Inventory Grab Alert 4/30/09!
- Thread starter AMT4SWA
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Quote from nirav34:
Can we get back to the topic please? Let's all take a shot. She can hook it up.
http://www.ianchadwick.com/forum/uploads/1113364196/gallery_323_12_32590.jpg
Being on vacation at Cabo San Lucas this week (a needed break from intense ATS development), I will be looking for that one!
btw depending on the scale-out extent, it's fairly easy to demonstrate that a delta-based scalping system can work with a minimal account size (read: 2-4 contracts).
Yup...since the SPY is 99.95% correlated and arbed to stay in line with the ES contract... that is a perfect way to start small and grow a strategy... and have confidence in it..
good point...
Absolutely... fer sure...
but going small in the beginning would be wise for traders who were testing the strategy... early on...
Let's do some basic math:
AMT4SWA is doing a minimum of 100 lots maximum size. (Probably more since he also trades DAX, etc, with a similar approach).
If you do SPY, and want to emulate his strategy (assuming you got it down pat and the executions in SPY are as good as the ES...which they are not...but I digress), then you have to do about 5,000 SPY maximum position.
With the SPY at about 93, your cash position is US$465,000
Let's say that you leverage 50%, you need US$233,000 in your account.
If you, not only manage to copy his strategy exactly, but reduce it in maximum size to 50%, then you still need US$115,000 in your account at the maximum normal broker leverage if you want to do SPY.
You will also be paying commisions and costs about 100% higher than with a futures account.
Maybe there is a way to emulate it with options too.
mmmmm
JW
p.s.: made a basic math mistake. Multiply all numbers above by 10
Your extrapolating to far with the inital use of SPY...
Your testing the idea... Your not sure...you are being careful...since you haven't done this like AMT has for 5 years...
You go 100 spy... it works... then 200 spy... it works... then 300 spy... it works... then 400 spy it works... then
500 spy... (which equals one contract in the ES...)... it works (as in the strategy works for you.. )...
then the next trade which would be 1000 spy (equals two ES contracts).. instead of that... you do TWO ES contracts... then 4 ES then 8 ES... then 12 ES... then 20 ES... then 30 ES... and so forth...up to whatever your max load is... just like you test a business strategy in the real world... you test a trading strategy..
so in 4 to 6 weeks you learn and test the strategy with a rising max load... going from 100 spy up to 20 or more ES contracts...
you don't do a triple half back flip with forward rotation pike position off the high dive your first few weeks of diving just because Greg Louganis does...
why try to emulate the size of a trader who has been doing this strategy for over 60 months... day in and day out...
My point is that, if you really want to test the strategy as described by AMT using SPY, you need a lot of cash.
If you can only do 100 SPY, then you will be testing SOMETHING ELSE.
JW
p.s.: You can also use a simulator to "test". But unless you code a machine to trade it for you with real cash, I can almost guarantee that your results will be different.
You may need a lot of cash down the road but not in the beginning...
its an excellant way to test ANY ES strategy...
Yup
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