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Models and volume trading will help you to 1,000,000 + income

(Last Updated On: May 11, 2010)

Here is a conversation on reddit.com which pretty well inspired me tostart thinking about blending my knowledge of technology and financial investment. This was pretty inspiring where an indie software engineer launched his own business. He is now clearing

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What’s your life style like? Big house? Hot girlfriend? Expensive cars?

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mejalx [S] 10 points11 points12 points 6 months ago* [+] (0 children)

mejalx [S] 10 points11 points12 points 6 months ago* [-]

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I’m just over 30. I live in a 900sqft apartment, drive a Nissan, and do not have a girlfriend atm. Not that there’s anything wrong with spending money on those things, but it hasn’t ever been my style. The only thing I will spend major money on is traveling.

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jdk 3 points4 points5 points 6 months ago[+] (6 children)

jdk 3 points4 points5 points 6 months ago[-]

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What was your process in developing your model? Was it to mirror what you learned from your trader friend, or are you trading a pattern that you discovered?

What is the success ratio of your model?

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mejalx [S] 3 points4 points5 points 6 months ago[+] (5 children)

mejalx [S] 3 points4 points5 points 6 months ago[-]

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I don’t have just 1 strategy/model/whatever you want to call it. I have a portfolio of 6 strategies, the oldest being the one I initially started out with. I have had to retire several strategies. When a strategy falls below benchmark performance I evaluate and then either continue or retire it. My strategies range from high accuracy with 2:1 Risk:Reward ratios to low accuracy and low risk:reward ratios.

When I develop a model, I attempt to exploit some fundamental behavior whether that be news, volume, trader driven. From there, I systematically formalize rules and test.

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jdk 6 points7 points8 points 6 months ago* [+] (1 child)

jdk 6 points7 points8 points 6 months ago* [-]

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What is your process in strategy development? In other words, how were the patterns discovered? e.g. from your knowledge of the inner workings of the market, from trying to catch the gap ups that you see in charts, etc..?

You touched on this but can you clarify if you believe in any technical analysis at all?

Do you use volume as a factor?

Do you use price/volume data purely in the stocks that you trade, or do you key off market leaders and/or indices/futures/options?

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mejalx [S] 2 points3 points4 points 6 months ago* [+] (0 children)

mejalx [S] 2 points3 points4 points 6 months ago* [-]

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  • I rarely look at bar/candlestick charts. I’ll peek at one after hours or when I pull up the S&Ps or something like that. I personally don’t put much weight into price patterns/indicators, so I tend to ignore those. That being said, I do visualize data to spot behavior, such as mean reversion. I have a whole suite of scripts in Matlab and more recently R to help me analyze timeseries. When I develop a strategy, I lay down what I’m trying to exploit. For example, if I notice that an instrument is poised to be range bound for some period of time, I’ll go with a mean reverting model and adjust as needed.
  • I do use volume, but it’s become a diminishing factor.
  • I use any information I can get my hands on. From tick data to fundamentals, news, relative strength to other equities, etc.

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kensul 2 points3 points4 points 6 months ago[+] (2 children)

kensul 2 points3 points4 points 6 months ago[-]

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  1. How advanced is the math you use in formalizing these rules?
  2. Can you give an example of this process — a made up one, or a real-but-outdated one — that illustrates the lifecycle a bit?

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mejalx [S] 5 points6 points7 points 6 months ago* [+] (1 child)

mejalx [S] 5 points6 points7 points 6 months ago* [-]

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  1. I rarely take it beyond simple calculus.
  2. Sure, I’ll post something during my lunch break.

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phipsi180 0 points1 point2 points 6 months ago[+] (0 children)

phipsi180 0 points1 point2 points 6 months ago[-]

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I would be very interested in this process as well!

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sameasiteverwas 4 points5 points6 points 6 months ago[+] (4 children)

sameasiteverwas 4 points5 points6 points 6 months ago[-]

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Can you show a pic of your comp set-up for a fellow market geek to drool over?

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mejalx [S] 4 points5 points6 points 6 months ago[+] (3 children)

mejalx [S] 4 points5 points6 points 6 months ago[-]

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A simple 2workstation/4 monitor setup in my office. One box is the control panel for the remote system, while the other is my personal development machine. Maybe I’ll take a picture tomorrow during market hours.

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7oby 1 point2 points3 points 6 months ago[+] (2 children)

7oby 1 point2 points3 points 6 months ago[-]

NOTE I now post my TRADING ALERTS into my personal FACEBOOK ACCOUNT and TWITTER. Don't worry as I don't post stupid cat videos or what I eat!
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