ES scalping,is it worth?

[Kap]

Quote from Kap:

I have scalped professionally with a direct connection to the exchange (member), and ultimately relocated offices to be within 300 metres of the exchange's hub for shorter latency . Large volume and tiny commish as we were bulk players. One of the most promising of the team was female, and it sure wasn't something she could teach. Theres is no way I could/would compete with them now I work from home and use a third party vendor/clearer, and I wouldn't advise anyone else to either... you don't have a chance non member tick scalping, besides you will go mad staring at one number, it really ain't no way to make a living.

Kap

FWIW, When I refer to scalpers I am referring to the sub 2 point brigade. I do however know a handful (I can count them on one hand) who sit @ home with third party clearers on DSL lines taking daily swing positions, and doing very well. Its worth noting though that amongst the mass of daytrading muppets out there, these are very few and far between.

Kap

 

[JohnnyK]

Above is a gross equity curve for some non-real-money scalping I did using Qlink/DDE/Excel. Below are the stats.

Double-clicking on a cell, I was able to capture NOW price for ES04M as I monitored a one-minute Qchart bar chart. Formulas then added up all buy/sell differences and charted the equity curve.

The over 700 trades in just over 7 hours felt comfortable to me, not to mention easy and fun. I did not feel I was trading fast or laboring. While the market could probably handle the volume I might have added, where this breaks down probably is the spread. While the commission per trade would be $2.4 for a net $4 gain per trade, the $12.5 spread would kill it. Most profits and losses were .25 points.

Oh well. I learned something. Now if only I can do this on a longer time frame...this is what is difficult for me.

4550 Gross
1781 Less commisions
2769 Net
39.1% Percent commissions to gross


742 Trades
445 Minutes
1.7 Trades per minute
2.4 Rate IB commision

373 Dollars per hour per contract net


JohnnyK

 

[sunmoon]

quote from blueberrycake:

Think about it this way, it's extremely rare to buy the bid/sell the ask in ES without the price ticking through to the next level.

Hence in order to hit your target of .25, the price actually needs to move .5 in your direction. But to get stopped out at .75, the price only needs to tick down by .5.

So if are long, and the price moves up by .5 you make .25, but if it moves down by .5 (the exact same amount), you lose .75 or three times as much. In this setup you have to be right 75% of the time to break even before commissions.
----------------------------------------------------------

I have been backtesting a scalping system over all the ES historical data possible (7+ years+), and my annual return is well over 70% with max 15% drawdown.

Now, my only concern is the fill price. I base my entries and exits on closing 1 min prices. So if my data shows 1000.75 as the close price of minute 10:46, that's the price my simulated entry goes in. In other words, I don't take into account slippage, or anything that blueberrycake refers to in the quote above.

How realistic is slippage? Since my entry isn't based on trend-following indicators, shouldn't have a 50/50 (or even better than 50/50, since i'm going opposite to trend) chance of either upticking or downticking? In other words, if I don't get filled in at 1000.75, shouldn't there be a 50/50 chance of either 1000.50 or 1100.00? Any help would be appreciated, thanks in advance.

 

[risktaker]

In this simulation/testing, what is your average profitable trade, avg losing trade amount, avg trade? How many trades are you generating to get the hypothetical 70% return? Is that 70% on your $5000.00 margin? Or 70% on the contract's value($63,000*.70)?

Quote from sunmoon:

quote from blueberrycake:

Think about it this way, it's extremely rare to buy the bid/sell the ask in ES without the price ticking through to the next level.

Hence in order to hit your target of .25, the price actually needs to move .5 in your direction. But to get stopped out at .75, the price only needs to tick down by .5.

So if are long, and the price moves up by .5 you make .25, but if it moves down by .5 (the exact same amount), you lose .75 or three times as much. In this setup you have to be right 75% of the time to break even before commissions.
----------------------------------------------------------

I have been backtesting a scalping system over all the ES historical data possible (7+ years+), and my annual return is well over 70% with max 15% drawdown.

Now, my only concern is the fill price. I base my entries and exits on closing 1 min prices. So if my data shows 1000.75 as the close price of minute 10:46, that's the price my simulated entry goes in. In other words, I don't take into account slippage, or anything that blueberrycake refers to in the quote above.

How realistic is slippage? Since my entry isn't based on trend-following indicators, shouldn't have a 50/50 (or even better than 50/50, since i'm going opposite to trend) chance of either upticking or downticking? In other words, if I don't get filled in at 1000.75, shouldn't there be a 50/50 chance of either 1000.50 or 1100.00? Any help would be appreciated, thanks in advance.

 

[sunmoon]

5345 total trades
Haven't calculated avg winning/losing trade, but don't see necessity for it, since my overall risk is minimal and sample size is large, which is a sign of a winning, consistent system
Annual return: my (end of year account capital value- beginning of year account capital)/ beginning of year account capital value