S&P 500 & other indexes - intraday. Plus chat

[robster970]

To carry on from last night, I'll try and explain why I get in and out the way I do rather than scale out.

Basically I am looking for a trading opportunity at an extreme of a range, where price has largely mean reverted back to a value somewhere in between the 2 extremes. I use the overnight range as my markers.

This is all well and good providing you can guarantee that price will mean revert but quite a lot of the time, it won't do it right on the nose of the entry price you have in mind and occasionally it has no intention of mean reverting at all.

So I typically get in when I get confirmation of some weakness in and around this extreme. If it is too far away, either side of this extreme, I don't play.

As a consequence of getting in, I am usually either (i) right and it will mean revert with some gusto or (ii) I am actually fading a 2pt ES auction rotation and it will come back at me fairly shortly.

As I am in, I generally look for signs that I am the wrong side of the rotation and any whiff gets me out. This might be over-sensitivity but it works for me. As my entry is generally about 4 ticks in, I have 4 ticks to play with. Scaling out whilst trading like this would quite seriously damage my average r:r - remember my average r:r is about 0.65 and I need a high hit rate so scaling out whilst relying upon this dynamic would fundamentally alter the way I trade in a way I do not feel comfortable adjusting to.

 

[DionysusToast]

Haha thanks.

OK cool, that makes sense. I know exactly what you mean as I prefer to be in ou out as well. I didn't even think about comissions either.

I look forward to DT's geometric breakdown of exits It is a very interesting topic though, people focus so much on entry but exit is probably more important and less discussed.

I'm going to disappoint massively.

Enter trade.
T1 - 4 ticks, just over 50% of position
When I hit T1, temporarily move stop to B/E whilst waiting for a fill. I won't let a trade that gets to T1 go to a stop out. I loosen up the stop again once I am filled.

T2 - 8 ticks - half of the remainder, will move this out up to 12+ ticks if I feel its going to run.

T3 - minimum 12 ticks - remainder of position, try to manage this but to be honest, it's very hard because it's like managing an 'all out' trade when you get to this point, you want to let it ride but not too much.

The only measurements I take are prior swing points. If the last swing high is 8 ticks from my short entry, I'll get out of T2 @ 7 ticks. Don't be a dick for a tick & all that.

Once filled on T1, I have a lot of breathing room in the trade:

So let's say a long @ 1350 x 5 contracts
T1 gives me $150 (forget comms for a second)

I am now @ 1351 with $150 in the bank and 2 contracts long which means my break even point on the trade is now at 1348.50 or 10 ticks away. So after a 4 tick move, my b/e is 10 ticks....

So - it's not about targets or geometry, it's not about profit at all to be honest. I do it because I can get 4 ticks quite often and so this seems a good way to manage the risk side more than anything.

Plus, this is scalable. 5 could quite easily become a hundred if I ever grew a set.

I think that some people see these tiny targets and think it's a dumb way to trade because of the overall point range on the day. I don't think it's good or bad, really. Just one way to do it.

At the end of the day, if you are comfortable with it, that's the most important thing.

 

[robster970]

Chop chop today. Might be one of those days where nothing sets up for me.....

 

[tim3]

Might get some decent mooves with fomc mins @7

 

[robster970]

Another one in the bag, finally.

Todays trade:

 

[splashy]

Hi guys, let me clog up your thread...
I thought i'd add to the general knowledge of the thread (or confusion ) by throwing in my tuppence worth of how i trade ftse and dax. I've attached todays ftse and dax charts complete with befuddling lines, letters and numbers to see if i can demonstrate.

The system I use for trading ftse and dax is a fairly simple one based on the 1-2-3-4 strategy which you’ve probably come across. When a pattern 1-2-3 and trigger 4 appears, I check the projected target against any relevant trend lines that I have drawn in. If I can’t make twice the target (in other words, plenty of room), I don’t take the trade. The pattern can be a reverse pattern or a continuation, as long as it is 1-2-3-4, clear of what i consider to be problem areas and with space to move.

