ES Journal - 2012

bigsnack · Feb 9, 2012

Now of course I could be wrong, so take it for what it's worth, but the chart is starting to have a "meltdown" shape to it for me. My gut and eyeballs are telling me that we take out today's low tomorrow.

chaykapwr · Feb 9, 2012

the 45-47 is going to be good support. We will need to break through that. Knowing these AH sessions, we will get a small sell off, then grind up all night. might be good buy here

Ramp · Feb 9, 2012

Quote from bigsnack:

Now of course I could be wrong, so take it for what it's worth, but the chart is starting to have a "meltdown" shape to it for me. My gut and eyeballs are telling me that we take out today's low tomorrow.

I agree. The break above last weeks high has been very uninspiring to say the least. Unless this week is going to have an unusually small range I see 1296 and maybe even 1273 if it can get below 1330. (disclaimer: nothing would surprise me at the moment though).

I Want to jump on the long side but not at these levels.

Trvlwanderer · Feb 9, 2012

Quote from Ramp:

I Want to jump on the long side but not at these levels.

Agreed Ramp....that's been the problem for several weeks now.

I keep adding to long term equities on all the dips....it is easy money while the free money boys dump into the markets and "waft" it higher.

Big position ES swingers I know are doing well. I have a hard time running with a 50 point stop loss....maybe someday when I can read big trends better, but not today.

I catch some grief being one of the lone scalpers and 2-10 point chasers, but my innards don't like overnight holds in ES. Especially with euro and bama drama.

traderrn · Feb 9, 2012

Quote from tortoise:

It seems to me that the market had an excellent opportunity to sell-off today -- multiple excuses -- and it didn't. Didn't even come close, really. The opening five minute range held all afternoon

Moral: Don't fade the Fed.

Don't fade the trend.

mastacoli71 · Feb 9, 2012

Chaykapwr, you said if one calls your handle, you answer, that simple. What about my back testing I did on what you mention below. Here is how I responded. Would like to know what you think on this:

Date this buy the close sell the open strategy back to beginning Dec 2010 through yesterday close. Wish I could go back further but my limited back testing ability does not allow me to. In any case, this buy the cash close sell the cash open yields 10% total return assuming one is laying down the same dollar value bet day after day. Market during that same time frame yields 13.75%, same parameters. I'm sure if you go back further the numbers will be similar.

Let me ask you a question, which one would you choose? Hmmm, head scratcher for me.

Quote from chaykapwr:

50 Up days/88 total days=56.8% of trading days are up days for the Period Oct/11-02//07/12

19/26=73% of trading days are up days for all of 2012

While the first number is in line with where it should be (50/50 split, even though historically it should have a very very slight bias towards up)

The second number is way out of line. Sure you can make the argument that the sample is very small, BUT the fact is, going long at the close of the day, and selling at the close of the next day for a higher price has a probability of 73%

Ramp · Feb 9, 2012

Quote from Trvlwanderer:

Agreed Ramp....that's been the problem for several weeks now.

I keep adding to long term equities on all the dips....it is easy money while the free money boys dump into the markets and "waft" it higher.

Big position ES swingers I know are doing well. I have a hard time running with a 50 point stop loss....maybe someday when I can read big trends better, but not today.

I catch some grief being one of the lone scalpers and 2-10 point chasers, but my innards don't like overnight holds in ES. Especially with euro and bama drama.

Hey, there's nothing wrong with 2-10 pointers being your bread and butter and from what I read you do it quite well.

For the bigger swings, rather than 50 point stop losses have you considered using SPY options? May be a good way to get your feet wet without as much risk. Just a thought.

Cheers

chaykapwr · Feb 9, 2012

Quote from mastacoli71:

Chaykapwr, you said if one calls your handle, you answer, that simple. What about my back testing I did on what you mention below. Here is how I responded. Would like to know what you think on this:

Date this buy the close sell the open strategy back to beginning Dec 2010 through yesterday close. Wish I could go back further but my limited back testing ability does not allow me to. In any case, this buy the cash close sell the cash open yields 10% total return assuming one is laying down the same dollar value bet day after day. Market during that same time frame yields 13.75%, same parameters. I'm sure if you go back further the numbers will be similar.

Let me ask you a question, which one would you choose? Hmmm, head scratcher for me.

I will run the backtest further this evening, but i have a feeling it only works very well during bullmarkets, which is obvious.

I will run the numbers this evening, and get something going as it pertains to an answer for your question, at this moment it would be difficult to confidently state option A or Option B.

However, i think this can be made into a viable strategy, I might look into it. If someone is also interested, you can PM me.

Jestersofmalice · Feb 9, 2012

Quote from Jestersofmalice:

target is 1346 by the way...

getting close.
See what happens over night, but limit order is in to close the position if it gets to 1346.
stop is also still in.

chaykapwr · Feb 9, 2012

Quote from mastacoli71:

Chaykapwr, you said if one calls your handle, you answer, that simple. What about my back testing I did on what you mention below. Here is how I responded. Would like to know what you think on this:

Date this buy the close sell the open strategy back to beginning Dec 2010 through yesterday close. Wish I could go back further but my limited back testing ability does not allow me to. In any case, this buy the cash close sell the cash open yields 10% total return assuming one is laying down the same dollar value bet day after day. Market during that same time frame yields 13.75%, same parameters. I'm sure if you go back further the numbers will be similar.

Let me ask you a question, which one would you choose? Hmmm, head scratcher for me.

Well I decided to end this once and for all, and I did a backtest all the way back to Jan 1950 on the S&P.

Number of gaps-6070

Number of gap downs-2998
Number of gap ups-3072

Probability of buying the close and selling at a higher open?

50.6%

Average gap (Ups and Downs included)= .009%

There you go, nail in the coffin, a worthless strategy