I have been doing system writing and testing for almost 15 years now for the futures markets, a couple of those years spent writing systems for a CPO. In that time, I have seen systems that work, but they require massive patience and terrific capitilization to ride out the statistical fluctuations that occur and are within the model's historical Standard Deviations. Most [all] of those systems were intermediate term systems, meaning they held for days to weeks. The returns were meager many years and the risk taken for those gains did not seem inline to me. But they made money... I have only been aware of one system that made money intraday trading Stock Index Futures (SIFs), and I only knew very blurry details about it. It required absolutely rock bottom comissions including owning a seat, fast lines to the exchanges, and incredible programming talent. Even then, it stopped working. I am extremely close to understanding what it takes and have a system that appears to trade Stock Index Futures profitably intraday. I have been working on this almost non-stop for almost a year and a half thinking about nothing else. I can tell you that maybe ten "people" on ET have the background needed to understand what I have found. Even then you need the programming skill, the capitilization required, the technical infrastructure and killer commissions to pull it off, and then maaaaaaybe I will make money consistantly, maybe. I can tell you with great confidence that 99.999999% of the people on ET that tell you they have intraday systems that trades Stock Index Futures profitably today, ATS or discretionary, are lying. Alternatively they have been trading for less than one year or they are a statistical fluke. Most of these people on ET that have these unsubstantiated claims of profitability in SIFs are looking to hook unsuspecting readers into some chatroom, their "group" to collect comissions and/or desk fees, "mentoring" or selling you something. nitro
Well, "technically" what nitro says is correct (at least in MY experience) wrt to ATS for SIFs. I have a few profitable mechanical daytrading systems for SIFs. What it means, is that the risk/reward profile, PF/Sharpe/etc with realisitc execution costs (plus the ocassional errors, computers/link/power going down, Globex/ecbot going down etc), of such systems does not allow a trader with $100k capital to "trade for a living", considering fixed costs (feed, internet, computers etc). Esp. talking about the last 3 years (2002-2004) which have had one of the longest low-volatility environment of the last decade. (e.g. those 5pt daily ranges and 10pt weekly ranges in ES in between Aug-2003 and Jan-2004)
I would also say that "success" (different people mean different things) is mostly dependant on WHICH MARKET(s) YOU TRADE, rather than the method (if method is sound). Certain markets are much more conducive to trading (smooth, persistent trends)
Hi: My own bias is that totally mechanical systems for Futures Indices do not work consistently over time. One of the reasons is the market's natural cycling between random and non random price action. This cycling limits the number of opportunities a system developer can obtain with a statistical edge. As a result, developers often resort to volatility-based approaches. Unfortunately these approaches go hand in hand with significant drawdowns. In contrast, I have used the same basic setup for my discretionary trading for nearly 10 years. Once I learned to discipline myself as to execution and risk management, I made consistent money. I don't consider these to be "secrets" but I found that the statistical edge needs to be near 80% good to provide sufficient opportunities on an intraday basis. Also the trader needs to refrain from "straying off the path". Finally, it is imperative that you learn to use leverage properly when you are winning, and step back early in the game when you are losing. Extending this reasoning, it is important to cap daily losses and not to use profit targets. Lefty
1)Any discretionary trading can be made into a system, after all, any set of decisions can be coded... 2)80% edge? No such thing exists. Casinos make millions with edges of less than 5%, 80% true edge and you would be a billionaire in a year, you would rule the world in short order...
I thoroughly enjoy the way you called that extremely valid point "opinionated, ill-informed garbage." Nice rebuttal, as if simply SAYING the OBVIOUS counter to the validity of this "tipping service" is garbage somehow makes that counter invalid without providing any real proof against it. The truth is, your trusted sources were taken to the cleaners by a tipping service, and are currently in denial, or you were taken by the scam and are in denial as well. Or heck maybe it's working for you or others so far, but it could just be a result of luck. If the tipping service runners aren't making enough money trading their own tips, then it definitely isn't something I would trust my money to.
Saturnine: Actually edges of this type exist. One has to learn how to analyze the market to find them. Also the absolute number of of occurrences of these non-random behaviors changes periodically as price "cycles" from random to non-random. Therefore the edge goes in and out of existence during the yearly cycle. I try to be patient, but ocassionally I have to suggest that you THINK just a bit before posting. In general, these "opinions" are the basis for the difference in performance between skilled professionals and retail traders. Lefty
In my experience this is true, but I would never say "Any." I would say that trying to be the casino in trading, which I will define as making two sided markets 75% of the time where you are the best bid or offer or both, is out of the realm of 100% [and I mean 100%] of all traders currently posting or have posted on ET. You need direct lines to the exchanges, the best comissions imaginable, terrific capitalization, and great programming prowess. And then you might still lose. nitro
Perhaps I do not understand what you mean, but if you have one, let alone three systems that VERIFIABLY (meaning audited returns from trading that system) make money trading SIFs for the least year, I would say you are not telling the truth. nitro
What? I agree with you: re systems, but you are saying discretionary also? So you say NOONE makes money trading SIF intraday? Bollicks.