Market Code Crack'd?

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Quote from floortradr542:
For those interested, let me put you on the path to discovery. The key is to break down the market into its smallest fractal. Then know which cycles are key in your market's unfolding. When multiples of these cycles point in the same direction, you know which way to go.
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All one needs to know.
 
Good Morning fellow traders, posters and everyone in-between. Thanks for the belly-laugh, Version. Nice way to start the morning.

Yesterday I mentioned trading efficiency. How to best maximize trading prowess and profits. The first step is to define maximum efficiency. And my solution is this: 10 ticks.

Exclusive the to eRussell market, if I am averaging 10 ticks profit for every trade closed, only then will I be trading at peak velocity. 5 trades, 50 ticks. 20 trades, 200 ticks. One cannot ask more of a methodology or the market.

I asked rhetorically is my morning strategy enough. If I am averaging 10 ticks for every trade, it is. Now if I can expand those same parameters to the entire trading day, I will posess the equivalent of the trader's Holy Grail.


Today's trades.

B 687.60 8:21
R 686.90 8:26 -.70

B 683.40 8:35 3.50

Market dropped too fast and decided to exit position at close of 8:35 five minute bar.

28 ticks / 2 trades = 24 Ticks Per Trade (TPT)
 
I am not sure how your system enters or exits the markets. However, I am looking at the market depth charts for ER2 and it looks like if you are going to trade 50 lots at once and use a stop order, you will get about 2 to 3 ticks of slippage each way. Please let me know if I am making an error in my assessment or if you have a different experience.
 

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I'm not at 50 lots-- YET. And I factor in a maximum slippage of 4 ticks. If I can average 10 ticks on 20 lots and a slippage of 4 ticks on 50 to 100 lots, I am still averaging 6 to 7 ticks profit per trade.

That margin makes trading as tight as the unleaded gasoline market. Gasoline profits are virtually guaranteed. Trading profits are not. In which case, I will scale back to trade the maximum lots I can, to earn my 10 ticks average per trade.
 
Quote from NickBarings:

Why not trade the E-mini S&P to minimize slippage ?
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I was going to ask the same. Does this system not work on ES? Nice journal btw.
 
Profitability. The ES does support large volume, but trading it feels like a tug-of-war. I have to fight for every tick earned. This is because many institutions use the ES as a hedge when put on large equity positions.

The ER is dominated by small players who trip over themselves trying to catch the trend. Catch each trend early enough, and they'll trip over themselves to your piggy bank. There are a good four to five 20 to 50 tick moves daily in the ER. What if we could capture them all?

You want a big pond with no sharks. Too many sharks lurking in ES waters.
 
Quote from floortradr542:

Profitability. The ES does support large volume, but trading it feels like a tug-of-war. I have to fight for every tick earned. This is because many institutions use the ES as a hedge when put on large equity positions.

The ER is dominated by small players who trip over themselves trying to catch the trend. Catch each trend early enough, and they'll trip over themselves to your piggy bank. There are a good four to five 20 to 50 tick moves daily in the ER. What if we could capture them all?

You want a big pond with no sharks. Too many sharks lurking in ES waters.
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The ER has twice the $ value per point as the ES and twice the range for the moves, so he has a point here (instead of 2 pts on the ES for $100 bucks, you could get 4 pts on the ER for $400 bucks, all other thnigs being equal).

Of course, you have to know your system inside-and-out, because all of that leverage works both ways:)

Jimmy
 
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