Weekly income from trading - is it possible?

[Trembling Hand]

TH
"Average" compared to when they are included.

Tech I'm not sure if I'm on the right track but,

The daily profit from that scatter chart was $4500 I think total and just under $500 without the 10 or 12 outliners included. (after brokerage)

The outliners are a result of being "in" the market a lot. Some just go past my target almost straight away and then I just trail a stop. Now If I could just find out which ones they are before I trade

 

[PolarBear]

Hi All,

So this is my first post here - so I have absolutely no credability .. but we all have to start at some point or another.

I have read with interest the threads about traders international and this thread, and wanted to ask a couple of questions to draw from the experience here in this room.

A bit of background... I'm only new to trading, have been reading everything i could get my hands on over the past 3-4 months. This probably doesn't sound like a long time, but i can usually pick things up pretty quickly... i'm and aero engineer, phd, etc, and am good with programming and numbers..
I've looked into heaps of indicators and strategies, and downloaded ninja trader to do some simulations.

The eminis thing from traders international sparked my interest initially, but as i've read on your forum, and through my dealings with affiliate programs in the past, i can see the intention for them is to make money off their affiliate program...
anyway, i'm gettign off topic... so, onto my questions....

Also, I have gotten the past 10 years worth on 1 minute intraday data for ES S&P500 futures, and written programs to convert that and imported into ninja trader to investigate indicators and strategies via backtesting... I'm also in the process of coding up some neural networks (did a lot of this in my phd years) to look at data and try to learn patterns to perhaps indicate trades (not sure on this at the moment).

Some factors in my thinking at present:
- I chose the emini S&P500 futures market as it's got good volume, liquidity, etc
- only trade in the open market (8am-4pm)
- perhaps don't trade around news announcement times

SO, my questions are:
- does anyone do backtesting on their strategies like what I'm talking about (I noticed TremblingHand that you had some ninja trader plots on one of your posts - do you use this for testing?)
- is backtesting startegies over a 10 year timeframe for trading S&P500 futures valid - ie: has there been any big events that would say make testing strategies at particular times irrelevant to the market at the moment (I have data from 1998-2008)?
- I wonder from what i've read in this forum regarding scalping, and going short/long for small periods of time, whether/why if people have particular things they look for before trading, why this can't be totally automated?
(but i guess if this existed then someone would be cleaning up - maybe they are??)
- leads to... if it's not an entirely mechanical process based on indicators, then what do people think are the outside influences (obviously how well the top 500 US companies are doing.... anything else?)?

Anyway, that's probably enough of a rant/questions for now.

Thanks again - and very interesting and informative site.

cheers
Daniel

 

[Trembling Hand]

Welcome Daniel.
Lots of people here back test and run systems like you have indicated. I don't back test. My trading provides all the info I need. I do test for patterns that I "frame" ideas around but my trading is discretionary.

And I don't use indicators. Price and volume (and there patterns) is all I'm interested in.

there is some very experienced system traders here that you can ask question to.

As for a automated scalping system I can tell you the smaller the Time frame the greater the frequency will need to be and then execution become much more important. (paying the spread for a 20 tick target is nothing but paying the spread for a 8 tick target will kill you)
That is if you mean scalping, as in doing 10 to 50 round trips a day. Not sure how that can be accommodated into a high frequency system especially if its based on an backwards looking indicator. But they are out there. If you are sharp enough they are paying $1 mil a year for physic PhD etc on Wall Street to do the same thing.

 

[PolarBear]

Thanks for the reply TH.

One thing, would you be able to explain a little more what you mean by: "paying the spread for a 20 tick target is nothing but paying the spread for a 8 tick target will kill you". In particular 'paying the spread'

As I said I'm new to this game, and I don't really follow what your saying here.

thanks in advance,
Daniel

 

[Trembling Hand]

Thanks for the reply TH.

One thing, would you be able to explain a little more what you mean by: "paying the spread for a 20 tick target is nothing but paying the spread for a 8 tick target will kill you". In particular 'paying the spread'

As I said I'm new to this game, and I don't really follow what your saying here.

thanks in advance,
Daniel

At any time there is a difference between the price you can buy at and sell at. With the ES its 0.25 of a point. If you are using Market orders to enter and exit and your target is only small you are losing 0.5 points of the move or 2 ticks.

If your target is 8 ticks thats 25% of the move and going to make what looks like a profitable system in back testing disastrous in practice. But if your looking for 20 or more ticks its not going to effect you so much. Also you have to know that that spread takes from your profits and ADDS to your loses.

What size move were you looking at trading?

 

[julius]

Hi Daniel,

Couple of thoughts:

Futures markets are saturated with algorithmic trading models. These aren't all neccessarily designed to profit from small price movements, but they still dominate small timeframes. You also have discretionary scalpers like Trembling looking out for these kind of patterns in the order book.

Backtesting results are difficult to verify because of the effect of slippage on performance. Brokerage is also very significant because of trade frequency.

If you have access to there are some interesting articles related to this in the finance journals.

 

[PolarBear]

Cheers, thanks guys for the responses.

I do have a slippage variable that I can include in the backtesting for the reasons you are both suggesting.... At present I have this set at 0.5 which I'm assuming is reasonable (PLEASE correct me if this is incorrect)....

