Futures market opening bracket trades
- Thread starter 5Pillars
- Start date
stevegee58
Registered: Feb 2004
Posts: 224
06-12-06 09:31 AM
I've been experimenting with similar techniques in forex. The nice thing about forex is that you don't need 2 accounts (one for long and one for short). Just find 2 negatively correlated currency pairs and trade them in the same account. For example, I use EURUSD and USDCHF which show strong negative correlation.
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I will take a look at this method - thanks for the additional idea!
Registered: Feb 2004
Posts: 224
06-12-06 09:31 AM
I've been experimenting with similar techniques in forex. The nice thing about forex is that you don't need 2 accounts (one for long and one for short). Just find 2 negatively correlated currency pairs and trade them in the same account. For example, I use EURUSD and USDCHF which show strong negative correlation.
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I will take a look at this method - thanks for the additional idea!
Last night and todays trades worked out well - I traded the ES and the EC last night together at the EU market open for two real quick hits of just over .75% for each. I used a little bit smaller order stack for the overnight trades to get out sooner if needed.
This morning at 08:30 est I traded the news release for the ZB and the ES with each doing over 1% profit for some quick good reaction plays.
I then traded the 09:30 est market open for the ES and EC, with the EC trade out quick with 1.1% and the ES trade taking a bit longer for 1.3%. The ES trade had some short account positions get stopped out as the long account then made the 1.3% hit.
I am tired after all the trading and backtesting I did last night and this morning - time to take a break and go home early today.
This morning at 08:30 est I traded the news release for the ZB and the ES with each doing over 1% profit for some quick good reaction plays.
I then traded the 09:30 est market open for the ES and EC, with the EC trade out quick with 1.1% and the ES trade taking a bit longer for 1.3%. The ES trade had some short account positions get stopped out as the long account then made the 1.3% hit.
I am tired after all the trading and backtesting I did last night and this morning - time to take a break and go home early today.
Wow, you've been a busy guy! Don't get burned out working all the market opens around the world. 
Are you able to automate your order entries, or do you have to manually place the orders while watching the market at opening time?
Sandy
Are you able to automate your order entries, or do you have to manually place the orders while watching the market at opening time?
Sandy
I had user defined "order packages" that I had programmed for Trademaven, so I could just one click on the bid or ask to deploy my order stacks. Now that I have left Trademaven and all their problems, I am back to manual placement of orders with NinjaTrader for the time being. This is no big deal for me with the easy one click "stop-limit" order entry feature of NT.
I have talked to NT and they are bringing out a new version within the next few months, I will then be able to have some user defined features again. Less manual labor at the start of trades!
The only fun I have, is when I am trying to trade two products at the same time just seconds before the trade start time. I have placed an ad in the local paper looking for fast-clicking college student "gamers" to hire and have trade round the clock for me in shifts!
I have talked to NT and they are bringing out a new version within the next few months, I will then be able to have some user defined features again.
Less manual labor at the start of trades!The only fun I have, is when I am trying to trade two products at the same time just seconds before the trade start time. I have placed an ad in the local paper looking for fast-clicking college student "gamers" to hire and have trade round the clock for me in shifts!
If you saw in person exactly what I do then you would understand my use of two accounts - the commissions, extra or not, are not a hindrance to the system so I like it set-up the way I have everything.
There is a part of my system when the market is non-directional at the open, that both accounts have the ability to make small profits prior to any breakout at the same time. This helps the eventual stopped out side of the trade "earn" a smaller loss prior to the stop out.
There is a part of my system when the market is non-directional at the open, that both accounts have the ability to make small profits prior to any breakout at the same time. This helps the eventual stopped out side of the trade "earn" a smaller loss prior to the stop out.
5Pillars,
Let me see if I understand this correctly. I did a bit of tallying and, for the 10 days for which you have posted results starting with May 30, you have generated a 21.8% return (no compounding). Are you saying that you can characteristically generate this kind of return on account equity almost exclusively trading the open?
Let me see if I understand this correctly. I did a bit of tallying and, for the 10 days for which you have posted results starting with May 30, you have generated a 21.8% return (no compounding). Are you saying that you can characteristically generate this kind of return on account equity almost exclusively trading the open?
Yes - now think about multiple products with multiple opens.
There is a "reactive" nature to price at market opens that make this type of trade work - news, imbalances, gaps, pre-positioning, etc.
I need to study more of the Asian markets for this method also - I have a perception they are more "reactive" at their opens then others, and that would be an optimal set-up.
There is a "reactive" nature to price at market opens that make this type of trade work - news, imbalances, gaps, pre-positioning, etc.
I need to study more of the Asian markets for this method also - I have a perception they are more "reactive" at their opens then others, and that would be an optimal set-up.
5P your posts do sound sincere.... however, due the numerous posts before from some 'dreamers', I'd have to ask if you may provide any proof that this is working in REAL trading.
I did some limited rough test on the Globex EUR, for the 9am hour when the US trading starts. it shows me no 'directional' bias to me. i.e. (open-close) / (hi-lo) = 0.5, which means it's almost pure random move at the open....
I also tested with HSI data and there was no directional bias either.
Granted that I haven't got around to test the contracts you mentioned.... please give your thoughts.
Don.
I did some limited rough test on the Globex EUR, for the 9am hour when the US trading starts. it shows me no 'directional' bias to me. i.e. (open-close) / (hi-lo) = 0.5, which means it's almost pure random move at the open....
I also tested with HSI data and there was no directional bias either.
Granted that I haven't got around to test the contracts you mentioned.... please give your thoughts.
Don.