In the event that the two trading systems generate contrast conclusion (say one suggest momentum goes up, while another goes down) How would you determine the trading decision? Note the bull entry is 3 times larger than the bear cert purchase but more short term, does that mean you have more confident in one trading system over another?
I made position management to different system/strategies and therefore no conflict when bull/bear signals generate in the same time/ overlapping.
The entry size is depend on many factors (e.g. win%, time frame, potential risks, etc.). It is a bit complicated and I am still study how to control more better in position size.
In fact, most of my long/mid term strategies have no signal since June 2015 but only one long term bear signal generated recently. So, I am looking for chances to bear HSI again.
帆海兄，do you have any recommendation on books or materials about developing quantitative trading system, risk and capital management models or other relevant models? And why do you choose to use bull/ bear contracts, but not futures? their bid-ask spread sometimes is very wide.
I am sorry that I have no solid recommendation for you. For example, I read a book called "Stock on the move" and share this book in CLcheung Chatroom recently, but I am not a programmer and therefore I cant use such method/concept in my current trading system.
Many quantitative trading books not very useful to my trading strategies, but can be strengthen my risk management skills.
Recent years I read many books about statistics and some algorithms concepts. The following books I have read recent years and give me some ideas on trading. If you wanna improve your risk and capital management, I recommend you read "Market Wizard" series repeatedly and you may find many ideas in different period.
1. How to Measure Anything, 2. Are You Smart Enough to Work at Google？, 3. HOW NOT TO BE WRONG: The Power of Mathematical Thinking, 4. Rock Breaks Scissors: A Practical Guide to Outguessing and Outwitting Almost Everybody, 5. Trade like a Stock Market Wizard, 6. Automate This: How Algorithms Came to Rule Our World
I wanna trade Future but need to study programming first. I understand bid-ask spread is a big problem which suffer my profit in long term but at this moment I have no choice due to my limitation of trading tools. Do you have any tools on trading Future?
Thank you for your recommendation! I am not trading futures right now but I wanna explore the possibility of algorithmic leveraged index trading. I know you buy and sell bull/ bear contract manually, but why cant you do the same thing with futures? I guess HSI and HSI future move closely together (otherwise people can arbitrage to earn sweet profit, but surely you can confirm it by studying their statistics). And you can also control the leverage by preparing more margin (max: ~16x if no borrowing money), for example, if your system works at 10x leverage, you may prepare $100k for each HSI future contract or $20k for each mini HSI future contract. I think future is so much better than bull/ bear contracts, or do I get something wrong?
The trading cost of Future is far lower than bull/bear contract, especilly "large" Future. E.g. $30 per large Future and $15 per small Future, I earn 1 point of HSI can overcover large Future cost but need earn 1.5 point to cover small Future cost. That's the main difference between trading large and small Future.
I have applied HSI Future 1 min tick data to my trading system and made a good backtest result. However, I am not a full-time trader. Expect I have a automatic trading system, I cant run such strategies smooth.
One advantage of bull/bear contract to Future is large leverage. Future is fixed the leverage around 13x, but bull/bear can be 50x up. But generally I do not recommend such high leverage.
I have no time to study programming now and need to focus on my family. Maybe you can spend some time in this direction.
Hi bro, may I know whats the rationale of purchasing a bull cert after purchasing a far bear cert?
回覆刪除Simple, the bull and bear signals are produced by two trading system separately.
刪除Thanks for your reply!
回覆刪除In the event that the two trading systems generate contrast conclusion (say one suggest momentum goes up, while another goes down) How would you determine the trading decision?
Note the bull entry is 3 times larger than the bear cert purchase but more short term, does that mean you have more confident in one trading system over another?
I made position management to different system/strategies and therefore no conflict when bull/bear signals generate in the same time/ overlapping.
刪除The entry size is depend on many factors (e.g. win%, time frame, potential risks, etc.). It is a bit complicated and I am still study how to control more better in position size.
In fact, most of my long/mid term strategies have no signal since June 2015 but only one long term bear signal generated recently. So, I am looking for chances to bear HSI again.
帆海兄，do you have any recommendation on books or materials about developing quantitative trading system, risk and capital management models or other relevant models?
回覆刪除And why do you choose to use bull/ bear contracts, but not futures? their bid-ask spread sometimes is very wide.
I am sorry that I have no solid recommendation for you. For example, I read a book called "Stock on the move" and share this book in CLcheung Chatroom recently, but I am not a programmer and therefore I cant use such method/concept in my current trading system.
刪除Many quantitative trading books not very useful to my trading strategies, but can be strengthen my risk management skills.
Recent years I read many books about statistics and some algorithms concepts. The following books I have read recent years and give me some ideas on trading. If you wanna improve your risk and capital management, I recommend you read "Market Wizard" series repeatedly and you may find many ideas in different period.
1. How to Measure Anything,
2. Are You Smart Enough to Work at Google？,
3. HOW NOT TO BE WRONG: The Power of Mathematical Thinking,
4. Rock Breaks Scissors: A Practical Guide to Outguessing and Outwitting Almost Everybody,
5. Trade like a Stock Market Wizard,
6. Automate This: How Algorithms Came to Rule Our World
I wanna trade Future but need to study programming first. I understand bid-ask spread is a big problem which suffer my profit in long term but at this moment I have no choice due to my limitation of trading tools. Do you have any tools on trading Future?
Thank you for your recommendation! I am not trading futures right now but I wanna explore the possibility of algorithmic leveraged index trading. I know you buy and sell bull/ bear contract manually, but why cant you do the same thing with futures? I guess HSI and HSI future move closely together (otherwise people can arbitrage to earn sweet profit, but surely you can confirm it by studying their statistics). And you can also control the leverage by preparing more margin (max: ~16x if no borrowing money), for example, if your system works at 10x leverage, you may prepare $100k for each HSI future contract or $20k for each mini HSI future contract. I think future is so much better than bull/ bear contracts, or do I get something wrong?
回覆刪除The trading cost of Future is far lower than bull/bear contract, especilly "large" Future. E.g. $30 per large Future and $15 per small Future, I earn 1 point of HSI can overcover large Future cost but need earn 1.5 point to cover small Future cost. That's the main difference between trading large and small Future.
刪除I have applied HSI Future 1 min tick data to my trading system and made a good backtest result. However, I am not a full-time trader. Expect I have a automatic trading system, I cant run such strategies smooth.
One advantage of bull/bear contract to Future is large leverage. Future is fixed the leverage around 13x, but bull/bear can be 50x up. But generally I do not recommend such high leverage.
I have no time to study programming now and need to focus on my family. Maybe you can spend some time in this direction.