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Can Day Trading be profitable for retail?

  #47 (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, 917 received


While there are many different classes of HF strategies, you can find more information about the class that mine is here: right around the 6.40 mark. Again, this is a known method that I would characterize as very common, it is deployed to just about every financial market. I just programmed it over the weekend recently as a thought experiment.

Let me just say, that this particular example is not the version that I am working on trading live with. I have my own variation that is considerably different than this, and works within a set of rules and mechanics that are achievable by someone using my platform and co-location disadvantages. I know that in the world of HFT I am a snail, so I have to combat this by using less latency sensitive signals in my algorithms.

And as Kevin mentioned, this system does not cross the spread, so while there is a type of slippage in play, it is not related to losing the spread, it is related to which price level you get filled on. What I take away from this though experiment, (And I am giving this freely to everyone) is that losing a price level 5%,10%,20% of the time, is considerably less bad than losing the spread 100% of the time. Most traders want full control of their risk in terms of the exact size of their targets, but by setting this as a hard line in the sand you are guaranteeing that you lose the spread. Not everyone is capable of programming like this, or even want to use this type of exit strategy, but if you learn nothing else from this, you should consider this point.

Also commissions of $4.00 would never be in play if a system was able to hit anywhere near this result. You would license a seat at the exchange and get a volume discount from a broker. My pricing models for these types of system have a all in cost < $2.00. I would be glad to break down the exact cost structure for you in further detail if you are interested in learning how this works.

If you have any questions, or want to learn more about this let me know and I will be glad to share.


jefforey View Post
another point i wish to raise is that what Iang posted is not a typical HFT strategy. HFTs are based on front running themes where the success probability is approaching 100%. I think they rely on sure-shot success which is how they beat slippage costs.

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 13th, 2018 at 09:49 PM.
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