Yes I have. I sometimes will play with them if there is action after the german equity market closes. However their corrrelation to the es or the ym is not as strong as the Dax and Euro Stoxx. There reason for this is that the er2 is a small cap index and if an asset allocation is going on you can see a major outperformance or underperformance to the big cap indexes. When this is going on its harder to read the intermarket realationships.
scalping
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Yes I have. I sometimes will play with them if there is action after the german equity market closes. However their corrrelation to the es or the ym is not as strong as the Dax and Euro Stoxx. There reason for this is that the er2 is a small cap index and if an asset allocation is going on you can see a major outperformance or underperformance to the big cap indexes. When this is going on its harder to read the intermarket realationships.
Hi Mofe
You trade very similar to myself but on a much faster time scale. I agree there is not much correlation between es or ym for trading er2, some times they work but its not reliable.
Corrlation works best when trading the ym using the Trans, Bonds even some good heavy stocks. I tend to look for divergence with the Trans I find they tend to lead the YM....
When the es are open 9,30 EST do you use the es or ym for clues as to where the Dax is going or do you only use Euro Stoxx for clues?
Show some more vids, if I new how to set up vids I would also show my trades, im not up on my tech
...unless someone can show me maybe?.
good work Sir
cheers
You trade very similar to myself but on a much faster time scale. I agree there is not much correlation between es or ym for trading er2, some times they work but its not reliable.
Corrlation works best when trading the ym using the Trans, Bonds even some good heavy stocks. I tend to look for divergence with the Trans I find they tend to lead the YM....
When the es are open 9,30 EST do you use the es or ym for clues as to where the Dax is going or do you only use Euro Stoxx for clues?
Show some more vids, if I new how to set up vids I would also show my trades, im not up on my tech
...unless someone can show me maybe?.good work Sir
cheers
scalping in FX is probably most profitable trading method, once learned actually simple and not too demanding, you trade like on autopilot - this method also has best risk/reward ratio. Best of all, it relieves you of prediction mumbo-jumbo, which translates to relaxed trading.
Key is to trade pairs with max 2pip spread, set 11pip stop and all you need is trend/support/resistance/channel lines together with waves. Use glues, add abit of MM, patience and rest is on statistics, it will be your best friend ( better than dog).
Money printing machine actually, for those that have time and drive to stare at screen daily. I often don't, my wife thinks there is life outside mkt
Possible monthly results from 5% for large accounts to 30+% for smaller ones (based on 100pip average monthly gain)
Key is to trade pairs with max 2pip spread, set 11pip stop and all you need is trend/support/resistance/channel lines together with waves. Use glues, add abit of MM, patience and rest is on statistics, it will be your best friend ( better than dog
). Money printing machine actually, for those that have time and drive to stare at screen daily. I often don't, my wife thinks there is life outside mkt
Possible monthly results from 5% for large accounts to 30+% for smaller ones (based on 100pip average monthly gain)
Last edited:
insight2
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It is a real bugger. I thought I discovered this intraday correlation first. I am still paper trading it in a real time on eSignal. I call it "Sister Divergence" and I'll share what I have learnt so far.
It works on the following pairs:
- Any "weak" US stock index (NASDAQ 100, Russel 2000) v. "strong" (S&P 500, DJ),
- Any US stock index v. some European stuff (DAX, FTSE ...),
- German Bunds v. DAX. Those two are funny couple, sometimes they are corelated, sometimes they are anti-correlated, but it takes a single glance to work out in which mode they are.
- Crude Oil v. Heating Oil or Natural Gas,
I guess there are lots of other "couples", for example any stock and its industry group index. Or commodity future and commodity dependant stock, like a mining company etc. Of course various FOREX pairs would be natural choice, as well.
cheers, dejan
It works on the following pairs:
- Any "weak" US stock index (NASDAQ 100, Russel 2000) v. "strong" (S&P 500, DJ),
- Any US stock index v. some European stuff (DAX, FTSE ...),
- German Bunds v. DAX. Those two are funny couple, sometimes they are corelated, sometimes they are anti-correlated, but it takes a single glance to work out in which mode they are.
- Crude Oil v. Heating Oil or Natural Gas,
I guess there are lots of other "couples", for example any stock and its industry group index. Or commodity future and commodity dependant stock, like a mining company etc. Of course various FOREX pairs would be natural choice, as well.
cheers, dejan
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Dejan,
You might take a look at DAX (or Euro Stoxx) futures vs DOW cash. 95% of the time almost tick-for-tick, with the former reacting to the latter.
I've also looked at bund vs DAX but couldn't find any persistent consistency (is that a tautology?).
Grant.
You might take a look at DAX (or Euro Stoxx) futures vs DOW cash. 95% of the time almost tick-for-tick, with the former reacting to the latter.
I've also looked at bund vs DAX but couldn't find any persistent consistency (is that a tautology?).
Grant.
insight2
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In Bunds v. DAX you are not looking for the correlation of the direction, but the correlation of the state. Are they both in the trend or both in consolidation?
There must be a "double panic" ie momentum in both Bunds & DAX. What I watch for is that one is cooling off and turning from the momentum into a consolidation, while other still has the momentum. Then, as it goes, you have a good reason to believe that the other one will get into the consolidation as well.
What I would infer from this behaviour is that market has a "state of mind", so to say. Something is binding big players together, either some news, or arbirtrage, or some rummor it doesn't really matter. This emotion creates the momentum and every momentum has to stop somewhere. Usually one of the instruments starts changing the behaviour first. Then you jump on the 2nd one, the laggard, because now you have the timing.
I personally am totaly confused when they tick together. Then one realy doesn't have any edge because two markets are behaving as single market. And any single market is (for me) totaly unpredictable. I normaly jump in (as a paper trader) when they get out of step.
cheers, d.
P.S.
Do you possibly have eSignal symbol for DOW cash?
There must be a "double panic" ie momentum in both Bunds & DAX. What I watch for is that one is cooling off and turning from the momentum into a consolidation, while other still has the momentum. Then, as it goes, you have a good reason to believe that the other one will get into the consolidation as well.
What I would infer from this behaviour is that market has a "state of mind", so to say. Something is binding big players together, either some news, or arbirtrage, or some rummor it doesn't really matter. This emotion creates the momentum and every momentum has to stop somewhere. Usually one of the instruments starts changing the behaviour first. Then you jump on the 2nd one, the laggard, because now you have the timing.
I personally am totaly confused when they tick together. Then one realy doesn't have any edge because two markets are behaving as single market. And any single market is (for me) totaly unpredictable. I normaly jump in (as a paper trader) when they get out of step.
cheers, d.
P.S.
Do you possibly have eSignal symbol for DOW cash?
Last edited:
Dejan,
Interesting perspective on DAX vs Bund. I’ll look at that.
Re ‘ticking together’ and no edge. DAX (or Stoxx) react to the DOW, ie there is always a very short delay (seconds) but also a longer delay depending on the force or magnitude of the move.
Market perception of significance of any move is apparent from order flow on Time and Sales for both DAX and Stoxx, with the Stoxx being the most reliable; my guess – and it is only a guess - is this is because institutions will trade the Stoxx as a proxy for the DAX because of its greater liquidity (1000 plus lots is not unusual). Or maybe the constituents of the Stoxx simply reflect greater European diversity and exposure to US, and by inference, international economies.
Your ‘edge’ is if the DOW is more consistent with certain indicators, ie predictable, compared to the DAX or Stoxx. That said, indicators for DAX and Stoxx are virtually redundant if they are dependent on the DOW. So, DOW would be the key, here.
It appears this is also relevant during European trading (prior to NY opening) – DAX cash leads the future. That may sound obvious but it only occurred to me recently. So while all my analysis has concentrated on the futures, I should have also been looking at cash. I despair at myself sometimes.
Sorry, can’t help with DOW symbol.
Grant.
Interesting perspective on DAX vs Bund. I’ll look at that.
Re ‘ticking together’ and no edge. DAX (or Stoxx) react to the DOW, ie there is always a very short delay (seconds) but also a longer delay depending on the force or magnitude of the move.
Market perception of significance of any move is apparent from order flow on Time and Sales for both DAX and Stoxx, with the Stoxx being the most reliable; my guess – and it is only a guess - is this is because institutions will trade the Stoxx as a proxy for the DAX because of its greater liquidity (1000 plus lots is not unusual). Or maybe the constituents of the Stoxx simply reflect greater European diversity and exposure to US, and by inference, international economies.
Your ‘edge’ is if the DOW is more consistent with certain indicators, ie predictable, compared to the DAX or Stoxx. That said, indicators for DAX and Stoxx are virtually redundant if they are dependent on the DOW. So, DOW would be the key, here.
It appears this is also relevant during European trading (prior to NY opening) – DAX cash leads the future. That may sound obvious but it only occurred to me recently. So while all my analysis has concentrated on the futures, I should have also been looking at cash. I despair at myself sometimes.
Sorry, can’t help with DOW symbol.
Grant.
Dejan,
News reports will say the FTSE 100 ended the day 20 points higher, while the DOW finished 30 points higher, for example.
These are referring to the “cash” markets indices, ie the FTSE and DOW indices are composed of underlying stocks. Similarly for the DAX and Stoxx indices.
To hedge the risk in holding constituent stocks (most) cash indices have a future. If you feel the market is due for a dive, but don’t want to sell your stock (for numerous reasons), you would sell (short) a future. If the market sold off 500 points, your portfolio would take a hit but this would be offset by the corresponding gain in the short future (you would have sold the future at 5000, the price reaches 4,500, and you buy it back (close) at 4,500. Because you sold it for more than it is now worth (500 points), this is your profit which offsets the 500 point loss on your portfolio).
