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Comment by elephant_7 | Hacker News Reader

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...

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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.

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.

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.

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.

I assume you trading US markets? The US markets have been very volatile the last 1.5 years which makes for more optimal swing trading. If the market was either going down or up in a linear line, most hedge funds underperform in that scenario.

Not for me. Volatile is bad as I made more money the years before. End of last year sucked and parts of this year had unusual losses. I prefer trending markets.

I only trade US equities and in particular large caps or soon to be large caps.

That document shows that as algorithms might decay, you can swap out the datasets to out-perform. They also conducted a year long study on the results.

HFTs don't arbitrage the single person day trader because those guys are are like a mouse farting in a hurricane. There is no point trying to identify and scalp someone who trades at most some $ millions a day, unless the person is doing it on really swampy stocks with no liquidity. Even then, the capacity in those markets for HFTs is also extremely limited.

HFTs will target big insitutional traders who have to shift a billion dollars at rebalancing time in a single day.

Even that is a dying business today because they themselves have been arbitraged away to a degree.

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