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NQ futures day trading systems
- Thread starter DT-waw
- Start date
rcreal,
You are on the right path with the use of price patterns. These afford the opportunity of catching reversal points as well as continuations.
I would continue by adding additional patterns to your system and at least a maximum stop loss. You can try a profit stop also, but I have found my systems work better without the profit stop provided you have enough patterns to get you reversed.
Continued success!
You are on the right path with the use of price patterns. These afford the opportunity of catching reversal points as well as continuations.
I would continue by adding additional patterns to your system and at least a maximum stop loss. You can try a profit stop also, but I have found my systems work better without the profit stop provided you have enough patterns to get you reversed.
Continued success!
The amount of slippage you will get trading the nq all depends on the time frame you are trading in. When I was increasing my contracts, I looked at the average volume per bar of the timeframe I was trading in. I then divided this into 10.
Then I came up with a max contracts per trade in that specific time frame.
My reasoning behind this was that if i wanted to buy or sell, someone else would have to take the other side ofhe market. And there would be lots of other people like me, so there is no way I could account for too much of the volume in any one bar, so I picked 10, a good round number. And it worked.
Let me clarify what I mean by slippage... My slippage is pretty much a fixed percentage of my profit or loss ratio.
Don't expect to enter on the 60 minute chart and buy 3,000 ontracts without either a: working the order, or b: getting a few points slippage... but the only reason for trading in the 60 minute time frame, imo, is because the timeframe can accomodate that number of contracts while at the same time maintaining the reward ratio i'm looking for...
My point is that slippage isn't a mere matter of how many points, its a matter of percent of total return. Of course, i've never had to trade the 60 min chart because I didn't have 3000 contracts to trade.
However, I have successfully traded 500 contracts on the 30 min chart, and i've done a few trades on the 15 minute chart during peak hours... The slippage was the same as trading 100 contracts on the 5 minute chart, or 10 on the 1 minute chart... it was all the same because i traded in the right time frame.
Just don't try to trade 50 contracts on the 1 minute chart... I've tried it and got smoked. Slippage was high compared to return.
hope that helps....
ps. i don't trade that kind of volume on NQ anymore, after I saw that spike a few months back, the one that went 50 points in 3 seconds and back down again, i decided to diversify more.
It's also possible to get to big for a specific market... if so u can always try currencies. I'm testing my systems on the currency market via oanda.com
Then I came up with a max contracts per trade in that specific time frame.
My reasoning behind this was that if i wanted to buy or sell, someone else would have to take the other side ofhe market. And there would be lots of other people like me, so there is no way I could account for too much of the volume in any one bar, so I picked 10, a good round number. And it worked.
Let me clarify what I mean by slippage... My slippage is pretty much a fixed percentage of my profit or loss ratio.
Don't expect to enter on the 60 minute chart and buy 3,000 ontracts without either a: working the order, or b: getting a few points slippage... but the only reason for trading in the 60 minute time frame, imo, is because the timeframe can accomodate that number of contracts while at the same time maintaining the reward ratio i'm looking for...
My point is that slippage isn't a mere matter of how many points, its a matter of percent of total return. Of course, i've never had to trade the 60 min chart because I didn't have 3000 contracts to trade.
However, I have successfully traded 500 contracts on the 30 min chart, and i've done a few trades on the 15 minute chart during peak hours... The slippage was the same as trading 100 contracts on the 5 minute chart, or 10 on the 1 minute chart... it was all the same because i traded in the right time frame.
Just don't try to trade 50 contracts on the 1 minute chart... I've tried it and got smoked. Slippage was high compared to return.
hope that helps....
ps. i don't trade that kind of volume on NQ anymore, after I saw that spike a few months back, the one that went 50 points in 3 seconds and back down again, i decided to diversify more.
It's also possible to get to big for a specific market... if so u can always try currencies. I'm testing my systems on the currency market via oanda.com
This a futures scalping system developed over 24 monthly periods on in sample and tested on out of sample data for NQ and ES.
this report is one average month and arbitrarily limits open contracts to a maximum of 40 contracts per position. The Goal is to have it trade a max of 1,000 mini contracts per position on a intraday basis.
Any feedback is appreciated.
this report is one average month and arbitrarily limits open contracts to a maximum of 40 contracts per position. The Goal is to have it trade a max of 1,000 mini contracts per position on a intraday basis.
Any feedback is appreciated.
Attachments
NetProfit,
It would be alot clearer if you post the results for the single contract version of your system. The summary shows a max of 38 contracts, but does that mean it trades 38 on each trade? Or did it start with 1 and compound its way up to 38? The unknown number of contracts makes it impossible to evaluate.
