High Probability Trading

Free Resources to learning R and other coding languages

noreply@blogger.com (HPT) — Sat, 01 Dec 2012 21:30:00 +0000

R project - R is a free software environment for statistical computing and graphics. It compiles and runs on a wide variety of UNIX platforms, Windows and MacOS.

R Studio - RStudio IDE is a powerful and productive user interface for R. It’s free and open source, and works great on Windows, Mac, and Linux.

R Cookbook - Download link to an introductory book to learning R.

R Tutorial Blog - A blog with lots of R tutorials.

Coursera's R course - Recorded R lessons from Coursera on youtube.

R Intro Book - Another great introductory pdf book on R.

Codecademy - Codecademy is the easiest way to learn to code. It's interactive, fun, and you can do it with your friends. They have interactive tutorials on Javascript, HTML/CSS, Python, and Ruby.

Day Trader Evolution

noreply@blogger.com (HPT) — Fri, 30 Nov 2012 22:41:00 +0000

Over the years many discretionary traders have moved on to other jobs. Today's traders have evolved into trading from a more quantitative/automated approach. Trading volume the last 3 years has been decreasing and the ability to scalp the emini's has been increasingly difficult for discretionary traders. I was checking out my old but popular Trading Blogs list and found that most of the blogs have vanished or the authors stopped posting around 2009. I would like to link some new interesting blogs and trading related websites that I checkout frequently.

ZeroHedge - The main author who calls himself by the popular fictitious movie character; "Tyler Durden", from the movie Fight Club, and various other authors report the news. They also have a separate live news reporting broadcast(Talking Forex). They report some good information, but take everything they write with a grain of salt and try not turning into a doom and gloom fan or gold bug.

Quantum Blog - A quiet matlab / algorithmic trading blog that discusses his backtesting results. He also authors the blog Trading with Python.

Milk Trader - Another aspiring automated trader that writes about his coding in "R" and shares backtest results from various strategies he's tested; the breakfast spread is my favorite.

Quantifiable Edges - A long standing blog that shares a plethora of backtest results from Gap trades to day of the week probabilities.

Systematic Investor - A systematic approach to trading focusing on long/short strategies, technical analysis and lots of code samples with backtest results.

Timely Portfolio - Another R blog with lots of backtests and strategy discussion.

Mebane Faber - A portfolio manager at Cambria Investment Management shares his model and discusses strategies and trends.

Quantitative Trading - Ernest Chan's blog on trading strategies.

Condor Options - Lots of good articles on options, spreads, and volatility.

I am futures Trader - Chris, an independent trader gives his take on the market and setups he's looking at.

Michael Covel - Lots of good interviews from professional traders and trend following strategy information.

Automated Trading System - Trend following systems and performance results as well as free code.

Automated Trader - A website with articles, news, videos and more on everything automated.

Learning Markets - Great articles on trading.

Scarr Visual Trading - Spread charts, some free, most for a subscription. The ability to compare up to 5 years at a time on a spread from one year vs another is nice. Now if only someone made a website with historical term structure charts going back 10 years.

Quantpedia - A new website made from the guys at FinFiz that provides proven trading strategies (mostly taken from white papers) and lets you decide which one to trade, with a subscription of course. Not that expensive if you consider the alternatives to spending hours scouring finance journals, algotradinggroup forum or SSRN.

HPT

Today's reads

noreply@blogger.com (HPT) — Wed, 14 Nov 2012 21:34:00 +0000

Find your niche - great article on the common pitfalls in trading.

Five years ago today - Ben Stein in all his genius was wrong about the housing bubble.

My life in finance - Eugene F. Fama's (father of efficient market hypothesis) autobiography.

Futures Trading Prices and Data Feed

noreply@blogger.com (Commodity BLOG) — Thu, 19 Jul 2012 12:53:00 +0000

When traders consider futures trading platforms they choose those platforms that have the technical specs, the visual appeal and the stability required in aggregating large files of data. However, traders should also consider two aspects when it comes to trading futures:

1) Low latency delivery of trades. In the exchanges where institutions compare nano seconds, you should consider data feeds that would deliver your trade as fast as possible. Keep in mind, in the exchange it’s first in and first out, so the idea of you being a head in your trading execution is important.

