Thanks for this ...
Iâve spent some time looking at some past examples of these sorts of situations in the ES, specifically 9/11 (happened outside RTH) and the âflash crashâ (happened during RTH).
Iâm an automated systematic trader, and always have a working stop exit order in the market if Iâm holding a position. I looked at tick data at the time of these events to see whether or not my stop would have been filled in a reasonable way.
After looking at the data, I came to the conclusion for both these past events that the market had behaved in an orderly enough manner that my working stop order would have been executed at a reasonable price.
In the case of 9/11 for example, even as planes were hitting the towers OUTSIDE OF RTH, until the market lock was in place there was a two-sided market being made in the ES that would have allowed a reasonable exit (if your stop price was within the point before the market locked). In the âflash crashâ too, a working stop order would have got you out more or less where you had expected to exit (as it happens I was not holding a position at the time of the âflash crashâ; and in 2001, I wasn't trading).
So, in the case of:
- a highly liquid instrument (ES certainly fits the bill ⦠I donât know enough about CL to know whether the same arguments apply) and
- at a time when liquidity is there (if a 9/11 type shock had happened in the ES at 20h00 EST instead of around 09h00 EST, the story with stop orders might have been different) and
- having working stop orders in the market before the event occurs (again, joining a rush to exit with everyone else would be different) then ...
⦠IMO the drastic example you have outlined is most likely not a realistic scenario.
). There, the trainer talked to us about the 3% stop-loss and 5% take-profit money management strategy. Also he talked briefly about the 2% (stop-loss) - 6% (TP) "shark" strategy.