Does the market really change?

Discussion in 'Trading' started by Blitzjoker, Oct 11, 2020.

  1. TimMykes

    TimMykes

    Thats right

    A great trader knows if something is 10 cents off

    Anyone that gets blown away by change, was always playing russian roulette
     
    #91     Oct 14, 2020
  2. MrRenev

    MrRenev

    Interesting... There is so much evidence about it, but you know better. "But muh lambo and trading educator $2999 course!".

    Taiwan (entire country): 99% of day traders are individual investors, most of the other 1% are corporations (hedgers, insiders, idk)
    Almost all of them lose (I suspect the few ones that make money are the ones that run pump & dumps), the "winners" barely make anything, losers lose way more than what the pump and dump ones make, and there is 0 learning they do not perform better the longer they have been trading (giving additional proof the handful that make money did not learn how to but simply cheat).
    http://faculty.haas.berkeley.edu/odean/papers/Day Traders/Day Trading and Learning 110217.pdf


    Brazil (entire country day traders in the indice mini future - 10 times the e-mini volume): The longer they trade the more they lose, of those that traded 300+ days 97% lost money including big losses, very few made more than minimum wage, and the most "successful" one - in the entire country - made a whooping 300 bucks a day with enormous risk (over 2000 daily volatility - when he stops "winning" he will blow up fast)
    https://papers.ssrn.com/sol3/papers.cfm?abstract_id=3423101


    An average institution: Academics looked at the intraday trading results of a bank and found that they made 0 money day trading
    http://www.tickbytickdata.com/filea...0606-MendeMenkhoff-ProfSpecIntraDayFxTrad.pdf


    Prop firm: Academics looked at a prop day trading firm in 1999, the golden era of day trading, and what a surprise they found that on average the day gamblers lost 750 a day, the most "profitable" one made $197,000 and the biggest loser lost 748,000. Looks like a normal distribution in a losing game to me...
    https://www.tandfonline.com/doi/abs/10.2469/faj.v59.n6.2578


    The SOES bandits made money. At the absolute peak of the dot com bubble there was a period of a couple of weeks where about half a day gamblers were able to make money - but infinitely less than if they held their trades. Other than this day gamblers never make money. Never have never will. At best there will be miracle periods of a few weeks where they randomly make some money but again far less than if they were real investors.

    But I am pretty sure the clowns that call themselves day traders will never be profitable. If there ever is an edge quant traders that understand statistics, mathematical finance, and are always on the lookout for a flaw with an army of computers and algos, will arbitrage the fuck out of any intraday obvious edge. They are pushing the technology to the limit and fighting for pennies - which they scale to the max taking hundreds or thousands of trades a day. And quants are not making hundreds of percent returns a year that retail day gamblers dream of. They make returns similar to regular investors, if they made much more then more people would get into quant trading and the edge would get smaller and their returns too.
     
    #92     Oct 14, 2020
    Dreadsen likes this.
  3. TimMykes

    TimMykes

    tell ya what.

    if you had to give up a day of your life , for every daytrader that is net profitable , would you

    live a long life
    be saying goodbye

    be dead a long time ago

    choose carefully


    a lot of folks lie, but for your theory to be correct, everyone would have to be lying.
    99.99999 of the good folks here. , are you willing to bet yer life on that , pal .
     
    #93     Oct 14, 2020
  4. TimMykes

    TimMykes

    MrRenev, just born and probably a serial new nick type Renev , is an anagram of NEVER, as in HE NEVER WINS

    Sounds to me like a failed trader, who justifies his ineptitude by a long winded diatribe , claiming no one can do it , since he couldn't

    Am I close ? Or am I 100% on the nose ?
     
    #94     Oct 14, 2020
  5. easymon1

    easymon1

    Joe DiNapoli, "Market Structure changed in 2009."
     
    #95     Oct 14, 2020
  6. Dreadsen

    Dreadsen


    You stole my thunder. I have all of these studies as well. I was going to cite studies as evidence that Markets do change.

