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"I'm a swing trader, is it worth exploring intraday strategies?"

By Dave Mabe

Here's a question from S.R. (name used with permission).

S.R.:

I've been transitioning from discretionary to systematic over the last few weeks, and have built a few swing systems in RealTest that are holding up well on backtests (Sharpe ~1.9, MAR ~1.8) and am now trading them live.

Is it worth picking up AmiBroker to explore intraday edges, given the added complexity around slippage and timing? Or am I already close to the efficient frontier at the swing level and better off just letting these compound? I've never seriously considered intraday as viable before, so I genuinely don't know what I'm missing.

I rarely use margin. Your comments on the pod about efficient use of capital stuck with me, and I suspect there's return sitting on the table there, but I have no evidence yet. If you're open to sharing an equity curve or two from a profitable intraday strategy, even a rough one, that would give me a useful reference point.

Dave:

Nice work on getting strategies trading live!

Your ability to do that tells me that you can trade intraday.

The second part of the question hits on the main reason I trade intraday exclusively.

I recently reviewed my results for the past 20 years in my trading journal.

There is zero chance I could have made the money I did without trading intraday.

Holding overnight would have crippled my capacity (imagine trying to download a big file over dial-up versus modern high-speed internet access).

(I used to share some of my returns, but nobody believed me, so I stopped doing it.)

Do the back-of-the-napkin math:

  • more buying power via more margin intraday

  • more capacity for more strategies

  • not relying on the swing timeframe upward drift of the market (allows more shorting strategies)

  • less strategy correlation for intraday strategies

These are the reasons I trade intraday.

I realize it's not for everyone! (Michael lectures me on the podcast all the time about this lol)

But the bottom line: if you've created a swing strategy and it's holding up live, then you've proven to yourself you can do the hard part.

Nice work - you're asking the right questions!

-Dave

P.S. Do you wish you had a strategy that actually made money? Create your own in minutes, not months with MabeKit