Eurodollar Futures (GE)--anyone else trading these?

Quote from Stratcat:

Hi, thanks for the response.

I've been trading ED for a couple of months at my prop firm. No-one I know really trades spreads, just try and get on the outright moves. I have CQG, Xtrader, etc so entry and exits are instant and news events and figures although dangerous are often huge opportunities also.

I have only really been successful by getting in and out of the fluctuations for a couple of ticks each time, getting out for a loss if I went 1 or 2 ticks offside. The results have been slow and steady but also suffering the odd big down day when I get cut to bits in a choppy market. I have always wanted to trade the larger moves as this is the only way to eventually trade massive size and survive with a low hit rate. Whenever I've tried to trade like this though I have always ended up taking big losses.

EG. I had a level at 54.5 in Dec 05 ED on Thursday as the market was coming off I waited until it was going through this level and joined the bid. I got filled and the market stabilised around here. It then went up to 57.5 and I could have taken a 6 tick profit on a 100 lot. Instead I thought it would go further and I was surprised when it came off once again. I ended up scratching the trade and going short at the same time just before the market turns round once again and goes to 59. I paid up at 55.5 I think so I turned a nice little earner into loss and the next day the market went to my target of 60.

This is a snapshot and typical example of how whenever I have tried to run a trade I get my arse handed to me. Maybe it is not a viable strategy for a daytrader who has to get out of his trades by the end of the day.

Anyway food for thought. interestingly enough it then bounced of my 60 level and went 40 ticks the other way on the back of Greenspan, lol. I suppose there is always a tradeoff between developing a method where you are right very often for a short gain, or right now and again for a big gain.
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well next time u see a fat profit on a 100 lot i hope u take 30-50 lots off to bank some profit. if u r right - u win more. if u r wrong then at least u have some bunce 4 your trouble.
 
Easy...........Take your 6 tick profit. You dont need to take huge winners in order to trade size in this. Think of it this way......if you make 4 1/2 ticks per day clipping 100's, thats $5,000 per day. IF you can do that same thing on 300's, and keep the same discipline, Its $15,000/day. Some days the market is going to give you more (i.e. last Friday), and some days it'll give you very little (i.e. today). But most days, pulling 3-4 half ticks is realistic.
$15,000 x 240 trading days is $3.6 million a year, is that enough for you?
Even better, you only average 2 ticks per day on 300, that still works out to $1.8 Million.
Even better, even if you only average 1 tic per day on 300, you still make $900k a year.

You get the point. Take your profits, and get out of bad trades quickly.
 
Quote from Stratcat:

Hi, thanks for the response.

. It then went up to 57.5 and I could have taken a 6 tick profit on a 100 lot. Instead I thought it would go further and I was surprised when it came off once again. I ended up scratching the trade and going short

as the others have said...take your profit...either scale out or get out completely...remember Strat...you can always get in again...if you think it's going to continue up...then buy it again when it goes...maybe you miss one or two ticks of profit...but then again maybe you end up scratching a 5000 grand trade...always take what the market gives you...especially if you want to do bigger size...scaling out is always a better option as it gives room on the downside to either scratch it entirely if it goes wrong or let it breath a bit if you are still convinced you're right...
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hope this doesnt diverge the conversation too much but i am thinking that most on this thread are uk based rather than us based?

am i right?

(im in uk)
 
as a further comment on my disbelief about ED recent strength in the face of weakness...this may explain a bit...

"The latest J.P. Morgan dealer survey showed long positions widened to 10 percent from 6.0 percent last week, though that was still dwarfed by short positions at 40 percent. Fully half of investors are neutral on Treasuries, with many believing prices are too rich, but too afraid to sell, given the market's stubborn resilience in recent months."

while this applies mainly to treasuries; and the flattening trade appears to be continuing; this last sentence is still pretty amazing...'too afraid to sell'...that about sums up the market the past couple of months really...despite Friday's melting...even then at the end of the day (around 2pm or so) the buyers came back in a big way, especially in the Sep05 and Dec05 contracts...I would love the Fed at it's Dec meeting to give us some stronger language about rates going up...perhaps this would cause some capitulation selling...then we might actually get a trend for a couple of weeks...and more than a few days like last Friday...wouldn't that be nice?!

by the way blogg I am based in Canada...
 
t'life, you're a self-confessed scalper and short term momo trader...are you aspiring to join the trendies? Besides, wouldn't it be just as viable for you if there was, say, a retracement on a weakish NFP or string of flaccid nbrs?