Is there any slippage/commish included in the test? Even at IB, commish on a 40 contract trade is $200; half of the avg trade shown in the summary.
You call the system a scalp system...but you can only really scalp with a position size that is very small compared to the liquidity of the market you are trading. Remember that crazy 60 second, 60 point spike up the NQ had a few months back. Remember the cause of that spike? Some Cargill trader accidentally hit "Buy 2000" instead of "Buy 200". Cargill lost 7 figures on the deal. What is going to happen to you when you need to exit the 1000 contracts you mentioned?
I would carefully examine the single contract performance of your system. *If* you are happy with that, then you can use a money management method of some kind to increase your size. But dont start out with big size in your testing. That will only serve to dazzle you with big profits which are illusory.
-Jeff
It would be alot clearer if you post the results for the single contract version of your system. The summary shows a max of 38 contracts, but does that mean it trades 38 on each trade? Or did it start with 1 and compound its way up to 38? The unknown number of contracts makes it impossible to evaluate.
Is there any slippage/commish included in the test? Even at IB, commish on a 40 contract trade is $200; half of the avg trade shown in the summary.
You call the system a scalp system...but you can only really scalp with a position size that is very small compared to the liquidity of the market you are trading. Remember that crazy 60 second, 60 point spike up the NQ had a few months back. Remember the cause of that spike? Some Cargill trader accidentally hit "Buy 2000" instead of "Buy 200". Cargill lost 7 figures on the deal. What is going to happen to you when you need to exit the 1000 contracts you mentioned?
I would carefully examine the single contract performance of your system. *If* you are happy with that, then you can use a money management method of some kind to increase your size. But dont start out with big size in your testing. That will only serve to dazzle you with big profits which are illusory.
-Jeff
Starts out with one contract and builds a intraday position controlled by trading logic.
testing parameters:
slippage on ES $25.00 in and $25.00 out, so $50.00 subtracted from each contract profit
commish of $5.00 a RT
On a 1 contract basis as shown
Good point about risk of 3 sigma event.
May have to consider purchase of deep OTM calls or puts in big SNP?
testing parameters:
slippage on ES $25.00 in and $25.00 out, so $50.00 subtracted from each contract profit
commish of $5.00 a RT
On a 1 contract basis as shown
Good point about risk of 3 sigma event.
May have to consider purchase of deep OTM calls or puts in big SNP?
Attachments
NetProfit,
You are perhaps mixing some terms which is making it hard to understand what you are doing.
You said the system is intraday, which implies that it is flat at the end of each trading session. Yet as 3dog points out, the system averages 2700 bars in the winning trades. Assuming a 40,000 tick day on the ES, that means you are trading on something like a 12 tick chart? Or does your system in fact hold overnight? Nothing wrong with overnight trades of course, but that is part of the confusion.
The average trade is also 10 points on ES. That's a great number, but again its hard to believe 10 points is coming from an intraday, flat overnight system.
Also, your 1 contract results were posted at 10:50pm, yet it shows an open trade of $395.
Now, having said all of that, the results do look very encouraging. I would next go back and test a larger data sample. If you truly intend to put your own money behind this system, you need to have alot of confidence in the testing. 23 trades is not enough to develop that confidence. Nor does that test period encompass enough market conditions to help you understand how your system is likely to perform going forward.
If it would help, I have a 1 minute, continuous ES contract going back to the start of ES trading (summer 98). Email me and I can send you a copy. Its xpo format, so you wont have to monkey with ascii data, which is a pain in the ass imho.
-Jeff
jeff@vptnet.com
You are perhaps mixing some terms which is making it hard to understand what you are doing.
You said the system is intraday, which implies that it is flat at the end of each trading session. Yet as 3dog points out, the system averages 2700 bars in the winning trades. Assuming a 40,000 tick day on the ES, that means you are trading on something like a 12 tick chart? Or does your system in fact hold overnight? Nothing wrong with overnight trades of course, but that is part of the confusion.
The average trade is also 10 points on ES. That's a great number, but again its hard to believe 10 points is coming from an intraday, flat overnight system.
Also, your 1 contract results were posted at 10:50pm, yet it shows an open trade of $395.
Now, having said all of that, the results do look very encouraging. I would next go back and test a larger data sample. If you truly intend to put your own money behind this system, you need to have alot of confidence in the testing. 23 trades is not enough to develop that confidence. Nor does that test period encompass enough market conditions to help you understand how your system is likely to perform going forward.
If it would help, I have a 1 minute, continuous ES contract going back to the start of ES trading (summer 98). Email me and I can send you a copy. Its xpo format, so you wont have to monkey with ascii data, which is a pain in the ass imho.
-Jeff
jeff@vptnet.com