Yes I do get shaken out a fair amount, I suppose I manage to pull through EOD due to experience which includes risk/reward range analyses, stats, etc. I did try out DOM and wasn't any good at it, you need a sharp mind
Maybe what makes that kind of scalping successful in Russia is very low tick size and very low commissions
Yes, it`s true about low tick size, but our commissions are rather high in comparison with commissions in Eurex and CME.
I seriously doubt scalping with a density of 100+ trades on main US SIFs is possible with retail commissions. Though better to say it is possible of course, but will lead to losing money.
RedDuke Registered: Feb 2005 Posts: 1032 12-21-07 02:30 PM Ssss, Just curious what aspects of under developments on rts are being exploited, if it is not proprietory of course. RTS contests participants top 20 have made 27% of volume of RTS index per day ... -------------------------------------------------- In order to work for simmons, you need at least a PhD. That are plenty of PHD in Russia ,which are jews as Simonis Simonis have had one from Russia ,but this commited suicid . --------------------------------------------------------------------- About RTS contest please ask Dirk -he is the winner .Independent what you think about RTS market ,he won under heavy competitions .Respect ... Your respectfully ..
janis, The issue is crossing volatility with frequency. As Redduke stated this is not something to be seen on fast bar charts. Volatility is not just one movement in a period, it is the frequency of the excursions in a range of a specific (minimum) volatility. At some point signal to noise is a consideration. But as has been said that may be understood on the DOM. Often pulled orders are as important as orders traded. By using convergence and divergence (my current nick name), you have a comparison that is not flighty or random in nature. This is how to be able to judge that "end effects" are in play. Once you focus on the "reaction" levels of the players, at some point you DO get to be anticipatory. At extremes the DOM is infallible at telling you what can't happen. The punch line for scalping is not complex. As has been stated, there is a very heavy reliance on the "persistence" of the entry conditions. Most often there is the same identity for the exit. Instead please weigh heavily that there is a linkage of scalps. What is between scalps is very important. Make a list of the link variations and find out how often the perisistence of the "link type" remains true to form. Most people are emotionally sapped by the nature of being in, then out of a scalp. What would it feel like, if between scalps ,the "link type" (the market action between scalps) was known to be consistent and unchanging and, then, when it changed, it happened in a reliable progression? There are only two progressions of "link types" it turns out. Obviously, it can easily be concluded as why there are only two possibilities. I feel that scalping rhythms can be attained that add all of these trader skill assets to the table. There do need to be some blinking lights so to speak for establishing the condition sets for these two progression possibilities. At this point in time, human sensory limits have been passed as stated or inferred. Unfortunately not many people have the ability to get this sort of stuff to come into view, but, it is necessary at some point to do just that or you are limited to what you can sense from streaming data that is running a little behind real time. To be able to move ahead of real time by observing the reactions that will be coming up, changes two major things: 1. the extent of each extraction and 2. the harmonious nature of the linkage of extractions. Some one mentioned games and contests. Unfortunately they are all being played on very low quality platforms and data feeds. Time to put the checkers and checker boards away for good. Red, we need to meet. Janis, thank God your English is as good as your Russian.
Hi Cd23, Great post. I totally agree about flashing light as a signal, well may be not the light but some signal. I personally had to split it into 2. One I developed in ninja trader (I use it for charting) which analyzes price behavior and another one in excel that anayzes DOM and is fed from x trader. Even one second of hesitation can cost few tics and potentially ruin good trade. I could have coded the whole thing in ninja new version 6.5 but there is no reliable data feed that reports all tics and provides Dom at the same time, so I had to split the logic in 2. Where are you located? Regards, redduke
Thanks for good words about my English. I agree with your post and want to say only that probably high frequency scalping just does not suite my personality and personalities of successfull traders I know. I just don't see a need to trade that much as 100+ trades a day, simply because 10 or so trades with 1:3 risk/reward a day seem to be enough for me to feel OK. There was time when I was interested in scalping futures and asked people like Brett Steenbarger who personally knows many successfull scalpers and he admitted that scalping techniques which consider say 400 trades a day on ES are very hard to replicate with retail commissions, cause average profit per trade for such traders is often less than 1 tick... Never said quick scalping is impossible for such markets as DAX though, because I know it and agree it is probably the world's best market for scalping in the world (at least among markets with significant trading volume).
Gentlemen 1 .With exception as Russia to date not observed any relevant scalping record by retail . Intraday (20-40 operations) with risk 100% and 500 $ margin possible to make in some (clear not all ) week 500-600% for small capital 2. Motive -Who need scalping (500-1000 operations per day) and who order propapganda of scalping ? 1.Broker 2.Exchange 3. Provider of high speed communications equipment /Internet 4. Seller of specific platfom Xtraderpro with delay 0 millisec for 1500$ per month Operator must make lucky all this before (pay forward) and only after that wrok for own pocket Russia Contest RTS give example that operator which have made from 1900 $ 20000$ in quratal with scalping payed some 9500$ commissions
As you and others have just said, a person can pull 60 points per contract ($500 margin) a week by doing 100 to 200 trades a week. This is especially reasonable when, on the ES, for example you can expect a 12 point range per day as a measure of what is offered. On average this is a 2 to 4 five minute bar hold. I posted an example this week where two trades that consumed 20 minutes of market time produced about 5% of the values in the profit range you suggest. 1.6 hours is 5% of the weekly trading time. So there is a great deal of time available to pick off more equally valuable turns. The DAX is no different than the ES except for the lack of a volume feed. Volume, however, is easily simulated in several ways. The more relaxed manner of holds like 7 minutes and consuming 2 five minute bars and 13 minute holds consuming 4 five minute bars do yield more than the OODA and turning 24,000 contracts a day (400 cars x 60 turns) as does Grenspoon under Steenbarger's continual care. The ratio of the two approaches for equal capital (250,000) is 3:1 in favor of the slower method at advanced beginner levels. Steenbarger's oft quoted performance of his patients demonstrates how rewards of less than a tic net per contract turn becomes the asymtote of the OODA trading style he uses to eek performance from these traders. Strangely, optimizing the slower method comes down to using a scalping strategy applied to the "end effects" of the slower method. In stuff I have posted in the past it comes under four or five topics.: the IF's, the steer and focus, slaloming, carving, and the dom and non dom pattern trading. Most of the finer points turn out to be under the visual radar of monitoring. This is why OODA doesn't work for optimising (why they use radar and electronics in fighter planes and their guided missiles these days). More is not the solution to optimizing. Precision is the solution. In trading when optimizing a leg and recognizing that the limit of an exit is an entry, is when a trader can get a two for one. Each tic the exit is extended IS another tic earned if the exit is the next entry as in a reversal type trade. A simple way of looking at all of it is to not exit until you have an optimum new entry. Most people enter from the sidelines (Steenbarger et al) Why not enter from an existing position that is also closed out simultaneously? This requires a lot less thinking and use of the mind (memory). If you do this, then the slower method numbers increase by 200% relative to the first stated results.