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VWAP is probably a really good test case here. We know that some large institutions use VWAP as a guide for executing large metaorders. However, that clearly must not be good enough or we wouldn't have gotten Almgren-Chriss in 1999. I've even read some things from the authors of that paper suggesting that they themselves don't use it anymore. I know for fact that some of the large institutions have taken these kinds of models a few steps further.
And the thing that makes it extra difficult is that when such an edge disappears it's not like there's just nothing to it anymore. The strategy works, just not well enough to be consistently profitable. It becomes what I call "base". It will either break even, or be inconsistent since the market can't be efficient against all technical edges at the same time. So a retail trader will look at something like VWAP, and it will be pretty clear that there's something to it. Ultimately though they won't see that it's not an "edge" until they've traded or backtested it.
Not exactly, but over 20 years ago, I used to try to scalp Cable, trading spot forex, using a BB with 30, 0.75 settings and a 10-period EMA, which seems strikingly similar to what you mentioned above. I took thousands of trades with it, and it seemed to have a small but steady edge, on M1 charts.
I've played about with point-and-figure before, but I barely know what Kagi is, let alone how to use it.
Kagi is just the type of bar you are using...when its green you are going up and when its red you are going down....in todays world you can now add Order Flow Cumulative Delta...with the same bollinger band.....and the trades pop out at you.....great scalp......works on anything...
Scalping is not a strategy. It is more related to the time you will stay exposed to the markets.
The duration of my trades are between a second and 10 minutes, usually less than 2 minutes. So, regarding the OP question "is scalping a sustainable strategy?", I would say yes and no
I trade about 3 strategies in 3 different market behaviors or contexts. All scalping.
I also swing trade just one instrument in one context only. (a different story).
I am risks adverse and this is why I scalp. Unfortunately, scalping brings gamblers and long term investments bring risks adverse people.
This is true that trading the smaller time frame brings a lot of commissions. This is also true that an "open" journal from successful scalpers is hard to find and for two raisons: 1st, just a few make it and 2nd, why would they advertise?
Even if the OP disappeared, I also think this thread brings interesting thoughts and hey... I am not far from MIA myself
More seriously, I believe than scalping is deeply misunderstood. It requires a long learning process.
I don't think there is any shortcut that can be found.
So, why learning for so long with no guarantee of success and for small gains, instead of investing like everyone does?
Income? No.
Home run? No.
Way of being rich(er)? Well, definitely not easy.
My answer would be: To not lose money (at some point, it comes), to have no huge drawdown anymore, consistency (incredibly important), make a living from my passion and invest the leftovers.