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Daytrading - How to make a profit

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Re: Daytrading- How to make a profit

pski said:
Hi Wayne,

I have read some of Frank's posts on Reef and have just started AFL with Amibroker.

If the offer to provide the code still stands, I would be grateful so I may 1/ understand how you are working with Frank's theories and 2/ see how you have put it together to plot the chart in AFL.

Many thanks,
Peter
Click to expand...

Hmmm I typed out a long reply and somehow deleted it :( I'll have to come back to this, but here is the code

/* wayneL's Daytrading Template - To be plotted on intraday charts */

GraphXSpace = 1;

/* This plots the price bars. Select whether you want candlesticks or ordinary bars via th "view" menu */

_SECTION_BEGIN("Price");
SetChartOptions(0,chartShowArrows|chartShowDates);
_N(Title = StrFormat("{{NAME}} - {{INTERVAL}} {{DATE}} Open %g, Hi %g, Lo %g, Close %g (%.1f%%) {{VALUES}}", O, H, L, C, SelectedValue( ROC( C, 1 ) ) ));
Plot( C, "Close", ParamColor("Color", colorBlack ), styleNoTitle | ParamStyle("Style") | GetPriceStyle() );
_SECTION_END();

/* The following three codes are the exponential moving average flippers. These can be deleted or modified to suit */

_SECTION_BEGIN("10EMA Flipper");
mov = 10;
hi = EMA(H,mov);
lo = EMA(L,mov) ;
x1 = IIf(C>Ref(hi,-1),1,IIf(C<Ref(lo,-1),-1,0));
x2 = ValueWhen(x1!=0,x1,1);
st = IIf(x2==-1,Hi,Lo);
Plot(Ref(st,-1),"",colorYellow,styleNoLine|styleBar|styleNoLabel);
_SECTION_END();

_SECTION_BEGIN("20EMA Flipper");
mov = 20;
hi = EMA(H,mov);
lo = EMA(L,mov) ;
x1 = IIf(C>Ref(hi,-1),1,IIf(C<Ref(lo,-1),-1,0));
x2 = ValueWhen(x1!=0,x1,1);
st = IIf(x2==-1,Hi,Lo);
Plot(Ref(st,-1),"",colorWhite,styleNoLine|styleBar|styleNoLabel);
_SECTION_END();

_SECTION_BEGIN("34EMA Flipper");
mov = 34;
hi = EMA(H,mov);
lo = EMA(L,mov) ;
x1 = IIf(C>Ref(hi,-1),1,IIf(C<Ref(lo,-1),-1,0));
x2 = ValueWhen(x1!=0,x1,1);
st = IIf(x2==-1,Hi,Lo);
Plot(Ref(st,-1),"",colorRed,styleNoLine|styleBar|styleNoLabel);
_SECTION_END();

/* The next section calculates and plots the dynamic 3 day pivots */

_SECTION_BEGIN("3 Day Pivots");
Hi1 = IIf(Day()!=Ref(Day(),-1),Ref(HighestSince(Day()!=Ref(Day(),-1),H,3),-1),0);
Hi = ValueWhen(Day()!=Ref(Day(),-1),Hi1,1);
Lo1 = IIf(Day()!=Ref(Day(),-1),Ref(LowestSince(Day()!=Ref(Day(),-1),L,3),-1),0);
Lo = ValueWhen(Day()!=Ref(Day(),-1),Lo1,1);
Cl1 = IIf(Day()!=Ref(Day(),-1),Ref(C,-1),0);
Cl = ValueWhen(Day()!=Ref(Day(),-1),Cl1,1);

rg = (Hi - Lo);
bp = (Hi + Lo + Cl)/3;
r1 = (bp*2)-Lo;
s1 = (bp*2)-Hi;
r2 = bp + r1 - s1;
s2 = bp - r1 + s1;

Plot(s2,"",colorRed,styleBar|styleNoRescale|styleNoLabel);
Plot(r2,"",colorRed,styleBar|styleNoRescale|styleNoLabel);
Plot(s1,"",colorBlue,styleBar|styleNoRescale|styleNoLabel);
Plot(r1,"",colorBlue,styleBar|styleNoRescale|styleNoLabel);
_SECTION_END();

/* This next section calculates and plots the daily pivots using fibonacci ranges */

_SECTION_BEGIN("Daily Fib Pivots");
Hi1 = IIf(Day()!=Ref(Day(),-1),Ref(HighestSince(Day()!=Ref(Day(),-1),H,1),-1),0);
Hi = ValueWhen(Day()!=Ref(Day(),-1),Hi1,1);
Lo1 = IIf(Day()!=Ref(Day(),-1),Ref(LowestSince(Day()!=Ref(Day(),-1),L,1),-1),0);
Lo = ValueWhen(Day()!=Ref(Day(),-1),Lo1,1);
Cl1 = IIf(Day()!=Ref(Day(),-1),Ref(C,-1),0);
Cl = ValueWhen(Day()!=Ref(Day(),-1),Cl1,1);

rg = (Hi - Lo);
bp = (Hi + Lo + Cl)/3;
r1 = (bp*2)-Lo;
s1 = (bp*2)-Hi;
r2 = bp + rg;
s2 = bp - rg;
r2o = bp + (1.272*rg);
s2o = bp - (1.272*rg);
rh = bp + (0.5*rg);
rl = bp - (0.5*rg);
rh6 = bp + (0.618*rg);
rl6 = bp - (0.618*rg);

