do not trade index futres.

[SimpleMeLike]

IMO: for inexperienced traders not trading index futures will save a lot of hardship.

indexes do not move in a direction so it is difficult to trade. you need to deal with constant changes of direction, if you are trading indexes

Good Morning padutrader,

The biggest challenge/problem you are having is simply this : You are unable to implement what Al Brooks taught you in the real world of trading, and produce a consistent income from it.

You are unable to do this, because Al Brooks teach trading theory, not making money, which is the only outcome of your trading efforts.

I have nothing against Al Brooks, but you need to know make money from the theory you learned over the years.

 

[toucan]

I probably don't understand a lot of things.

Just logic tells me that when spreads are as tight as they are with SPX then a lot of money is willing to sit on them (bids/asks) all the time. Why though? If it was so much easier to make money elsewhere?




Sure, attached, last 6 months. My sortino got compromised a lot because i did some manual trades out of boredom, lol. But yeah, i'm all algo now. Check the trade count sheet, you'll see most trades are done with SP500.

PS. I don't trade futures per se, i trade CFD's for the simple reason i don't have an account big enough. I need 500k+ to start with just 1 MICRO (MES) lot.

Do you have a performance report on some other asset?




Wrong, low costs help you in both cases, successful or not. If you lose, you lose slower and have a longer time to learn. If you don't know how to trade then it doesn't matter what market you trade but costs are REAL money. Spread is one thing, slippage is another. You can and do get a lot bigger spikes in, for example, FX market compared to SPX, volatility adjusted. That can be another painful cost if you're on the wrong side.

And i don't think we even need to mention options spreads...There's massive differences in costs and liquidity between different asset classes.

View attachment 331275 View attachment 331276 View attachment 331277

nice algo returns.. how long have you been running this algo and are you considering adding contracts now that it looks like this is a viable algo

thanks in advance
toucan

 

[tsfx]

Doing that is investing. Traders trade .... up and down.

okay...

 

[tsfx]

nice algo returns.. how long have you been running this algo and are you considering adding contracts now that it looks like this is a viable algo

thanks in advance
toucan

Thanks.

A little over 6 months.

Contract sizes (margin modelling) are optimized to a comfortable level. Strategy optimization is key to improvement. You know the saying: It's not the size that matters, it's how you use it, lol.

 

[murray t turtle]

Been day trading/scalping since 1987, have traded most of futures, some forex, stocks etc...

Indexes trade differently than most other futures, different charting, different patterns, different trends or lack of consistent trends.

Once learned, Indexes offer more bang for the buck, more movement for scalping during certain hours. Many never understand what needs to happen to profit. When newbie, trades that go against internal feelings are often trades am going to get into, waiting for price to drop to go long, risk gets smaller. Very seldom do breakouts as they require greatest risk. I pretty much fade moves within a trend.. Seldom do traders study distances of waves of a trend, too often newer traders getting in late in current trend. Use larger timeframe for trend and enter on smaller. Increased volume or lack is hugely important once learned.

Once you have edge in one market, most likely there be differences in other markets.

%%
Exactly;
but single stocks also can give much more bang for bucks, not meaning I want to trade or invest in them anymore .
Average vol can be very helFul some times
......Lift me higher /
like a sweet song of choir /E Presley /Burning Love Song [anti global cooling] with Royal Phili- Orch..........

 

[toucan]

Thanks.

A little over 6 months.

Contract sizes (margin modelling) are optimized to a comfortable level. Strategy optimization is key to improvement. You know the saying: It's not the size that matters, it's how you use it, lol.

i have been partially automated for a number of years now and over the last 3 years have added contracts as i become more comfortable with my trading system.

 

[Laissez Faire]

I probably don't understand a lot of things.

Just logic tells me that when spreads are as tight as they are with SPX then a lot of money is willing to sit on them (bids/asks) all the time. Why though? If it was so much easier to make money elsewhere?

I'm not sure how to explain it any better than I already did. US index futures are very popular and liquid markets for multiple reasons.

Keep in mind that a huge amount of the volume in US index futures is not from outright speculation, but arbitrage between the cash index, SPY, etc. Of course there's the options market to consider as well.

Then you have those who use it strictly for hedging activities which is the original meaning of futures markets.

Sure, attached, last 6 months. My sortino got compromised a lot because i did some manual trades out of boredom, lol. But yeah, i'm all algo now. Check the trade count sheet, you'll see most trades are done with SP500.

PS. I don't trade futures per se, i trade CFD's for the simple reason i don't have an account big enough. I need 500k+ to start with just 1 MICRO (MES) lot.

Do you have a performance report on some other asset?

Thanks for sharing. No commissions?

Honestly, those numbers don't seem that great unless I'm missing something.

Your average winning trade is only marginally better than your average losing trade with a 55.4 % win rate and a profit factor of 1.33.

There's not much room for error to bring you into negative assuming it's even positive after costs.

If you need 500K to trade 1 MES I would be careful to suggest that trading index futures is easy.

 

[p0box4]

PS. I don't trade futures per se, i trade CFD's for the simple reason i don't have an account big enough. I need 500k+ to start with just 1 MICRO (MES) lot.

Care to explain why? 1 MES contract is just $5 per point, so even if MES went to 0 you would still have $476K left.

 

[hilmy83]

Care to explain why? 1 MES contract is just $5 per point, so even if MES went to 0 you would still have $476K left.

Not if you average down lol

 

[tsfx]

I'm not sure how to explain it any better than I already did. US index futures are very popular and liquid markets for multiple reasons.

Keep in mind that a huge amount of the volume in US index futures is not from outright speculation, but arbitrage between the cash index, SPY, etc. Of course there's the options market to consider as well.

Then you have those who use it strictly for hedging activities which is the original meaning of futures markets.

I had a whole paragraph written against your "trend following" algos and what not technical analysis and how that does NOT AT ALL make up the bids and asks but i decided to skip it. Now you corrected yourself a little bit by talking about arbs and i will just add that more so dynamic arbs in imps/realized vola. Definitely there's a lot more to it, i'm not aware of the inner workings much.

Thanks for sharing. No commissions?

Honestly, those numbers don't seem that great unless I'm missing something.

Your average winning trade is only marginally better than your average losing trade with a 55.4 % win rate and a profit factor of 1.33.

There's not much room for error to bring you into negative assuming it's even positive after costs.

The cfd's don't have commissions but slightly higher spreads instead. And yes, they are included already.

Sure, numbers can definitely be better, especially sortino, that's what i care about most. But since you mentioned it - please pick 100 hedge funds and do an analysis and tell me how many of them have 2x+ return relative to OPEN DRAWDOWN at any given point in that period. And with an annual return of close to 40%.

PS. I have a lot of room for error

If you need 500K to trade 1 MES I would be careful to suggest that trading index futures is easy.

Granularity is the word here. I have over a dozen instruments i trade, each have an universe of strategies that get executed. I'll soon include single stocks as well so sizes get even lower and trade counts get bigger.

Don't you think that it makes sense to have these ratios should a portfolio manager have a high AUM?

Or, by your logic, if someone is managing say 500M, then i should trade ES worth of 500M notional each time with a stop loss of 10 points and TP at 30? Yeah, that'll get you somewhere