Crowd sourcing for live trading intraday strategies (to learn/try)

intraday blackswan

I've been trying different strategies for years and I've been pretty good at NOT coming up with a reasonable trading strategy.  To the point where I'm not sure that it is possible.  I'd love to hear some more specific examples of strategies that work.  Intraday blackswan , how exactly is that set up? you have some backtesting to show? 

Honestly I think the best I've come up with barely beats the market but involves buying and holding QQQ and SPY and selling DTE0 covered calls and then watching the intraday price.  If the price approaches the strike price, I just buy another block of the underlying so at the end of the day I'm called out of the recently purchased block and I always keep my original.  Will be better for taxes since I have IB set up as "last in first out".

I may be a little pessimistic right now as I've had a pretty bad run in live trading

Hi David,

Thank you for your input. 

Unfortunately, I am also in the same boat. The only hopeful attempt I have is for long term investing and it's currently deployed for live paper trading.

I was hoping to get ideas for intraday trading that I haven't tried yet. I don't even know what intraday blackswan is. Maybe I'll look into it.

-Kris

You are not alone in this, I also find myself in the same boat. But there is a path as I feel I am finally finding my groove. We should have our own support group.

Support group would be nice, I almost through in the towel the other day.  Back to paper trading only.  Think I'm going to give up on any intraday strategy.  I've tried about 10 indicators, different combinations, using absolute values but mostly the slopes of the indicators (so if an EMA turns positive or negative for example).  Different time frames, minute, 5min, 15, 30, 60 with bar consolidators.  I've traded equities, options and futures.  Tried scalping strategies and swing trading…. I'm dead in the water here.  I've used rick management with exits targeted on indicator values changing and prices related to the ATR.   I honestly don't think its possible with any of the classic type indicators to create some sort of reliable intraday trading strategy. 

Count me in.

I've also tried an intraday blackswan strategy.  I would use the buy and hold QQQ/SPY strategy where I sell covered calls.  I would sell a second set of covered calls along with a naked put.  I would use all those proceeds or a fraction of them to buy DTE0 puts for exponential gains if the market dumps a ton.  I would buy puts all the time OR only when certain indicators where suggesting a market downturn.  They were not profitable.  The expense of the puts over time are more costly then the lotto wins when there is a is down day.

I threw in the towel on Intraday trading.  Intraday is so volatile and hard to predict.  I think not having Order Book Depth is a killer on intraday.  You can get that data for Crypto and also from IB (if you pay for it), but as far as I'm aware it's unavailble in QC.

My focus has been more on creating entry and exit signals that span days to weeks.

Hi Cole S,

Thanks for the input.

I'm currently playing around with the in/out strategy that was written by Peter Guenther along with others. It's a long term swing trading strategy and works nicely. I'm trying to modify it to suit my risks and style of trading.

Still would be nice to have day trading strategies that are successful in QC…

I'll share my latest failed attempt at futures.  This one was to try and combine multiple indicators: EMA, RSI, momentum , ultimate osc on a 5 minute time frame.  If their slopes are all positive then close any short and go long.  If negative, close any long and go short.   I used a long term 500EMA to help guide the algo.  IF the 500ema was positive then the indicators all needed to align once like described to go long but would need to happen twice in a row to go short.  Vice versa, if the 500 ema is negative then it will go short with a 5 minute time frame but a long would take the indicators hitting twice in a row.  Somewhat overfit on the EMA lengths.  Overall it performs great in 2021 and 2022 but older timeframes it does very poorly.  Also there are issues with the ultimate osc at time so long back tests are available as it will cause it to fail.  I don't think this algo is fit to run live due to overfitting in the 2021 - current.  if you run it from 2018 - 2020 its a 50% loss.