Plot(s2,"",colorCustom12,styleBar|styleNoRescale|styleNoLabel);
Plot(r2,"",colorCustom12,styleBar|styleNoRescale|styleNoLabel);
Plot(rh,"",colorCustom12,styleBar|styleNoRescale|styleNoLabel);
Plot(rl,"",colorCustom12,styleBar|styleNoRescale|styleNoLabel);
Plot(bp,"",colorYellow,styleThick|styleNoRescale|styleNoLabel);
Plot(rh6,"",colorWhite,styleBar|styleNoRescale|styleNoLabel);
Plot(rl6,"",colorWhite,styleBar|styleNoRescale|styleNoLabel);
Plot(r2o,"",colorWhite,styleBar|styleNoRescale|styleNoLabel);
Plot(s2o,"",colorWhite,styleBar|styleNoRescale|styleNoLabel);
Plot(s2o,"",colorBlack,styleArea|styleNoRescale|styleNoLabel);
Plot(s2,"",colorPlum,styleArea|styleNoRescale|styleNoLabel);
Plot(rl6,"",colorBlack,styleArea|styleNoRescale|styleNoLabel);
Plot(rl,"",colorDarkOliveGreen,styleArea|styleNoRescale|styleNoLabel);
Plot(rh,"",colorBlack,styleArea|styleNoRescale|styleNoLabel);
Plot(rh6,"",colorDarkOliveGreen,styleArea|styleNoRescale|styleNoLabel);
Plot(r2,"",colorBlack,styleArea|styleNoRescale|styleNoLabel);
Plot(r2o,"",colorPlum,styleArea|styleNoRescale|styleNoLabel);
_SECTION_END();

//--end----------------------------------------------------------------------------
 
Re: Daytrading- How to make a profit

I have just noticed the forum software has inserted some gaps where they are not wanted.

If anyone is having trouble with this I can email the code.

Also I have pivots for longer time frames if anyone wants them,
ie
dynamic 3 weekly
monthly
dynamic 3 monthly

These are the ones I find useful, but you can plot any time frame if you want to....weekly, yearly, whatever.

Cheers
 
Re: Daytrading- How to make a profit

Can I use it with EOD?
My short term system is FUBAR :microwave

Hehehe. Just like a cat! (kidding RSPCA- I know not to dry my cat this way)
 
Re: Daytrading- How to make a profit

Thanks Wayne! :D

Found those spaces that were inserted.

Off to digest the info..
 
It's Snake Pliskin said:
Wayne,

Lets fire this thread up again.
Click to expand...

I'm game, but I don't want to do live trades, but won't "hindsite trade" either. Purely a look at the action like the charts above.
 
Great thread, only just realised it was here, thanks for reopening snake :) .

There is a perception that very few people make money, im no judge as to the real number but like most forms of trading, people give up too easily when things go bad, I know I was guilty of this in the past!, but too illustrate, most days I lose, most weeks its 50/50 win and lose, most months I win, 10 out of 12 months this year were profitable.

Cheers

Pager
 
Pager said:
Great thread, only just realised it was here, thanks for reopening snake :) .

There is a perception that very few people make money, im no judge as to the real number but like most forms of trading, people give up too easily when things go bad, I know I was guilty of this in the past!, but too illustrate, most days I lose, most weeks its 50/50 win and lose, most months I win, 10 out of 12 months this year were profitable.

Cheers

Pager
Click to expand...

Pager,

Yes the propaganda is so powerful. If only some sheep did what it took to get an understanding.......

Care to contribute some trades?
 
An Interesting blog article from a bloke with a bit of credibility:

Ernie is a quantitative trader and consultant who helps his clients implement automated, statistical trading strategies. He can be reached through www.epchan.com. Ernie has worked as a quantitative researcher and trader in various investment banks (Morgan Stanley, Credit Suisse First Boston, Maple Securities) and hedge funds (Mapleridge Capital, Millennium Partners, MANE Fund Management) since 1996. He has a Ph.D. in physics from Cornell University.
Click to expand...

http://epchan.blogspot.com/2007/02/in-praise-of-day-trading.html

In praise of day-trading

A recent article by Mark Hulbert in the NYTimes talked about the Value Line's rankings, and how this system is under-performing the market index in recent years. Mr. Hulbert asked Professor David Aronson of Baruch College whether this drop in performance means that the system has stopped working. Prof. Aronson says no: he believes that it takes 10 or more years [my emphasis] of under-performance of this strategy before one can say that it has stopped working! This statement, if taken out-of-context, is so manifestly untrue that it warrants some elaboration.

