Liquidity outside of regular hours for ES

[turingTrading]

just curious since you use machine learning. I also used machine learning to trade

How did that work out for you ?

 

[trend2009]

How did that work out for you ?

in my previous posts, i mentioned how i found my strategy with machine learning and its performance. what is your general strategy without revealing your secret?

 

[Overnight]

How does someone get so mad over a forum post. Imagine a real life upset, lad would go mad ...

It isn't just this forum. It will happen on any online forum or form of communication online. BBS are just a natural magnet for them, because posts persist.

It even happens on IRC.

 

[comagnum]

With back testing the ES add in 1 tick in & 1 tick out plus commissions & exchange fees. This still does not take into account your effect on the market.

Limit orders that get filled right away indicate the market is weak, likely rolling over.
Limit orders not getting filled indicates the market is strong, likely to break-out.

This interview sheds some light on live trading from back tested strategies. This man has decades of experience with deep pockets & a team of quants .

 

[HobbyTrading]

Definitely not aiming for 50 ticks, it's a machine learning strategy that predicts if price on average in the next 15 mins is higher/lower than last excecuted price.
Accuracy on unseen data is ~72%, but it doesn't determine the magnitude of the price change, it can be 1 tick, it can be 50(unlikely) but you get the gist.

If this is your strategy then why do you need to run it on such a large position size that you worry about the market's liquidity? You could run it with a small position size during illiquid hours, and use a larger position size during the liquid trading hours.

 

[trustedsource]

Why so aggressive ? The longest hold times are around 8mins most trades are 3mins and under.
20 cars overnight ? I said it was 10, the order to flip from long to short or vice versa would be for 20 to cover the initial 10 contracts held.

In simulation it makes 150 trades a day on average with position size 10 like I said. If i were to assume every single trade would have a slippage of 2 ticks, that would be an instant hit of -150 * 10 * 2 * 12.5 = -37500$ just because of slippage each day. Assuming execution at last executed price, the winrate is around 80% but as you would assume a lot of the simulated trades are for 1-3 ticks.
Anyways, thanks for your input but please try to be less aggressive. It was unwarranted.

look u obviously have zero experience