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Auto trading is only thing that conquered my darkside
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Auto trading is only thing that conquered my darkside

  #71 (permalink)
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DionysusToast View Post
In my opinion, there is little relationship between HFT algos and your typical man at home trading directional outright positions with Tradestation/NinjaTrader.

What we should learn from HFT is this: With all of the resources that these people have, why are THEY not coding directional systems that trade outright positions like the man at home? Why do they bother with HFT? The cost/use of capital is huge. If it were possible to predict future market action based on a few indicators, why would they even bother with HFT?

The answer is that they can't write the kind of systems people on internet forums are trying to write.

I don't agree with your conclusion. The biggest problem large fund managers face is the volume they have to trade in order to create profitable opportunities. For sure they know everything and more that we are discussing here, but they have had to discard it because it doesn't scale.

A strategy that is profitable when you are trading $1M won't work when you are trading $100M. So consequently you have to look for other strategies. If you successfully trade for long enough to grow your trading capital, you will find the strategies that made successfull will stop working.

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  #72 (permalink)
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diverdan View Post
I don't agree with your conclusion. The biggest problem large fund managers face is the volume they have to trade in order to create profitable opportunities. For sure they know everything and more that we are discussing here, but they have had to discard it because it doesn't scale.

A strategy that is profitable when you are trading $1M won't work when you are trading $100M. So consequently you have to look for other strategies. If you successfully trade for long enough to grow your trading capital, you will find the strategies that made successfull will stop working.

This is pretty interesting. From your experience, What do you think the limit is for being able to profit from directional discretionary trading In lets say the ES or CL? Wouldn't something like the Euro be hard to move even with 100m?

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  #73 (permalink)
Fortitudo et Honor
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It's noteworthy that HFT is a subset of ATS.

HFT is ATS, but ATS isn't automatically HFT.

There are actually some very effective ATS that are "LFT" because the strategy acts like a "watchdog" keeping a constant eye on the market for very discerning strategies that have only a few entry opportunities. Thus, you don't have to sit there like a zombie for hours or days on end, waiting for a confluence of factors to signal an entry (or end up missing it).

Too many people are automatically assuming that the algo guys are trading high frequency or scalping.

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  #74 (permalink)
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mainstream View Post
I turn on the system when I think a set up I trade is manifesting, and let the computer manage the entire trade, from entry to exit. This is only Intraday with deep book futures like the Indexes (to overcome Limit Order Issues), I also like that the broker I use will only allow for a certain number of losses a day... double fail safe from my perspective.

Of course the trick is coding a system that trades chart patterns you like effectively.... or finding one that does.

I do the exact same thing. I know when I am about to get a setup several bars in advance, and because I use range bars, I know exactly where the next bar will open, so I hit a button, any my strategy puts an ATM managed stop order where the next bar will open. If the bar does open where I want then I am in the trade, and the ATM manages the trade. If the bar opens in the opposite direction, then the strategy cancels the order.

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  #75 (permalink)
Fortitudo et Honor
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In all fairness, virtually every trader who isn't on the exchange floor using some degree of automation.

A simple bracket order (order cancels order or order supplemental order) is automation. Trailing stops, are automation.

I think a lot of die hard discretionary guys think that ATS won't work because they're strategy is "too complicated" to code. Which is usually rubbish.

There are certainly guys who've become successful just by "gut feel" or some sort of intangible metric by which they use to enter and exit trades, but I'd venture they're few and far between. All the other successful guys trade based on rules. And as such, those rules can be codified, and put into motion in an ATS.

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  #76 (permalink)
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hmmm

let's stop arguing this useless topic, there is no right or wrong, as long as you find a method to make money in the long run, you win.

the argument of " ONLY..." is not suitable for trading, period.

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  #77 (permalink)
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supermht View Post
let's stop arguing this useless topic, there is no right or wrong, as long as you find a method to make money in the long run, you win.

the argument of " ONLY..." is not suitable for trading, period.

I don't believe it is useless. We are talking about fundamental beliefs, there are going to be different opinions. I think it is beneficial to understand the pros and cons of each side. To the well entrenched, no argument will convince them away from their fundamental belief, and they will defend it, that is a good thing because that defense will reveal the pros and the cons of each side. For the open minded, it might sway them to one approach or the other. To someone who genuinely is considering which approach to take, conversations like these are very helpful in identifying which camp will ultimately define their fundamental trading approach.

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  #78 (permalink)
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supermht View Post
let's stop arguing this useless topic, there is no right or wrong, as long as you find a method to make money in the long run, you win.

the argument of " ONLY..." is not suitable for trading, period.

I like the conversation pros and cons even though I am clearly on one side of it. I have some good friends who swear by discretionary methods. I think they are "dead men walking" they just don't know it yet. They will eventually come away from the darkside if they survive. We can still be friends and have a a good debate on the topic.

So debate on.

"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."
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  #79 (permalink)
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liquidcci View Post
I like the conversation pros and cons even though I am clearly on one side of it. I have some good friends who swear by discretionary methods. I think they are "dead men walking" they just don't know it yet. They will eventually come away from the darkside if they survive. We can still be friends and have a a good debate on the topic.

So debate on.

I am on the side of mechanical rule based trading as well. But, I will admit that one of the biggest con's of automated systems is market environment. Typical rigid auto systems generally have certain market environments they do well in. the problem is most people don't realize it, and they back test that system over 10 years, and get poor results. One of the reasons is that market environments change drastically during that large time period, and your strategy will have been backtested through several iterations of market environment that it was not designed for.

So, I think a good strategy should take into account the type of market it is trading in, or the owner should know which market the system does best in, and only turn on that system during those market environments.

I suppose, the same holds true for discretionary trading as well. During the raging bull market of the dot com years, traders were making money hand over fist, they could throw a dart at the market and make money. But once the bubble burst those traders lost everything, because their raging bull market strategies tanked in a transitioning and/or down market.

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  #80 (permalink)
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monpere View Post
I am on the side of mechanical rule based trading as well. But, I will admit that one of the biggest con's of automated systems is market environment. Typical rigid auto systems generally have certain market environments they do well in. the problem is most people don't realize it, and they back test that system over 10 years, and get poor results. One of the reasons is that market environments change drastically during that large time period, and your strategy will have been backtested through several iterations of market environment that it was not designed for.

So, I think a good strategy should take into account the type of market it is trading in, or the owner should know which market the system does best in, and only turn on that system during those market environments.

I suppose, the same holds true for discretionary trading as well. During the raging bull market of the dot com years, traders were making money hand over fist, they could throw a dart at the market and make money. But once the bubble burst those traders lost everything, because their raging bull market strategies tanked in a transitioning and/or down market.

Totally agree. My system by it's nature will not take to many trades when things get choppy, no range, or low volatility in market. If no range or not enough volatility it will sit still which is a good thing. In those conditions I will not make much but will not lose much either. I find crude typically has good range and volatility most of the time. it also tends to run hard and far in a direction.


I think what you are saying is paramount and should try as much as possible to keep these things in mind when building a system. Systems need to sit on sidelines when conditions are not right for your parameters.

"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."
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