понеділок, 28 березня 2011 р.
Market edges
Ok, thank you for your openess.
Answer to 1: that is correct - but there is no need to.
Answer to 2: that is correct too - fibo-hits for example occur as often as they don't in the long run, so a no-go as well (as are most indicator based occurrences).
Answer to 3: stop-hunts as they might be referred to happen as often intentionally as they happen coincidentally because of position taking that has its root in either hedges, position liqiuidation or large option related volatility.
Real inefficiencies are based on volatility breakouts, price behaviour relative to market open (in fx cash an artificial value, except sunday), and price behaviour relative to most recent high's and lows.
One other universally applicable truth about any tradable market is that large ranges (or large ranging days) are preceeded by small ranges (or small ranging days) and vice versa. That means its an occurrence you can bank on - over and over again. How you transform that into your rules (which is an indispensable process) is up to you, of course.
Daily volatility can be measured by calculating the difference between the day's high and the close. If that value increases out of recent proportion, trend changes are happening.
regards
daytrading
Answer to 1: that is correct - but there is no need to.
Answer to 2: that is correct too - fibo-hits for example occur as often as they don't in the long run, so a no-go as well (as are most indicator based occurrences).
Answer to 3: stop-hunts as they might be referred to happen as often intentionally as they happen coincidentally because of position taking that has its root in either hedges, position liqiuidation or large option related volatility.
Real inefficiencies are based on volatility breakouts, price behaviour relative to market open (in fx cash an artificial value, except sunday), and price behaviour relative to most recent high's and lows.
One other universally applicable truth about any tradable market is that large ranges (or large ranging days) are preceeded by small ranges (or small ranging days) and vice versa. That means its an occurrence you can bank on - over and over again. How you transform that into your rules (which is an indispensable process) is up to you, of course.
Daily volatility can be measured by calculating the difference between the day's high and the close. If that value increases out of recent proportion, trend changes are happening.
regards
daytrading
Targeting pips
I do not agree that pip goal has no effect on expectancy.
For equidistant 1000 pip goal, the house edge is 1 - (1000 - 2) / (1000 + 2) = 0.4%
For equidistant 100 pip goal, the house edge is 1 - (100 - 2) / (100 + 2) = 3.9%
For equidistant 10 pip goal, the house edge is 1 - (10 - 2) / (10 + 2) = 33.3%
To overcome the house edge for 1000 pip goal, our win% has to be at least 50.1%
To overcome the house edge for 100 pip goal, our win% has to be at least 51.0%
To overcome the house edge for 10 pip goal, tour win% has to be at least 60.0%
Obviously it is much easier to beat the house edge if you have greater pip goal.
For equidistant 1000 pip goal, the house edge is 1 - (1000 - 2) / (1000 + 2) = 0.4%
For equidistant 100 pip goal, the house edge is 1 - (100 - 2) / (100 + 2) = 3.9%
For equidistant 10 pip goal, the house edge is 1 - (10 - 2) / (10 + 2) = 33.3%
To overcome the house edge for 1000 pip goal, our win% has to be at least 50.1%
To overcome the house edge for 100 pip goal, our win% has to be at least 51.0%
To overcome the house edge for 10 pip goal, tour win% has to be at least 60.0%
Obviously it is much easier to beat the house edge if you have greater pip goal.
пʼятниця, 25 березня 2011 р.
Trading edge an casino
Firstly, there is a difference between 'automated' and 'mechanical' - but to answer your question about trade handling, yes, every trade is handled in precisely the same way.
When you step into a casino to play the roulette wheel, you have already lost because the casino has the statistical edge.
Good traders don't think how to beat the casino - instead they think like the casino and construct edges. Every casino 'knows' their edge even when they pay out to a great amount of people who play a little bit of 'red or black' or 'even vs uneven'.
Ultimately, the casino is in the game non stop and with the 'zero' in the wheel, the law of large numbers puts the odds in the casino's favour.
The casino uses money management as well. There is a limit to every game, hence the casino knows the maximum downside - which is always smaller than the ultimate upside.
The casino also uses risk management - for the odd clever guy who comes into the casino to count cards in black jack - if he wins too often for their taste, he will get kicked out.
The casino (like a good hedge fund) uses diversication in the portfolio. There are many games in the casino from slot machines to black jack tables to roulette etc. All have a statistical advantage over the player - some smaller some larger, but always in favour of the casino. So, even if in one night here and there, a payout happens on one of the one-armed bandits, the other games (or strategies) will cover for that (small) loss.
Even if the game looks like complete luck to the observer (like rolling dice), ultimately there is no luck involved - since bet size and rules of the game ensure that in the long run the casino wins.
