Favorite Futures: YM & Equities & Options & Mutual Funds
Posts: 174 since Jun 2010
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I think you missed the point. If you don't enter when the close of the bar is at the swing high and you have to wait another bar you're entering potentially in the middle of the range... that clips your potential profits in half.
And that is why I suggested that discretionary trading can overcome this, code can not.
I'd post a picture but it has Vendor indicators on it....
FYI that code was created by NT7, I didn't write it.
Last edited by mainstream; June 21st, 2011 at 11:54 PM.
Favorite Futures: Futures - bonds, currencies, index
Posts: 288 since Oct 2010
Thanks: 70 given,
There are two answers to this. The first is you can calculate values on each tick of the bar and enter as soon as the conditions are fulfilled. The second is, if doing scalping, you are unlikely to have conditions designed to occur at the end of a bar. In fact you're likely to have one tick bars.
It appeared to me that the author of that post may have had a lack of understanding of how NT works, and how C# works. That's why I referred him to the appropriate section of the NT manual. This thread is not about learning the inner workings of NT or how to write C# code.
I think this debate can be summed up in the question at the title of this post. The debate as I'm interpreting it is not whether mechanical trading CAN be profitable or whether discretionary trading CAN be profitable (although there does seem to be differences of opinion on these questions) - but whether one is inherently better than the other. One of the inputs into this question (one better than the other) is the opinion of whether a discretionary method can have a concept of expectancy - following from this is also the opinion of whether a discretionary method can be effectively scaled up in position sizing with any hope of knowing whether this is safe or not.
One of the opinions is that discretionary methods involve (by definition perhaps?) random or effectively random approaches to trading decisions. A consequence of this (if true) would be that the absolute return on discretionary methods can not be improved over time with sophisticated money management techniques because these (being derived from specific formulae) techniques require expectancy as an input and an effectively random method cannot have a fixed expectancy.
This brings me back to the question/title of this post. If a hard-coded set of instructions can carry out trading decisions then the ACT of picking winning trades is not a skill as I'm defining it. Yes, of course coding those instructions is a skill but the carrying out of those instructions is NOT what I'm calling a skill for the purpose of this debate. A skill as I'm using the word here is the successful performance of a task that requires VARYING responses to changing conditions. By this definition (and I realize that "skill" may not be the best word), if picking winning trades is a skill (in that one's ability to do it successfully can be improved with experience and training) then discretionary trading CAN be better than mechanical trading. Of course (as the title of this thread alludes to), if one cannot control the damaging effects of ones emotions, impulsiveness, etc on one's trading decisions then this question is mute.
My opinion is that picking winning trades is a skill that can be improved over time with experience and that traders who have an element of discretion in their trading can generate better results than mechanical systems. That said, I do think (agree) that many successful discretionary traders are actually making decisions that are much more grounded in rules than they would admit (or perhaps even know).
One question that bears on the title question is whether the most successful "traders" are computer programs or individuals. I would argue that if trading was not a skill (as I defined it) than the most successful traders would be programs and not people.
Do discretionary methods actually generate more consistent returns?
Here's another perhaps paradoxical question:
The conditions of the market change over time. Patterns that once worked no longer work and most in the industry would agree with the statement that making money at trading has gotten harder over time. One quote I've seen is something like "markets are just like they were 50 years ago - they changed all the time then and they do the same now".
If this is the case, wouldn't a discretionary approach that is adapting to the changing market in real time actually generate a more consistent expectancy than a static approach that doesn't adapt to the changing marketplace as quickly or as consistently?
In other words - if a discretionary trader can adapt their approach as the markets change due to their skill in reading markets, couldn't they, in fact, generate a more consistent expectancy than a static mechanical approach?
Please notice the sly look on my face as I post this question...
Possible yes but probable no. Discretionary could perhaps make adjustment faster but with no stats or real data over time to back up those adjustments you are most likely dooming your account. In other words how do you know your quote skill or good guessing ability in reading market is still valid under the changing market conditions you mention.
I am not suggesting mechanical system traders should never change system. But those changes need to be based on stats that produce probabilities. I think a mechanical approach gives you ample time to make adjustments if you continue to collect stats and have good money management protocols in place. There are some constants in the structure of a market that don't change overnight. Markets can go flat etc quite quickly but the nature of something like CL will not just make a sudden change and then never come back to its true volatile nature. Structural change that would bust my system usually come quite gradually. For example if CL became a low volatility tight range market market like the ES my system would not earn much but would probably not lose much either so I would have to look for a new market. I think there will always be a market somewhere that is volatile, good range and has strong trends which is what my system needs. That along with good money management and I think I can adjust over time just fine.
