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Is there a hill-o-beans chance this day trading system could work?
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Is there a hill-o-beans chance this day trading system could work?

  #21 (permalink)
Hi Mom!
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DionysusToast View Post
It won't work.

There is a reason it won't work.

Let's say you enter the market at random. With no edge, the system will not work. There is no edge.

To make money trading, you need an edge. If trading outrights, on a long position, you need a reason that buyers will continue to buy after you in order for price to progress upwards.

Without that reason, there is no chance that any combination of bar patterns will yield an positive expectancy. There is no reason for it go generate a profit, therefore it will not generate a profit.

So without a good 'why', the 'when' is moot.


The 'why' is the most important thing. The 'when' is secondary. Looking at the 'whens' for 'whys' is going to be along search.

Sure it'll work. It's a pretty simple and straightforward concept actually. When the price trades up to a recent high and gets rejected you'll be taking advantage of the stop orders and the capitulation of any trader who bought above that level that was trying for a breakout. Is it a comprehensive trading methodology? No it's not, it was just a fun thing to code over the weekend but there is an edge present.


Last edited by TheShrike; January 31st, 2016 at 05:01 PM. Reason: spelling
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  #22 (permalink)
Market Wizard
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TheShrike View Post
Sure it'll work. It's a pretty simple and straightforward concept actually. When the price trades up to a recent high and gets rejected you'll be taking advantage of the stop orders and the capitulation of any trader who bought above that level that was trying for a breakout. Is it a comprehensive trading methodology? No it's not, it was just a fun thing to code over the weekend but there is an edge present.

That presumes that a breakout will fail in a high enough percentage of cases to make up for the losses.

There is no reason that we can make that presumption.

In fact, this is in 'permafader' territory, you are making a bet against momentum, which is what causes the losses for the majority of retail traders - always trying to short an up move or go long a move down.

It might work on a Ninjatrader strategy - but it won't work with real $$$ on the line.

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  #23 (permalink)
Market Wizard
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mrgufx View Post
hello toastie. what is a valid retail edge (rhetorical)? let us presume that the market has two states a) trending b) non trending. in this particular situation it would seem that there are two problems, and yet the vast majority of retail traders attempt to solve both problems by implementing only one basic method. a fair assessment?

Just being able to tell if the market is trending or ranging is an edge in it's own right in my opinion.

Markets switch from one to the other and many have tried coding indicators to tell when the transition has been made.

Those indicators invariably throw the signal late.

My own view is that it is the volume profile that tells you when the transition is made because you start printing an exceptional amount of volume at individual prices when you switch from trend to range.

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  #24 (permalink)
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DionysusToast View Post
That presumes that a breakout will fail in a high enough percentage of cases to make up for the losses.

There is no reason that we can make that presumption.

In fact, this is in 'permafader' territory, you are making a bet against momentum, which is what causes the losses for the majority of retail traders - always trying to short an up move or go long a move down.

It might work on a Ninjatrader strategy - but it won't work with real $$$ on the line.


I'm not sure what you're failing to understand here, or if you just like to visit threads, make pronouncements (which are wrong btw) and then mosey on. You can also spare me the lesson on why retail traders fail. Let me guess, you've recently found a modicum of success with whatever method you happen to be using and now would like to let everyone know about it.

Anyways, yes, when a high or low gets rejected you can presume that the breakout will fail a high enough percentage of the time to make a profit. It currently fails on average 61.17% of the time on the time frame I trade. In this case, you would be trading with momentum. Contrary to what you state. When the high or low does not get rejected, you do not take the trade. You wouldn't fade every new high or low like you suggest. If it happens a statistically significant amount of the time then you have something that is trade-able.

What we were discussing before you butted in here was coding it on a one minute bar. For something fun to do over the weekend.

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  #25 (permalink)
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TheShrike View Post
I'm not sure what you're failing to understand here, or if you just like to visit threads, make pronouncements (which are wrong btw) and then mosey on. You can also spare me the lesson on why retail traders fail. Let me guess, you've recently found a modicum of success with whatever method you happen to be using and now would like to let everyone know about it.

Anyways, yes, when a high or low gets rejected you can presume that the breakout will fail a high enough percentage of the time to make a profit. It currently fails on average 61.17% of the time on the time frame I trade. In this case, you would be trading with momentum. Contrary to what you state. When the high or low does not get rejected, you do not take the trade. You wouldn't fade every new high or low like you suggest. If it happens a statistically significant amount of the time then you have something that is trade-able.

What we were discussing before you butted in here was coding it on a one minute bar. For something fun to do over the weekend.

OK - let's go back a step.

when we talk about a system 'working' - we generally mean making money, trading live. Would you agree with that statement at least?

With that in mind, and the title of this topic being " Is there a hill-o-beans chance this day trading system could work?" - I am just merely continuing along the same lines of discussion by saying that there is also no chance of the system you mention making money in a live market.

If you look at the rules you stated and the chart you posted, there are many times where the 10 bar high was breached by 2 ticks or more and the bar closed below that high. It happened many times on the way from 32.60 to 33.60. Most of the time the high of the last 10 bars was simply the last bar.

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  #26 (permalink)
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try adding a filter

use some different time frame tick bars that work out to be close to 1min. then filter them for average trade size ..then program system to work of bars with larger trade size or fade bars with smaller trade size.

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  #27 (permalink)
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risingfire:

Did you have a close look at the statistics your strategy produces, i.e. win rate, RRR, average winner/loser, biggest winner/loser? What happens to the results when you tweak some of the parameters of your strategy?

It seems if you are only 1 tick off a neutral / profitable system there might be a possibility to change something to filter out some losers, increase average profits or trail some runners and significantly change the results.
Just a thought...

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  #28 (permalink)
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TradingTom View Post
risingfire:

Did you have a close look at the statistics your strategy produces, i.e. win rate, RRR, average winner/loser, biggest winner/loser? What happens to the results when you tweak some of the parameters of your strategy?

It seems if you are only 1 tick off a neutral / profitable system there might be a possibility to change something to filter out some losers, increase average profits or trail some runners and significantly change the results.
Just a thought...

It's been a while since I've thought about this particular strategy and moved on to other strategy development when it failed to perform. I have found that if a strategy idea is going to succeed or fail, it does so pretty quickly. I can't tell you how many countless hours I have wasted chasing after a strategy that looked "good" but lacked that one tweak, or one filter, or one *something* that would make it profitable. Now, with that said, it's worth trying a couple of simple things (which I recall I did, such as trying different timeframes other than the 1min it was designed on), but it fell apart. Just look at what happened to this one by requiring the profit target be breached rather than touched. The equity curve plummets. A good strategy should not be so sensitive to small changes. For me, I've learned to read the signs and this sign says "Don't waste time here. Move on."

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