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range bars, dukascopy, tradestation, strategy, ideas

  #12 (permalink)

Luxembourg, Luxembourg
Trading Experience: Advanced
Platform: TWS
Broker/Data: Interactive Brokers
Favorite Futures: Stocks
Posts: 491 since May 2012
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wintergasp View Post

The Swiss event was very small and hedge funds where mainly bearish so they mainly made money. We weren't trading it for other reasons but we were also bearish. Maybe 1 guy blew up from Miami. The reason for the Swiss event wasn't to punish speculator, but because they were expecting the ECB to lower rate which would have make it harder to keep the 1.20 EUR/CHF fix.

I don't know any large player who will show you their volume. Either they have full time trader who's job is to execute positions throughout the day, hence getting a few lots every minute in a linear way or they outsource that job to their broker who will execute it for them.

If I were you I wouldn't look at volume much (or not at all actually) it's pure noise and you'll just get confused for nothing.

I know in our fund nobody looks at them and I think I've never heard of anyone doing money this way, in the institutional space. The only thing we look at is the Open Interest on a daily basis to make sure we keep trading the front contract.

My point regarding the Swiss central bank was that there could always be something unforeseen that catches even the biggest players. There were 2 central bank interventions like this from the Swiss post 2008 - I can't remember all details, but for the first one, the official who made the announcement actually used the words "to punish speculators" - Switzerland Under Siege: Free Markets May Yet Save the Swiss Franc | Axel G Merk | FINANCIAL SENSE. Large players usually hide their trades - it has been this way since before I was born. However, there are always times when even the large players feel they need to move fast to get their position on otherwise they will be left behind. Just look at earnings reports of stocks - mutual funds & pension funds are the largest players there and they are so desperate for returns that they will chase stocks on good earnings reports. They may have upper limits were they stop chasing, but you can definitely see when they are interested in stocks.

I also do not believe that anyone needs to know what the "big guys" are doing to trade successfully. I was working in fund administration during the 2008 fiasco and we had a few fund-of-hedge-funds under administration - I had access to quite a lot of hedge fund returns / monthly reports during that period. Several funds blew up due to Lehman, but several others just blew up due to incompetence that was hidden by the prior bull market. I would rather make up my own mind about my own trades than rely on someone informing me on what the "big guys" are doing.

Regarding volume, just because you do not see a use for it, it does not mean that it is useless. Using volume on its own would probably not be a good way to trade, but using other contextual information volume can be pretty useful. For instance, if the market breaks out of a range on tiny volume, you may want to pass on the trade. If it breaks out on massive volume, then you may need to jump on board. If you are trading fx though, then volume is pretty useless since the marketplace itself makes it impossible to capture all volume.

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