2) Unfiltered data. You can only develop a good methodology if you have all facts so having an unfiltered data will give you a complete picture of what is happening in the market place. Many use aggregate data that simply can skew data that chart traders rely on.

One such data that feed you will find appealing is Rithmic

Rithmic advantages include:

Unfiltered data: During volatile periods you get an accurate picture of price activity, because Rithmic provides a very stable data feed. You will actually see true “tick-by-tick” data instead of “data blocks” like most other data providers. You get a clear and instantaneous picture of price activity.
Rithmic’s servers are co-located right on the major exchanges and provide high-end stable connectivity and smart order routing solution that can meet the demands of the most demanding retail traders.
Stability: Rithmic’s infrastructure sits atop the most sophisticated and highly reliable infrastructure and is monitored at all times by top quality programmers

Take a look at futures trading platforms that Rithmic could be applied to: This site belongs to a futures broker Optimus Trading Group, a brokerage dedicated self directed futures traders.

Delta Divergence Short Setup on Crude Oil

noreply@blogger.com (HPT) — Mon, 23 May 2011 17:22:00 +0000

I noticed this nice short setup on CL today. Cumulative Delta was lower while price was higher(also it was a morning High of Day).

Delta Footprint Charts

noreply@blogger.com (HPT) — Tue, 10 May 2011 00:36:00 +0000

The key move occurred at 8:46am (11:46am EST).

Cumulative Delta goes negative @ 8:46, then price reverses and goes higher past negative Delta price level. MELT UP!

The Cum. Delta started dropping at 842.5 at a key reversal time period 11:45am (2:45pm EST)

Best futures Broker Based on Commissions, Data Feed, and Trading Platform

noreply@blogger.com (HPT) — Tue, 07 Dec 2010 18:05:00 +0000

I've reviewed some of the most popular Futures Brokers available to retail traders and rated them based on Commission. Finding the best broker based on commission should be one of the top factors you have when selecting your broker, because you can save you thousands of dollars per year by choosing the right one. I've put together a table comparing each broker based on their "advertised" commissions. Some brokers are negotiable in their commission rates, so be sure to call the broker your interested in before making the final decision. Remember, Commissions alone should not be your sole determining factor in choosing your broker, you should also consider data feed speed and reliability as well as the trading platform offered in which you will be placing your trades on.

Video on How to Read the Time and Sales

noreply@blogger.com (HPT) — Fri, 22 Oct 2010 00:10:00 +0000

A live trade setup from the chat room today showing what the time and sales should look like on a breakout trade for the Dow emini futures (YM).

Rithmic Data Feed (Optimus Futures) vs InteractiveBrokers

noreply@blogger.com (HPT) — Sat, 16 Oct 2010 08:39:00 +0000

In this video I go over the Rithmic data feed and how it is one of the fastest data feeds available for futures traders. I compare Rithmic vs Interactive Brokers data feed and detail the strength and weaknesses of both.

Automated Trade System From NinjaTrader to Bracket Trader to Interactive Brokers

noreply@blogger.com (HPT) — Wed, 13 Oct 2010 08:54:00 +0000

This is a Video I made showing automated trades being sent from NinjaTrader to Bracket Trader to Interactive Brokers

How to Setup an Automated Trade System From NinjaTrader to ZeroLine Trader

noreply@blogger.com (HPT) — Wed, 13 Oct 2010 08:41:00 +0000

There are several reasons why someone might want to use ZeroLine Trader over NinjaTraders built in Trade Management software. You may like Zeroline Trader's trade management software over Ninjatraders ATM software because it is easy to use and you can customize your strategies in Zeroline Trader to your liking. You may also be using Zeroline Trader over NinjaTrader because you don't want to pay to have to use NinjaTrader but you like the charts and strategies that you've designed. Many people will install NinjaTrader and develop an automated trade system but never go live with it because of the extra fee's it costs to use NinjaTraders Trade management software. If you are client of Interactive Brokers there is a simple way around those fees by using another 3rd party application to manage the trade like ZeroLine Trader.

