ES Overlap

Quote from ElectricSavant:

There are not big enough players in here to effect the ES open. If every active Elitetrader traded this it would have no effect. The ES is trading in multi-BILLION dollars....

Michael B.
More...

I'm aware :) But, if this system works as you say, and you frequently move a point in your direction off the initial print, slippage will kick in and you will be filling .25 to .5 off of the initial print, after all, the market is moving with you...
 
Quote from Daryn:

Michael,

I thought I would throw in my miscellaneous comments (whether or not they are worth anything I will leave for you to decide)....

1. Kudos to you for posting an idea that others may be able to develop into a system of their own....it seems to be becoming a rarity on ET!

Well, Thank You....Let's see what we can do about that in 2004....

2. The ATR over the last 100 days of a 15 minute bar is 1.56 by my calculation which should indicate that the odds of getting stopped out for your full 5.5 points is minimal.

The open can have some anomalies within the True Range calculation, as explained by Welles Wilder. As you know TR is the LARGEST of the following:

The distance from today's HIGH to today's LOW
The distance from yesterday's CLOSE to today's HIGH
The distance from yesterday's CLOSE to today's LOW

ATR simply averages this and some charting programs can chart this with several smoothing methodologies. The open bars when lumped into an average can cause a deceptive conclusion, even though we are checking intraday 15min bars. I suppose a further exhaustive study could be done evaluating gap and just that first bar of each system trading morning. I believe Brandon has done some study with this.

3. You are not the only one using a wide initial stop. I have seen Chuck LeBeau say many times that a wide initial stop almost always works better. I am pretty sure that Linda Raschke still uses a 3 point initial stop which is almost 25% of the average daily range these days (yes she tightens it up quickly). Mark Cook does something similar as far as wide initial stops. Some people think a wide initial stop is crazy...I am not so sure this is the case.

I must agree that a wide stop is not a long term, prudent way to go. An upside down ratio can be a slow death. But considering this particular methodology it was appropriate. I trade many different systems, set-ups and instruments and this is my widest stop for intraday. The swing NQ that I trade is holding for 3-19 days so naturally the parameters are larger there.

4. If you are looking at the tendency of the market to repeat certain price patterns, then your objective in designing a system is to be able to pick an entry point where there is a high probability that the price will move in your favor initially so that you are able to tighten up your stop and limit your risk. I think your 15 min timed exit does this quite well in the current environment. Have you looked at tighter stops that the initial 5.5?

Well, this is reduced from 6.75. But during different times of the day that are not as volatile...perhaps this could work with a tighter stop and a "most excellent" entry.

5. I would think that this system could be implemented at different times of the day other than just the open of the market.

Yes....but lets walk before we run....I work a full-time job and I am done trading after the first 2 hrs.

6. My last comment is in regards to backtesting. I will probably take lot of flack on this.... The market is constantly changing as we all know so what the hell is the point of backtesting something for 2,3,5 or 10 years? This system may work for 6 months or 2 years...who knows! What matters is that is works now. What also matters is that you keep accurate records so that you can notice when it stops working and avoid giving back your profits. I think that people who are looking for the magic system that works through backtesting on mountains of data are searching for the holy grail. When I started pair trading 3 years ago I started with no backtesting trading 100 shares at a time. When I was comfortable with the results I started increasing the size. Then when the volatility decreased I took way to long to notice that it was not working and gave back way too much. Next time I will know better. My point is that if it's working for you now, trade it..make money...but play smart and don't bet the farm because at some point in time it will probably need to be adjusted or scrapped all together. Backtesting won't tell you when it will stop working.

Well, your right.....I actually stopped trading it for this reason....LOL I wanted to bask in my glory and not trade it out. My wife said that I always' go too far(I am a savant, you know!).....so I did the hard thing and stopped trading this system. I will not tell you how many contracts I worked it up to, but no problem with fills. I also was scolded by many traders who I admire, when trading this system. This system by the way is not for newbies as it requires execution talent and a disciplined concentration. You will see on Tuesday. You must not forget to stay concentrated to pull the trigger for entry on the second.....and then to remember to pull it on the final 15min tick NO MATTER WHAT YOU THINK THE CHART IS TELLING YOU. Also...if you trade several instruments this can be troublesome to manage. To be able to trade discretionarily on one instrument and mechanical on this system at the same time actually makes it easier...please don't ask this Savant to explain.

Anyways, I can't tell you how much I appreciate your comments Daryn, Thank you so much. It is still working and I think we can pull some more money out of the market, before it stops working.


Daryn
More...
 
igOr,

I am not bragging....but I will tell you, that I know first hand a market order of 250 contracts will fill without a partial where I want it to(not my money, I was a CTA once)....and IF fills become a problem I can front run on the depth with a limit order a few ticks ahead of the open. Also I have not curve-fitted this, so it does not need to be perfect, and even if I lose a tick or 2, I usually get my 1 point.

Also we could "scale in" in the beginning 10 seconds before the open, but I do not want to go there in this journal.

Michael B.



Quote from ig0r:

I'm aware :) But, if this system works as you say, and you frequently move a point in your direction off the initial print, slippage will kick in and you will be filling .25 to .5 off of the initial print, after all, the market is moving with you...
More...
 
Hello Folks,

This first post is not as formal, because it is the first one.

Today's USA RTH session of the ESH04 (8:30cst-15:15cst) O/H/L/C was 1096.75/1109.25/1096.75/1107.75

Direction today was green and up.....

