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Trembling Hand: "I consider this volatility the best of times"

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Sir Burr

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https://www.aussiestockforums.com/forums/newreply.php?do=newreply&p=273388

Trembling Hand said:
Your kidding?

All for capital preservation and not losing money when your cold but just because she's not going straight up doesnt mean its not a market to be traded. I consider this volatility the best of times.
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Trembling Hand, interested if you could explain a little futher.

Being a longer term trader myself, how do you trade this "best of times" current market?

  • Intraday (catch short trends)?
  • System trading (channels)?
  • Discretionary?
  • Shorting?

Cheers SB
 
Sorry for the late reply been out battling the mighty Victorian Alps :cool:

My trading style is discretionary scalping of Futures. Main instruments I trade are HSI & SPI Futures but also dip in and out of commodities (gold mostly) Forex futures and the odd European & US index futures.

When I say scalping I mean it in the true sense. A lot of people use that word but scalping for me is looking for a profit target that is a couple times the bid/ask spread. I'm very active doing about 100 trades on the SPI then up to and beyond 300 per day on the HSI.

What I mean about this being the "best of times" is the volatility has enabled me to not only trade more but increase my profit targets a couple of points because of the larger moves. So I'm getting more trades with better expectancy. I have also had many more greater than 1 R losses than normal because of that volatility but because of the bigger moves once you are on a good one its still working in my favour.

I normally start the day trading about 60% of my "normal" size and increase it as I build profit. Last two weeks I have been at full size within the first 30 min.

My win loss ratio hasn't changed during this time.
 
TH, which price patterns do you use? Closing of gaps? Nonrepeater patterns? Certain price/time trends?

Interestingly, I just read a quote by Donald Sliter from "The Outer Game of Trading". He said an average day for him consists of a coulpe thousand contracts. His philosophy is apparently this simple: "I scalp to the short side if we are trading weak to the Dow. I scalp to the long side if we are trading strong to the Dow". He was one of the biggest traders in the S&P pit during the mid 80s to mid 90s. Whether you use the Dow and S&P Futures or cash S&P is debatable.
 
I use 1 min charts and very basic price patterns but really mostly Trade from the DOM. On the HSI my average time in a trade is running at 23 seconds for this year. On the SPI its just under 45 seconds. Some trades will obviously last a lot longer, the really good ones that is.

I really am just trading what 99.9 % of traders consider noise. The movement in a 1 min bar.
 
Ah k, damn, that is a quick scalp! Cant say I would have the ballz (well moreso the ability) to trade noise, good work!

Cheers
 
This is a look at a good day for me scalping the HSI.

These details I monitor in real time via an excel spreadsheet and IB's API
First is a scatter chart of individual trades.
Second daily P & L for that instrument.
Third is a breakdown of winners/losers, expectancy, commish etc.
As you can see the expectancy is pretty thin but because of the number of trades its still profitable.
 

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Trembling Hand said:
This is a look at a good day for me scalping the HSI.

Theses details I monitor in real time via an excel spreadsheet and IB's API
First is a scatter chart of individual trades.
Second daily P & L for that instrument.
Third is a breakdown of winners/losers, expectancy commish etc.
Click to expand...

The first is point per trade?

How do you get that into excel if you don't mind me asking?
 
TH

Those 7 trades above 40
If they were removed what then would the results be.

My suspicion is its the outliers which gain you the edge and make it worth while.More so that the Frequency.
 
tech/a said:
TH

Those 7 trades above 40
If they were removed what then would the results be.

My suspicion is its the outliers which gain you the edge and make it worth while.More so that the Frequency.
Click to expand...

Yes true but the larger trades are a normal function of my high frequency trading. How do you seperate one from the other? Probably 90% of it falls within the averages quoted. With all the large winners removed its only just positive after brokerage. As you can see below with the trades removed.

But that is normal with scalping. What I concentrate on is trying to keep the losses just smaller than the winners and I will have a positive day. What makes a good day is if I get on a couple of big ones that sweep away all the brokerage cost and push the avg win up.
 

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Looking at this then you could say well why go to all the problem of hundreds of trades a day? why not just go for the 7 greater than 40 point winners? You probably know my answer to that.
 
Thanks very much for sharing those stats TH, it's always informative to see how basic money and risk management principles apply to different styles of trading. for eg, intraday scalpers vs long term trend followers.
 
first thing that comes to mind is what the results would be like with random entries and the same money management strategy.
 
Just as a note to anyone who hasn't traded the HSI the average spread would be around 10 points or just under (sometimes 20 or more). Its taken me some time to get the Average loss to anything like the size of the spread or even 2 times the spread.

You can do it always trading at limit but then you miss the big winners as they run away from you and still always get the bad ones :rolleyes:
 
Trembling Hand said:
Just as a note to anyone who hasn't traded the HSI the average spread would be around 10 points or just under (sometimes 20 or more). Its taken me some time to get the Average loss to anything like the size of the spread or even 2 times the spread.

You can do it always trading at limit but then you miss the big winners as they run away from you and still always get the bad ones :rolleyes:
Click to expand...

Ah now I understand your result chart better I didn't realize the spread size, thats a very impressive day TH thanks for putting it up.
 
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