouts, perhaps
totalling 1000s of lines of code. Their automation code, if they use
it, may just be a a hundred lines long and aims to save them some typing -
not to catch a trade. They use old (10-20 years!) techniques and statistical
analysis that are rehashed over and over, they thrive on sophisticated
analysis to squeeze out a fraction of a percent more per month (or reduce
awful DDs). Code can be bloated with cosmetic stuff and its OK if it takes 5
minutes to execute.
Traders from both categories ought to respect each
others.
best regards,
herman
Sunday, May 27, 2007, 5:27:22 AM, you wrote:
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Hi Dennis --
Averages 2.5% per day!?
That same $1,000 starting account becomes $294,000,000
in two years.
(1.025) ^ 510 = 294,558
Please pass my email address on to your friend who
gets 2.5% per day. howardbandy at gmail.com I have
contacts who will reward him handsomely.
When Larry Williams ran $10,000 to $1,000,000 in one
year and became famous for it, that required a return of 1.84% per day.
2.5% per day turns $10,000 to $5,039,800 in one year.
Help me understand -- Assume I can average 1% per day
on, say, $100,000. Every month, I start with $100,000 and make
$24,471 on that $100,000. Why would I pull my $24,471 profits out so
that they can make 1% for the next month instead of continuing to trade
them and making 24% for the next month?
And, yes, trading in size affects the market.
But if your friend is trading several times per day in markets with
high liquidity and narrow bid-asked spreads, then $1,000,000 is still small
size. QQQQ and IWM each regularly trade $5 billion dollars a day --
$1,000,000 is 5 seconds worth of trading.
Pardon my skepticism --
Thanks,
Howard
www.quantitativetradingsystems.com
On 5/26/07, Dennis Brown <see3d@xxxxxxxxcom> wrote:
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I know of more than one 1% per day method, but of
course it will not work to compound. That is not the way a true
trader does it. I know a trader who averages 2.5% per day on about
5 trades per day on one ETF, and holds no position overnight. He
pulls his profits out and lives on them or puts them to work in longer
term investments. High rates of return only work for small
investments and usually require a lot of personal attention and pattern
recognition during the day. If it worked for large sums, or easy
computer algorithms, the big boys (or hoards) would work that angle to
death and the edge would get neutralized. Once you try to increase
position sizes above a certain amount, you start to influence the market
and you have no one to play against --it takes two to have a market.
That is why large mutual funds must look to a fundamental value
model. They can not trade the technicals quick enough without
killing the market. A true trader will just work the market
technicals to pull out a small amount of money at a consistent rate (no
home runs). Over time, the results add up to a decent living.
Dennis
On May 26, 2007, at 4:02 PM, Howard B wrote:
One percent a day. Yeah, right.
Compound one percent a day for five years and a
$1,000 trading account becomes $278,000,000. Start with real money
and own Manhattan.
(1.01) ^ 1260 = 278,567
Howard
On 5/26/07, dralexchambers <dralexchambers@yahoo.com>
wrote:
T-ohrt - the thing you are missing is not your
technical ability, but
your BELIEF and your ATTITUDE to new things.
You seem to mistrust my recommendation when in fact
you nothing of
me, my level of trading knowledge, this system or my
involvement with
it (my involvement is none other than my affiliate
link - just to
make that entirely clear).
If you believe that 1% a month is all that is
possible, that will be
your reality, and you will discount ideas that make
more as trickery.
If you want trade lists, further explanations on the
system I
recommended - discuss it with David, the author. It
is not my job to
divulge a system that someone else owns.
However, I will say that David's system is very
credible and also
very simple. I have recieved a lot of support from
David and his
system opened my eyes to swing trading.
I also know of an individual who makes 1% A DAY -
and publishes all
his methods and indicators for free, online.
Look for The Rumpled One at:
www.kreslik.com.
I am currently porting his work over to Amibroker on
that site.
And yes, once again - it is all FREE, and you
definately won't find
it in your "Beyond Technical Analysis"
book.
AC
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