Something very simplistic

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Originally posted by zorak
Very interesting thread. I know nothing about futures, NQ, ES, and it all looks like greek to me, so I was wondering if someone might take pity and answer a few questions that I'm sure are insultingly basic. I've searched in all the places I can think of, but my experience is that the hardest questions to find answers for on the web are the most basic beginner ones.

1. I've signed up to get the futures quotes on IB. Should I be looking at NQ -> Future -> Sep(USD) -> 2002(USD)? The Description on this is listed as "SEP02 Futures NQU2". If this isn't correct, could you list exactly how I get the correct quote?

2. Currently the bid on this is 885.5...I assume then that I need $885.50 to purchase one contract? If this is true...are there weird margin requirements that I don't understand, or can I really start using this system by putting $2000 into my account?

3. Are futures subject to the same daytrading rules as stocks? That is, with an account balance of under $25k, am I limited to 3 daytrades?

I'm not looking for a complete explanation of how futures work...just enough to get started following this idea.

Thanks!
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I assume you've checked out the Chicago Mercantile Exchange site (cme.com). They have a wealth of information for beginners. Just click "Getting Started" in the Toolbar on the homepage.

--Db
 
Originally posted by zorak
Very interesting thread. I know nothing about futures, NQ, ES, and it all looks like greek to me, so I was wondering if someone might take pity and answer a few questions that I'm sure are insultingly basic. I've searched in all the places I can think of, but my experience is that the hardest questions to find answers for on the web are the most basic beginner ones.

1. I've signed up to get the futures quotes on IB. Should I be looking at NQ -> Future -> Sep(USD) -> 2002(USD)? The Description on this is listed as "SEP02 Futures NQU2". If this isn't correct, could you list exactly how I get the correct quote?

2. Currently the bid on this is 885.5...I assume then that I need $885.50 to purchase one contract? If this is true...are there weird margin requirements that I don't understand, or can I really start using this system by putting $2000 into my account?

3. Are futures subject to the same daytrading rules as stocks? That is, with an account balance of under $25k, am I limited to 3 daytrades?

I'm not looking for a complete explanation of how futures work...just enough to get started following this idea.

Thanks!
More...

The "front month" for futures is now December, september's contract expires tomorrow, so the volume there is light compared to december.

No to the daytrading rules... thats a stock thing, not a futures thing.

Yes to the $2K minimum acct balance, although I don't think you want to do that. $2K will get your account open and allow you to trade an NQ contract intra day.

The problem with only $2K in your account is that murphy's law dictates that the first day you start trading, will be the day that the Quah strategy hits 16 losses in a row. Hell even if your first trade is a double whammy it would be bad... -7.00 points is a $140 loss (each point is worth $20). Thats over 5% of your account value lost on the first trade! 8 double whammy's would give you a $1000 loss = 50% of your account the first day.

Better would be to start with $10K. That would get your exposure to a double whammy to around 1% of your account value.
 
Quah,

impressive results - impressive style!

just a few questions:

your system works very well so far - so why not making more trades? say - if you prefer the am - why not making 10 or 15 trades between 0930 and 1130?

what are those fibonacci numbers all about? why do they have any meaning in trading?

good trading!
 
Originally posted by gerry875
Quah,

impressive results - impressive style!

just a few questions:

your system works very well so far - so why not making more trades? say - if you prefer the am - why not making 10 or 15 trades between 0930 and 1130?

what are those fibonacci numbers all about? why do they have any meaning in trading?

good trading!
More...

I'm not making 10 or 15 trades between 0930 and 1130 because that isn't the plan. Not trying to be a smart ass, but since this plan seems to work so far, I don't see any need to change it by adding more trades and thus more risk. One of the things I want to do is be out of the market as much as possible. The other thing is I don't want to be greedy. In my past experience, adjusting something to get more always results in less.
 
Originally posted by moonwalker
interesting system - i have don a little bit backtesting. I have used exact the time you give us in your 1st post.

I've played around a while with stochastic mcd rsi the best I can get is this one over 300 days.

WITHOUT SLIPPAGE AND COMISSION!!!!

Corse there are times when the system workes but more often ........

TAKE CARE !!!!

MW
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Would you or anyone else who have been trying to backtest this is tradestation be willing to share their code with us?
 
Originally posted by jboydston



Would you or anyone else who have been trying to backtest this is tradestation be willing to share their code with us?
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If you really want it ...I will see if I can write it up tonight and post it here...

nitro
 
The strategy - use a 1 minute bar - I wrote this in TS6 - I have no idea if it works on earlier versions.
Note - I implemented a really simple get in strategy. This should be enough to get you guys going... The best symbols to use it on is @es.d nitro
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Inputs: MM(1), SL(1.25), PT(1), BE(1);
Vars: i(0);
Array: FibTimes[11](0);

FibTimes[0] = 833; {3}
FibTimes[1] = 835; {5}
FibTimes[2] = 838; {8}
FibTimes[3] = 843; {13}
FibTimes[4] = 851; {21}
FibTimes[5] = 904; {34}
FibTimes[6] = 925; {55}
FibTimes[7] = 959; {89}
FibTimes[8] = 1054; {144}
FibTimes[9] = 1223; {233}
FibTimes[10] = 1447;{377}

i = 0;
Condition1 = FALSE;

If BarType = 1 Then Begin
While i < 11 And Condition1 = FALSE Begin
If Time = FibTimes - 1 Then
Condition1 = TRUE
Else
Condition1 = FALSE;

i = i + 1;
End;

If Condition1 = True Then Begin
If Close[1] - Close[2] > 0 Then Buy Next Bar At Market
Else Sell Short Next Bar At Market;
End;

If {BarsSinceEntry >= 1 And} MM = 1 Then Begin
SetStopPosition;
SetStopLoss(SL);
SetProfitTarget(PT);
{ SetBreakEven(BE);}
End;
End;
 
use on a 1 minute bar. This will tell you a bar ahead of time when the next Fib Time is coming - it is a Show Me.

-----
Vars: i(0), debug(0);
Array: FibTimes[11](0);

FibTimes[0] = 833; {3}
FibTimes[1] = 835; {5}
FibTimes[2] = 838; {8}
FibTimes[3] = 843; {13}
FibTimes[4] = 851; {21}
FibTimes[5] = 904; {34}
FibTimes[6] = 925; {55}
FibTimes[7] = 959; {89}
FibTimes[8] = 1054; {144}
FibTimes[9] = 1223; {233}
FibTimes[10] = 1447;{377}

i = 0;
Condition1 = FALSE;

{If BarType = 1 Then Begin}
While i < 11 And Condition1 = FALSE Begin
If Time = FibTimes - 1 Then
Condition1 = TRUE
Else
Condition1 = FALSE;

i = i + 1;
End;


Value1 = CLOSE ;

if Condition1 then
begin
Plot1( Value1, "FibTime" ) ;
Alert ;
end ;
 
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