ES Journal Archive (2011)

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Quote from JoshDance:

Except that Thursday's close was 55.75 -- which was tagged, and then reversed. Just pointing out the relevance of the actual closing price.

Very random, as R1 based on RTH is actually 57.75 :)
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There are different ways to calculate pivot levels, both with respect to the formula and the actual hours used. R1 is 56 the way I calculate it.

My cash close at 04:00 for Thursday is 57,25. You got a different value?
 
Quote from Visaria:

Valid points, Josh.

I'm playing around this idea: suppose you buy 3 contracts of ES, all at the same price. Treat them as three trades. 1 contract you have a 1:1 r/r, the second a 2:1 r/r and the third 3:1 r/r.

So basically if the price went to the stop, you would exit all. If however the price went to the first target, you would exit one contract. If price went to the 2:1 target without stopping out, then exit 1 more contract and similarly for the third contract, or maybe even let that run with a trailing stop.

Thoughts?
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You're missing the % probability of each leg of the trade and therefore the expectancy of the trade, both as a whole and as individual trades. Therefore you cannot compare it to, say AIAO at :2 or :3

If you use the same stop for all three contracts, your probabilities of being stopped out on the whole position due to noise, not signal, increase several-fold.

Trailing stops in instruments that backfill so much (as ES and equity indexes in general) is usually not a good proposition.

The main reason why people go all-in, but scale out is psychological needs due to over-leverage. The easiest solution with the best expectancy is in 95% of the cases to simply cut down size. Do not confuse this with progressively entering and exiting positions (averaging up/down) like Ammo et al.

My 0.02
 
Quote from JoshDance:

Isn't this just a typical scale out scenario?
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Hmmm...i was viewing it as a diversification of method. The 1:1 trade will probably only break even on it's own, but might just provide the benefit of lower drawdowns when combined.
 
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