What you can do is setup an automated trade system in NinjaTrader and instead of using NinjaTrader trade management software, you send an email out to ZeroLine Trader to place the trade for you, and then ZeroLine Trader sends the order to Interactive Brokers. Using the Perl script I've written, and with a little bit of coding, this is a very simple setup and gives you a fully functional automated trade system for Ninjatrader through Interactive Brokers without the extra cost of having to own Ninjatrader or pay the extra cost for placing each trade. Having the automated trade system run directly through Ninjatrader to Interactive Brokers will be slightly faster and may be slightly easier to setup; however, using ZeroLine Trader as a middleman to save on the extra fee's may be worth it.

Here are the Downloads you will need-

NinjaTrader

Charting and Trading Platform

ZeroLine Trader

- Trade Management Software

Mailenable

- Free Mail Server

ActiveState Perl

- Free Scripting Software

HPT's ZeroLine Trader Perl Script

- An email client that checks your email and enters a trade into ZeroLine Trader when a new alert is found in NinjaTrader

Interactive Broker’s TWS Demo

- A Free Demo account with Interactive Brokers

Visual C++ 2005 from Microsoft

-This is software required by the InteractiveBrokers API to register properly

QuoteTracker to ZeroLine Trader Automated Trade System

noreply@blogger.com (HPT) — Mon, 11 Oct 2010 21:29:00 +0000

I have written a perl script which enables you to make automated trades based off of signals generated in Quotetracker.(Thanks to Boogster for the original script)
This automated Trade System works the same way my Bracket Trader Automated System for QuoteTracker works, so I have made 1 video detailing how to setup Zeroline Trader to enable automated trades. I Like Zeroline Trader over Bracket Trader for the Automated Trade system because Zeroline Trader has more options to configure strategies and you can setup the automated trade system to trade multiple symbols very easily.

Here are some Tips-
Make Sure your Page is named "Futures" in ZeroLine Trader and your email template is setup to trade the Contract based on the Data Row ID in ZeroLine Trader

How to setup the Order Email template in QuoteTracker-

For reference on how to setup the ATS, you may want to watch my other videos.
Boogster made a very detailed post on how to make an ATS and I decided to make a tutorial video following his guide. If you have a broker that accepts API connections like Interactive Brokers, then you can make this Automated Trading System for Free. Here are the downloads you'll need-

Medved Quotetracker

- Free Charting Software

ZeroLine Trader

- Trade Management Software

Mailenable

- Free Mail Server

ActiveState Perl

- Free Scripting Software

HPT's ZeroLine Trader Perl Script

- An email client that checks your email and enters a trade into ZeroLine Trader when a new alert is found in QuoteTracker

Interactive Broker’s TWS Demo

- A Free Demo account with Interactive Brokers

Visual C++ 2005 from Microsoft

-This is software required by the InteractiveBrokers API to register properly

The Videos below were made as a tutorial for setting up QuoteTracker to Bracket Trader as a complete Tutorial. If you had trouble getting the ATS to work for ZeroLine Trader, these other Tutorial videos I made for Bracket Trader ATS may help you, as the only difference between the ATS between the two applications is the Order configuration and Perl Script. The old Perl Script used for BracketTrader will not work for ZeroLine Trader, you must download the new one above.

HPT's ATS Tutorial Part 1 - Downloading Software Setup

Part 2 - Installing and Configuring software

Part 3 - Setting up Quotetracker & ATS Email Tempelate

Part 4 - Bracket Trader Setup & Live Trade

Part 5 - ATS Exit Signals & IB Demo Account

Example of ATS Exit signal working

I would like to give a special thanks to Boogster for his work on the ATS perl script, Jerry for his awesome charting software QuoteTracker, and Hong for his excellent Trade Management software ZeroLine Trader.

Interactive Brokers Data Feed vs. Optimus Futures Rithmic Data Feed Video

noreply@blogger.com (HPT) — Wed, 29 Sep 2010 07:00:00 +0000

This video is comparing IB's data feed vs. Rithmic data feed from Optimus Futures brokerage. IB's data feed is down on ICE, and Rithmic is working as usual.

MY TF chart with signals

noreply@blogger.com (HPT) — Wed, 29 Sep 2010 06:40:00 +0000

The first 11 charts is 1 day of TF on a 10 tick chart.

