DAX Intraday - November

[bgold]

bonsai,
considering you have had 270+ views, I think this one could be a thriving thread. A weekly cycle should work fine. All we need is a few enthusiasts. I think you have identified lots of interest.
With some good concrete, this brick house is going stand the elements. Good luck.

PS. You migt want to start posting a reveiw of todays' trading patterns. I am afraid I hjaven't looked today, but don't mind giving it a try tomorrow.

 

[madasafish]

I trade DAX on a 1 minute chart using IB and Autotrader with a 5 point stop, with 1 point trailing.. Long above 9ema, short below.. Red/green lines are 9 Hi/9 low mas..
2.5 20 ema Bollinger Bands.

 

[bgold]

Madasafish
Very interesting to read your trading style/system. Wish I could fully comprehend.
Hope you don't mind asking a few questions (and hope you can clarify):
1. How many trades does your system generate on avarage, say, like today? My experience with IB is that 1pt trailing stops (only 0,03%) usually get stopped out quite quickly as Timberhill market maker system takes its free picks on these stops. MM's tend to use stops as virtual free options, therefore, a high frequency of stops (i understand) is not necessarily favourable.
2. And how profitable in terms of points, nr of pos vs neg trades, max drawdown etc?
3. You memntion Autotrader? How does this work? Where could I find more information?
4. What do you mean by "with a 5 point stop, with 1 point trailing": Is it initial stop at 5pts and when in profit a trailing stop of 1pt?
5. You mention: "2.5 20 ema Bollinger Bands"? Is that bands with sigma 2.5? And how do you use the BB;s for trading purposes (eg what signals do they generate for you?)
In advance, many thanks

 

[liamfitz]

dax thread

glad to c theres a dax thread now - wow .

madas - whya 9 ema wouldnt a 10 ema or a 20 ma be more relevant ?

not taking the proverbial - just curious ?

and how do you find pivots with the dax - uiseful or useless ?

 

[madasafish]

bgold
My system generates on average some 20-30 trades a day..

My system is designed to pick up the start of a trend, enter it with a 5 point stop below entry and increase that stop by 1 point for each 1 point the market moves in your favour. And when I get to +3, set stop to breakeven so I cannot lose..

So providing the market continues to move in my favour, I will let it run.. (only good for longs or precipitous drops, most shorts have to be manually managed as you can get stopped out for 0..)


Profits in terms of points?
Well on Thursday I had 3 trades in a row.. +9,-4,+31 and then gave up

Friday +33 net..

Today: did not trade much +5,be, +9,-4,-5

Average daily gains range ++20 to +75

Max drawdown by definition is -5 on 1 trade.. More than 4 losing trades and something is wrong..choppy trend..

My system is a combination of automated entry .. buy at bottom of channels ..when you get a crossover of True Strength Index.. green line in bottom, price rising above 9ema.. Exit.. either at a known resistance of when stopped out (5 point trailing stop.. great for spikes...) or at top of Keltner channels..and green line turns down to black..and below light blue

and vice versa for shorts..

Bars are colour coded above/below 9ema. and green /red thick lines are 9 low ma and 9 hi ma.. stops on chart..

Autotrader is free IB front end..http://sling.to/autotrader/

very good/reliable easy to use.

Bands 2.5 = 2.5 standard deviations...



Also look on chart... the thin green line is 3 exponential MA(H+L+C)/3.. when its green its up, red its down.. long whilst price and it are green above thick green line,

Yellow line is 2 minute 20ema.. note in uptrends price tends to bounce off it.. in downtrends price stays below it..

the light green highlight on bars ..means new high in last 20 bars.., red highlight = new low..

So when new highs stop or lows stop, reversal possible.

When trading DAX, a 5 point reversal bar is always posible hence my need with 5 point stops to try to get out before being stopped out..make more points that way..

All entries and exits are market orders.. may lose odd points in fiills but better than unfilled limit order:_)

System has been developed over several years and is a bastardised version of my own and other's works.. see also..

The Handy chart
http://www.enthios.com/handy_chart.htm
also


http://www.enthios.com/beta_charts.htm#handy

also
http://www.enthios.com/improving_the_handy.htm

Hope this helps..

I also use a 3 minute chart for direction and confirmation...but to trade that I would need 10-15 point stops and far bigger drawdowns... and far fewer opportunities..

Remember I view a 5 point trade as viable using this system and will sometimes trade against the trend selling bull flags and buying bear flags if the underlying trend is weak..

If your tiimimg is correct to the minute.. well I'm trying to get there..sometimes I just make a breakeven trade.. but you gotta beinit to makeit

 

[madasafish]

Liamfitz "and how do you find pivots with the dax - uiseful or useless ?"

In weak trends pivots work. In strong trends they get overshot..

Often price overshoots and comes back to test pivot and then continue trend or reverse..

Yesterday's Low or high works well in down/up trend as support/resistance..

One hour breakout/breakdown works well at times. VAlue area works well at times..

I just plot them all - IRT allows you to automate all that - so I jsut watch and see what happnes.

In weak trends I will ALWAYS. sell/close at resistance/support.. In strong trends.. just hold and see if retracement is greater than 5 points. If yes, I will get stopped out..

(on Thursday (? Wed?) price spiked some 10-12 points above pivot and reversed down again.- in the same 1 minute bar.. I was autostopped out for 7 of the 12 point spike

 

[bonsai]

bgold
as it is only recently the dax has become a twinkle in my eye
I am still collecting daily info for my system. so it may be sometime before I can offer comment/review.
but don't wait for me.
post your views or triumphs and disasters whenever you wish.

my contribution so far has been my comment that this index has just bumped its head on the ceiling.
the patient may be bruised but is not dead.
(together with some proposed wave counts)
lol

 

[bonsai]

and then there is this.

twins, joined at the hip !