So that means we will be going short and down from the RTH OPEN(8:30cst), tomorrow morning (12/30/03).

Now is the time to ask the question, "what will the OPEN need to be if it is to cause me to bother with increasing the target from our normal 1 point"?

Here are the #'s :

1114.25 or greater
1094.75 or less

If we get a number like these above at the OPEN you are on your own. There is no time for me to post the target adjustment in time for you to use them. Our trade usually lasts 2 minutes and max 15 min. So now is the time to ask questions....or if you would like, just add a tick to the target if we get the #'s above. I suggest using a spreadsheet to calculate this, and yes it is worth it as every tick is precious. See opening post for formula description. I can email you my spreadsheet if needed.

Now remember your execution skills are being tested if you dare to try and trade this.....It is important to time your MARKET order to hit at exactly 8:30:00 cst. Hit your MARKET button 4 seconds before that time ok?

When you get your fill....look at your price you got and immediately enter in the target at 1 point or adjusted target with a LIMIT ORDER. Sometimes you only have 15 seconds. Worry about the 5.50 point STOP LIMIT ORDER later, but do enter it in.

Now,...wait...but do not get side-tracked, you have a 15min. time stop to remember. It harder than you think! When the clock strikes 8:45:00cst EXIT....NO MATTER WHAT YOU THINK THE CHART IS TELLING YOU. Also, don't forget to cancel your open working orders after you hit the target, stop or time stop.

I know I am talking to experienced traders and newer traders alike in this public forum, so please excuse the wordiness. I cannot express enough about that this is a fast moving scene at the OPEN and you need to be alert, aware and awake. Remember you only have 4 things to do at the OPEN....enter, set target, adjust target, set stop in this order. During the trade just watch and wait.....exit in 15 minutes and don't forget to cancel working orders....That's it...

Ok, your finished for the day...or you can continue on with your normal trading. I am trading until 10:00cst in a chat room, then I go to work. I try to pop in here in the middle of the work day every chance I get.

For you advanced traders on a day we get a 5.50 point stop which is rare.....you can reverse there with a 1.25 stop and a 1 point target.

Michael B.
 
Quote from ElectricSavant:



I know human nature and most people would be interested to watch me fail.....this is what makes for an interesting journal.

Michael B.
More...

I can't speak for most people, but I wish you all the success you desire. It's so nice to see somebody actually trading rather than blowing smoke.

As for me, I can't offer anything because I'm usually in before the open. But I do agree with Daryn regarding backtesting. About a year or so ago, several of us were chewing on ORB strategies, and a couple of people said they didn't bother going back more than 20 days. That seemed, and seems, a bit too small a sample for me, but going back for more than two or three months doesn't matter much.

As for whatever questions I might have, you've been very thorough. Some of the other journal writers should take notes.
 
DB,

Thank you for your kind words. I have read your posts and I know your honest, so coming from you, this is a nice and appreciated comment.

I think there are many others here that would love to post their journals and methodologies. I think they might be scared to be dis-credited if they fail. Now, those of us that know better, realize that failure is part of trading and growing. I honestly do not care if this journal fails. If I have given an idea to a fellow trader indirectly or set an example to others, well then that's my reward.

I know this sound corny, but I hold traders in a special place in my heart. I feel part of the crowd, and I want to help. I have blown up twice in my life and I understand what the struggle is first hand. I can blow up again too. But please folks, may I ask you if this journal fails, please don't throw me out.

I hope others gather the courage to post their journals here in this wonderful website called EliteTrader and share their methodologies. The insecurities that we all have can be overcome ...lets make this a marvelous 2004. Ok?

I know you can do it!


Michael B.


Quote from dbphoenix:

I can't speak for most people, but I wish you all the success you desire. It's so nice to see somebody actually trading rather than blowing smoke.

As for me, I can't offer anything because I'm usually in before the open. But I do agree with Daryn regarding backtesting. About a year or so ago, several of us were chewing on ORB strategies, and a couple of people said they didn't bother going back more than 20 days. That seemed, and seems, a bit too small a sample for me, but going back for more than two or three months doesn't matter much.

As for whatever questions I might have, you've been very thorough. Some of the other journal writers should take notes.
More...
 
Quote from ElectricSavant:

If I have given an idea to a fellow trader indirectly or set an example to others, well then that's my reward.
More...

Unless the individual keeping the journal is looking for ways to improve his trading, the idea is all I look for (I don't understand the trading log thing; what's the point?). I've picked up ideas that others can't make work and made them my own, while other ideas that have traders wetting themselves in ecstasy don't work out at all.

As for tomorrow, you're probably right about the first 15m. Good luck to you.
 
Ok....where the H*** is Longshot and Gordon Gecko.....I need some spirit in here.....LOL...

And where are those losers from the chat room...Nitro, Wd Gann, Surf, and well you know who you are......

You know those guys in the Chat room couldn't trade their way out of a milk jug in an oreo cookie factory.....

And then there is Scientist.....well I have no words for him...

T-Rex ...hey guy no hard feelings? I just get frustrated ok?

I can't pick on FastTrader he is on vacation...

I need a Nihaba critique also. I will clear the thread to give him space. I think he is the only one that can out-talk me. I know he can out-trade me:)

By the way HPPY nEW yEAR TO ALL YOU eLITE cRONIES OUT THERE....i HAVE STARTed dRINking Already...

i THINK WE NEED A NEW THREAD NAMED tRADING WHILE dRUNK AND ON aTKINS



HEHE (evil savant)

Michael B.
 
You must log in or register to reply here.
Back
Top