Intra day ES statistics

[MarkBrown]

Here's a couple examples that might make my previous post more clear,

keep werkin at it son... got to get those numbers way up.

 

[bloomberg1]

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.

View attachment 215871

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.


View attachment 215870

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.

excellent thanks. so you dont use a "bar" low high for a stop but rather a"measured" approach, which is what I want to achieve...

 

[SunTrader]

No

Can you elaborate thanks

If you are using data higher than tick, to generate stats, such as one hour or fahgetaboutit daily your software is making assumptions about where fills are being made. Don't trust it for second.

 

[imjohn]

excellent thanks. so you dont use a "bar" low high for a stop but rather a"measured" approach, which is what I want to achieve...

For my ES trades, my stop is set a tick beyond the signal bar. But the size of the signal bar fluctuates trade to trade (and grows larger in more volatile conditions), hence the fluctuating stop size.

 

[bloomberg1]

no more granular

 

[bloomberg1]

For my ES trades, my stop is set a tick beyond the signal bar. But the size of the signal bar fluctuates trade to trade (and grows larger in more volatile conditions), hence the fluctuating stop size.

stops at times larger than target?

 

[schizo]

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

Time stops are the absolute worst. It's better to place your stops above or below the price inflection points.

 

[imjohn]

stops at times larger than target?

Not in the same period, but, per example I showed with the screenshots - September average stops (24 ticks) were larger than December average targets (14 ticks). But in same period, my avg targets are always bigger than avg stops.

 

[imjohn]

keep werkin at it son... got to get those numbers way up.

Happy with the numbers, just got to get contracts up.

 

[bloomberg1]

Not in the same period, but, per example I showed with the screenshots - September average stops (24 ticks) were larger than December average targets (14 ticks). But in same period, my avg targets are always bigger than avg stops.

do you consider average draw downs in any calculations?