|
PureBytes Links
Trading Reference Links
|
Hi Carl-
Sorry for the confusion. I re-read what was written
and I think I should refrain from writing suggestions
that early in the morning. I'm the one who needs the
coffee!
Basically, all I was saying is that the very first
sentence of the first thread on this subject
asked,"Which makes more MONEY"
The system holding the whole position makes more
money. Anyone bothering to code up either scenario
can come to that realization pretty quickly.
However, in realtime high-frequency and
ultra-frequency trading, algorithmic or freestyle I've
seldom been exposed to people or Boxes that don't
"scale out." It seems to be a preferred method amongst
professionals.
When sharing my perspective I was trying to convey
that "Scaling Out", although makes LESS Money, was
just a better mechanism(for me) by which to trade.
The differential in total net profits was NOT
substantially different(in my particular system). What
isn't palatable for me is to watch a position go in
the money 6 or 7pts on say the e-MINI S&P500 futs.,
and watch that position decay into nothing or worse
yet go in the hole without taking some of it off.
Now with all that said, the bet sizing I was referring
to involves a 1:3:1 type scenario.
Whereas, I enter "all in" at market the entire
position. I exit out in 1/3's. All contacts same
weight on each exit. e.g. all in 300 contracts at
market, then scale out 100 contracts at each
determined price target(orders @ LMT)(exploiting CME
FIFO queing-targets can be placed before entry), all
exits one unit at a time(equal weighting)
All the above is in consideration of the logistics
surrounding the analytics of the trading algo.
I recently put all this into play with respect to the
logistics surrounding Order Execution. Which is to say
that knowing what you want to do is literally half the
battle, knowing HOW to DO It, is the other 50%.
When it comes to the finite level of high frequency
trading, order execution is where it's at..
I just recently completed work with TT, I spec'd out
and designed the concepts for the latest editions
to their professional derivatives trading platform.
This is all designed based around the way I trade
intraday.
Not trying to toot my own horn here. Just sharing with
the group how important all these concepts really
are when trading: @size, high-frequency,
algorithmically.
See latest press release::
CHICAGO, June 27, 2007 - Trading Technologies
International, Inc. (TT) today announced that its
X_TRADER 7.4 platform was named "Technology Innovation
of the Year" by FOW magazine at the inaugural FOW
awards ceremony last week in London. The "Innovation
of the Year" award recognizes the best product in the
global derivatives market as chosen by a panel of
industry representatives. The judging committee said
X_TRADER 7.4's functionality and ease of use,
customizability, and continued investment in
innovation set it apart from other products.
X_TRADER 7.4, which was announced in November 2006,
features capabilities and tools that provide
professional derivatives traders with the highest
possible levels of speed, efficiency and versatility.
TT estimates that over 50% of the combined electronic
volume on the world's six leading derivatives
exchanges moves through the X_TRADER platform.
X_TRADER 7.4's innovations include an Estimated
Position in Queue (EPIQ)(Mikes) indicator, new
supported order types including Trailing Stops(Mikes)
and OCOs(Mikes), integrated charting and analytics
through X_STUDY?, single-click "Go to Market"
functionality and numerous enhancements to TT's
automated spreading tool, Autospreader®.
Harris Brumfield, CEO of TT, said, "It's quite an
honor to be recognized by FOW and their panel of
industry consultants, including traders, who
determined the winner. We look forward to upholding
this honor as 2007 will bring more innovations for TT
customers."
--- CC <i1@xxxxxxxxxxx> wrote:
> Hello Mike,
>
> Guess I need that 2nd cup of coffee this morning-but
> after reading your note to the list,it seems to me
> that on the top you are saying that 'scaling out'
> does NOT make more money than single exits.
> Then farther down,it appears that you designed your
> present system to 'scale out' as it is MORE
> profitable that way than using single exits.
>
> Please explain,or agree with me about the coffee..
> :)
>
> Best,
> Carl
>
> Tuesday, July 31, 2007, 1:18:34 AM, you wrote:
>
> >>>the question was asked if scaling out of
> positions
> mb> makes more money<<
>
> mb> The answer is NO.
>
> mb> Any of us who have built many systems and worked
> mb> on single or multiple entries and exits have
> realized
> mb> this long ago.
>
> mb> I have ample proof from a Breakout e-mini system
> that
> mb> I've been trading now for two years. I
> purposefully
> mb> programmed it to scale-out, for one reason.
> mb> It mirrored the way I trade intraday. It felt
> mb> right, no other reason.
>
> mb> When comparing the same system with single
> exits,
> mb> it did "Make more money"
>
> mb> My opinion: Build a system you can actually
> trade
> mb> and stick with.
>
> mb> So long as the market paradigm you are tracking
> stays
> mb> in play and you don't have statistically
> significant
> mb> breaches in STD.DEV., of your historically worse
> mb> drawdown a pretty doable feat.
>
>
> mb> mike
>
>
>
>
> mb> --- Timothy Morge <timothymorge@xxxxxxxxxxxxx>
> wrote:
>
> >> Good evening.
> >>
> >> On my forum [http://www.marketgeometry.com], the
> >> question was asked if scaling out of positions
> makes
> >> more money than setting a fixed target and
> exiting
> >> all
> >> of a position at the maximum target [assuming
> price
> >> gets to the maximum target].
> >>
> >> I KNOW there was quite a spirited debate on this
> >> forum
> >> several or more years ago and a few people even
> >> presented 'papers' or elegant write-ups on the
> >> subject.
> >>
> >> Would any of you care to share your opinions and
> or
> >> statistical proofs?
> >>
> >> Thanks in advance.
> >>
> >> Tim Morge
> >>
> >>
>
>
|