Intra day ES statistics

B

bloomberg1

Hello,

If I have a means to which I decide to buy/sell intra day ES that gives me worst case a 55 percent win ratio and at best 70 percent. several years of data, learned that looking at the daily range and this helped me decide on expand/retract the targets and or stops so I do not need 20 years of day per se.

My stop has recently been dynamic, meaning its based on a previous price point formation. The stop outs are at times larger than the targets. I want to find best ratio to place a hard stop. I have measured time in the market for a measure in conjunction with price points and found and know that 15 minutes maybe 20 is the longest I want to hold a position.

Does anyone use only time stop with a catastrophic stop in place in "case" only ? Meaning is time better that actual price given you have a decent win rate coupled with a fairly low draw down in relation to target/profit/

Thanks
 
bloomberg1 said:
Hello,

If I have a means to which I decide to buy/sell intra day ES that gives me worst case a 55 percent win ratio and at best 70 percent. several years of data, learned that looking at the daily range and this helped me decide on expand/retract the targets and or stops so I do not need 20 years of day per se.

My stop has recently been dynamic, meaning its based on a previous price point formation. The stop outs are at times larger than the targets. I want to find best ratio to place a hard stop. I have measured time in the market for a measure in conjunction with price points and found and know that 15 minutes maybe 20 is the longest I want to hold a position.

Does anyone use only time stop with a catastrophic stop in place in "case" only ? Meaning is time better that actual price given you have a decent win rate coupled with a fairly low draw down in relation to target/profit/

Thanks
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%%
Yes bb; in an uptrending bull market. But its more SPY related + sometimes leveraged, but pays a dividend. .........The eXchange by not paying you a dividend, is giving you another hint on holding time
 
You currently use dynamic stops and want to switch to fixed stops or time-based stops.

I’ve done fixed and dynamic, but never time-based.

For me, The stops and targets have largely been dynamic in 2019. IOW the stop size fluctuates from trade to trade, but over 1000s of trades, averages are achieved, and that average has hovered between 10-12 ticks on my time frames.

From trade to trade it does vary. In 2019, some months, I had 6-7 tick stops and 10-11 tick targets. Other months I had 16-18 tick stops and 24-27 tick targets. So at times a series of trades has stops that are larger than the targets in a different series of trades, but I prefer to adapt to range and volatility, and again, I know over many 1000s of trades, averages are achieved.
 
imjohn said:
You currently use dynamic stops and want to switch to fixed stops or time-based stops.

I’ve done fixed and dynamic, but never time-based.

For me, The stops and targets have largely been dynamic in 2019. IOW the stop size fluctuates from trade to trade, but over 1000s of trades, averages are achieved, and that average has hovered between 10-12 ticks on my time frames.

From trade to trade it does vary. In 2019, some months, I had 6-7 tick stops and 10-11 tick targets. Other months I had 16-18 tick stops and 24-27 tick targets. So at times a series of trades has stops that are larger than the targets in a different series of trades, but I prefer to adapt to range and volatility, and again, I know over many 1000s of trades, averages are achieved.
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Here's a couple examples that might make my previous post more clear,

This past month, ES had quite a few tight RTH range days, so my AVERAGE stop for this series of trades was tight (6 ticks). But trade to trade, it's fluctuated and I even had one that was 20+ ticks.

S.png


Contrast to September/early October (last time ES had expanded range and high volatility), I was using the same dynamic entry/exit framework as I've been using all year and now, but with a lot of large signal bars, my average stop got up to 24 ticks that month. My stops then were larger than my targets now, but conditions have also changed quite a bit from then to now.


S 2.png


I guess the point I'm trying to express is, for me, it's no big deal if the stops at some periods are larger than the targets in other periods. I expect the fluctuations and I know in the long run, averages will be achieved using the "dynamic" method. If doing it this way, just have to make sure margin is set to handle the larger stops when they come around.
 
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