That's what I've noticed. Stability is improving with volume. The NQ system that averaged 3 trade/day over the summer is now doing 7 or more trade/day recently. It's much more profitable at the 7 trade/day level now than it could be in the summer at 7 t/d. It's not surprising since these are tick-based systems. Each tick clocks the system.
This is precisely opposite to what I have determined through my tests. You donât necessarily need to see every trade. ES and NQ tick data is highly informative if analyzed in the right way. It also seems less fragmented than the stock tick data Iâve worked with. A lot of this depends on vendor. Iâve seen huge differences in quality of Emini data between vendors. Main problems include missing ticks and inaccurate timestamps. Some stock tick data suffers from out-of-sequence trades.
Very impressive results! Even if it's not scalable Iâm glad to see itâs possible to skim such profits in high volume situations. Can this be automated?
That is so important to have designed in. I like your summer winter trade ratios as well. not only does trade frequency increase, the profits per trade stretch out too. Someone said something about what is in the cards for the future. I know the trading systems are going to be improved by leaps and bounds too. Multiple duration trading will probably come to the fore soon. I can hardly wait until the global era really starts to groove; then we can just run 24/7 when the liquidity is turned on as the earth rotates.
If I understand you correctly, you are saying the entire trading really amount to reading the tape, feeling the rhythm, then scalping ticks. I can buy that, because I know from watching the tape there are 1000s of contracts changing hands that way, not just in es, but in nq, ym and zb also. So in trading with the rhythm of the market, do you take the trades at the market, or use limit orders?
Yes completely. When the bear person tells me how he wants it explained, you will see that it is programmable in just a matter of several lines of go/no go equations (Boolean). I got stuck in that mode in the late 50's.