To evaluate whether a strategy has failed bears a lot of resemblance to evaluating whether a particular trade has failed. In my previous article on stop-loss, I outlined a method to determine how long it takes before we should exit a losing trade. This has to do with the historical average holding period of similar trades. This kind of thinking can also be applied to a strategy as a whole. If your strategy, like the Value Line system, holds a position for months or even years before replacing it with others, then yes, it may take many years to find out if the system has finally stopped working. On the other hand, if your system holds a position for just hours, or maybe just minutes, then no, it takes only a few months to find out! Why? Those who are well-versed in statistics know that the larger the sample size (in this case, the number of trades), the smaller the percent deviation from the mean return.

Which brings me to day-trading. In the popular press, day-trading has been given a bad-name. Everyone seems to think that those people who sit in sordid offices buying and selling stocks every minute and never holding over-night positions are no better than gamblers. And we all know how gamblers end up, right? Let me tell you a little secret: in my years working for hedge funds and prop-trading groups in investment banks, I have seen all kinds of trading strategies. In 100% of the cases, traders who have achieved spectacularly high Sharpe ratio (like 6 or higher), with minimal drawdown, are day-traders.
Click to expand...
 
Evening all,

I scalp the spi with a 50 volume chart, and using the 50 cci..
as you can see a safe trade is the x of the zero line of the cci as marked..
I take the trade off at the x of the +/- 100 and wait for another trade if it comes along..but that of course is up to individual traders.. you can take it off at the x of the zero line..

Hope that this is of some help to scalpers.

Have a great evening.

Take care
ac
;)
 

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acouch said:
Evening all,

II scalp the spi with a 50 volume chart, and using the 50 cci..
as you can see a safe trade is the x of the zero line of the cci as marked..
I take the trade off at the x of the +/- 100 and wait for another trade if it comes along..but that of course is up to individual traders.. you can take it off at the x of the zero line..

Hope that this is of some help to scalpers.

Have a great evening.

Take care
ac
;)
Click to expand...
Shows how far the SPI has come in terms of liquidity. Not THAT long ago, 6 or 8 50 volume bars would have taken you into lunchtime . LOL
 
acouch said:
Evening all,

I scalp the spi with a 50 volume chart, and using the 50 cci..
as you can see a safe trade is the x of the zero line of the cci as marked..
I take the trade off at the x of the +/- 100 and wait for another trade if it comes along..but that of course is up to individual traders.. you can take it off at the x of the zero line..

Hope that this is of some help to scalpers.

Have a great evening.

Take care
ac
;)
Click to expand...

nice work acouch:)

Feel free to come and post some more charts/talk to the rest of us punters in the other index threads. Always good to see some more index traders showing up:)

Cheers
 
Way to complicated for your average joe....

Wayne, how long has it taken you to learn all that?

If you get sick of trading you should start running classes and workshops.

Question I have. How many people lose money doing what you do?
 
acouch said:
Evening all,

I scalp the spi with a 50 volume chart, and using the 50 cci..
as you can see a safe trade is the x of the zero line of the cci as marked..
I take the trade off at the x of the +/- 100 and wait for another trade if it comes along..but that of course is up to individual traders.. you can take it off at the x of the zero line..

Hope that this is of some help to scalpers.

Have a great evening.

Take care
ac
;)
Click to expand...

AC

very very impressive! cheers for that post.
 
Ken said:
Way to complicated for your average joe....

Wayne, how long has it taken you to learn all that?

If you get sick of trading you should start running classes and workshops.

Question I have. How many people lose money doing what you do?
Click to expand...

Had some fun wins and lots of losses day trading!
 
Ken said:
Way to complicated for your average joe....

Wayne, how long has it taken you to learn all that?

If you get sick of trading you should start running classes and workshops.

Question I have. How many people lose money doing what you do?
Click to expand...

If someone is making good mo. from the markets,why would they want to show others the pitfalls and the better way.Only if to set them up to knock them down maybe.

The more traders in the market, the bigger the takings for the experienced.
New traders beware.
 
Wysiwyg said:
If someone is making good mo. from the markets,why would they want to show others the pitfalls and the better way.Only if to set them up to knock them down maybe.

The more traders in the market , the bigger the takings for the experienced.

New traders beware.
Click to expand...

LoL,

That is a great conspiracy theory!

Let me tell you, anything I post with a chart is designed to show others what I believe is happening, not to trick them!

I don't agree with you at all, I have received wonderful advice and support from many members of ASF and I am constantly learning from reading members posts.

I bet your a glass half empty kind of guy!:D
 
Trade_It said:
LoL,

that is a great conspiracy theory!

Let me tell you, anything i post with a chart is designed to show others what I believe is happening, not to trick them!

I don't agree with you at all, I have received wonderful advice and support from many members of ASF and i am constantly learning from reading members posts.

I bet your a glass half empty kind of guy!:D
Click to expand...


I was interested in a reply from ken.I don`t recall whistling.:D
 
This is a two range chart for the er2..

Entry as you can see, if you miss the first entry, you can get the first retrace the next orange arrow..with the test of the zero line on the 50 cci..


Another example of the 50 cci, and why i take it off at the x of the +/-100 line..orange arrow at the +100, or the green arrow exit at the zero line exit..

Good trades for this evening, nearly my bedtime .

ac
;)
 

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