Forums  > Trading  > Price patterns  
     
Page 5 of 6Goto to page: 1, 2, 3 ... 4, 5, 6 Prev Next
Display using:  

PriceAlgo


Total Posts: 11
Joined: Oct 2013
 
Posted: 2013-10-11 17:58
That is an interesting thought, that the general trading population is becoming smarter. In my opinion the less obvious patterns are due to the increased volume of retail trading smoothing out the curves.

Bid/ask follows sentiment. Price change follows bid/ask. Get it straight.

Phantom309


Total Posts: 134
Joined: Jul 2013
 
Posted: 2013-10-11 23:11

>> "less obvious patterns are due to the increased volume of retail trading smoothing out the curves."

Which markets are you referring to? Those in US/UK? Or those in Bangladesh?

Are you mad?


Brimful of Asha on the 45"

PriceAlgo


Total Posts: 11
Joined: Oct 2013
 
Posted: 2013-10-12 02:13
As is obvious, the churn of institutional investors is increasing at an ever increasing level. Retail traders are still trying to jump onto the trends which are not lasting as long as they used to, see previous sentence (churn), and with the increased volume from those small time traders missing the peaks and troughs by more than ever before, the market necessarily smooths out making the signals less obvious... If you are looking at price the same way as in years past.

Insane perhaps.

Bid/ask follows sentiment. Price change follows bid/ask. Get it straight.

Phantom309


Total Posts: 134
Joined: Jul 2013
 
Posted: 2013-10-12 03:01
Describe your archetypal retail trader. Go.

Edit: actually never mind, lest we detract from the topic of this thread.

People seem to be obsessed with these "signals." I am beginning to actually believe people eyeball charts and look for peculiar shapes/patterns that scream "BUY ME!" or "SELL ME!" I dunno... as an Arts and Crafts major myself, at school, I learnt pretty shapes can be created from pure randomness

Brimful of Asha on the 45"

PriceAlgo


Total Posts: 11
Joined: Oct 2013
 
Posted: 2013-10-12 03:57
IMO a retail trader will be one trading with less than .5M buying power, usually trying to make sense come from those pretty shapes. I trade futures based on the way the market is traded by others, I have hung my pretty pictures in the attic years ago. I prefer studying the subtle nuances of order flow. If people ain't buy'n, neither am I.

I really wanted to continue discussion along the line of traders becoming smarter. I do think that trading software has increased in complexity over the years but the level of intelligence to be able to use said software in a profitable manner has also increased as separating wheat from chaff is more difficult now. There must be thousands of different vendors touting the best way to make a buck out there these days. No wonder since more people are trading. As Barnum said "There's a sucker..."

Bid/ask follows sentiment. Price change follows bid/ask. Get it straight.

Phantom309


Total Posts: 134
Joined: Jul 2013
 
Posted: 2013-10-12 04:56
What my point was: Richard Dennis, for example, started with, what, $400? Trading soybeans... he ended up making '00s of MMs in the pit. I was not only saying that repeating this is "kinda tough," but that his trading strategy, repeated today, would undoubtedly lose you money (of course discounting the fact that he traded in a "pit" instead of an air-conditioned apartment like your archetype). This, in my opinion, is because the unwritten rules of the game have not only changed, but also the rate of change of that change is also steep. You (not literally "you" but.., bare with me) with your mouse clicking away will find it frustrating to trade, because unlike Richard Dennis, who looked a man in the eye when he said "fill or kill, muthaf*ka!" are being lifted by a someone who more resembles IBM's Watson than Bud Fox.

I apologize for the obvious straw man fallacy, but I thought you will find my colorful story telling entertaining.


Brimful of Asha on the 45"

Phantom309


Total Posts: 134
Joined: Jul 2013
 
Posted: 2013-10-12 07:14
But just checking: What % of the total volume in all the exchanges do you think comprise of your definition of retail?

I'd like to think the market would be indistinguishably different if 100% of all retail traders vanish over night... But, keep in mind that I also trade weaved baskets for a living.

Brimful of Asha on the 45"

PriceAlgo


Total Posts: 11
Joined: Oct 2013
 
Posted: 2013-10-12 19:16
I strictly trade the ES. The tick size vs movement allowed me to find a niche without having to use formulas that utilize quantum mechanics. The increased granularity made for much easier deciphering of order flow parameters. I was wondering if you have ever heard of anyone being successful trading on order flow characteristics exclusively. The formula I have come up with are my own and I can't seem to find people who can understand what the heck I'm talking about in most trading forums.

I think that there is so much more information available in the numbers than most people can comprehend. Strict adherence to old rules is the opposite of my trading philosophy- please keep in mind that I am not vendor, just a trader trying to find a decent forum to learn from and bounce ideas around.

Thanks

Bid/ask follows sentiment. Price change follows bid/ask. Get it straight.

radikal


Total Posts: 259
Joined: Dec 2012
 
Posted: 2013-10-13 03:31
By order flow, are we talking stuff like relative ratio of aggresses? Or more math-y stuff like trying to distinguish exo vs endogenous orders and their impact on mean reversion etc?

A lot of people spend a lot of money looking for holy grail predictive signals...I have mixed feelings as I generally feel that in the HFT space, a lot of the price patterns are increasingly short run deterministic based on my peers, but at the same time more chaotic as soon as things don't go as planned as very very few players in the low latency world want to do anything but execute arbs.

There are no surprising facts, only models that are surprised by facts

NeroTulip


Total Posts: 1016
Joined: May 2004
 
Posted: 2013-10-13 13:36
@ PriceAlgo: if you want to bounce ideas around, this is the place to do it. Unless you are a crackpot or trying to peddle some product, you'll find that people here have a pretty open mind and lots of knowledge.

