Index futures scalping

[farmerjohn1324]

you will blow up re-think ok. you can not have a plan based on hope.

Thanks for posing a problem without a solution. And with a SL, there is a set risk. What's your credentials?

 

[farmerjohn1324]

you will blow up re-think ok. you can not have a plan based on hope.

Hope? Everything I'm saying is based on probability and math. Did you even read it?

 

[farmerjohn1324]

I admit to everyone that scalping is boring. I entered long 5 contracts a while ago at 3849.75. instead of doing my scalping strategy, I put TP at 3860 and won for profit of $2562.50. It must have just barely hit it because it doesn't even show 3860 on the 5-minute chart before plummeting to 3828, then back up to now above 3860 again since I started writing this.

 

[SunTrader]

Hope? Everything I'm saying is based on probability and math. Did you even read it?

The winning part is. Not the losing part. That part is nowhere to be found here.

"Take care of your losers, the winners will take care of themselves".

 

[hilmy83]

This is the reason I'm searching for a backtesting program as mentioned in https://www.elitetrader.com/et/threads/index-futures-back-testing.370606/

(Mods, feel free to combine these 2 posts if you want)

Here's my story trading S&P500 Futures since the end of August. I was doing really well, usually holding 2 contracts at a time, but sometimes 3. I would make trades just based on the overall market sentiment (always bear during this time), but not hold anything in advance of major news releases, although I would try to "ride the wave" in the immediate aftermath of a major release (CPI, NFP, etc.). There were some losses, and some times when it would go the opposite way for a few days before turning positive.

Overall, I profited about $29,000 in that time. Until...

This recent "bear market rally" (or so I thought at the time), but then I realized that market sentiment had changed. Now I think we're in a bull market. All the negative things forecasted for the future have been priced in. So I lost -$31,000, wiping out all my gains and then some. I've since made back $5,000 doing short-term trades.

I have come up with a new strategy that I think could fit my situation. I'm going to enter trades based on market sentiment direction, and then place a limit that is just 1 point above/below where I enter. This will profit me $50/contract.

At this point, I'm willing to buy 5 contracts at a time (initial margin = $71500, maintenance = $65000). This gets me $250 profit each time I win. So far I have a 100% success rate, and the worst performance took 12 hours to close for a win.

This may seem like I'm just earning pennies, but the reason it can work for me is that if I can iron out the flaws in the plan, I would be willing to invest more. It is not unreasonable that I could put $500,500 in my account, which would allow me to enter into 35 contracts per trade, which would be $1750 profit per successful trade. With 252 trading days per year, that's $441,000 profit per year.

The obvious flaw is that I have nothing in my strategy to tell me when to sell for a loss. Obviously I will lose eventually. But if I place my stop-loss too close, that will eliminate some trades that otherwise would have been wins if I were willing to hold onto them longer. This is what I planned to use the backtester for.

Thoughts?

I think it's all about "stop and reverse" to manage risk. I stopped using hard stops for a while cause I like to trade around bull/bear condition rather than worrying about how accurate i need to make my entries.

With stop and reverse, you just need to figure out what's your max cycle that will still give you +ev. You can determine that based on your individual entry %

 

[farmerjohn1324]

I think it's all about "stop and reverse" to manage risk. I stopped using hard stops for a while cause I like to trade around bull/bear condition rather than worrying about how accurate i need to make my entries.

With stop and reverse, you just need to figure out what's your max cycle that will still give you +ev. You can determine that based on your individual entry accuracy.

You mean in the 1% of times that my SL is hit, rather than just close for a huge loss, I should close and then immediately enter the opposite trade?

 

[farmerjohn1324]

The winning part is. Not the losing part. That part is nowhere to be found here.

"Take care of your losers, the winners will take care of themselves".

The purpose of the post and all the backtesting, etc. is to find how to lose in the most mathematically/statistically correct way possible.

 

[hilmy83]

You mean in the 1% of times that my SL is hit, rather than just close for a huge loss, I should close and then immediately enter the opposite trade?

oh yea, forgot to mention. my rr for all trades is 1:1. Your reverse rr wouldnn't work in this case.

 

[MarkBrown]

if you scalp trade you should not have a stop loss - you should have a death stop, in case you die.

few will understand

 

[hilmy83]

I think it's all about "stop and reverse" to manage risk. I stopped using hard stops for a while cause I like to trade around bull/bear condition rather than worrying about how accurate i need to make my entries.

With stop and reverse, you just need to figure out what's your max cycle that will still give you +ev. You can determine that based on your individual entry %

basically my strategy revolves around what's the max expected losses in a row for given % entry accuracy. You stop n reverse cycle will be based on this. Then again, your r:r is so skewed i don't think this will work if you reverse it. But at least something to think about lol
https://math.stackexchange.com/ques...ve-failures-over-n-period-given-p-success-rat