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Charles, I did some testing on the ER2/YM pair (1:1 contract ratio) using intraday tick data (continuous contract) on a +/- 2 SDs from a 60 minute-period, 200 period SMA trigger over the period May 2004 through Sept 2005. It made several profitable trades, but the drawdowns were surprisingly...

http://www.elitetrader.com/vb/showthread.php?s=&threadid=55698 I'll keep in mind that 70 pips down is a "huge drop", but not a "tank" (an important distinction, no doubt).

In fact, I do -- the 100 point drop in the Euro futures adds up to $1,250 per contract. I suppose it's all relative to your account size and timeframe. I would be happy to have been short, but I'm happier that I wasn't long.

What news made the Euro tank last night around 9:00 ET?

What do you consider "trading large"?

P.S. I don't know what kind of data you're using for your backtesting, but the data vendor I use has tick data with optional best bid/ask price and size. Knowing that my simulation is buying the ask and selling to the bid takes some of the guesswork (but not all) out of the slippage...

Personally I would get additional data (perhaps two years worth). I had an automated system that I was backtesting over nine months of data, was getting great results, and then I added the four-month period before and twelve-month period after my original nine months of data. As I was...

Are calendar spreads on the same issue any better than the sympathetic issue spreads (e.g., ES/NQ)? I've never paid much attention to the non-front month contracts so I'm not sure how closely they track the front month.

tatsimon, What is the timeframe for setups with your system (weekly, daily, hourly, etc.)? The lower the timeframe the less likely you will be exposed to an incomplete cycle of market behavior (at a low level some cycles repeat every day). If you're generating one trade every couple of days...

It might sound a bit flaky, but consider trying yoga or even a routine workout (if you don't already do one). When I get up and move my ass I find it a bit easier to quiet my inner voice. That voice typically tries to thwart my good instincts (in trading and the rest of life). Best wishes...

As long as you can afford to lose your trading capital and you've given your money management strategy just as much consideration as your entry strategy, why not give it a try with real money? I would recommend keeping your size small. Trading a single contract can generate plenty of...

The original poster (me) gave up trading Asian markets. I found the Nikkei very hard to trade intraday (or intranight), and my extremely busy 12-month old daughter now has other plans for the energy that I used to use to stay awake past 9:00p. I had a particularly hard time reliably fueling...

Charles, what is the timeframe on this trade (1 week, intraday)?

Three cheers for Charles for indulging our curiousity!!

Charles, Do you think replacing the ES with a more fluid product (YM or ER2) would increase or decrease the occurrence of intraday setups using this methodology? By "fluid" I mean that those contracts move a little more easily in a shorter time scale due to the relatively smaller tick size...

Check out http://www.cbot.com/cbot/pub/page/0,3181,909,00.html. The webinars are pretty interesting (they have archived editions as well as live). I haven't reviewed the materials, but I did just see that xpresstrade.com offers some free basic courses...

Until recently I had an excellent group health PPO for my s-corp through my local Blue Cross affiliate in Philadelphia. I made my wife an officer of the company so we would have a qualifying group (i.e., two or more members -- she did work for the company anyway, but I simply formalized her...

Sending this one back up to the top...

Thanks for all the replies on this topic; they were very helpful. Regards,

I have an automated intraday strategy that I'm currently backtesting on 9 months of level-one tick data for the mini-Dow. It’s a triple timeframe (or, in this case, tickframe) approach à la Dr. Elder with x, y, and z ticks per period, and I’m using canned indicators (MACD, Williams %R...