On the ftse chart, i took trade A at pt 4 and it hit target. I skipped trade B because there was not enough room to hit twice target due to the high at 5687 (even though the target would have been hit had i taken it. (Win some, lose some...). I skipped trade C also because it would have had to make a new high and once again, couldn't do it within twice target.
On Dax's chart, i had no problem with taking trade A which hit target. Trade B i skipped because not enough room to make twice target although that got hit anyway. I also (would have taken had i been in) trade C which hit target too.
6 patterns with triggers today, 4 targets hit, of which the 3 trades the system left me to trade netted 73 pips. This is obviously extreme and I’ve only picked todays chart because today I have the time to mess about a bit - not every day goes this well. Over the term of my data collation (not including today), Ftse averages a shade under +5 pips per trade and Dax around +6.5 per average trade (exclusive of spread/comms). Both average at around 1 takeable trade per day so thats around 10 pips per day. Todays the kind of day that compensates for the crappy days...
I trade signals from 8-30 to 16-30 only, using 15 min bars. I only take trades if the pattern is fulfilled in less than 12 bars from pt1 to pt 4. There’s no specific reason for this other than I wanted to have a time limit, and this one seems to work.
My data infers that with Ftse, once the distance 2-3 get above 20-25 pips, the probability of it being a successful trade seems to drop off a cliff. Hence I don’t take the trade if 2-3 is above 20. The same thing happens with Dax around 35-40 although less pronounced. I understand that there could seem to be an element of curve fitting about these criteria but I monitor it regularly and the trend is holding up so far. I also have data on a handful of major currencies and similar patterns are evident on their data too so I would like to think the correlation upholds the theory.
The distance between 1-2 does not seem significant.
I have also attached a graph of progress so far since I’ve been trading this system. I have data for about a year but only been trading it since Feb. The graph shows the data since Feb.
I've written far more than i thought i'd have to but any observations welcome.

 

[dpinpon]

To carry on from last night, I'll try and explain why I get in and out the way I do rather than scale out.

Basically I am looking for a trading opportunity at an extreme of a range, where price has largely mean reverted back to a value somewhere in between the 2 extremes. I use the overnight range as my markers.

This is all well and good providing you can guarantee that price will mean revert but quite a lot of the time, it won't do it right on the nose of the entry price you have in mind and occasionally it has no intention of mean reverting at all.

So I typically get in when I get confirmation of some weakness in and around this extreme. If it is too far away, either side of this extreme, I don't play.

As a consequence of getting in, I am usually either (i) right and it will mean revert with some gusto or (ii) I am actually fading a 2pt ES auction rotation and it will come back at me fairly shortly.

As I am in, I generally look for signs that I am the wrong side of the rotation and any whiff gets me out. This might be over-sensitivity but it works for me. As my entry is generally about 4 ticks in, I have 4 ticks to play with. Scaling out whilst trading like this would quite seriously damage my average r:r - remember my average r:r is about 0.65 and I need a high hit rate so scaling out whilst relying upon this dynamic would fundamentally alter the way I trade in a way I do not feel comfortable adjusting to.

Rob, a quick couple of questions, what do you mean as using the overnight range as your markers, is that the futures reading after the closing bell and before the next opening bell? If its so, which web page is more reliable and detailed for you to get this reading. Thanx

 

[JT_MOT]

I'm going to disappoint massively.

So - it's not about targets or geometry, it's not about profit at all to be honest. I do it because I can get 4 ticks quite often and so this seems a good way to manage the risk side more than anything.

Plus, this is scalable. 5 could quite easily become a hundred if I ever grew a set.

I think that some people see these tiny targets and think it's a dumb way to trade because of the overall point range on the day. I don't think it's good or bad, really. Just one way to do it.

At the end of the day, if you are comfortable with it, that's the most important thing.

Makes sense as well. There are a lot more 4 tick opportunities through the day then there are 40 tick ones, so I don't think many people think its a dumb way to trade at all. Which is exactly why I want to learn more and eventually give it a try myself.

But your last point is right.. you have to find something that works for you. Having panic attacks and exiting too early or too late is going to cost you money. So find something that works and then tweak it as needed.

I can't believe how many good posts there are in this thread, very interesting and valid points from all.

No trades for me today... didn't see any good entries. Strange action at after FOCM minutes. We're stuck in a weird place... if news is bad markets initially drop but then QE3 becomes more likely so markets go up to anticipate this. And vice versa for good news. That's my take on it anyway. Luckily I don't have to try and form an opinion, I'll just take the trades as they appear.

 

[robster970]

Rob, a quick couple of questions, what do you mean as using the overnight range as your markers, is that the futures reading after the closing bell and before the next opening bell? If its so, which web page is more reliable and detailed for you to get this reading. Thanx

The overnight range is the price range of ES from 21:30 GMT to 14:30 GMT (basically overnight for the US, outside NYSE trading hours).

I think you can get ES prices from any spreadbetting account as they usually do cash and futures. As for websites, maybe yahoo finance covers it, not sure tbh as I'm direct market so just open up my trading platform and it's there.

e2a - yep, here you go - http://finance.yahoo.com/q/fc?s=ESU12.CME+Futures+Chain

 

[robster970]

Hi guys, let me clog up your thread...

I've written far more than i thought i'd have to but any observations welcome.

Really, really interesting. I have tons of questions to ask but will post up tomorrow.

Nice one Splashy

 

[JT_MOT]

Splashy,

Very interesting to see a different kind of technique, I remember reading about it a while back. The thing I like about it is that its simple and systematic and your results speak for themselves. The problem I always had with it is knowing whats a 1 and what's a 2, etc. For example, on your FTSE chart, why doesn't point B then become a 1? Or does it have to be a swing low in this case depending on the trend line or something?

