e-mini dow scalping

Quote from BillySimas:

Oh, and this is 100% shorting, there's no buying. I failed to mention that, thought it was presumed from what I was saying before but maybe not. Buying dips does not work with this, we all know why.
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Actually, at least I don't know why. In a relatively trendless day, the $TICK will tend to revert back towards 0 if it approaches an extreme value, say + or - 800 to 1200. In such a situation, if the $TICK hits -1000, as it starts retracing to zero, why wouldn't buying a dip work?

RoughTrader
 
Quote from RoughTrader:

Actually, at least I don't know why. In a relatively trendless day, the $TICK will tend to revert back towards 0 if it approaches an extreme value, say + or - 800 to 1200. In such a situation, if the $TICK hits -1000, as it starts retracing to zero, why wouldn't buying a dip work?

RoughTrader
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Because the market moves down faster than it moves up. I think you're more likely to get stopped out on a short term anomaly like this one. Fear is stronger than greed, we're talking about dow futures here, the biggest market barometer there is.
 
Quote from BillySimas:

Because the market moves down faster than it moves up. I think you're more likely to get stopped out on a short term anomaly like this one. Fear is stronger than greed, we're talking about dow futures here, the biggest market barometer there is.
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If you have an account over 25K (Pattern Day Trader) you could test this out - initialy - with Diamond ETF's for pennies and take every single trade and see if it works over a couple of weeks to a month...

The spy is 98% correlated to the ES and the DIA must be about the same to the YM i think...

anyway, a very cost effective way to try out any index futures strategy without risking hardly a dime...

For example, using the SPY's versus the ES... It takes about 500 spy to equal one ES contract... so if one were to buy 25 spys they would be risking 1/20 of what they would for trading the full eMini...

anyway... you could grow it progressively once trust in it is solidified....

25 ETF's the first week and if successful then, 50 ETF's the next week and if successfull then, 100, 150, 300, 500, 1 contract, 2 contracts, 3 contracts, 5 contracts...

so using that progression you would reach 5 contracts in 2.5 months which is not that long of time...

just a thought...

cj...

:)

________________
HAVE STOP - WILL TRADE

If You Have The Vision We Have The Code
 
In my opinion the reason "why everybody doesn't use this" is very simple. I made a small manual backtest and this stratery really seems to be good and profitable, BUT. For the same period of time I simply made more YM points trading my usual trend following strategy. Yes it has less winning %, but personally I prefer better risk/reward than 1:1 (just don't feel comfortable with it, try to shoot for at least 1:2 and even 1:4 for some markets like FX).

So, your discovery is good, but definately not "too good to be true".

So why not just use it? :)
 
Quote from BillySimas:

Just look at any day doesn't matter...if the market goes up 10 ticks in 2 min or less, you just sell it. Your target is 10 ticks and your stop is 10 ticks. You're winning there like 75% of the time at least, are you not?
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By this reasoning, if you get stopped out -10 ticks in less than 2 minutes, you're supposed to sell it again? How do you work a system where your exits match your entry signals exactly?
 
Quote from EdgeHunter:

If you have an account over 25K (Pattern Day Trader) you could test this out - initialy - with Diamond ETF's for pennies and take every single trade and see if it works over a couple of weeks to a month...

The spy is 98% correlated to the ES and the DIA must be about the same to the YM i think...

anyway, a very cost effective way to try out any index futures strategy without risking hardly a dime...

For example, using the SPY's versus the ES... It takes about 500 spy to equal one ES contract... so if one were to buy 25 spys they would be risking 1/20 of what they would for trading the full eMini...

anyway... you could grow it progressively once trust in it is solidified....

25 ETF's the first week and if successful then, 50 ETF's the next week and if successfull then, 100, 150, 300, 500, 1 contract, 2 contracts, 3 contracts, 5 contracts...

so using that progression you would reach 5 contracts in 2.5 months which is not that long of time...

just a thought...

cj...

:)

________________
HAVE STOP - WILL TRADE

If You Have The Vision We Have The Code
More...

While the dia and YM are closely related I doubt if dia copies the spikes that occur on YM because these spikes occur because of low liquidity when an order or two takes out several levels of dom. I have seen these and also wondered if there was not a way to take advantage of them but you would have to anticipate them and have extremely fast execution. Perhaps keeping a sell limit order 10 pts above the current level then hitting the buy button as soon as you see the spike or something along that line.
 
Quote from Bearbelly:

While the dia and YM are closely related I doubt if dia copies the spikes that occur on YM because these spikes occur because of low liquidity when an order or two takes out several levels of dom. I have seen these and also wondered if there was not a way to take advantage of them but you would have to anticipate them and have extremely fast execution. Perhaps keeping a sell limit order 10 pts above the current level then hitting the buy button as soon as you see the spike or something along that line.
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You may be right i have not run the simple excel correlation analysis between the YM and the DIA...

i follow the SPY and the ES and they are <b>arbed</b> to stay VERY close by trading firms doing exactly what you describe in the YM spikes...

so this would only work as a testing method if the YM and DIA were very closely correlated and that remains to be tested and seen...

but for anyone who wants to do a real test of an ES index futures trading idea for pennies of risk the SPY substitue versus the ES works fine... i have tried that...

cj...

:confused:

__________________
HAVE STOP - WILL TRADE

If You Have The Vision We Have The Code
 
Quote from Bearbelly:

While the dia and YM are closely related I doubt if dia copies the spikes that occur on YM because these spikes occur because of low liquidity when an order or two takes out several levels of dom. I have seen these and also wondered if there was not a way to take advantage of them but you would have to anticipate them and have extremely fast execution. Perhaps keeping a sell limit order 10 pts above the current level then hitting the buy button as soon as you see the spike or something along that line.
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google "cascading" to find out what you are missing.
 
Quote from CFerret:

In my opinion the reason "why everybody doesn't use this" is very simple. I made a small manual backtest and this stratery really seems to be good and profitable, BUT. For the same period of time I simply made more YM points trading my usual trend following strategy. Yes it has less winning %, but personally I prefer better risk/reward than 1:1 (just don't feel comfortable with it, try to shoot for at least 1:2 and even 1:4 for some markets like FX).

So, your discovery is good, but definately not "too good to be true".

So why not just use it? :)
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Very good points, Janis

my regards.
 
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