Can Day Trading be profitable for retail? | Traders Hideout - futures trading strategies, market news, trading charts and platforms

Traders Hideout

Discuss day trading practices and futures trading strategies on this forum for all markets. This forum is also for discussing and reviews for brokers, data feeds, and commercial or third party add-ons


Can Day Trading be profitable for retail?

  #42 (permalink)

charlotte nc
Trading Experience: Master
Platform: ninjatrader
Broker/Data: NinjaTrader
Favorite Futures: Emini (ES, YM, NQ, ect.)
Posts: 379 since Jan 2015
Thanks: 69 given, 919 received

I'll take the bait on this.....

jefforey View Post
I agree that there is no incentive. I am just looking for some evidence. Not here to offend anyone. One way would be to post backtesting results done using tick data, I guess.

Hi jefforey,

I see no one took the bait on sharing their back testing results with tick data… So I will. But let me caveat this by saying the following.

1. Back testing results can be faked very easily if you know how to trick your back tester. (I.E using an exotic bar type, running strategy analyzer results with simple HLOC using limit orders, checking fill every limit order conditions, Some SIM engines fill limit orders as if they are market orders, etc…)
2. Because of point 1 be very skeptical of anyone trying to sell anything based off of backtesting results.
3. Even if you aren’t deliberately trying to trick your backtester and fluff your results, you can still beat a backtester / SIM engine if you know what you are doing. For example NT 7 fills profit targets for smaller targets way too easy IMO. NT 8 fills weak side limit orders too easily IMO, and at the same time almost never fills strong side limit orders unless the price trades through you.

All of this being said, In my case, I am not cheating in any of the conventional ways. I am however running my code through NT 8 market replay, and this particular SIM assumes 0 latency. Anyone with direct market access could actually run this strategy and get close to this result, but alas us mere mortals have to fight retail level latency. In fact this exact system is being deployed quite frequency and is a particular class of High Frequency Trading, and it does work in the real market all the time with spectacular results. I myself am in the process of getting this off the ground as a retail guy, knowing I have latency limitations, infrastructure limitations and will likely only best case scenario get 25% to 50% of this result.

Here it is: (This is trading one contract over one week. No commissions included, but in this class of strategy they would be around $1.50 all in due to the scale.)

Please register on to view futures trading content such as post attachment(s), image(s), and screenshot(s).

Please register on to view futures trading content such as post attachment(s), image(s), and screenshot(s).

Please register on to view futures trading content such as post attachment(s), image(s), and screenshot(s).

The winning percentage is misleading because even though I am only winning 35% of the time or so, I am not actually losing the other 65%. I am actually scratching around 57% and really losing around 6%. I could show more history, but there is no point because it is always the same. There are virtually no draw downs, I get hundreds of trades per day, the system has 0 market bias or directional weakness because it doesn't trade direction. This system wins because it has a serious statistical edge. (Although I am running this in a zero latency simulation, this exact class of strategy is already crushing the market every day.)

I also have 4-5 other systems with fairly decent results I have covered in detail in my journal in case you want to take a look. You may get some ideas:

But to your original question, can retail guys be profitable. Absolutely! Here is how.

1. Trading is gambling, but unlike Vegas where you always have at least a 51% chance of losing, with trading you can define your own game, set your own odds, and place any bet size you want.
2. You need to know every single aspect of the house edge that you are gambling against. This translates into knowing the market microstructure and auction theory, and every possible way that the market is taking money from you. This includes the spread, toxic fills, commissions, slippage, latency, etc.
3. Define the rules of your game and know your betting odds. This is the biggest part people miss. You need to be 100% confident that if you do x over 100 trades your odds of winning is y. And you need to get this part right. If you don’t know this, you have no business being in the market other than to donate your money.
Just like in Vegas, there are tons of games and they all come with different odds, and different edges both in your favor and against you.

Also, the gap between a hobbyist trader and high end retail or even low end professional is a lot less that you would imagine. For 50-500 bucks a month you can co-locate to improve your latency, and for a few hundred more a month + a few grand you can get your commission cost significantly reduced by licensing an exchange seat. (Which I will be doing soon hopefully!) Also if you are successful you can scale your contracts and get volume discounts from your broker. So maybe your not profitable with $4.00 per trade commissions, but you are with $3.00 dollar per trade commissions or even $2.00 per trade. In my pricing models I can get my all in trade costs down to around $1.50 using the same tools available to anyone. We are talking a few thousand dollars and this is less than any start up business cost I have seen. There is a path here to close this gap and it’s not that hard or expensive in the grand scheme of things. Most people never scale because they can't their first proof of concept off the ground because they don't have a real system to begin with. But for anyone that has an even half decent edge, scaling in this business is very easy.

Happy Trading!


In the analytical world there is no such thing as art, there is only the science you know and the science you don't know. Characterizing the science you don't know as "art" is a fools game.

Last edited by iantg; February 10th, 2018 at 09:46 PM.
Visit my futures io Trade Journal Reply With Quote
The following 4 users say Thank You to iantg for this post: