Stocks or ETFs that Trade like ES

[Novara]

I have a strategy that works well on the ES to capture 6-10 tick moves with 1-10 contracts on a 5 min chart, but is infrequent. I want to port it to stocks to get maximum opportunities.

In the ES I get an entry fill when price moves 1 tick past my stop limit order and an exit when price moves 1 tick past a protective stop market order or 1 tick past a profit-taking stop limit order.

Observing stocks, I see the same strategy resulting in moves of about 10 cents. My big concern is not getting filled as efficiently on moves of that size in stocks, and every tick counts on these small moves. Are there stocks or ETFs liquid enough to perform like the ES on moves of only 10c with, say 2000-4000 shares?

Would a minimum daily volume filter return a large number I can trade in that fashion, (2-3 million adv? 5mil? Higher?) and I recently read an article stating avg. dollar volume (share price*adv) is more important in determining liquidity.

Thanks for any input, I've been working on the basics of this for a long, long time in the ES, and porting it is now crucial to it's survival.

 

[comagnum]

The SPY is extremely liquid & keeps a tight spread of .01 cent through the regular session. On the Emini you have 4 price increments between points, on the SPY you have 10. This broader price scale on he SPY translates to lower commissions, approx 60% lower @ .005c per share.

Not making an argument for the SPY, both have their pros & cons.

500 SPY shares = 1 Emini ES.
Emini tick size .25 ($12.50), 4 ticks = 1 point ($50)
500 shares SPY tick size is .01 ($5), 10 ticks = 1 point ($50)

 

[Metamega]

SPY would work but if your trading ES and looking for diversity then it's a dud. You'd be better off just doubling your ES position.

I'd also make sure you have a broker that fits your needs for commissions. I personally swing trade but 10 cent moves aren't much to myself in stocks. If your paying a penny a share that's 20 percent in commissions for a 10 cent move. Could find someone with a per trade commission but with 4000/5000 share lots, if you end up getting partial fills and re adjusting your limits the commissions add up.

 

[Novara]

Thanks, you two, for the helpful info. Let's say I can find a broker with a commission structure that works out for me. My biggest issue will be slippage on the protective stop market order. In the ES I know that it will be filled by 1 tick past my stop almost every time. Besides the SPY, will I be able to find a large number of stocks with reliably low slippage like that?

Most articles I read simply state to filter out stocks that trade for less than $10 and stocks with less than 1-2 million avg. daily volume, but I'd feel better hearing what real traders that scalp for 10c like me think about that.

I'm also looking into extending my list of futures to the NQ, TF, CL, NG, GC, ZN, ZF, ZB, 6E, ZC and ZS on 5-15 minute time frames, depending on how clean the charts are at each frame. Those all trade over 200k contracts per day. That would give me a more signals, but, man I'd really love to be able to expand my list to dozens in the stock world if it's feasible.