Futures market opening bracket trades

Jimmy - The only time I leave a small percentage of the position able to catch extension beyond the normal bracket boundaries is news releases. There are several key news releases that I will trade, and my set-up is somewhat different for news release bracket trades like the 08:30 est from this morning.

The ES news release bracket trade from this morning was very good with that big sell off reaction and the ZB trade was solid also -- there was some additional profits on these trades because of the small percentage of contracts that did not have covers just prior to the news being released.

I use the flatten button to cover these "loose" positions as I watch the price action on the DOM. I have zero hesitation on these positions, if price is not continuing to blast away from my entry then I flatten on any sign of retrace - I am just trying to catch that initial "reactive" move.

Today for the ES I flattened my running positions about 5 points from the entry price, because there was a slight hesitation prior to the additional final sell off reaction. I am not trying to catch the whole news release movement at all, just that first strong reaction if any.

I have tried to design and build "mechanical" trading systems that help me rid all aspects of greed and discretion while in trades - most of my trades are fully mechanical so there is minimal avenues for greed to enter.
 
Today was a little chop before the goals were met - ES had 1.2% for the day and my EC trade did 1.1%. Both trades had some positions grabbed from the short accounts, and then the long accounts made the goal as price reversed to the upside.


Back to the backtesting of the ZB system.
 
Excellent posts, 5Pillars.

You've pretty much got it wrapped-up tight with very good control of your mind, tight implementation of your method and producing results which consistently make money, without the emotional wear-and-tear normally associated with trading.

Hmm, thanks for your posts, I see what we get out of the exchange, but what do you get out of it?

Or is this a give-back?

If so, that's pretty rare.

Best Regards,

Jimmy
 
Yes you could say there is a "give-back" quotient involved with my thread. The important part of this thread for me was to expand ideas, and also to see if anyone else was doing something similar to this for possible collaboration efforts.

Two or three minds together expanding the envelope of a concept are always better than one. :)
 
hi 5 pillars - a couple of comments

1. you keep stating 1% a day returns - since you are saying your max target is 7 ticks on ES, my best guess is that you are using $2,000 margin on ES and calculating 1% as $20 net profit a day, or 1.5 ticks net...? 1.5 ticks might be credible, but 1% a day isn't, just a suggestion, you may want to look at measuring and stating your returns on a risk-adjusted basis, i.e. read up on Sharpe ratio etc., this way your % returns will be a bit different but more credible and perhaps still impressive nevertheless.

2. i find it difficult to see how one can have an edge with scaling in and scaling out over a 7 tick stretch in ES, no matter how sophisticated your scaling algorithm is, a 7 tick target stretch seems very "short".

perhaps a significant part of your edge is what you call rebalancing when the market chops around... - i find it hard to see as well because the only way to make anything in a tight choppy range is market making on a large scale, i.e. not stopping out in one of your accounts, a stop @ market is a 0.5 ticks give-up of your edge, with your 7 tick max target, that's a pretty big handicap to be chopping around with.

i must be misunderstanding something about your strategy - i don't mean to sound too critical - i see you are doing good and hard work, and i appreciate that - you wanted some feedback.. i am providing it to you (perhaps it a somewhat critical form) because i have done work on this and i am interested in your thoughts.

all the best.
 
Fader


I am a simple thinking person so when I say 1% that is 1% of what my trading account balance is for the day that I make the trade. If my account is at $50,000.00 then i need to make $500 per trade after commissions - so I have to make sure my entry/exit order stack is set properly with contract sizing and ratio to achieve this.

The "scaling in and out" part of the trade as you call it, is not exactly that way and is a very minor part of the trade system - but there are mechanical changes within the trade determined by the movement of price in chop periods (which are usually very short time periods prior to price moving outside the bracketed area). Mainly when price is chopping between the bracketed area final covers, there needs to be proper contract ratios on either side for when price does make a move out of the bracketed box - this is an on going mechanical function of the trade until the trade is completed.

The money in this trade is primarily made when price eventually moves out one side of the bracketed box - the chop area between is not a significant function of the system.

The KEY aspect to the success of this method is the constant mechanical ratio adjustments as needed dictated by current price movement. The trade is mechanically ALWAYS ready for price to do the opposite of what it is currently doing.

Thanks for the feedback and exchange of ideas - I appreciate that!
 
Today took a while but the EC had some long account positions stopped out and the short account made the hit for a 1.3% trade.

My ES trade had price bounce back and forth a few times prior to the long account which had the final bracketed area bust for a 1.1% profit. I initially had two small separate stop outs with this trade from the long and then short account, and this was prior to the final long account profit and trade completion. Today there was a little bit of initial market open chop, but then a final upward price movement to make the trade successful.
 
5pillars
Haven't heard from you in a while. Hope you continue with this thread. I was curious if your stop limit orders get excecuted on fed day of if they jump them.
 
I have a way to get them filled - just like today. :)

News trades are handled a bit different than market opening trades - you get more horsepower per contract with a news based trade so the entries and exits are configured differently .
 
You go boy.

I've been doing a lot of work on range based studies, in part based on what I've read here in your thread ... very interesting stuff:) .

Later,

JJ
 
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