Greetings - I am interested in anecdotal evidence as well as any charts people can post from their own data/books/etc of intraday 1-5 minute charts prior to 2008 on ES, and CL futures in particular, NQ would be interesting as well. I believe that futures markets are much more HFT/algorithm-dominated, fast-moving, and at times, defying rationality. Based on the antiquated anecdotes Al Brooks mentions in his books, like trading and scalping with hundreds to thousands of contracts on the ES intraday, and my own awful personal experience, I believe the HFT and algorithms really took over the markets from human traders in 2008-2009. I suspect even seasoned day trading successes like Al Brooks are probably trading only several contracts at a time now, due to the wide stops necessary in these stop-hunting and choppy markets where the algorithms are rapidly evolving to weed out inefficiency (human traders)
I am still actively looking for old 1-5 minute timeframe charts of the futures markets from pre-2008, charts from the 90s would be ideal. Please share anecdotes also--were Crude Light futures always so fast-moving or is it an HFT paradigm shift which makes it consistently untradable for non-computer day traders traders? Oh, it turns out Al Brooks now only trades a small # of contracts and doesn't put much thought into his stop placements. Take from that what you will.
I am still looking for futures 1-5 minute data from '97-'01. CL and ES and NQ. Anyone know where this can be found?
If you want to compare today's price movement on intraday charts with that of pre-computer times, you shouldn't find much difference. Basic price movement hasn't changed. In the 80's and 90's I sat in the broker's office all day plotting 1 and 5 minute charts by hand (Nikkei225 futures). Today I basically use the same analysis as then with no problem. The main difference between then and now is just the much shorter time it takes to get from price A to price B, and for which I'm thankful. While I trade off a tick chart now, I do follow a 1 minute chart, which looks the same as it did decades ago. And, of course, if you can read the price movement, it really doesn't matter if the buyer is an algo or my granny, does it? Hope this saves you some time (if you take my word for it!!).
I think it would be a more robust study if you were to somehow be able to compare order books and depth-of-market. Time and Sales data or very short term bar charts are going to tell you very little ( if anything ) in terms of automated spoofing and order flipping and gamesmanship.
Nanex says CME futures order books are rigged by HFT/algorithms now, however they have a vested interest in pushing that agenda and the fact that their founder isn't a trader is disheartening. As a day trader who uses wide stops and usually small profit targets, I say personally that the HFT 1-minute moves of today can be shocking when on the wrong side with more than 1 contract. I have read hearsay reports that NQ futures back in the 1998-2000 era mostly just moved straight up on bullish days with small pauses/pullbacks, if true (I await forum posters' charts) this makes today's markets seem much more perilous for scalpers and short-term (hours rather than days) swing traders.
While I am inclined to agree with you, there are some traders making money "point and click" trading intraday. Based on what I have seen firsthand at Chicago prop firms I would say that they are fewer than in times past but I have no hard number empirical evidence to back that up. The "point-and-click" Chicago futures prop firms from the 90's and early to mid-2000's have largely been replaced by more automated firms, and that is a fact. What's more, I have an obvious bias in that my belief is that for many traders spread trading over longer timeframes makes more sense than short term flat price directional risk. So, yeah, I agree but I'm biased. I'm also sticking to my premise that an order book comparison would be a far more robust and telling exercise than T&S or chart data.
If memory serves: Between April 10, 2000 and April 14, 2000, NDX dived almost 1,100 points in five trading sessions. April 14, 2000 is one of the worst days, if not the worst, for this index pointwise (more than 300 points). With this kind of volatility, you can probably say that NQ moved straight down on bearish days too.
Still, I wonder how HFT has affected the speed of price action at the 1-minute level. I'm surprised no old-timer scalpers are atleast sharing anecdotes here...perhaps there were even less successful index market 1-5 minute timeframe day traders prior to the algorithm invasion of the 2000s.