No, a losing month in the day trading strategy is actually very rare. Less than 5 instances over the past 18 years. However, it does have a lot of months when it doesn't make very much due to the trading range being small.
Results for May: Swing trades: +$68,902 Day trades: +$139,197 Overall fantastic results from both systems. Hands down, the best month yet. Hopefully this volatility sticks around for a while. Given the success I have seen over the past few months in the day trading strategies, I spent most of May training new strategies for the "daytrading" portion of my strategy. In fact, I tripped my AWS spend to train even faster. Going into June, I am actually cutting the swing trading position size in half to allow for more capital to be deployed on the new daytrading strategies. I believe in slower moving markets the swing trading strategies are essential - However, the allure of being flat at the end of the day is really driving my focus on the day trading strategies. I find my stress level is much lower. Each day is a new day without any baggage.
I often worried how small independent traders like I (and probably most of you here) could win in this market, if even the biggest and best hedge funds go bust. Especially after I, in the middle of my CMT studies, learned that Ned Davis (founder of NDR) said that algos have ruined day trading. And he was one hell of a trader. I found one answer in one of the more known "quant" books, but even here I am worried that the author has a vested interest to maybe omit some caveats: "The key, it turns out, is capacity... (To recap: Capacity is the amount of equity a strategy can generate good returns on.) It is far, far easier to generate a high Sharpe ratio trading a $100,000 account than a $100 million account. There are many simple and profitable strategies that can work at the low capacity end that would be totally unsuitable to hedge funds. This is the niche for independent traders like us." -- Ernie Chan - Quantitative Trading_ How to Build Your Own Algorithmic Trading Business-Wiley (2008), 158 I agree with you that a trader needs capital. I personally went bust twice, but had multiple income streams so I could recover quickly. If I didn't, I would be out of the game for a decade if not forever. So is the question then, is there a minimum threshold of capital one must risk to even consider having a successful trading system. I suspect yes, but that there also might be a maximum threshold witch is even more important, as loses at that point are bigger that losses at lower account sizes. Im making this assumption on zero practical experience in writing such systems as I am just starting to dive into this field, and because I don't want to go bust a third time. lol Also, hi to everyone. New here as of yesterday.
Would you share more on this part? Are you saying that certain data providers provide garbage data? Did you pay for some premium data sets? Im wondering how one might asses the quality of same data series between different data vendors. Because they do edit it. Like combine futures, reverse calculation of stock splits, open or close price variations, error correction, time differences,...
Well a fair amount of people that run hedge funds don’t know how to trade well either and like you pointed out a lot of money can actually be a hindrance or dangerous if not used properly. Algo’s have not ruined day trading, but you certainly have to really understand how the markets work these days if you want to be consistently profitable. It can be hard to decipher but with a lot of screen time you can start to understand what is going on. For example common theme these days is to just to move the markets down down down forcing out people looking to go long and make everyone look to the short side than just rip the market in fast burst to trap shorts and get new buying interest to come in. Than of course on the pullbacks people look to go long again and that’s when price just keeps going down trapping them again. A lot of the setups in the markets haven’t changed but the micro price action has become more difficult and can really wear a trader out mentally if not fully prepared and understanding what is taken place. Sorry for any misspellings or if that doesn’t make sense on my phone right now, much prefer responding on pc.
By garbage in = garbage out - I was referring to what inputs you use to train your strategies. If your inputs are bad (i.e. not predictive) then your output will always be garbage as well.
The answer is more than fine. Its the answer I was secretly hopping to get. Thank you. So the big boys kinda figured out all the micro moves they can make with HFT and some fancy algos or where they can safely push price given their size, this then traps the recently joined "Robinhood" plebs, after that the more seasoned traders join them in the move and over a longer timeframe a move/pattern is made which is probably obvious in hindsight. Everyone is happy and the game plays as it always has, only with a slight change in pace.