Inflatable trader

PriceAlgo


Total Posts: 11
Joined: Oct 2013
 
Posted: 2013-10-13 19:24
I actually have heard about how bright the members of this forum are while using other forums. I must admit that I am impressed. I am always an inquisitive person and like to prove things for myself but time is so precious and like many others I have found that sometimes it is just as important to not reinvent the wheel as it is to discover new ideas. A forum that is accepting and intelligent is all I'm looking for.

Thanks

Now then, strictly technical price patterns, breakouts and such, I have traded this way for years and haven't been able to break +40% capital gain in any of my 5 years trading this way, average gain per year of 28%. I consider this failure but now I trade differently all together. Has anyone been beating say 50% net compounded on total capital as yearly average trading price patterns?

Bid/ask follows sentiment. Price change follows bid/ask. Get it straight.

euroskeptic


Total Posts: 77
Joined: Mar 2013
 
Posted: 2013-10-19 16:25
@Pricealgo

"Has anyone been beating say 50% net compounded on total capital as yearly average trading price patterns?"

Do you mean a CAGR of 50%? You must be kidding then. Are you?

jslade


Total Posts: 1148
Joined: Feb 2007
 
Posted: 2013-10-19 23:40
FWIIW, one of my clients has averaged 25% since the 80s, basically trading the same system, which as far as I can tell isn't much different than things Ed Seykota talks about. Long term trend following definitely still works. He's been trading since the late 60s (CC alum). Don't know what he started out with as a grubstake.

"Learning, n. The kind of ignorance distinguishing the studious."

Phantom309


Total Posts: 134
Joined: Jul 2013
 
Posted: 2013-10-20 01:35
I used to believe price patterns were 100% random, but I obviously don't anymore. But, I don't understand why your guy's 30 yr old strategy still has alpha. The man's obviously a beast.

I tried to simulate "authentic" random price patterns as much as I could (i.e. à la Ito's Lemma). The prices here evolve according to Ito's framework. But in the real world, prices are dictated by people's behavior (platitude), and trend following, despite it's implied tacit acquiescence, is a good strategy that can exploit that Attached File: For NukePhyn (Phantom309).rar

Brimful of Asha on the 45"

YukaRedux
Now with added evil

Total Posts: 650
Joined: Dec 2004
 
Posted: 2013-10-20 14:10
At the risk of being a pedant, up 100%, down 50%, up 100%, down 50%, etc, also gets you an average of 25% :-)

Patience is just desperation disguised as a virtue.

Phantom309


Total Posts: 134
Joined: Jul 2013
 
Posted: 2013-10-20 14:53
@Yuka, err... even more pedantic... that would actually make you flat after 4yrs (0%). Up 100%, down 25%, up 100, down 25 is closer to~25%...

Brimful of Asha on the 45"

YukaRedux
Now with added evil

Total Posts: 650
Joined: Dec 2004
 
Posted: 2013-10-20 15:08
I was being amusing, and using the old HF trick of quoting average annual returns rather than compound...

Patience is just desperation disguised as a virtue.

Gonzo


Total Posts: 54
Joined: Oct 2004
 
Posted: 2013-10-23 07:40
your considering 28% on average over five years a failure sounds like false humility to me unless you're a Shaolin monk

Phantom309


Total Posts: 134
Joined: Jul 2013
 
Posted: 2013-10-23 15:26

@Gonzo, how do you know he isn't a Shaolin monk? I know they are able to use an attackers force and momentum for personal advantage. To me that sounds like market making.


Brimful of Asha on the 45"

Analyzer


Total Posts: 1
Joined: Oct 2013
 
Posted: 2013-10-26 00:53
@PriceAlgo how much % of Market share you do.. whats the holding time of your avg positions..i have been successfully trading top equity futures using solely OrderBook dynamics..

intradaybill


Total Posts: 110
Joined: Mar 2008
 
Posted: 2013-10-27 16:45

QIM down -6.59% as of the end of 09/2013. Let's see how they do this month. Results

I suspect that in addition to isssues of fund size and liquidity HFT is having a negative impact on their algo performance.

 


tbrown122387


Total Posts: 34
Joined: Feb 2010
 
Posted: 2013-11-08 01:47
Jaffray Woodriff is going to be around Charlottesville, VA tomorrow if anyone is in the area: http://news.virginia.edu/content/reddit-co-founder-ohanian-speak-friday-new-book

intradaybill


Total Posts: 110
Joined: Mar 2008
 
Posted: 2014-01-12 16:11
A good Dec improved results but 2013 was a down year overall. QIM performance

titanium77


Total Posts: 54
Joined: Sep 2012
 
Posted: 2014-01-12 20:40
I mean I don't really see what the buzz is with this guy. His results are kind of typical for the types of strategies he probably runs. He seems to advocate simplicity a lot and based on his p/l I would have to guess its long term trend following with some basic optimized linear model. I mean there are published papers that show this approach has alpha with futures ex. commodities. His sharpe is around .8, which makes sense. In reality this is just the case of a good ambitious business man who came from sell side. I mean he definitely seems like a legit and good person its just really not that ground breaking. He is just a good business man like many of the people behind large funds.

[EDIT] Actually read strategy description my bad...

vt100


Total Posts: 3
Joined: Sep 2005
 
Posted: 2014-01-25 23:04
jslade, do you have any insight as to how the Ed Seykota thing managed to work the last few years (if it has) whereas Winton/Bluetrend/Aspect/etc. have been losing money?
Previous Thread :: Next Thread 
Page 5 of 6Goto to page: 1, 2, 3 ... 4, 5, 6 Prev Next