The Contents of a Bar

[ducati916]

Stock Halt
Happens often when trading Smalls
But Has never been an issue relative to
capital at risk and net worth.

Fair enough, in this case the answer [would seem to be] diversification, leading to small position sizes. From reading some of your posts, it would seem that you have moved in the opposite direction, viz more concentrated [day] trading futures.

Also given that a stock halt was posited in the day trading milieu, how small a position would you day trade?

When I day traded, I would trade 1 position at a time, and they were definitely larger than if I was running a longer term portfolio of stocks. If a stock got caught in a halt, moves against my position definitely hurt and I definitely got caught a few times.

jog on
duc

 

[ducati916]

FUTs Locked limit.

Never seen it on an Index.
Id be on the right side of it anyway and would
just call you up and P-a-r-t-a-y.

Nice.

jog on
duc

 

[ducati916]

Futs Halt - pretty rare, but you can always hedge with other correlated futs or even CFDs

So you would do this as a matter of course? Or are you saying after the fact, you would try to implement this as a way to save/bail out the position?

jog on
duc

 

[ducati916]

You are clueless on what I or anything else is aware of . good bye from me . If you ever wanted clues about how to correct " your " failings on system trading you aren't going to get **** from me or anyone else . YOU cant do it and YOU are so clever it must be impossible because it cant be ME . sorry I wasted a couple minutes on you ... wont happen again

You seem very angry. Not my intention at all. My apologies.

jog on
duc

 

[tech/a]

You seem very angry. Not my intention at all. My apologies.

jog on
duc

He doesn't know you Duc!

Small caps
5-10K a position.
Max 5 positions but generally 3

Bit of fun really keeping the hand in.
Futs
1-3 Contracts.

 

[ducati916]

So, with regard to the article linked earlier. There are a couple of issues.

(a) Normal [or any other types] distributions; and
(b) Explanations after the fact

(a) Mathematical distributions and their calculations are in the realm of pure math, or abstract. Pure mathematics is not [in this case] applicable to real life situations [applied math] and this is the root of the problem.

(b) After a [true] black swan event, there emerges a narrative that explains the 'what happened' and makes it seem that if only a, b, c , had pertained, then the event could have been mitigated/avoided/managed.

This [once] again opens the door for the next failure.

True black swans are rare. They are just not as rare as advertised. Any number of recent events would not classify as black swans: 2008 meltdown, Brexit and many others which were known well in advance and yet, still, they caught many with their pants down.

Increasing complexity, correlations all contribute to [true] black swans. The first step in managing them, is to acknowledge that they exist and assume that you will be caught in one at some point. From that starting point, you are at least operating in reality.

jog on
duc

 

[skyQuake]

So you would do this as a matter of course? Or are you saying after the fact, you would try to implement this as a way to save/bail out the position?

jog on
duc

Its a contingency plan
Most serious traders have backups in place - eg phone trading, laptop. Tech fails often enough that this should be standard practice

Tech failure (exchange side) - Hedge with CFDs via pc or phone app
Tech failure (trading pc/platform) - Call broker/hedge with CFDs via phone app
Net failure - Call broker
Circuit Breaker halts - Hedge with alternate futs eg S&P/Dow/SX5E/DAX if necessary etc
Limit up/Limit down - Not necessary to hedge? this should not be a surprise
Swiss currency debacle - Panic!

Knowing whether your conditional orders sit on the exchange or your broker's server is paramount

Also knowing at what %move does the relevant exchange cancel orders as "disorderly trading"
eg. Dec 2008 SFE cancelled all futs trades > 10%, so if you bought at +8% and sold at +11% you'd be pretty pissed off at midday when the SFE issues their statement about cancellations and the SPI is flat!

 

[ducati916]

Bit of fun really keeping the hand in.
Futs
1-3 Contracts.

tech,

The stock positions are obviously a fraction of your net worth and not too much of a concern even if they went to zero.

Not so with the futures contracts that carry a significant level of leverage.

Getting caught in a lock limit will take a few years off of your life expectancy, as well as potentially a significant amount of dollars from your account if it goes against you.

The only way I know to dig yourself out is via the options market and exercising the position to close out your futures exposure. It's not pretty and you lose a ton of money, but at least you can close out.

jog on
duc

 

[ducati916]

Its a contingency plan
Most serious traders have backups in place - eg phone trading, laptop. Tech fails often enough that this should be standard practice

So it's after the fact [generally] speaking. This is usual and certainly what I did myself for many years.

True risk management needs to be before the fact. This has some obvious drawbacks:

(a) expensive; and
(b) complicated; and
(c) usually not needed.

Which leads to some form of risk management that works in most circumstances. Therein lies the hidden risk.

Trading is so much fun, it would be terrible to be taken out, never to return. So what is needed is something that is cheap, or adds to your bottom [profit] line and classifies as [effective] risk management against the rare event that hurts your orientation in the market.

jog on
duc

 

[skyQuake]

So it's after the fact [generally] speaking. This is usual and certainly what I did myself for many years.

True risk management needs to be before the fact. This has some obvious drawbacks:

(a) expensive; and
(b) complicated; and
(c) usually not needed.

Which leads to some form of risk management that works in most circumstances. Therein lies the hidden risk.

Trading is so much fun, it would be terrible to be taken out, never to return. So what is needed is something that is cheap, or adds to your bottom [profit] line and classifies as [effective] risk management against the rare event that hurts your orientation in the market.

jog on
duc

Pre-trade risk management? If x, then y kind of stuff?
Or more akin to portfolio construction where you hold mostly cash and have small bets on outrageous events?

 

[Quant]

He doesn't know you Duc!