10 tick chart

20 tick chart

30 sec chart

Correlation Trader vs. Signal Trader

noreply@blogger.com (HPT) — Sat, 18 Sep 2010 23:58:00 +0000

Crude Oil Correlation vs AUD/JPY & AUD/USD

Crude Oil Signals

Correlations only work until they don't. Friday, we saw Crude Oil get crushed. I made the mistake of basing my trades off the correlation of AUD/USD, AUD/JPY vs Crude Oil. This trade idea may work on a longer term basis(several Days), but I am a Day Trader, and I need to stick to what works for me, and right now, trading signals on a minute to minute basis and using stops has been working fabulously.

Crude Oil Intermarket Correlation vs AUD.JPY & Intraday Trend Analysis

noreply@blogger.com (HPT) — Fri, 03 Sep 2010 05:37:00 +0000

As you can see from the charts, Crude Oil and the AUD/JPY have been highly correlated as of late. We see Crude as a buy when it is oversold relative to AUD/JPY and Crude as a sell when overbought relative to AUD/JPY.

In this chart you can see how AUD/USD put in a higher low when AUD/JPY & Crude Oil were putting in a low for the day, suggesting a bullish divergence.

A common theme intraday for Crude Oil has been a second initiation in buying/selling in the direction of VWAP around 1 to 1:30pm EST, with a close near the low/high of day.(Please note my charts are Pacific time- Add 3hrs for EST)

AUD/JPY Carry Trade and SP500 Correlation

noreply@blogger.com (HPT) — Sun, 22 Aug 2010 20:47:00 +0000

There is a high correlation between the SP500 and AUD/JPY and also AUD/USD.
This chart shows SPY(SP500 vs AUD/JPY)

Australia's elections over the weekend has resulted in hung parliament, which will take some time to resolve once all the votes are counted. With Issues in Australia over elections we might see AUD/JPY selling (risk aversion/unwinding carry trade) and this will help the bears bring the SP500 down. We are also seeing continued strength in the USD/JPY and Treasuries which has caused weakness in Crude Oil and Copper due to the inverse correlation relationship. (Crude Oil and Metals like copper have high correlation to AUD/USD, CAD/USD, and NZD/USD).

The bear scenario for next week-
SELLING IN-AUD/JPY, CAD/JPY SP500, Crude Oil, and Copper
BUYING IN- JPY vs all currencies, 30yr bonds, and VIX

Here are some old Intermarket Correlation resources from ForexAutomaton the period 2002-2008-

Here are some links that look at Currency Correlation of the AUD/JPY vs SP500 and the current state of 30 year treasuries-

aud vs jpy

Presenting The New Correlation Regime: Treasury Butterflies And Risk | zero hedge

Visualizing The Past Of The Treasury Yield Curve, And Deconstructing The Great Confusion Surrounding Its Future | zero hedge

Will Tonight's AUD Slide Be The Start Of Another Major Market Selloff? | zero hedge

HomeTrader: SP500 update and AUDJPY , AUDCAD and EURUSD.

Lessons from the Pros - 06/15/2010 Issue - Stocks Article: Money for Leads?

ES-AUDJPY "Swiss Watch" Recoupling Means Money In The Bank For Divergence Chasers | zero hedge

... from IDEAtrader Suite

The Rational Move

News | Currency Trading News | Currency Quotes | Commentary | Analysts - FX 360>

Dollar Soars As S&P500 Hits 5 Year Lows - Forex Analysis, Currency Forecast, FX Trading Signal - Action Forex

The Strongest Forex Correlations | Kathy Lien | FX360.com

Commodity Currencies & SPX | Samadhi Research Investments

Forex @ DailyFX - Currency Correlations Tighten Through Risk and Dollar-Based Foundations

Unwinding Of The AUD/JPY And Other Carry Trades Is Going To Take BHP Billiton Ever Lower - theyenguy -- Seeking Alpha

Chronic Deflation Will Send 30-Year Treasuries to 3% (Gary Shilling)

Australia election results point to hung parliament | World news | guardian.co.uk

Squak Audio from May 6 2010 stock market flash crash

noreply@blogger.com (HPT) — Sat, 21 Aug 2010 23:58:00 +0000

Richard Fuld - Walks away with 500 million

noreply@blogger.com (HPT) — Wed, 18 Aug 2010 22:26:00 +0000

Lehman Brothers was the largest US Bankruptcy at $691 Billion dollars.
The CEO; Richard Fuld, walked away with around 500 million dollars.
This video is just a reminder as to how truly messed up things were less then 2 years ago.