I see the point in the method though, trying to catch some pips in the middle of trend (put very simply)

The swing high on the dax that went above 6490.7 that got heavily rejected would have been my kind of trade, what a beauty.

 

[kimo'sabby]

Some bigger auction prices for this weeks sell-off so far. For all you pinbar lovers, note the action at around 12.30 @ 1340.00 on the 15min...sexual chocolate! Now that's what i call a pinbar folks.

 

[Ritika Sharma]

Standard & Poor’s 500 ended flat at 1341.45.

 

[Pat494]

1:00am AUD RBA Deputy Gov Lowe Speaks
2:00am AUD MI Inflation Expectations 3.3% 2.3%
2:30am AUD Employment Change -27.0K 0.2K 27.8K
2:30am AUD Unemployment Rate 5.2% 5.2% 5.1%
4:51am JPY Monetary Policy Statement
4:51am JPY Overnight Call Rate <0.10% <0.10% <0.10%
6:30am EUR French CPI m/m 0.0% -0.1% -0.1%
7:00am EUR German WPI m/m -0.5% -0.7%
Tentative JPY BOJ Press Conference
9:00am EUR ECB Monthly Bulletin
10:00am EUR Industrial Production m/m 0.0% -0.8%
Tentative GBP 10-y Bond Auction 1.92|1.6
1:00pm EUR ECB President Draghi Speaks
1:30pm CAD NHPI m/m 0.2% 0.2%
1:30pm USD Unemployment Claims 376K 374K
1:30pm USD Import Prices m/m -1.5% -1.0%
3:30pm USD Natural Gas Storage 27B 39B
6:00pm USD 30-y Bond Auction 2.72|2.4
7:00pm USD Federal Budget Balance -91.7B -124.6B
8:40pm USD FOMC Member Williams Speaks

 

[robster970]

View attachment 140578

View attachment 140580


Some bigger auction prices for this weeks sell-off so far. For all you pinbar lovers, note the action at around 12.30 @ 1340.00 on the 15min...sexual chocolate! Now that's what i call a pinbar folks.

I saw this trade forming through yesterday morning:

1) 40-42 area was providing support on 6/9/10 July until this pushed through on 10th pushing down to touch the 1330 area

2) 1330 area - this is a R==>S level that was held for 3-4 days whilst price formed a base around the 1305 area about a week or so ago.

3) 1330 area rejected (R becomes S)

4) 1342 set-up for rejection too (S becomes R)

5) Goes back to re-test 1330 area and pushes a bit further as there is a minor trend south at the moment

Nice set-up if you are technical trading off S/R

 

[kimo'sabby]

I saw this trade forming through yesterday morning:

1) 40-42 area was providing support on 6/9/10 July until this pushed through on 10th pushing down to touch the 1330 area

2) 1330 area - this is a R==>S level that was held for 3-4 days whilst price formed a base around the 1305 area about a week or so ago.

3) 1330 area rejected (R becomes S)

4) 1342 set-up for rejection too (S becomes R)

5) Goes back to re-test 1330 area and pushes a bit further as there is a minor trend south at the moment

Nice set-up if you are technical trading off S/R

Hi Rob.

Yes, some really good technicals this week. 1355.00 (Tuesday) was virtually the same set-up as 1340.00.

You'll notice the significance of 15 point ranges, which i mentioned a few weeks back. I should point out that the market will shift off these at some point due to the effects of liquidity. Once this happens, new 15 point ranges will come into play.

 

[kimo'sabby]

This is where i'm up to. With work and family commitments, i'm not always in a position to take advantage of the best set-ups. Such is life

 

[robster970]

This is where i'm up to. With work and family commitments, i'm not always in a position to take advantage of the best set-ups. Such is life

We trade as a means to an end, which is to live.

If we are validating ourselves through our trading, then we have problems. This is what I ran into last month. It sneaked up on me like a sneaky thing.

Incidentally, why Dixon Bainbridge as your avatar? I'm a bit Tony Harrison myself.

 

[kimo'sabby]

We trade as a means to an end, which is to live.

If we are validating ourselves through our trading, then we have problems. This is what I ran into last month. It sneaked up on me like a sneaky thing.

Incidentally, why Dixon Bainbridge as your avatar? I'm a bit Tony Harrison myself.

I only got into the Boosh about 18 months ago, never seen it before that. It would definately be on my desert island collection now though Tony Harrison...

Trading can become very all consuming, part of the battle is keeping a certain detachment from it. Gotta keep that sneaky thing at arms length

 

[robster970]

Spirit of Jazz
Old Gregg

Can watch these 2 endlessly. I really mean endlessly. Comedy genius IMO.