I think one of the biggest mistake a trader can make is to constantly make adjustments. But there are times adjustments should be made.
"The day I became a winning trader was the day it became boring. Daily losses no longer bother me and daily wins no longer excited me. Took years of pain and busting a few accounts before finally got my mind right. I survived the darkness within and now just chillax and let my black box do the work."
Something doesn't add up here....
I think your trying to hide or escape from the idea that you have an underlying gambling addiction. I think at some point in time your success in trading switched identities with gambling in your mind. Honestly if you have enough money to trade 100 times in one day by the time you blew your account I assume you've made quite a lot from trading. In another post you said you brought 5k - 100k 3 times, which I assume you've grew 5k to 100k a few times. Correct me if I read that wrong. If what you mean is you've made 300k or something equivalent, I assume you were doing well trading discretionary at some point right? To me it seemed like you were doing amazingly well to the point you had enough capitol to risk aimlessly. Almost as if your original system had broken down over time due to the fact that if you messed up you could alway fix the problem by entering in a few more trades or more contracts at a time with out significant risk if you didn't entirely go off track. Maybe after doing that a few times you got closer and closer to disaster. It seems like the long term exhilaration from gambling while trading got the best of you because you remember the times when you did exceptionally well trading by gut repeatedly. this reinforced bad behavior in a sense. However, It just seems hard believe that you only traded one contract at a time in the scenario you describe. If you truly did what you've said in the quote and are not exaggerating, I think you might possibly have some greater underlying psychological issues you should contact a psychologist about with a specialty in gambling addiction rather then forsake discretionary systems all together.
It's hard to imagine with the amount of knowledge you have that you weren't at one time an excellent trader without automation. Now if you let your system make the whole trade for you, the actual computer enters and exits the trade, I think perhaps you are putting a band aid on the original problem. This most likely will have you retreat to the same dilemma when you make your money back. I think perhaps it might make it worse since your automated system will make you money more slowly and thus summoning the dark side to inevitably intervene when you feel you've made a considerable amount. I mean its nice to hear Automated fans come in and pat you on the back, but I think the underlying issue was dismissed. It is possible that you've switched interests entirely more towards automation and programing. If not, I hate to see this type of stuff crush your ambition to trade manually like you use to. It's almost like the fall of Napoleon.
If this isn't the case, please describe your trading career up to this point, not Dday. Enlighten me. I'm not trying to call you out, but more identify the core root to this manic episode and get behind the eyes to the man who started this riveting discussion. I think more can be discussed about this issue to help discretionary traders avoid something like this from happening.
on one hand you have these pro-automation ideals like Statistics and real data to support the automated system you use. You say your inevitably doomed by discretionary adjustment, but You fail to realize that its not that hard to do such a thing. It's actually easier to do with your own eye. If you doubt this, then you doubt all the money you originally made with your own eye. you lump together the psychological issues you had with trading and you lump together the actual system you used for discretionary trading. This completely negates the fact that you actually had a system that worked for discretion despite the psychological ailments to begin with!... If you said you read yourself rules I assume you had a profitable system, did you not?
I'll give an example of why a computer can't do the job as well as a human -
For instance on june 23rd between 8:30 and 10:30am each one minute candle moved about 30 cents, Then after 11:12am your lucky to get 20 cents per candle. If you think about it thats a 33% difference in volatility. Consequently, you might do well with your system at the end of the day with a 10 cent stop / 5 cent limit or when stuff is calm and then the next day try to use the same targets and get destroyed by the early increase of volatility. If you asked your computer to calculate limit and stop sizes for you it would be so skewed because of random intermittent calm periods between huge 30 cent volatility in the first few hours. Its only with your own eye can you judge stuff like this. the market is way to variable to just use a system with out constantly changing it. If you have your system Turn off during a volatile period or during a calm period your missing a HUGE window of trading opportunities. whose to say it won't turn off or on by false signals. You gotta manually program it every time to avoid news releases. Why bother obsessively coming up with the right ever changing recipe for profit through a program, Why not just overcome your demon. it just baffles me how much back work people are willing to do to avoid the actual discipline of trading itself. other people talk about all the potential extra time it gives you, what about the time it takes to program the damn thing? and reprogram it. if you think about it, it only takes a couple hours for most traders to make their daily quota, and thats a blessing in itself. I'm sure the amount of time programming outweighs the amount of money you make.
thats my two cents
Last edited by sidney7g; June 26th, 2011 at 11:13 AM.