Richard

Long End Treasury Yields Falling

noreply@blogger.com (HPT) — Mon, 16 Aug 2010 01:57:00 +0000

With the 2 year Note Yield at record lows and the 5 year near record lows, I wanted to examine how much further they could fall and how much further the 30 year bond could fall to catchup to the levels seen when the 30 year made record lows December 18, 2008.

The Chart below shows yields on the 2,5,10, and 30 year going back to January 2008.

The Chart below shows the yield spread between the 30 vs 2, 30 vs 5. I also divided the 30 yr by the 2 year and the 30 year by 5 year to see the spread at a more magnified view.

The 2 year has breached 2008 lows and is making new record lows, while the 5 year is 20 basis points from the low of 1.266 set December 18,2008. The 30 year has a long way to go if it is to catchup to the yields it saw during December 2008 lows. Given the Short end of the curve has already hit or is near record lows, how much further does the 30 year have to drop to catchup?
The 30 year made a record low of 2.53% on December 18, 2008, which means as of Fridays close the 30 year trading at 3.87% would have to drop 1.34% or 134 basis points to retest those record lows.

With ZB currently trading around 132, we could expect ZB to rise all the way to 142 if yields are to retest December 2008 lows.
Here is a chart of ZB Trading Today August 15, 2010.

Here is a chart of ZB trading under the March 2008 contract during the period of December 2008.

Here is a good article from Bond Squawk on Negative Tip spreads.

If negative TIP spreads don't currently forecast rising inflation, but just a reduction in forecast GDP and economic growth, then would gold be a good investment? Most people believe gold is a good inflation hedge; however, Mish Economic Analysis found Gold to be a better investment during periods of Deflation as opposed to periods of Inflation.

So what should we do? Bet on Deflation and a possible double dip recession? Buy the long end of bonds, go long gold, and stay out of stocks? We shall see in time what happens.

Live Futures and Stock Trading Chat Room at Justin.TV

noreply@blogger.com (HPT) — Wed, 04 Aug 2010 23:05:00 +0000

Stop by the Trading Room. I host a live trading group of mainly ES, Crude, Gold, and momentum stock Traders. Anyone is free to join, but we have mods who don't hesitate to ban people who don't take trading seriously.

Watch live video from High Probability Trading on Justin.tv

OEC Special Offer on Commission

noreply@blogger.com (HPT) — Sun, 01 Aug 2010 05:06:00 +0000

The fine print says you must open an OEC EQUITIES account, which is 25k, and a futures account is another 5k. So, I assume they want you to open both, 30k total, and then you can get the good deal on the futures trades. I've never personally traded through them, but I've tested their platform out and it gets the job done and it has a risk manager and the ability to automate trade ideas which is a big plus.

Housing Market Recovery Precursors

noreply@blogger.com (HPT) — Wed, 21 Jul 2010 06:14:00 +0000

I'm watching to see if the lows have been made for Lumber and Copper, as they are vital ingredients to building houses.

Lumber Today- July 20, 2010

Lumber trading 1977

Copper setting up with a rising wedge pattern off summer lows.

Treasury Yield Spreads

noreply@blogger.com (HPT) — Sun, 18 Jul 2010 17:54:00 +0000

The Yield Curve is Flattening. Long term interest rates are declining faster then shorter dated rates. The 2 year looks to be bottoming out at 0.58%. Mortgage rates are hitting all time lows bringing the 30yr interest rates down further. The expectation for a fed fund rate increase for next march has also decreased this past week.

How to Reduce your CME Futures Commissions

noreply@blogger.com (HPT) — Mon, 31 May 2010 17:30:00 +0000

If you are a serious Futures Trader that trades ES, NQ, YM, or any other CME, CBOT, or NYMEX product, then you have the ability to save thousands if not more per year by obtaining an Exchange membership depending on the amount of volume you trade per day.
Checkout the Video and Spreadsheet provided.

CME Fee Reduction Spreadsheet

CME Membership Webpage

CME Fee Schedule