Games like the ones you find in casinos have been created in the same way that modern portfolio managers create strategies with precise rules - whether those rules have more emphasize on the money management and less on the (precise) entry of a market (more discretionary one could argue) in order to catch bigger moves less often, or whether the entry and exit are precision made to capture an advantage over very many trades (throws of the dice) does really not matter and is more of an individual choice.
And yes, this is a relatively simplyfied way of explaining it - roulette probabilities are fixed for eternity unlike market behaviour (you will always find 37 numbers on the wheel, 18 red, 18 black, and one green), that is why you never see a casino go bust. In the financial markets, edges can be created but have to be carefully monitored in terms of results over time. Should results fall outside 'regular' parameters (either too negative or too positive), something might be about to change.
When you step into a casino to play the roulette wheel, you have already lost because the casino has the statistical edge.
Good traders don't think how to beat the casino - instead they think like the casino and construct edges. Every casino 'knows' their edge even when they pay out to a great amount of people who play a little bit of 'red or black' or 'even vs uneven'.
Ultimately, the casino is in the game non stop and with the 'zero' in the wheel, the law of large numbers puts the odds in the casino's favour.
The casino uses money management as well. There is a limit to every game, hence the casino knows the maximum downside - which is always smaller than the ultimate upside.
The casino also uses risk management - for the odd clever guy who comes into the casino to count cards in black jack - if he wins too often for their taste, he will get kicked out.
The casino (like a good hedge fund) uses diversication in the portfolio. There are many games in the casino from slot machines to black jack tables to roulette etc. All have a statistical advantage over the player - some smaller some larger, but always in favour of the casino. So, even if in one night here and there, a payout happens on one of the one-armed bandits, the other games (or strategies) will cover for that (small) loss.
Even if the game looks like complete luck to the observer (like rolling dice), ultimately there is no luck involved - since bet size and rules of the game ensure that in the long run the casino wins.
Games like the ones you find in casinos have been created in the same way that modern portfolio managers create strategies with precise rules - whether those rules have more emphasize on the money management and less on the (precise) entry of a market (more discretionary one could argue) in order to catch bigger moves less often, or whether the entry and exit are precision made to capture an advantage over very many trades (throws of the dice) does really not matter and is more of an individual choice.
And yes, this is a relatively simplyfied way of explaining it - roulette probabilities are fixed for eternity unlike market behaviour (you will always find 37 numbers on the wheel, 18 red, 18 black, and one green), that is why you never see a casino go bust. In the financial markets, edges can be created but have to be carefully monitored in terms of results over time. Should results fall outside 'regular' parameters (either too negative or too positive), something might be about to change.
четвер, 24 березня 2011 р.
Scalping rules from order flow trader
1. You have to be disciplined all the time. Better you enter trades with an OCO order.
Your min. risk reward ratio should be 2:1
As an scalper i'm always looking for trade setups where the risk is 5-6 pips to get 10-12pips after commission.It varies every time.
2. Don't rush. Be patient and look for opportunities. As an good trader you have to think about money. You don't want to lose it. On every trade don't risk more than 1% of your amount!
3. "High IQ".
No one can tell the future even when the IQ is 1000.Your system should be simple.Just focus on high-probability trades. Stick to your rules and plan.
4. "Clear mind and concentration".
You can trade with an clear mind when you're fearless and not greedy.That is one of the important stages in being experienced.
Wish you good luck!
Your min. risk reward ratio should be 2:1
As an scalper i'm always looking for trade setups where the risk is 5-6 pips to get 10-12pips after commission.It varies every time.
2. Don't rush. Be patient and look for opportunities. As an good trader you have to think about money. You don't want to lose it. On every trade don't risk more than 1% of your amount!
3. "High IQ".
No one can tell the future even when the IQ is 1000.Your system should be simple.Just focus on high-probability trades. Stick to your rules and plan.
4. "Clear mind and concentration".
You can trade with an clear mind when you're fearless and not greedy.That is one of the important stages in being experienced.
Wish you good luck!
http://www.forexfactory.com/showpost.php?p=2930190&postcount=7
середа, 23 березня 2011 р.
Academic research about Orders
Statistical identification with hidden Markov models of large order splitting strategies in an equity market
http://arxiv.org/abs/1003.2981
Asymetric Information and the Foreign-Exchange Spreads of Global Custody Banks
http://people.brandeis.edu/~cosler/
http://arxiv.org/abs/1003.2981
Asymetric Information and the Foreign-Exchange Spreads of Global Custody Banks
http://people.brandeis.edu/~cosler/
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