scalping the e-mini

[nkhoi]

Quote from MacroEvent:

... Have you ever been in a hotcomm room where the trader ACTUALLY puts up his trade platform DOM for all to see {P&L included} --- that seals the deal as "put up or shut up" trading education for the newer trader.
...

yes, Carlsen scalp with his Ninja DOM in h/c.

 

[nkhoi]

Quote from easyrider:

I have hesitated posting this as I know whats going to happen but what the hell. Jack Hershey has stated for a long time now thats YM leads ES. You might do a search and research the claim to find out for yourself if there is anything to it, or you can dismiss it as poppycock as Im sure most will. No skin off my a$$ either way.

I was in a guru room he trade ES and made calls with uncanny target and reversal point but the weird thing was he watched DJ cash to figure where ES should do, he said something like DJX is at such and such, ES need to move another 5p... or DJX is high enough? ES should turn, etc...this guy has been operated his room since 92.

 

[PitchBlack]

Quote from sunmoon:

quote from blueberrycake (on another, but related thread "ES Scalping, is it worth?":

Think about it this way, it's extremely rare to buy the bid/sell the ask in ES without the price ticking through to the next level.

Hence in order to hit your target of .25, the price actually needs to move .5 in your direction. But to get stopped out at .75, the price only needs to tick down by .5.

So if are long, and the price moves up by .5 you make .25, but if it moves down by .5 (the exact same amount), you lose .75 or three times as much. In this setup you have to be right 75% of the time to break even before commissions.
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I have been backtesting a scalping system over all the ES historical data possible (7+ years+), and my annual return is well over 70% with max 15% drawdown.

Now, my only concern is the fill price. I base my entries and exits on closing 1 min prices. So if my data shows 1000.75 as the close price of minute 10:46, that's the price my simulated entry goes in. In other words, I don't take into account slippage, or anything that blueberrycake refers to in the quote above.

How realistic is slippage? Since my entry isn't based on trend-following indicators, shouldn't have a 50/50 (or even better than 50/50, since i'm going opposite to trend) chance of either upticking or downticking? In other words, if I don't get filled in at 1000.75, shouldn't there be a 50/50 chance of either 1000.50 or 1100.00? Any help would be appreciated, thanks in advance.

ALWAYS take 0.25 points slippage at entry and 0.25 points slippage at exit.
In real live your system will lose money with a certainty of over 90%. If you make only 70% on intraday scalping the profit per trade is almost nihil, even without slippage. With 2 trades per day you make about 500 trades a year, or a profit of 0.14% on the capital invested per trade. The real slippage will be a multiple of your profit.

Backtesting often gives very good returns that in real live never are achieved. Especially if you start already without a realistic fill of the order. Small errors in calculating can have severe consequences, especially if you are calculating with nano returns.

I made a simulation in the sheet i added. I took a margin between 500 and 2000$ per mini; your 70% return, and 500 trades per year. I calcultaed your profit with 0.25 and with 0.5 points slippage. You can change all the data to make additional simulations. But what i see is horrible. I hope for you that i made a mistake in my calculations.

 

[sunmoon]

spike500 [and others]

please explain WHY slippage must be accounted for, the actual reasoning behind it. Shouldn't it be a 50/50 chance of going either way?

Thanks in advance.

 

[coolweb]

Quote from sunmoon:

spike500 [and others]

please explain WHY slippage must be accounted for, the actual reasoning behind it. Shouldn't it be a 50/50 chance of going either way?

Thanks in advance.

You have to pay the spread when entering(1 tick)
And exiting (1 tick)

Usually you can not enter at the close price easily unless its going to backfire.


So right there you pay 2 ticks just to play the game, don't forget about commissions.,

 

[sunmoon]

5345 trades over 7+ years, which comes out to approx 780 trades/year

 

[sunmoon]

Quote from coolweb:

You have to pay the spread when entering(1 tick)
And exiting (1 tick)

Usually you can not enter at the close price easily unless its going to backfire.


So right there you pay 2 ticks just to play the game, don't forget about commissions.,

What do you mean "unless its going to backfire"? Keep in my mind my system is NOT trendfollowing.

Also, commission is already accounted for in my returns.

Thanks in advance.

 

[MacroEvent]

Quote from nkhoi:

I was in a guru room he trade ES and made calls with uncanny target and reversal point but the weird thing was he watched DJ cash to figure where ES should do, he said something like DJX is at such and such, ES need to move another 5p... or DJX is high enough? ES should turn, etc...this guy has been operated his room since 92.

good to hear!!! yes this is true what he is saying and watching the Dow cash is important if you are doing scalps in the way i think he is doing them {and you can watch the TICKI and TICK for this also --- pick up on momentum pulses that the ES has not yet reacted to.} --- thanks for the info nkhoi!

 

[PitchBlack]

Quote from coolweb:

You have to pay the spread when entering(1 tick)
And exiting (1 tick)

Usually you can not enter at the close price easily unless its going to backfire.


So right there you pay 2 ticks just to play the game, don't forget about commissions.,

Coolweb is right. You MUST take 2 ticks slippage in account, otherwise you will fool yourself.

My estimation is that in reality you will lose about 18000 $ a year per contract with this system. So even if you get lucky and the spread is only half what i think he will be you will still lose between 8000 and 10000$ a year per contract.

 

[realtor]

Quote from mtzianos:
1/ his martingale scale-in method, which creates assymetric risk/reward (i.e. one can get hit with a very big loss once in a while)
2/ he was receiving fills in TM's simulator, which may be very hard to reproduce in real life. In scalping ES, getting filled is the hardest part for me

He trades real money now and he is doing extremely well.