6 ms·

I don't doubt the headline, but "We observe all individuals who began to day trade between 2013 and 2015 in the Brazilian equity futures market" seems like a we

by davidu 7y ago

I don't doubt the headline, but "We observe all individuals who began to day trade between 2013 and 2015 in the Brazilian equity futures market" seems like a weird way to come to that conclusion.

rolltiide 7y ago
20,000 people trading a broad based equity futures market over two years isnt a bad study But yes a study of individual stocks and certain sectors would be better Or following those individual accounts to see how they grew based on everything it traded would be interesting
soneca 7y ago
Why weird?
- ineedasername 7y ago
  Because it would represent an extremely narrow slice of traders. It's possible traders of these equities find it quite hard to make a living but a larger number of other day traders do just fine. Also it says "impossible" but the article actually shows it's difficult and rare.
  - peteey 7y ago
    The paper's claim is "virtually impossible". The post's title is click bait.
    - bryanrasmussen 7y ago
      lots of things are virtually impossible to do for a living and people still manage it though.
  - bradshaw1965 7y ago
    Glancing at the abstract it looks like 97% lose money, what larger number in a more suitable sample size would make a difference? I've heard low single digits of traders and investors deliver Alpha. Impossible? no. Highly efficent? Yes
- DSingularity 7y ago
  Because that is not a representative sampling of the day trader population. Assuming the techniques of the study were sound, at best we can conclude whether or not day trading Brazilian futures is a sustainably profitable undertaking.
  - georgespencer 7y ago
    Wouldn't you need a basis for believing that day trading Brazilian futures has unique properties not present in other markets to assert this? E.g. the volatility or spread is significantly larger than European futures or the information flow is more tightly de/regulated etc. Is there a basis for believing this?
    - mlthoughts2018 7y ago
      That belief seems like it would be obviously justified. The same would be true for pretty much any geographically restricted set of day traders on a specific exchange tied to the geography, likely even for huge exchanges. There are huge effects from correlation with that country’s equity markets, currency policy, political events, etc. to such a degree that it would be unreasonable to assume they aren’t present until they are proven present. That’s reversing the burden of proof in a terrible way. The number of confounders you need to control for before you could confidently not make this assumption is staggering.
      - georgespencer 7y ago
        There is a distinction between structural confounders and the variables which you are literally backing yourself to predict when you're a day trader. You've mentioned two in the same sentence which I would consider to be polar opposites: political events and currency policy. For example if market data operated on a significant lag in Brazil for amateur investors, but didn't in the UK, this would represent a structural disadvantage which might make it impossible to beat the market except through dumb luck in Brazil. It wouldn't mean it's definitely possible to beat the market in the UK, but it would be something one would want to control for in a study which makes a global prediction based on data from a sample in one nation. However political events, as I understand you to mean, are one of the things most traders are specifically backing themselves to predict in a futures market. So my question is: what's the basis for believing that there are structural impediments to retail day traders which are present in Brazil but not present in the rest of the world? Everyone in this thread is absolutely certain they exist, but nobody seems to be able to outline what disadvantages are present for a retail Brazilian futures trader which are not present in the UK outside of red herrings like "Brazil is less stable".
elephant_7 7y ago
Swing trading with baskets as opposed to daytrading seems to be a better way to go according to historical performance, for example https://www.elastic.co/blog/generating-and-visualizing-alpha-with-vectorspace-ai-datasets-and-canvas https://www.elastic.co/blog/generating-and-visualizing-alpha...
- nradov 7y ago
  Anything that worked consistently yesterday will no longer work tomorrow as the HFT's arbitrage that market inefficiency away. That's one of the reasons why even extensive back testing isn't a reliable indicator that a trading strategy will be successful.
  - marketgod 7y ago
    That's not so simple because swing trading is not looking for Arbitrage. 90% of traders lose but a good portion of us make money. It is about building a system which works in bull and bear markets.
    - elephant_7 7y ago
      My firm uses a similar system that hedges long and short baskets and can confirm that hedging is really the only way to swing trade profitably in the long term.
      - marketgod 7y ago
        I do well with options trading for a fairly long time now. Anything over 25% a year is good for me but I aim for 100% per year. I am a hit over that this year at this point. Firms have a huge amount of money so they have to use other strategies. For someone with less than $1M to trade with going long or short depending on the market conditions is adequate. Also money management is a large factor.
        nodesocket 7y ago

by davidu 7y ago

I don't doubt the headline, but "We observe all individuals who began to day trade between 2013 and 2015 in the Brazilian equity futures market" seems like a weird way to come to that conclusion.