I have observed in my siimulations that it's a LOT easier to make profits on a system when that slippage parameter is set to 0.

So the long and short of it, is that I *think* i'm on the right track - just need to keep testing stuff.

TH, thanks for that explanation.

What size move were you looking at trading?

As far as size, i'm still experimenting. With the sims I'm doing i've put in profit targets and stop losses as inputs, so I can optimize each strategy and work out what the best levels are....
Although at present these are fixed. I want to test putting in trailing stop losses and move up my profit target for trades that continue through past the profit target.. i'm still thinking on ideas for this.

cheers,
d

 

[Timmy]

I do have a slippage variable that I can include in the backtesting for the reasons you are both suggesting.... At present I have this set at 0.5 which I'm assuming is reasonable (PLEASE correct me if this is incorrect)....

IF that slippage is 0.5 (half a point, i.e. 2 tics) in the ES then I would think that is more than enough in amounts up to around 150-200 (rough figure), on average.

p.s. Good input Daniel - on this thread and others, thanks.

 

[MACCA350]

WOW,

I've been reading through these forums for a couple of weeks and this thread has simply floored me.

Absolutely amazing Trembling Hand!!

We have a large amount of cash that we are looking to invest, hence why I've been reading this forum.

Trembling Hand, does your method work for larger investments(ie $500k+) or is it only freezable for smaller amounts?

Also, is this your personal investment or do you take on investors?

cheers

 

[tech/a]

Need more be said.

 

[MACCA350]

Need more be said.

Thanks for the welcome

cheers

 

[Trembling Hand]

We have a large amount of cash that we are looking to invest, hence why I've been reading this forum.

Trembling Hand, does your method work for larger investments(ie $500k+) or is it only freezable for smaller amounts?

Mostly No. I trade from 1 to 6 contracts at a time and that only requires about $150,000 to stick to reasonable money management. The markets that I trade (SPI & HSI) are pretty thin to scalp so any more than that would require me to change my method. BUT that is what I am working on now. A method to use my scalping execution to build bigger positions and work in and out of them. I am looking forward to the challenge of swinging a much bigger position.

Also, is this your personal investment or do you take on investors?

No. As you can see I'm doing OK with my own $'s. BUT you never know maybe......

 

[MACCA350]

Mostly No. I trade from 1 to 6 contracts at a time and that only requires about $150,000 to stick to reasonable money management. The markets that I trade (SPI & HSI) are pretty thin to scalp so any more than that would require me to change my method. BUT that is what I am working on now. A method to use my scalping execution to build bigger positions and work in and out of them. I am looking forward to the challenge of swinging a much bigger position.



No. As you can see I'm doing OK with my own $'s. BUT you never know maybe......

Thanks for the reply

I have nothing but respect for yourself and others that have the ability increase capital at such rates I could only dream about. There is no way that I could even attempt such a feat.

I have only tried some paper trading on ASX and increased 400k to 488k(and sold a couple of the big winners) and dropped 200k to 186k in the last few days. And thats about the extent of my learning so far

I am looking for an investment in about 2 months and really have no idea where to start. We have spoken to a financial adviser from our layers firm and will seek some advise from him when the time comes.

I already have Westpac Broking setup and will probably set aside some of the funds to have a crack myself but as for the rest I am looking for somewhere to invest that will surpass the average interest accounts and investment funds. I have been searching for companies that perform aggressively but I have found it difficult to find such companies(or even where to look) on my own. I suppose the financial adviser may be able to shed some light here.....maybe

Anyway I was quite amazed at what returns some of you are able to achieve that some of us could only dream of......my hat is off to you all :bowdown:

cheers

 

[Trembling Hand]

I am looking for an investment in about 2 months and really have no idea where to start. We have spoken to a financial adviser from our layers firm and will seek some advise from him when the time comes.

I suppose the financial adviser may be able to shed some light here.....maybe

Actually my opinion about Fin Adviser is that they will not give you any info about out performing anything. At best they can help spread some money around a couple of asset classes that may or may not hit a winner.

I would look at a private client broker with a track record. The last thing you should probably do is rush in with a heap of cash and start trading.

 

[MACCA350]

Actually my opinion about Fin Adviser is that they will not give you any info about out performing anything. At best they can help spread some money around a couple of asset classes that may or may not hit a winner.

Those were my thoughts about financial advisers also based on the kinds of returns that were mentioned in the initial meeting.

I would look at a private client broker with a track record.

So that's what they're called :bonk:
Are there any that stand out?
I've heard 'Interactive Brokers' mentioned on the forum. I just found this list on the ASX website, would they constitute the majority of private brokers or are there others that should be considered?

............If this discussion is not appropriate please let me know before I get the stick...........

The last thing you should probably do is rush in with a heap of cash and start trading.

Absolutely, any investment in my own stock trading would be a small amount that I'd expect to lose.

cheers

 

[Andy_aus]

Correct me if im wrong but interactive brokers is mainly for execution. What i think TH is referring to is a private broker who will give you advice.

 

[nathanhulls]

Interactive Brokers is a brokerage who provides individuals and businesses with brokerage accounts and trading accounts - I think the private client broker TH is talking about is more like a company who will manage your investment for you...?

 

[tech/a]

TH is speaking of a Full Service Broker.

 

[white_goodman]

TH is speaking of a Full Service Broker.

sounds like it takes the fun out of it