ES Journal - 2012

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Quote from Spectre2007:

even with 1 tick slippage on entry and exit, it still comes out ahead. Which systems have you tried?. ES is so liquid, offers the best for orderflow executions.
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Is your sample big enough ?

All the crossover systems I studied on small timeframes, failed miserably.
 
Quote from Spectre2007:

market profile run,

1414
1380
1378

..price points with the least number of tick traffic.

besides the points above 1460's.. :)
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The Nasdaq is leading us lower, will SPX follow ?
 
Quote from Daring:

Is your sample big enough ?

All the crossover systems I studied on small timeframes, failed miserably.
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a pure crossover fails miserably due to:

1) no filters in congestion zones
2) no filters for non trending days
3) limit orders and syncing with broker
-there is no communication between signal system and broker to check if orders were filled, system thinks order has been filled and issues exit or reverse signal.

You basically end up using market orders to get around this.

4) if your trading microstructure or scalping ticks, then you will be buying at the current offer and selling at the current bid.
-so your signal entry and exit prices will be off from broker filled prices.

You get around this by building in a extra profit margin to account for slippage.

Your TP's have to be within the noise of tick micro price structure.


...TS allows to go back at most 120 days of tick data.
 
Quote from Spectre2007:

best zones to trade for ES for the last 120 days using 240 tick data. Zones being where price traveled to and broke out the most in either direction.
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1445 TS Index over 80%

1417 "

TS Index:

A fitness function that maximizes the Net Profit and Winners while minimizing Intraday Drawdown. It calculates the Net Profit * NumWinTrades / AbsValue (Max. Intraday Drawdown).
 
Looking at all the charts and factors.. it looks like a break to 1380 zone, then a retest of the 1445-55 zone, then collapse to 1280. Given the projections from trading houses and election results, US debt will be downgraded if there is no move by the politicians to fix the budget. SP will downgrade US economic structure.

This turmoil combined with European turmoil, will collapse the market to 1280 zone ultimately. Also take into account the controversy over jobs report. If democrats win the republicans wont want to cooperate and vice versa, both political parties will hold the economy hostage if they dont win.

Plus lackluster earnings next round will be in January. The volatility will benefit traders and trading houses that trade the 'cascades'.

Chris

http://usatoday30.usatoday.com/money/economy/2011-08-05-s-and-p-downgrades-credit_n.htm
 
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