a*****e
发帖数: 1717 | 1 not very familiar with the syntax, took me some time:)
useful for DTer and Scalper. More than thousand words. |
g8
发帖数: 3784 | |
C****a
发帖数: 1639 | |
J**S
发帖数: 25790 | 4 怎么解释大盘？
量减，股指却上扬？
【在 a*****e 的大作中提到】
: not very familiar with the syntax, took me some time:)
: useful for DTer and Scalper. More than thousand words.
|
C****a
发帖数: 1639 | 5 I tried to work on minute level ES data, just too many things to worry about
.
Slippage kills me. |
w******s
发帖数: 16209 | 6 hehe.. nice.
you are the one.
【在 a*****e 的大作中提到】
: not very familiar with the syntax, took me some time:)
: useful for DTer and Scalper. More than thousand words.
|
w******s
发帖数: 16209 | 7 hoho. you also start to play es?
about
【在 C****a 的大作中提到】
: I tried to work on minute level ES data, just too many things to worry about
: .
: Slippage kills me.
|
a*****e
发帖数: 1717 | 8 slippage kills the strategy?
very interesting. Isn't 0.25 slippage is reasonable to assume.
about
【在 C****a 的大作中提到】
: I tried to work on minute level ES data, just too many things to worry about
: .
: Slippage kills me.
|
w******s
发帖数: 16209 | 9 这个很让人惊讶么？
【在 a*****e 的大作中提到】
: slippage kills the strategy?
: very interesting. Isn't 0.25 slippage is reasonable to assume.
:
: about
|
w*******o
发帖数: 6125 | 10 这个跟我的common sense似乎比较吻合，呵呵
活跃期大概有几个
1)欧洲开盘
2)8:30 AM 经济数据密集期，Job data/GDP...
3)开盘
4)收盘
平淡期：
cbot去吃午饭，由intern代为操盘的时间，哈哈。 |
|
|
a*****e
发帖数: 1717 | 11 I thought about it,
tick/second level data might not help for retailer.
even for scalper, < 1 pt target might not be optimum.
This graph shows there are certain critical time to pay attention.
Avoid trading for some style of trading, but best chances for other styles.
about
【在 C****a 的大作中提到】
: I tried to work on minute level ES data, just too many things to worry about
: .
: Slippage kills me.
|
a*****e
发帖数: 1717 | 12 0.25 will reduce the profitability,
but won't kill the strategy, just sounds too severe.
It's not a very big issue for me. I used limit/stop limit/trailing limit
order for entry, so if no entry, it's just an opportunity cost.
One can always find a balance based on his frequency?
【在 w******s 的大作中提到】
: 这个很让人惊讶么？
|
a*****e
发帖数: 1717 | 13 it is common sense, but more informative than that, You missed several
points.I won't bother if it's not profitable graph:)
Every liquidity peak, there is a small window for a very strong trend(no
matter it’s cross market driven or daily maintenance or scheduled economic
data driven). There is normally some tendency for a reversal at some
critical point which provides best chance for scalping.
For example, 3pm — close time for bond market. 10am — potential open range
breakout, I called that is smarter money:).
Is is profitable to trade VIX/VXX based on that? Nope, it’s more
complicated than tracking volatility of SPX, meanwhile, bigger range doesn’
t necessarily mean bigger volatility.
But it’s usually for options day traders, especially when you trade options
with high beta underlying stock. Implied volatility trend might have
correlations with SPX range trend, with some lag.
Some of my strategies are based on the timing.
【在 w*******o 的大作中提到】
: 这个跟我的common sense似乎比较吻合，呵呵
: 活跃期大概有几个
: 1)欧洲开盘
: 2)8:30 AM 经济数据密集期，Job data/GDP...
: 3)开盘
: 4)收盘
: 平淡期：
: cbot去吃午饭，由intern代为操盘的时间，哈哈。
|
g*****u
发帖数: 14294 | 14 Where are the trend reversals in the graph?
economic
range
【在 a*****e 的大作中提到】
: it is common sense, but more informative than that, You missed several
: points.I won't bother if it's not profitable graph:)
: Every liquidity peak, there is a small window for a very strong trend(no
: matter it’s cross market driven or daily maintenance or scheduled economic
: data driven). There is normally some tendency for a reversal at some
: critical point which provides best chance for scalping.
: For example, 3pm — close time for bond market. 10am — potential open range
: breakout, I called that is smarter money:).
: Is is profitable to trade VIX/VXX based on that? Nope, it’s more
: complicated than tracking volatility of SPX, meanwhile, bigger range doesn’
|
f********n
发帖数: 1560 | 15 你这个信息应该很对超短线有用，Swing的话感觉又多了一个操心的。
economic
range
【在 a*****e 的大作中提到】
: it is common sense, but more informative than that, You missed several
: points.I won't bother if it's not profitable graph:)
: Every liquidity peak, there is a small window for a very strong trend(no
: matter it’s cross market driven or daily maintenance or scheduled economic
: data driven). There is normally some tendency for a reversal at some
: critical point which provides best chance for scalping.
: For example, 3pm — close time for bond market. 10am — potential open range
: breakout, I called that is smarter money:).
: Is is profitable to trade VIX/VXX based on that? Nope, it’s more
: complicated than tracking volatility of SPX, meanwhile, bigger range doesn’
|
c***m
发帖数: 2630 | 16 Could someone help me? Does this ES refer to " ES Futures " created from CME
? |
g*****u
发帖数: 14294 | 17 yes
CME
【在 c***m 的大作中提到】
: Could someone help me? Does this ES refer to " ES Futures " created from CME
: ?
|
c***m
发帖数: 2630 | 18 Thank you, my friend.
