Why don´t you use the easiest strategy : if ES volume > 15.000 / min > follow the trend. Otherwise stay out and enjoy the show program.
The strategy doesn't change. I place bets on well-defined stationary distributions that I obtain by adjusting price to volatility. For instance you can see attached the past 1000 observations for a specific swiss stock. As you can see on the graph, the price deviation from the mean is stationary (and almost gaussian distributed). I wouldn't worry too much about very high frequency trading as in this kind of trading the edge lies mostly in the execution. Compounding at a "low" frequency of 10 trades per day per instrument is enough to ensure you won't have a losing day (provided that you trade enough instruments).
I see. Thanks for the chart. Do you think you could configure this chart to only show statistics for example when the 50 EMA Daily is increasing or maybe doing the opposite? Not that I want it to make it sound like you are doing my homework for me Dad.. If not, do you think you could just change the chart to show bars instead of the connected lines if you would be so nice as to post that? If not, thanks for the ideas/ thoughts. Appreciated Later
The volatility adjusted price is an interesting concept. Is this proprietary or can you point me to any additional information?
More important, how do you trade it? MAESTRO posted, sometime around Dec 2009, a method talking about taking current price and dividing it by a volatility estimate (I think he used a 30-day ATR). De-trending (using a linear regression or something like that), you would get something that was nearly gaussian (the fat tails were almost non-existant). Or at least that was the claim. The issue becomes: how do you trade it? If you know that your price, divided by your current level of volatility is too high ... what do you trade? You have two choices -- either price will increase, or volatility will decrease. So you would probably want to trade a long strangle of some sort, I suppose. I never found much use for the information because I don't trade options -- but maybe I am missing something.
I was thinking the same thing. I have something similar for bond spreads (vix) but the cost of entering the market is just too great for me.
I read the thread. Your opening post outlines the reasons for your failures. Others comments, those who have a handle on analysis, are those you can switch to to establish a standard. Just as you do not wish to reveal the details of what you are doing improperly, it probably not useful for anyone to rough out the way you have most things turned upside down, figuratively speaking. As a simple starter comment that will be instructive to readers, skip using open and/or close data.
I really don't have any problems. Currently, what I have works. It works well. My question more lies in the realm of what has caused these changes in trading that I am observing and if anyone else has noticed the same thing? Apparently only 1 person has been automated over these timeframes and I am still not even sure exactly what this user is talking about. The next question I have is how do you start to anticipate these changes and how often people that are 100% automated as I am planning to be are updating or refining code etc.. I took the code all the way back to 2002 just as of earlier today and I have found the switch actually occurs more around beginning of 2008 and not 1/1/2009 like I thought previous. Other than this quasi bear market starting around then I am still searching for something w/ more substance/quantifiable.
I remember at the very first or second trading day of 2008 as the day I became convinced we were in for a larger correction than the "normal" twice-a-year scares. Then you had that first bank-thing in Feb/Mar and a proper credit crisis, banks in trouble etc started to become a serious worry. Although the markets shrugged it off at first, combining all this with the knowledge that the US housing bubble definitely had peaked and there was no other reason to be bullish than for short-term trades. So to sum it up; my psyche changed immediately at the start of 2008, perhaps that's just a coincidence or "someone" else also saw it this way. Certainly with the bets GS et al set up against the housing market (evidenced by record profits) they probably also shifted their books before pushing the story publicly.
It is weird. Maybe I am just observing the herd mentality that is just subconsciously accepted. Or it could have been that 1/8th of mushrooms. Florida in the summertime