Good strategies for day trading?
Author: algo2019
Creation Date: 6/24/2020 2:00 PM
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Hi All,

I am newbie algotrader. I got decent experience as discretionary day trader though.

Wealth-Lab comes with a lot of good strategies but most seems to be made for swing trading. I have been modifying some of them so that they close all positions at the end of day but once I do that, almost all profitable strategies turn negative.

Do you have any pointers for what kind of strategies I should look into for day trading modifications?

Thanks in advance!!
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Disclaimer: I don't day trade, so any advice given here should be taken with a big grain of salt.

But, for day trading, you want the price at the end of the day to be higher than at the beginning of the day, and Wealth-Lab has two very similar indicators that measure that: The SmartMoney Index and LastHour Oscillator track the progress of a stock price from the first hour of market open to the last hour of market close. All other times are ignored. They're both in the Community.Indicators library (if you haven't already downloaded that).

But as you know, none of this behavior is relevant unless the Volume increase corresponds to (or correlates with) the Price increase. So you'll want to include another indicator that confirms the correlation between Volume and Price as well so you know if the increases are for "real". The VPT or PVT (Price and Volume Trend index) "might" work for that. Just trust your common analytical sense.

You might also read up on the VWAP (Volume Weighted Average Price) indicator. It's expressly designed for intraday trading.

Search the forum for examples using these indicators. And happy trading.
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I have been using VWAP for my manual trading. I built some strategies around it but they need more work. I have to check out SmartMoney Index and LastHour Oscillator, and also VPT/PVT. Thanks for the hint.

BTW, maybe, my trading style is more of scalper. I make tiny profits off small fluctuations in price throughout the day. This generates 100s of trades but thanks to free commissions now, it is doable.
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my trading style is more of scalper. I make tiny profits off small fluctuations in price
My comment below is unrelated to day trading (so this is not the topic location to discuss this), but to profit from small fluctuations, I would build a model for the "expected" value, then see how far away that is from the "observed" value. Recall: residual = observed-expected.

WL's 1st-order Kalman filter is a good model for the expected value (although WL's won't extrapolate), so you can calculate your residual from there.
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Hello algo2019,
I have a strategy that uses Heikin-Ashi candlesticks and uses 60 minute bars. For me I trade 3X ETFs and one of them is LABU. I was playing around yesterday with other bar scale values and noticed what would happen if I used 10 minute bars. Now that sounds like 'day trading'. My paper trading output shows a 6200% increase for 3/2/2020 to yesterday. That is not my cup of tea but maybe a day trader may be interested. It would be a lot of work. See attached chart that shows as an example for the last couple days. The strategy is very simple, I add the open and close of the previous bar of Heikin-Ashi candle and get the average of the 2 and this becomes the Open for the next bar. If you are Long and the stock price drops below this new average value then you sell. If you are looking for a new position and the price does not go below this new Open value then you Buy. Very simple and the strategy calculates everything. As mentioned I have been trading 3X ETFs, e.g., LABU, SOXL, TQQQ, FINGU, and TECL, and of course the matching 3X Contra ones. Up to this time I have not used this strategy and have not done as well as I wanted to do and so decided to use my strategy for actual trading. When one enters a new position, a corresponding Stop must also be entered which has been my fault to date. These ETFs can change so fast.
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Many orders placed by investors and traders begin to execute as soon as the markets open in the morning, which contributes to price volatility. A seasoned player may be able to recognize patterns and pick appropriately to make profits. But for newbies, it may be better just to read the market without making any moves for the first 15 to 20 minutes.
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