Filters For High Frequency Trading

Discussion in 'Strategy Development' started by greysquirrel, Aug 21, 2008.

  1. Hello all, I wanted to start a thread for filters, basically the narrowing of down of a trading system from a core amount of trades.
    An example would be a speed filter like

    z= absvalue(c-c[1]);

    if [conditions] and z > z[1] then.......

    I think this was in an old stocks and commodities mag. Anyway, there it is, I will add more if people are interested in the thread. My hope is that we can build our vocabulary of filters.
  2. trendo


    Roughly how many trades per day do you define as high frequency? What time frame(s) are you using and what are you trading?
  3. I use 100 tick, 1 min, 2 min charts. As far as the frequency, over 8 trades a day on the same instrument. I do not have a CME membership so I cannot scalp a few ticks. I am going for a couple of points on average. I normally have about 10-15 trades a day.
  4. 8 trades per day is not "high frequency" trading
  5. asap


    100 to 1000 trades per day in one instrument is high frequency.