Simple example of the valuation of a cash index. Assume an index is composed of two (constituent) stocks, ABC priced at 100 and XYZ at 200. The index value then equals, 100 + 200 = 300. As the prices fluctuate, so does the index. This is a “price-weighted” index. The FTSE is a “capitalisation-weighted” index, ie the greater the market capitalisation of a constituent, the greater its weighting or representation in the index. The DOW is price-weighted, S&P 500 is cap-weighted, DAX is cap-weighted but with provisions which I don’t understand. The (DJ Euro) Stoxx is beyond comprehension.
Theoretical values. Cash index at 7524. June future expires in 33 days, interest rate is 3.75%. Theoretical value of future equals = 7550: cash index x exp(interest rate x days/365). (The question of dividends is not that important, as far as I’m concerned. However, referring back to the Stoxx this is significant and occasionally leads to the future trading at what appears to be a discount to cash.)
Conversely, cash = future / exp(interest rate x days/365).
If these prices differed significantly from the theoretical values there would be potential arbitrage.
Grant.
News reports will say the FTSE 100 ended the day 20 points higher, while the DOW finished 30 points higher, for example.
These are referring to the “cash” markets indices, ie the FTSE and DOW indices are composed of underlying stocks. Similarly for the DAX and Stoxx indices.
To hedge the risk in holding constituent stocks (most) cash indices have a future. If you feel the market is due for a dive, but don’t want to sell your stock (for numerous reasons), you would sell (short) a future. If the market sold off 500 points, your portfolio would take a hit but this would be offset by the corresponding gain in the short future (you would have sold the future at 5000, the price reaches 4,500, and you buy it back (close) at 4,500. Because you sold it for more than it is now worth (500 points), this is your profit which offsets the 500 point loss on your portfolio).
Simple example of the valuation of a cash index. Assume an index is composed of two (constituent) stocks, ABC priced at 100 and XYZ at 200. The index value then equals, 100 + 200 = 300. As the prices fluctuate, so does the index. This is a “price-weighted” index. The FTSE is a “capitalisation-weighted” index, ie the greater the market capitalisation of a constituent, the greater its weighting or representation in the index. The DOW is price-weighted, S&P 500 is cap-weighted, DAX is cap-weighted but with provisions which I don’t understand. The (DJ Euro) Stoxx is beyond comprehension.
Theoretical values. Cash index at 7524. June future expires in 33 days, interest rate is 3.75%. Theoretical value of future equals = 7550: cash index x exp(interest rate x days/365). (The question of dividends is not that important, as far as I’m concerned. However, referring back to the Stoxx this is significant and occasionally leads to the future trading at what appears to be a discount to cash.)
Conversely, cash = future / exp(interest rate x days/365).
If these prices differed significantly from the theoretical values there would be potential arbitrage.
Grant.
new_trader
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Hi Mofe
You trade very similar to myself but on a much faster time scale. I agree there is not much correlation between es or ym for trading er2, some times they work but its not reliable.
Corrlation works best when trading the ym using the Trans, Bonds even some good heavy stocks. I tend to look for divergence with the Trans I find they tend to lead the YM....
When the es are open 9,30 EST do you use the es or ym for clues as to where the Dax is going or do you only use Euro Stoxx for clues?
Show some more vids, if I new how to set up vids I would also show my trades, im not up on my tech
good work Sir
cheers
Laptop1,
It's very easy to do.
Do a search for 'screen recorders'
here are 2 to get you started.
http://www.free-screen-capture.com/screen-recorder/
http://www.capture-screen.com/index.htm
I can give you some tips on setup as I have used similar ones.
NB: Don't be fooled by the "FREE". Most mean FREE trial period.
Does anyone use some automated trading system for scalping?
I have written an MQL4 expert for scalping EURUSD based on reversal of Stochastics oscilator and last 3 candles (big knots) in 1-minute chart. The problem is that I CANNOT BACKTEST the system because of lack of intra 1-minute data. All I know is Open/Close/High/Low/Volume for every 1-minute candle. Fractal interpolation is not accurate.
Any ideas how to backtest?
My trades last 5-min max; taking profit of 4 to 10 pips; I was supprised by succes ratio (85% aprox.).
I have written an MQL4 expert for scalping EURUSD based on reversal of Stochastics oscilator and last 3 candles (big knots) in 1-minute chart. The problem is that I CANNOT BACKTEST the system because of lack of intra 1-minute data. All I know is Open/Close/High/Low/Volume for every 1-minute candle. Fractal interpolation is not accurate.
Any ideas how to backtest?
My trades last 5-min max; taking profit of 4 to 10 pips; I was supprised by succes ratio (85% aprox.).
