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Thank you, Dennis. Yes that's also my major
problem. Commissions are just one side of the medal. Slippage can really
kill you because there is no guarantee for the maximum range. So high
frequency trading amplifies this source of unpleasant behavior. And of
course the lesson then is to know the stock you want to trade. This does
not make things easier but in many occasions a hell of a lot more
interesting ...
Regards, Ton.
----- Original Message -----
From: Dennis Brown
To: amibroker@xxxxxxxxxps.com
Sent: Sunday, May
27, 2007 9:13 PM
Subject: Re:
[amibroker] Re: Ideas for Swing Trading?
Ton,
I have run numerous simulations and actual high
frequency trading (up to 80 trades a day). The commissions on even
very discounted brokers can make a big difference. It pays to
simulate, then adjust the commissions to some popular plans and see what
it does to your equity curve. Also don't forget that the executed
prices are usually at the top of the bar for buys and the bottom for
sells. However, stocks like AAPL trade often at just a one cent
spread. Others that trade thin can run the whole swing for a
minute before you get executed. You have to look carefully at the
stocks you want to trade and adjust the "commissions" to account for
such slippage to give a real world equity curve.
Dennis
On May 27, 2007, at 8:27 AM, Ton Sieverding
wrote:
Thanks a lot for your very positive answer. It
gives me hope again. Any idea if the examples in your PDF are before or
after transaction costs ? Should be after of course but you never know.
I understand that high frequency trading and more in particular lots of
different stocks can give you a smooth equity curve. But my experience
is that a high frequency system creates 'the most bang for my broker' in
stead of for my bucket ...
And finally, yes that's what your email says :
"a few percent on good days". So I assume that the good days represent the famous 20%,
30% is acceptable and 50% of the trades create a Stop Loss
...
Regards, Ton.
----- Original Message -----
From: Herman
To: Ton
Sieverding
Sent: Sunday, May
27, 2007 11:36 AM
Subject: Re:
[amibroker] Re: Ideas for Swing Trading?
Hi Ton, to be exact I wrote "a few percent on good
days..."
I found that trading smaller time frames and not
staying in the market overnight reduces DDs
significantly.
To see a typical example of what increasing
frequency does to your DD see http://www.aima.org/uploads/Omega64.pdf
Most high-performance EOD trading systems try to
predict price movement, this in my opinion, is virtually impossible.
imo, Success here can be equated with a lot of luck and good money
management. On the other hand trading pure short-term volatility or
noise, which varies far slower or is more constant if you like, and
which is almost completely trend-immune, you can create systems with
very small DDs. Further diversifying such systems by trading many stocks
(10-100) you can create equity lines that make your mouth water. Such
systems would be totally useless to traders trading large amounts of
money however they would be perfect to the small
trader.
Regarding "minimum code". About a dozen lines is it
for most of my systems however automation code can easily run into
500-1000 lines of code.
A simple answer to your simple question:
Yes.
Of course compounding is impossible or at best
limited, for these systems, that is simply common sense.
best regards,
herman
Sunday, May 27, 2007, 3:35:44 PM, you
wrote:
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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@xxxxxxxxxps.com
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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