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Title: Re: [amibroker] Re: NEW USER - simple question.......
Thank you for your interesting comments.
I must agree that where it concerns sluggish institutional trading; they are too big (money and staff) to move fast. And they can't be bothered to trade a system that works only one a few stocks.
My interest is fast automated trading, systems that use trades lasting from a few minutes to a day (max).
So perhaps I should have been more clear in that I am talking about thousands of "individual" traders scanning the market. Many individual traders have portfolios in the 100k to 10M range. Collectively these individual traders trade amounts that can distort any stock chart. I may test, during a one month period, many different trading ideas. Some others (perhaps using IO) probably test many more by way of sophisticated automated procedures. Multiplying that by thousands of traders makes it likely that any persistent pattern for a few selected stocks will be discovered quickly - and traded to failure. That may not require a super computer but globally distributed processing is just as (more?) efficient.
Institutions may set long term trends, individual traders may have much more to do with setting short term patterns.
My comments are not based on a wealth of experience ... its just the way I see it.
Thanks for your interesting post!
happy trading,
herman
For tips on developing Real-Time Auto-Trading systems visit:
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Tuesday, July 8, 2008, 9:23:26 AM, you wrote:
> Just to give another viewpoint on this, and perhaps a slightly sunnier assessment... I also
> believe traders can often believe the opposite. i.e. that markets are completely efficient
> and therefore it's impossible to make money. My own experience has shown again and
> again that markets have pockets of inefficientcy and that continues, albeit the form is
> constantly in evolution.
> Take a simple, liquid stock like VOD.L. There are literally endless strategies that could be
> designed (billions)... it's my guess that no more than a few thousand are actually
> employed or 'scanned' at any one time. Actually I think a few thousand is very generous. I
> believe it could be considerably less than that. I used to work at the proprietary trading
> desks of Merrill Lynch, Barclays Capital and Nomura (all in London) over the last 12 years.
> I can assure any reader that notions of a supercomputer churning away testing millions of
> strategies is way off the mark. They trade a handful of tried and tested strategies that are
> constantly tweaked and improved... or even more than that, they trade off proprietary
> information about money flow that is not available to the open market.
> The point is, there is so much institutional money flowing through the market... fund
> managers, market makers filling client orders, options traders hedging, index arbitragers,
> portfolio traders trying to match VWAP... the list goes on an on... and in my experience,
> none of these guys give a stuff about technicals or the short to medium term movement of
> the stock. That's not their game. They are either hedging so want immediate cover or they
> are much longer term, or they are measured on a different benchmark to individual
> proprietary traders like you and I. We are a fraction of an enormous marketplace, the vast
> bulk of which isn't trying to do what we are.
> OF course that doesn't mean making money is easy... it's not... but I believe the reason is
> more fundamental to free markets rather than the idea that millions of traders or a
> supercomputer, is scanning millions & millions of strategies as we speak. I believe free
> markets have (for more than half the time, probably more like 80-90% of the time) very
> low signal to noise ratio's... and they therefore do approach random behaviour most of the
> time. This can give the impression that markets are efficient... but they are not.
> Anyway, it is possible to consistently make money... it always will be, by definition there
> will always be opportunities in the market place. Don't be put off by talk of super
> computers scanning every possible market efficientcy. I'm still constantly surprised at how
> inefficient markets are.... Look at the recent countertrend rally we had to 1440 in the S&P
> in the middle of a bear market. ;-)
> ------------------------------------
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Please note that this group is for discussion between users only.
To get support from AmiBroker please send an e-mail directly to
SUPPORT {at} amibroker.com
For NEW RELEASE ANNOUNCEMENTS and other news always check DEVLOG:
http://www.amibroker.com/devlog/
For other support material please check also:
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