rolltiide 7y ago

20,000 people trading a broad based equity futures market over two years isnt a bad study But yes a study of individual stocks and certain sectors would be better Or following those individual accounts to see how they grew based on everything it traded would be interesting

soneca 7y ago

Why weird?

ineedasername 7y ago
Because it would represent an extremely narrow slice of traders. It's possible traders of these equities find it quite hard to make a living but a larger number of other day traders do just fine. Also it says "impossible" but the article actually shows it's difficult and rare.
- peteey 7y ago
  The paper's claim is "virtually impossible". The post's title is click bait.
  - bryanrasmussen 7y ago
    lots of things are virtually impossible to do for a living and people still manage it though.
- bradshaw1965 7y ago
  Glancing at the abstract it looks like 97% lose money, what larger number in a more suitable sample size would make a difference? I've heard low single digits of traders and investors deliver Alpha. Impossible? no. Highly efficent? Yes
DSingularity 7y ago
Because that is not a representative sampling of the day trader population. Assuming the techniques of the study were sound, at best we can conclude whether or not day trading Brazilian futures is a sustainably profitable undertaking.
- georgespencer 7y ago
  Wouldn't you need a basis for believing that day trading Brazilian futures has unique properties not present in other markets to assert this? E.g. the volatility or spread is significantly larger than European futures or the information flow is more tightly de/regulated etc. Is there a basis for believing this?
  - mlthoughts2018 7y ago
    That belief seems like it would be obviously justified. The same would be true for pretty much any geographically restricted set of day traders on a specific exchange tied to the geography, likely even for huge exchanges. There are huge effects from correlation with that country’s equity markets, currency policy, political events, etc. to such a degree that it would be unreasonable to assume they aren’t present until they are proven present. That’s reversing the burden of proof in a terrible way. The number of confounders you need to control for before you could confidently not make this assumption is staggering.
    - georgespencer 7y ago
      There is a distinction between structural confounders and the variables which you are literally backing yourself to predict when you're a day trader. You've mentioned two in the same sentence which I would consider to be polar opposites: political events and currency policy. For example if market data operated on a significant lag in Brazil for amateur investors, but didn't in the UK, this would represent a structural disadvantage which might make it impossible to beat the market except through dumb luck in Brazil. It wouldn't mean it's definitely possible to beat the market in the UK, but it would be something one would want to control for in a study which makes a global prediction based on data from a sample in one nation. However political events, as I understand you to mean, are one of the things most traders are specifically backing themselves to predict in a futures market. So my question is: what's the basis for believing that there are structural impediments to retail day traders which are present in Brazil but not present in the rest of the world? Everyone in this thread is absolutely certain they exist, but nobody seems to be able to outline what disadvantages are present for a retail Brazilian futures trader which are not present in the UK outside of red herrings like "Brazil is less stable".

elephant_7 7y ago

Swing trading with baskets as opposed to daytrading seems to be a better way to go according to historical performance, for example https://www.elastic.co/blog/generating-and-visualizing-alpha-with-vectorspace-ai-datasets-and-canvas https://www.elastic.co/blog/generating-and-visualizing-alpha...

nradov 7y ago
Anything that worked consistently yesterday will no longer work tomorrow as the HFT's arbitrage that market inefficiency away. That's one of the reasons why even extensive back testing isn't a reliable indicator that a trading strategy will be successful.
- marketgod 7y ago
  That's not so simple because swing trading is not looking for Arbitrage. 90% of traders lose but a good portion of us make money. It is about building a system which works in bull and bear markets.
  - elephant_7 7y ago
    My firm uses a similar system that hedges long and short baskets and can confirm that hedging is really the only way to swing trade profitably in the long term.
    - marketgod 7y ago
      I do well with options trading for a fairly long time now. Anything over 25% a year is good for me but I aim for 100% per year. I am a hit over that this year at this point. Firms have a huge amount of money so they have to use other strategies. For someone with less than $1M to trade with going long or short depending on the market conditions is adequate. Also money management is a large factor.
      - nodesocket 7y ago