Thanks I am just dividing the net posted for one day doing 33 trades by 5 to see a 1 contract rough comparison. (12 points for some number oftrades some scaled.) I am a believer in adding contracts after a person gets performance. This is a stage by stage thing. At this point doing 50 contracts on ES is where I feel a person can settle down and be optimum for making money. The frequency of trades depends on the day's offerings. It raanges from 20 on easy days and 40 on hard days (no scaling for optimum) The comments made to the thread on trading on a basis that is slower than scalping is where I am at and I am looking at the fact that these kinds of turning points are determined by smart money which I must obey AT ALL TIMES since I front run it.
I like it Jack - I never scale as I'm confident enough in what I do. I've given up telling this guy not to scale but he's convinced it's better for him. Whatever works and makes you feel good...
Quite an interesting thread fellas... speaking of Wikipedia here´s an article on the subject. Enjoy. http://en.wikipedia.org/wiki/Scalping_(trading)
Ever wonder why you don't see Pure Scalping Hedge Funds who have access to what most retail traders can't in terms of technology?
Hedge Funds need to move huge volumes, it takes them several days to step in and out of positions. The only way it could work is if you ran it like a prop shop where you have hundredths of traders scalping different instruments simultaneously... but then your operation costs might significantly reduce the advantage of such a hedge fund.
I used to have a rule not to hold more than 10% of the lowest daily volume in a stocks last 6 months - and these were all blue chips. The likes of GM & IBM were instant but smaller stocks in the S&P could take hours. Try scalping with that volume of $$ - no way. That's why hedge funds don't scalp - it would be suicide.
I usually start getting nervous once I´ve moved over 10% of a stock´s volume during the day... on low volume stocks of course, not on bue chips...
Yes. Size is an issue. There's an upside limit to how much you can trade. In terms of backtesting scalping strategies, there's not a whole lotta of ways to actually test the liquidity / fillability factors. If you exclude them, sure it looks great on tests. In a simple backtesting environment placing a limit order on previous bar's high/low price, you get a 75-85% profitability. In real life, you'll end up losing money through commissions and unfilled orders. Another issue with intraday scalping is, the higher frequency of market patterns changing. I've verified chart patterns(technical analysis based stuff) changing from profitable to losing from 1 day to 40 days, randomly. Taking some of the past studies I've done, the tests the original poster as done must be tested correctly. Another is his filters must be constantly updated. My advice is to start placing 1 lots into the market and get real life feedback on the strategy. Once you get a realistic feedback on how the orders are filled and continues to be profitable, I'll move to a 2 lot, 5, and 10. Also, Even if you have the resources to test the market, as realistic as you can, you'll still under-perform. The important factor is whether the under-performance is acceptable(profitable) enough.
I definetly see your point. And mind you I know little to nothing about execution and orders relative to stocks or options, so maybe I'm wrong. I have never really felt a need to increase my knowledge, when there are so many different opportunities out there, especially when it comes to volume and liquidity. Futures, Currencies, etc...alot of other instruments besides stocks I would think wouldn't have a problem scalping or enter large intraday swings. By that I mean, maybe not sticking 100 million on one ticket but building a rather large position over the course of about 1 - 2 hours etc.. What is your opinion on that? Again I dont claim to be right or wrong and from your previous posts I really am interested in your opinion gann. - secXces
This scalping effort is not being done in relation to making money but rather it is an effort to find out what the extreme values of bars are cummulatively. Most traders who have been operational and effective over period of time put limitations on account sizes simply for the sake of making money efficiently. From a skill level point of view, there are also limitations that are important as well. At this time, the market potential is running fairly high and as the market moves away from the IT R, it will pick up even more. Pulling at a rate greater than margin per day per contract is realizable up to a certain level of contracts. That level is more determined by skill level than market capicity or flow rate. The best way to determine the actual practical sill level is to add contracts at the rate profits allow. I rate high skill at a place where accounts have ten fold increases in 20 days for index leeraged trading. Scalping would not be a skill set that fits this stuff. I am not saying anything negative about scalping or anything positive about other methods.