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After I posted that my conclusions from my research pointed to great
difficulty in profiting from S&P daytrading, Neil Weintraub and I communicated
privately. He asked me to post our comments to the general list.
His last comments were..............
<<<<<<<<<<<
Please post this to the list, I think they will find it important.
You do not need to sit in front of a computer all day to trade. Most traders
are speculators it is mad money. Why the public plays a game where they lose
90% of the time is a mystery. It must be the challenge and software hype
that make it possible.
The S and P's are not meant for the public. It has great volume and no open
interest. But who cares...we are here to Rock and Roll.
You need to trade commodities that trend at least twice a year. That is how
the public should trade. Ideas include: Corn, Bonds, Notes, Crude Oil,
Natural Gas.
You know when I did consulting for Omega I suggested that get a data feed so
their sales people would know what is going on in the market and have some
appreciation for the clients.
I hope you are not planning to buy the upgrade.
-----Original Message-----
From: TWA7663@xxxxxxx <TWA7663@xxxxxxx>
To: thevindicator@xxxxxxxxxxx <thevindicator@xxxxxxxxxxx>
Date: Thursday, July 23, 1998 9:37 AM
Subject: Re: Why trade Futures?
>Neil,
>
>I guess I misinterpreted your first post. It is my understanding that you
are
>now saying that most people fail at S&P daytrading. I certainly would
agree.
>I have had more than one broker tell me that.
>
>I can develop systems that have very conservative slippage that have great
>statistics but they make very few trades. These systems don't trade often
>enough to make it worth sitting in front of the screen all day for several
>days to be in and out in just a few minutes to hours for a single trade.
It
>is not the nature for an S&P daytrader to wait 3-10 days for everything to
>align. Hence, the failure rate. My opinion only. If one uses "honest"
>backtesting for systems that average more than one trade per day (not
uncommon
>for some) then the systems are almost always losers.
>
>Robert Krausz has been trading for 30 years. He told me that he won't
touch
>the S&P. He likes bonds. What markets would you consider worth
backtesting
>with intraday data? I am not talking daytrading necessarily, but I would
use
>intraday data to make short term trades that would last less than 5 days on
>average?
>
>BTW, I had considerable success short term trading stocks but got fed up
with
>it because it became harder and harder to screen for good short term trades
as
>the market became so toppy. Other factors also change the trading climate.
I
>decided to switch to futures and hence embarked on a 6 month period of
>historical testing the S&P with my previous 4 years of backtesting stock
>systems as a foundation. I am glad that my anal attempt of discovering the
>truth about daytrading the S&P has saved me my trading capital. However, I
am
>confused as to where I go from here. Do I try to be one of the few to
>daytrade the S&P successfully? I won't position trade it because of the
gaps
>and the e-mini costs eat up the profits. What markets? What trading
timeframe?
>Ugh!!!!
>
>Thanks for your response. Additional comments would be greatly
appreciated.
>
>Russ
><<<<<<<<<<<<<<Neals's comments follow
>Most people never come back from S and P land alive.
>Ask your broker. Please share this observation
>
>>Neal,
>>
>>You wrote,
>><<<<<<<Neals's comments follow
>>Now let me understand this, you have discovered that day trading the S&P
>>does not work
>>>>
>>
>>No, I did not mean to imply that. I just made the point that it is very
>very
>>difficult to develop daytrading systems that show positive results when
one
>>uses very conservative slippage figures rather than just using
>TradeStation's
>>easy inputs for slippage. I think it is much more realistic to use the
>worse
>>price on the next 1-5 min ( you pick the figure you are comfortable with
>your
>>experience for conservative fill times) and then use that. You need to use
>a
>>dll with TradeStation to get that figure and when you do, most of your
>systems
>>will show much worse results than when you use TS's input for slippage of
>>$100-200 as I have seen people say that they use. I am not arguing that
>the
>>real world would be closer to my conservative figure than theirs.
However,
>if
>>I test their slippage and get very positive results and the same system
>with
>>my slippage figures and get a loser, I sure as hell am not going to trade
>that
>>system.
>>
>>Again, considering the above, I was just saying that it is difficult not
>>impossible to make S&P daytrading work. Much more difficult than most
>people
>>realize when they get rosey results from TS historical backtesting. In
>fact,
>>I think S&P daytrading is still the best game going. However, there are
>times
>>when I get tired sitting in front of the screen all day and Bob Fulks
>>suggestion of investing it into a Rydex type fund and use a simple system
>to
>>make 50% APR seems appealing. I suspect that may also be much more
>difficult
>>than it seems.
>>
>>Russ
>>
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