Yep, simple math based on an absurd example. It's bad advice to further stack the odds against someone based on potential tax implications that are unlikely to ever come into play. The size of the edge must be much larger than the bid/ask difference for this to even be a consideration. If at some point taxes were reducing net earnings then it would make sense to switch, but not before. I'll shut up now.
Uh-oh, something has tripped Surfers vendor-radar. It must be pretty sensitive because I didn't even hear any talk of no losing days or hundreds of ticks a week with miniscule risk. LOLOL!!
I follow the works of the infamous ES futures day trader Al Brooks. He and other price action trades such as Mack from PATS Trading look for 1 point with a risk of 1 point or more on the ES when scalping. This is exceedingly difficult now in the HFT era. Brooks also mentions intraday swings, based on the 5-minute charts on the ES in the past few weeks, which require wide stops of up to 14 points, this is in a non-exceptionally volatile macroeconomic context. The algorithms and HFT are what are creating the volatility, not macroeconomic events, as was common in the pre-HFT 2008 and earlier era of trading.
I suggest it has much less to do with algorithms and HFT than mean reversion, at least with regard to those intraday swings based on the 5m charts. Those who trade with mean reversion in mind don't need 14pt stops. Scalping, of course, is another matter entirely.
The most important metric for mean reversion I have seen on index futures markets, or any (algorithmic) market, is VWAP. Recently on the ES the algorithms break well below two standard deviations from the VWAP, running all stops, sometimes stalling and forming a small trading range below the 2 SD VWAP, forcing discretionary traders who didn't have stops entered to sell at the market, prior to reversing back to the mean and, like earlier this week, then reversing in a bullish trend above 3 standard deviations from the mean VWAP, IMHO these sort of feints are really dangerous for discretionary traders now, especially those with small accounts (less than 100 thousand USD) or less than a decade of day trading experience.
I used to get sucked into those moves...that's why i only day trade opportunistically now when jobbing around my core positions kicked out from my system. the worst part are the iceberg orders that front run you forcing you to pay up amd then the liquidity dissaplers... thats why now i only leave limit orders most of the time now...i dont even bother playing their game But is this any worst when the bank cartels would run in a market?
I read that you dont trade cross correlations of assets ( such as gold-euro) as you did years ago. Do you still watch them? , and if so how do they help you? For example, Maybe that experience gives you uncommon range and flexibility in selecting which relationships to trade at a given time. Thanks. Nice thread.