I've taken mental note of those JPM surveys for several weeks now, and they seem to have some information content, much more so than COT.
 
Quote from dunleggin:

t'life, you're a self-confessed scalper and short term momo trader...are you aspiring to join the trendies? Besides, wouldn't it be just as viable for you if there was, say, a retracement on a weakish NFP or string of flaccid nbrs?

I've taken mental note of those JPM surveys for several weeks now, and they seem to have some information content, much more so than COT.
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true...can't deny any of it...I am a humble servant of the god of scalping and momentum...however, when longer trends present themselves, the day time frame within that trend provides excellent trade set ups...if the trend is down then the way to approach most days is from the short side...obviously have to be flexible on the shorter term but at least it gives you a few more clues...my point is that right now there in no real trend...when I approach the days now, I have no real bias but everytime it looks like it wants to break down, the buyers come out of nowhere and drive it back up with seemingly little regard to the actual price levels...it is certainly more amenable to trading when you have an idea why these guys are so bent on buying...otherwise your guessing leaves your conviction to go with them a little cold...if you don't know why you are in the trade, you certainly will have very little idea why or when you should get out...furthermore, when there is a lack of trend then you get a lot of really small crappy range days that are aggressively without momentum..there is still opportunity but when you are trying to do more size it tends to be a lot more stressful...imo.

and yes frankly as long as the nfp numbers (or any numbers for that matter) are out of line then I don't really care which way it goes...at least on that day...for instance if the nfp is a lot stronger, is this the key that makes the sellers 'less afraid' or after a selloff do we see the buying return over the next few days and weeks...who knows? and this makes it a bit more difficult to trade some days...
 
Quote from dunleggin:

t'life, you're a self-confessed scalper and short term momo trader...are you aspiring to join the trendies? Besides, wouldn't it be just as viable for you if there was, say, a retracement on a weakish NFP or string of flaccid nbrs?

I've taken mental note of those JPM surveys for several weeks now, and they seem to have some information content, much more so than COT.
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lol -

ive been looking at cot reports recently - ok its all a week late, but i still cant see any significant positions by commercials or non. cos its all hedged!
 
How about Fed Funds? Anybody trading those on the screen? Volume on the screen has exploded there over the past few months. Or is it mostly just paper trading with each other? There are definitely anomalies between FF's and ED's in terms of their rate forecasting ability. Look at FFz4 vs. EDz4, the euros were way too aggresive in pricing in fed tightening by December of this year (around May of 2004), but now it seems to have reversed a little. There is definitely huge volume in the Fed Funds, front two months are easily couple thousand up every day, you just need to figure out how to lay off your risk if you actually get hit on the bid or someone lifts your offer. Same with the two year note, screen volume is eventually gonna be close to 100k a day.
 
Quote from mcurto:

How about Fed Funds? Anybody trading those on the screen? Volume on the screen has exploded there over the past few months. Or is it mostly just paper trading with each other? There are definitely anomalies between FF's and ED's in terms of their rate forecasting ability. Look at FFz4 vs. EDz4, the euros were way too aggresive in pricing in fed tightening by December of this year (around May of 2004), but now it seems to have reversed a little.
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I'd guess after EDs gained critical mass on Globex, screen avail of FF and cross-margining breaks would have brought in institutional spread activity which built the volume rapidly?

What you observed in the forecasting accuracy of FF and ED over different time periods has been the focus of various academic papers.

I've traded some ED/FF spreads this year on a mean-reversion outlook. Not the game you're looking for, but risk profile is benign and margin low.

EDH5/FFH5 yield spread is quite wide right now, 34bps. There are the usual contract time/exposure factors, schedule of Fed meetings etc. to explain some of this, but...
 
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