<img src="http://chart.bigcharts.com/bc3/intchart/frames/chart.asp?symb=de%3A1876534&compidx=NASDAQ%3A3291&ma=0&maval=9&uf=0&lf=1&lf2=0&lf3=0&type=64&size=3&state=11&sid=125284&style=380&time=7&freq=1&comp=NO%5FSYMBOL%5FCHOSEN&nosettings=1&rand=7239&mocktick=1">

 

[SUNSEEKER]

Madasafish, I trade the DAX as well, exclusively during Europe hours, that is a solid post...thx

 

[DaxTrader]

Time of Day

I trade intraday trends or swings in the Dax, and find that the probability of my trades working out drops off dramaticaly after 11am. Found this from looking at 4 yrs worth of printed out charts.

Unless there is news at 1.30 to provide an entry, the next best time is not till the first half hour chop in the US is out of the way ie 3pm till 5 pm ish ie US lunchtime.

Also, the morning moves tend to finnish around 10 - 10.30 if mkt has trended early on , whereas if you get a 2 hour range carved out then a break of that will go on till 11am.

Has anyone else done research into this, or discovered other time of day traits or other tendancies?

 

[Finlayson]

Dax

I believe u r right, morning moves are best as things begin to slow down after 11 am. There have been many times when a setup around the 1-30 & 2-30 mark have worked out very well & of course u always get those little feelings of remorse for the missed points....that u know u shouldn't feel..........BUT the knee jerk reactions to the US opening r just to volatile sometimes & think u r right ......in the long run it is best to wait till after 3pm.

Dax can often get kicked out of its range by the US at this time( swiss also) they did last night for a nice short on both.

Jay

 

[DaxTrader]

Jay

yes, used to feel that remorse at missing moves late morning, but when you look at it over a month, maybe there are a couple of nice moves you have missed, and when you factor in the other 18 days of getting chopped up........not a winning proposition.

Missed out on getting involved yesterday pm, it is amazing how often 3pm is the start of the true trend for the next hour and half plus.

 

[bonsai]

Dax
I trade intra day swings as well
quite regularly see 2 swings per day and occasionally 3.

I have noticed a difference depending whether the we are in an uptrend or in a downtrend.

In a downtrend,the pull back price action wants to take out stops. But in an uptrend , the opposite seems more muted.

sometimes, there is only one swing.


PS I have edited this as it didnt say what I meant.

 

[DaxTrader]

bonsai

interesting
wonder whether people don't want to work larger orders on the downside and therefore use mkt orders which create spikes.

Re: swings, agree
if you miss the morning swing, walk away from it and come back later, rather than Jonny come lately

I go to the gym telling myself it is the cheapest place to be.....

 

[dax]

Dax and EuroStoxx50 are like other markets in that they will trend only 20% of the time. Other times they are rangebound.

The best times I've found to get involved with the Dax are the first 2-3 hours and the US morning up until about 11:30 am ET.

The earlier the Dax trend starts the earlier it will fizzle out.

It's critical to trade the Dax when there is liquidity and volatility otherwise you'll get chopped. When volume dries up Dax price bars get wild and slippage can be brutal.

The European markets tend to follow the US but I agree with DaxTrader - the first 30 mins of the US can provide excellent opportunities in the Naz/SP but the Dax can be a bit erratic. After 5 pm GMT the Dax is just too thin - unless it is a trend day and then you can hold until the end as its likely to continue in the same direction.

However, it all depends on your style of trading.

 

[jonnyy40]

Dax,have you experienced very slow fills before 4:30? (with IB) or do you spread-bet?

 

[bgold]

Since introduction of Eurostoxx50, DAX has lost appeal among european institutions, bank proprietary trading units and listed and OTC options market makers. As they now use SX5E for hedging purposes (delta, gamma) and directional plays, liquidity is in SX5E contracts.

Note that largest players can trade futures at commission of €0.10 per leg. Compare that with IB's competitive €2.4 per leg. DAX obviously still has great appeal among german public and smaller institutions, but lack of liquidity can cause spikes.

Fe just compared SX5E with DAX and within 0.125% bid-ask, the advertised size for DAX was €14mm while SX5E had €80mm. The real SX5E liquidity is substantially higher than the advertised on the screen!

I suspect that if Eurex were to increase the SX5E contract size or commission levels were reduced, the DAX contract would fizzle out even further. But for now it's my preferred morning play.

 

[jonnyy40]

How frequently does contract value change? I understand FTSE used to be £25 per point?Has there been any talk about DAX/ESTOXX contract values changing in conjunction with the change in market hours?

 

[dax]

jonnyy40 - fills on dax will depend on liquidity at the time -- it can be very thin at times so that will give you a slow fill.

Bgold - agree with you on liquidity issue - institutions favor EuroStoxx50 and can push orders through for 1000 contracts without causing massive spikes like the Dax. that means they can get in and out with minimal slippage. EuroStoxx can be a better instrument to use if you want to put 10+ lots on and scale out.

 

[DaxTrader]

Re: liquidity and volume

Dax 's contract size distorts comparisons:

Comparing volumes today:

Estoxx had traded e 3.1bn worth
Dax e 2.6bn worth, so not far behind

Estoxx is expensive to trade as an individual user, both from a large tick size in percentage terms and in numbers of contracts. I trade 4 Dax, or 14 Eurostox. Dax much easier to get out for a scratch than in estoxx.
But, when the Dax gets too volatile, I scurry off to the estoxx licking my wounds

BTW when is the change in market hours ?
and what are they ?

many thanks