    There are studies on Technical Analysis that suggested that they were more reliable when certain indexes were young and as more people traded the index the effectiveness of TA decreased and became unreliable.

    Another Study Showed how TA was more reliable on Illiquid Stocks but was unreliable on Stocks that had more liquidity.

    Another piece of evidence that suggests a Market can change. Not arguing that TA isn't pseudoscience but if research on TA has shown how it just flat out didn't work when more participants entered a market this in itself is suggest that the market changed.
     
    #96     Oct 14, 2020
  7. Dreadsen

    Dreadsen

    I see how people are defining "Changed" has a wide range.

    I'll give an example of how Markets Changed in Futures. Behavior of the participants can change. Just like Military war tactics. Some tactics work fine until everyone becomes aware of a certain tactic then it becomes less effective.

    An example is of Traders who's entire trading strategy is looking to front run big traders. Well this used to work at one time. Especially when traders were still trading on the Floor. And when trading started shifting to computers a lot of the first traders to use electronic trading were able to use certain strategies. Like recognizing and Iceberg and simply front running it. Knowing that the Iceberg was someone with big size who was stopping the market and was going to aggressively trade around their price entry.

    Well here is a study that showed how market activity changes when people discover an Iceberg. Obviously with people trying to front run the Iceberg the big trader would not get the best price for their client. Due to the price running away from where everyone saw the iceberg.

    https://www.researchgate.net/publication/335834705_CME_Iceberg_Order_Detection_and_Prediction

    So big traders had to use other strategies to hide their activity as much as possible. Knowing that there were lazy traders whose entire strategy was trying to ride on big trader coat tails.
    When CME offered Icebergs initially you could use software that would give an alert that someone using the same trade I.D. for many orders at the same price level was obviously using an Iceberg. Then traders started using Client Software side Icebergs. Then people started getting good at detecting them in those situations. So now they have shifted to using algos that submit market orders of random sizes with in a few price levels in order to hide their activity.

    So for the trader who is heavily dependent on trying to trade around big traders. The more hidden big traders activity has become the less effective the strategy of following them becomes. Hence the market changed.
     
    Last edited: Oct 14, 2020
    #97     Oct 14, 2020
    yc47ib likes this.
  8. MrRenev

    MrRenev

    Ye and also the weather isn't exactly the same therefore markets change.
    Did you know the laws of physics changed all the time? The gravity in 1928 was different than today because the date was different and also we have sent satellites to space and planted a flag on the moon therefore the weight of earth is different so gravity changed.

    Not like front runners have always existed. You could have just said that market used to be non open cry then became electronic.
    I myself see no difference in the past 500 years. Same shit over and over. Just some tiny surface differences so complete mouth breathers can't make money hitting their heads on the keyboard.
    It's like saying "well league of legends got a patch therefore it's completely different and now pro players are stuck in bronze and have to entirely re-learn the game".

    Zzzz
     
    #98     Oct 14, 2020
  9. Dreadsen

    Dreadsen


    Well not that simple. Non open cry to electronic was one phase. Then once it went electronic there were some other phases. That's when the arbs completely phased out intraday strategies. But that wasn't the case in the first phase from open cry to electronic.

    You ever read about the flipper? The era where his strategy was working. And then people wrote an algo that emulated the flipping strategy. Then once people got hip to that they'd programed algos to counter a flipping algo, etc. And then that whole flip just got phased out of being a frequent viable strategy.

    Markets got more efficient and now exchanges that trade the same product as other exchanges are even more efficient between each other. At one time you could buy the USD Nikkei and short the YEN Nikkei and catch the difference. CME started selling it as a spread. Now it's so efficient that a gap between the two is non existent.
     
    #99     Oct 14, 2020
  10. Dreadsen

    Dreadsen

    LOL
     
    #100     Oct 14, 2020