Schizo Greybox Trading

Discussion in 'Journals' started by schizo, Oct 11, 2015.

  1. schizo

    schizo

    LONG 2005.75

    -0.75
     
    #61     Oct 12, 2015
  2. schizo

    schizo

    SHORT 2006

    +0.25
     
    #62     Oct 12, 2015
  3. It looks to me like manual HFT trading. :)
    Your broker will be pleased with all these commissions. But on the other hand he will already know that this will not last long. :(
    I see already 35 trades with a total result of -0.25 points.
    Result: $-12.50-$140 (35 trades at $4 commission) = $-152.50

    I think it is better to stop and try to build something better.
     
    Last edited: Oct 12, 2015
    #63     Oct 12, 2015
  4. d08

    d08

    That's why this type of trading is for persistent people who are motivated, giving up after a few failures is for another type of personality which is common across ET as well. Over 90% of my ideas end up not being used, clearly people like you assume it's much much easier than it actually is.
     
    #64     Oct 12, 2015
    dartmus and volpunter like this.
  5. schizo

    schizo

    LONG 2004.25

    +1.75
     
    #65     Oct 12, 2015
    Eddiemorra likes this.
  6. schizo

    schizo

    SHORT 2003.50

    -0.75
     
    #66     Oct 12, 2015
  7. schizo

    schizo

    LONG 2003.25

    +0.25
     
    #67     Oct 12, 2015
  8. schizo

    schizo

    SHORT 2004

    +0.75
     
    #68     Oct 12, 2015
  9. dartmus

    dartmus


    There's 390 or 405 (1 minute) bars in the day session.

    Instead of using a fixed 233 tic bar everyday you can calibrate size to time using TotalTicsPerDaySession/390 and average the result over nn days. It will seem strange using a different bar size everyday but this is how size is calibrated to time. If you want the equivalent of 15 second bars divide the result by 4.
     
    #69     Oct 12, 2015
  10. AMEN to that. This may be a completely flawed strategy, maybe, maybe not. Maybe he could add an overall binary filter and during non trending times turn the whole strategy around into a market making strategy. Whatever the outcome may be, fact is, he already put in more patience and persistence than 90%+ of people on this site. Even if the strategy entirely fails he will still have learned more than most others...

     
    #70     Oct 12, 2015
    d08 and dartmus like this.