【在 g*****u 的大作中提到】
: yes
:
: CME
|
a*****e
发帖数: 1717 | 19 improved weekday version,
more details with difference schedule events.
【在 a*****e 的大作中提到】
: not very familiar with the syntax, took me some time:)
: useful for DTer and Scalper. More than thousand words.
|
S******t
发帖数: 8388 | |
|
|
a*****e
发帖数: 1717 | 21 NY local time.
【在 C****a 的大作中提到】
: I tried to work on minute level ES data, just too many things to worry about
: .
: Slippage kills me.
|
C****a
发帖数: 1639 | 22 Sorry, post by mistake. Some bugs with this forum. |
t*****9
发帖数: 10416 | 23 惜售
【在 J**S 的大作中提到】
: 怎么解释大盘？
: 量减，股指却上扬？
|
a*****e
发帖数: 1717 | 24 which package? looks convenient,
live testing some scalpings,
there is basically no way to back-test:(
【在 C****a 的大作中提到】
: Sorry, post by mistake. Some bugs with this forum.
|
C****a
发帖数: 1639 | 25 Just a set of R functions I wrote by myself.
Yes, I just stay away from those relatively high frequent methods. Slippage
is a huge part of that, and
optimization of execution is just beyond my knowledge.
I feel more comfortable with daily rebalance, and emotionally less stressful
.
【在 a*****e 的大作中提到】
: which package? looks convenient,
: live testing some scalpings,
: there is basically no way to back-test:(
|
C****a
发帖数: 1639 | 26 Overall, for benchmark, volume is positively correlated with volatility. So
it is commonly to see volume drops
as volatility slumps.
【在 J**S 的大作中提到】
: 怎么解释大盘？
: 量减，股指却上扬？
|
a*****e
发帖数: 1717 | 27 nevertheless, there should be something good to learn from you.
optimization execution is more of algorithmic trading area.
You can refer to this book,
Optimal Trading Strategies: Quantitative Approaches for Managing Market
Impact and Trading Risk
I have not read through, seems more focused on market impact reduction,
slippage is more or about latency.
Order types is highly related too.
Slippage
stressful
【在 C****a 的大作中提到】
: Just a set of R functions I wrote by myself.
: Yes, I just stay away from those relatively high frequent methods. Slippage
: is a huge part of that, and
: optimization of execution is just beyond my knowledge.
: I feel more comfortable with daily rebalance, and emotionally less stressful
: .
|
w******s
发帖数: 16209 | 28 wow. 小牛牛精细牛用功牛
【在 a*****e 的大作中提到】
: improved weekday version,
: more details with difference schedule events.
|
w******s
发帖数: 16209 | 29 你们贴点儿optimization of execution 方面的东东？
Slippage
stressful
【在 C****a 的大作中提到】
: Just a set of R functions I wrote by myself.
: Yes, I just stay away from those relatively high frequent methods. Slippage
: is a huge part of that, and
: optimization of execution is just beyond my knowledge.
: I feel more comfortable with daily rebalance, and emotionally less stressful
: .
|
g*****u
发帖数: 14294 | 30 村长桑老浆糊，抖点包袱吧!
上百万合约做下来，肯定心得不少!
【在 w******s 的大作中提到】
: 你们贴点儿optimization of execution 方面的东东？
:
: Slippage
: stressful
|
|
|
w********1
发帖数: 3492 | 31 你又开始臆想了。
【在 g*****u 的大作中提到】
: 村长桑老浆糊，抖点包袱吧!
: 上百万合约做下来，肯定心得不少!
|
g*****u
发帖数: 14294 | 32 20,000 /month x 12 months x ~5
= 1,200,000 contracts.
Plausible?
【在 w********1 的大作中提到】
: 你又开始臆想了。
|
w********1
发帖数: 3492 | 33 你的智商和一些smartass一样聪明，
我记得这板上有人说一个月整了10％，连整了3个月，
然后就一堆人开始算他多快超过八肥特了。
【在 g*****u 的大作中提到】
: 20,000 /month x 12 months x ~5
: = 1,200,000 contracts.
: Plausible?
|
g*****u
发帖数: 14294 | 34 这么扭捏，给你减个数量级吧。累计10万个contract。
这个也是很老道了!
【在 w********1 的大作中提到】
: 你的智商和一些smartass一样聪明，
: 我记得这板上有人说一个月整了10％，连整了3个月，
: 然后就一堆人开始算他多快超过八肥特了。
|
w********1
发帖数: 3492 | 35 扭捏你个头。琢磨别人干个啥？
我肯定es或options比你老道。
老道不老道管p用。
【在 g*****u 的大作中提到】
: 这么扭捏，给你减个数量级吧。累计10万个contract。
: 这个也是很老道了!
|
g*****u
发帖数: 14294 | 36 打倒村长!
毛主席万岁!
【在 w********1 的大作中提到】
: 扭捏你个头。琢磨别人干个啥？
: 我肯定es或options比你老道。
: 老道不老道管p用。
|
w******s
发帖数: 16209 | 37 need correction.
sunday to thursday . where is friday? overall one day off?
and sunday should be only after 6pm right?
【在 a*****e 的大作中提到】
: improved weekday version,
: more details with difference schedule events.
|
a*****e
发帖数: 1717 | 38 I considered that,
sunday cycle is from sunday afternoon to monday afternoon.
see the description on CME, I just followed their conversion.
【在 w******s 的大作中提到】
: need correction.
: sunday to thursday . where is friday? overall one day off?
: and sunday should be only after 6pm right?
|
w********1
发帖数: 3492 | 39 ok.. got it. thanks..
【在 a*****e 的大作中提到】
: I considered that,
: sunday cycle is from sunday afternoon to monday afternoon.
: see the description on CME, I just followed their conversion.
|