Small caps
5-10K a position.
Max 5 positions but generally 3

Bit of fun really keeping the hand in.
Futs
1-3 Contracts.

Tech knows the drill

As Howard Bandy advocates trade frequently , trade accurately , hold a short period of time .

There is risk taken care of .. trade a lot so no 1 trade puts you under duress , trying to add 20% to account in one trade increases risk of ruin , doing 50 trades to make 20% doesn't . Accuracy is a high hit rate with applicable risk management to make expectancy palatable . Time is risk so keep them trades short , less time in market = less chance **** going south . Trade when the market is active , play golf when it isn't . XJO for instance does a massive part of daily range in first 90 minutes , SPX same . Take a proportion of that range and be done . There are many ways to deal with risk , it aint rocket science . BUT unless you do stats on this type of stuff you are clueless ( don't be clueless ) .. I'd rather be a sytems trader flying on blind luck than be a non systems trader flying totally blind ( insert sarcasm emoji ) The OP just doesn't get it or just likes to argue ( he is a lawyer afterall and will continue to argue even when he knows he isn't correct , it's his job . Don't give him practice ) . Its not difficult to do this systems stuff logically ..

 

[tech/a]

We all know there are no absolutes

And there doesn't have to be !

 

[Quant]

And there doesn't have to be !

Precisely Define the probability , manage the possibility for we know probability doesn't preclude possibility

 

[ducati916]

Pre-trade risk management? If x, then y kind of stuff?
Or more akin to portfolio construction where you hold mostly cash and have small bets on outrageous events?

More option (a), although option (b) is a way to go, it just doesn't sit comfortably with most people, myself included.

jog on
duc

 

[tech/a]

Well duc
Once I became comfortable with the fact that fuzzy is ok and
I can do very well with fuzzy it all fell into place.
That was many years ago.

 

[ducati916]

Precisely Define the probability , manage the possibility for we know probability doesn't preclude possibility

Defining the 'probability' is the first error if using mathematical models. This is not an issue if you manage the 'possibility'.

In your earlier post you listed a number of risk management strategies promulgated by Howard.

As Howard Bandy advocates trade frequently , trade accurately , hold a short period of time .

However not everyone wants to, or can, trade this way, specifically, holding a short period of time, although 'short period' is not defined.

" .. trade a lot so no 1 trade puts you under duress , trying to add 20% to account in one trade increases risk of ruin , doing 50 trades to make 20% doesn't "

I'm not clear on whether this is a strategy of diversification, or just high frequency trading.

There are many ways to deal with risk , it aint rocket science . BUT unless you do stats on this type of stuff you are clueless ( don't be clueless ) .

We return to 'stats' which is the reliance on the empirical. This is what I oppose. I am more of the mind to manage risk a priori. To state that an absence of an empirical analysis makes the person clueless, is an assumption that smacks of mathematical arrogance and itself implies a blindspot to risk.

The OP just doesn't get it or just likes to argue ( he is a lawyer afterall and will continue to argue even when he knows he isn't correct , it's his job . Don't give him practice ) . Its not difficult to do this systems stuff logically ..

What does 'OP' stand for, I'm curious?

Yes I am a lawyer and again it is a misconception that we [as a profession] argue when we know we are wrong. We have a legislated code of ethics that specifically addresses this point.

I enjoy a spirited discussion, this is true, but only with willing participants. I will on occasion argue a position [set of facts] that I do not agree with, playing devils advocate, but this is not to say that I would argue as a fact something I knew to be false.

Mathematics is [pure] logic. However in logic the premise must be a true statement, otherwise the conclusion, even if argued logically, will be incorrect. With statistics, as applied to financial markets, the premise is incorrect, which has been demonstrated a number of times with high profile blow-ups.

jog on
duc

 

[ducati916]

Well duc
Once I became comfortable with the fact that fuzzy is ok and
I can do very well with fuzzy it all fell into place.
That was many years ago.

Fuzzy is fine as long as you know the limitations of fuzzy. You have been around a long time and traded a number of market environments and survived, maybe through (a) luck, (b) skill or (c) some combination thereof.

I know that I myself survived in a number of cases through sheer luck. Realising that made me re-assess exactly what I was doing.

The thing is fuzzy works well 99% of the time. New traders equate 99% with 100%. 100% is very, very hard to achieve, maybe impossible.

Abstract discussions such as this may, illuminate some of the pitfalls. That is one benefit. Other benefits can accrue from explanations about alternatives.

jog on
duc

 

[tech/a]

Duc
You don't have to be right 100%
Luck or brilliance it doesn't matter.
You just have to recognise opportunity
Know what to do with the opportunity
Then DO IT!

Do the above ONCE and you could change your life .

Eg
The housing boom
The tech boom
The mining boom
The gold boom
The oil slump
The rise of the dollar
The rise of the DJI
The rise of the DAX

There are countless opportunities you DONT have to get 100 % right.

Don't let FEAR cripple you
You'll look around and just see a list of opportunities----LOST!

 

[rb250660]

Fair enough, in this case the answer [would seem to be] diversification, leading to small position sizes.

jog on
duc

Are you sure? That's an assumption on your part that may be (and probably is) incorrect. If my net worth is $10mil, and I trade with $500k and bet $25k per trade on a small cap is that a small position size? I dunno about everyone else but it isn't to me. Everything isn't always as it seems on the surface.

 

[ducati916]

Duc
You don't have to be right 100%
Luck or brilliance it doesn't matter.
You just have to recognise opportunity
Know what to do with the opportunity
Then DO IT!

I'm not so concerned with being right, as with being wrong. As long as I can exit, or manage being wrong so that I'm alive to fight another day.

jog on
duc