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Neil[Not to be confused with Neal]:
I see the fractal nature that some folks talk about and in fact, I use the same
tools and the same techniques whether I am trading daily data or fifteen minute
data. But what little I have seen of system trading appears to show that systems
don't perform the same on different time frames. And when I think about it, I do
use the same tools, but I have different goals for longer term trading. Maybe
something gets lost in the compression of the timeframes? Maybe the fixed costs
of execution, slippage and commission [I call it all SKID] begins to dwarf the
patterns as you move to smaller and smaller times? Or maybe when you get to
smaller time frames. even with today's technology and the speed of information,
you get less and less follow through waves of buying/selling as you peer down
into smaller time frames, and hence the wavelets don't fully unfold [what the
hell am I trying to say here??]?
Anyway, shorter time frames show some of the characteristics of daily or longer
time frames, but I'm not willing to say they are the same or that they
feel/trade the same. I'd like to hear a seasoned systems trader's opinion on the
matter?
Tim Morge
Neil Harrington wrote:
>
> Steven,
>
> You have to be right about this. As you have noted in earlier posts, the
> markets have a fractal nature to them. One thing that means to me is that if
> you cover the price and time scales and look at a chart, you would be hard
> pressed to determine whether the chart was an 8 tick, 3 min, 30 min, Daily,
> or Weekly chart. Indicators would look the same, Elliott waves would be
> there, Gann information would be there, etc.
>
> So, since these things are the same, your patterns to enter the market would
> be the same. The thing that would be different, would be the price scale.
> The greater the time frame, the greater the price scale, the greater the
> average true range of each bar, and thus the greater the risk (and reward)
> of each trading opportunity. So, as Kase also says in seminars, the smaller
> the bucket of speculating capital you have, the shorter the time frame you
> should trade. If your current job or lifestyle won't accommodate day
> trading, then you need to build up your capital and choose your markets so
> you can position trade. This isn't meant to imply that only those with small
> amounts of capital day trade. Many very adequately capitalized and
> successful traders day trade, because they like that time frame and/or it is
> psychologically easier to trade risking less money, and/or other reasons.
>
> This flow of logic begs a question from an earlier post of yours, where you
> state that the markets are fractal, but also that systems perform sometimes
> significantly differently in different time frames.
>
> I don't disagree with your observations, but those seem to be conflicting
> pieces of information. If the markets have a truly fractal nature, then
> systems should perform similarly in different time frames (unless commission
> and slippage become too significant in smaller time frames).
>
> Does anyone have any thoughts on that apparent paradox?
>
> Neil
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