Strategy on RUT. Search for the best system.

[tyler19]

okay cool just making sure I had everything right here. I'm watching the ER2 with this and often by the time the index hits the stop the Future is already 3 points loss. Same with entrys, it sometimes moves a whole point on the futures before the signal is made on the RUT.

 

[tyler19]

Chart

 

[Marsupilami]

Quote from tyler19:

okay cool just making sure I had everything right here. I'm watching the ER2 with this and often by the time the index hits the stop the Future is already 3 points loss. Same with entrys, it sometimes moves a whole point on the futures before the signal is made on the RUT.

That is correct. I had once developed a nice "system" based on RUT and was totally euphoric about it....until I saw the difference between RUT and the futures..

The futures contract is a totally different animal !!

 

[gg12]

Agree with you!

The best system for the ER2 at a 5 days timeframe with a 2.5 grid is to fade trend at 5 points for a retracement of 2.5 points.

That is opposite way around to the RUT index where you clearly go along with the trend.

The RUT index system might give signals which are wrong. But 10 days observation have no statistical significance.

 

[SideShowBob]

The best system is to buy at the low, then sell at the high.

 

[gg12]

SideShowBob

What about buy the high for a higher high?

And ... sell the low for a lower low?

 

[RoughTrader]

Quote from gg12:

Agree with you!

The best system for the ER2 at a 5 days timeframe with a 2.5 grid is to fade trend at 5 points for a retracement of 2.5 points.

That is opposite way around to the RUT index where you clearly go along with the trend.

The RUT index system might give signals which are wrong. But 10 days observation have no statistical significance.

I suggest you set your session times to be 9:30 EST to 4:15 EST instead of 24 hour. All those low-volume, low-range bars cannot be traded with stops with reasonable slippage.

RoughTrader

 

[gg12]

I am switching to Signals.

The RUT is not tradable as an index. Please view this text as idea for creating your own system on ER2, IWM, etc. But experience shows that various instruments behave in an other way than the index itself does (especially short term fluctuations).

Last signals
---------------

Long 804 +4
Short 808 -2
Long 810 -2
Short 808 0
Long 808; next Signal Short below 806

See attached graphics.

 

[gg12]

Signal is Short (since RUT has been crossing 806 down)

Next Long signal is 808 (trailing down on 2 point grid)

 

[gg12]

Short 806 -2
Long 808 -2
Short 806 -2
Long 808 in progress Stop at 808