The BEST ES systems in the world

Quote from Spectre2007:

..I have a nice system,... saving it for the kids.. Do versatile systems exist, yep. Find when volume is the highest per move and the direction taken by the move. It will show you what the most number of players are doing. Or the fewest with the biggest pockets. The fewest with the biggest pockets will force the many with the smaller pockets to 'uncle', thats all trading is. Find the agenda of the fewest with the biggest pockets.
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what the biggest pockets do is called ''pendulum arbitration'' flip flop...flip flop...flip flop.
 
Quote from Lawrence Chan:

Actually if a model is optimized for just 2009 onward, most of the time they do not work at all before 2009, even in the prior 2 bull runs.

We have 3 distinctly different bull runs since 1997-1998.

So if you think the world will change again and like to use an "all terrain" model instead, you need the model to perform well for not just past 10 years but 15+ years.

Before 1997, almost all models developed from that era are now "retired". =)
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Lawrence, Thanks for the insightful post :)
Will you please post some results from pre-1997 and also for 3 distinctively bull runs since 1997-1998. It will be very interesting to look at same model performing very differently in different bull runs.

I will post some of my own results later today. But I have mostly results from post 2008 crisis period.
 
What's the best ES trading system these days?

That's an easy one: whatever algos are able to shadow the Fed's daily POMO injections at 1030 and/or its 3:30PM just-to-be-safe ramp into the close. :)

(sorry, it just had to be said.)
 
The best system is the one that gives you a buy signal at the end of a down swing and a sell signal at the top of an up swing.

Rinse and repeat throughout the day.

Possible?

Not sure, but I'm working on it. :)
 
Not much time today to dig things up.

Pre 1997-1998 S&P range is 6 to 8 pts. 10 pts day are very rare. That couple with VIX < 10 means trading opportunities are just different from what is happening now.

Here is an example where the edge of the model collapsed once Fed intervention became the norm.

http://www.daytradingbias.com/?p=37679

Here is different one coming from Lawrence Connor where the edge collapsed during the 2002-2003 Internet dot bomb. It just recovered recently since 2010.

http://www.daytradingbias.com/?p=87953

I will have more time to post by the end of week.
 
Quote from Laissez Faire:

The best system is the one that gives you a buy signal at the end of a down swing and a sell signal at the top of an up swing.

Rinse and repeat throughout the day.

Possible?

Not sure, but I'm working on it. :)
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Me too.

1. Avoid bear flags in down channels.
2. Buy the channel break to the upside. When channel finally breaks.

3. Take all 1st single swing low retraces. May become a channel but loss is reasonable.
4. Now on 2nd leg down you know , from the 1st swing, what is a channel break and so on.

5. Use an "x" bar low of close for reference.
6. Measure all swings from this.
7. Better swing highs than swing lows is GO for trend. Count mag and number of them.
8. Enter and exit on standard error bands * "x" on the swing high/low
9. Trade with tend.
9. Optimize all the above.

This system worked great on accident and health multi-lime insurers in 2012.
Sucks with everythng now.
 
Quote from Lawrence Chan:

Not much time today to dig things up.

Pre 1997-1998 S&P range is 6 to 8 pts. 10 pts day are very rare. That couple with VIX < 10 means trading opportunities are just different from what is happening now.

Here is an example where the edge of the model collapsed once Fed intervention became the norm.

http://www.daytradingbias.com/?p=37679

Here is different one coming from Lawrence Connor where the edge collapsed during the 2002-2003 Internet dot bomb. It just recovered recently since 2010.

http://www.daytradingbias.com/?p=87953

I will have more time to post by the end of week.
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The first model is pointless example - it trades 20-30 times a year. Therefore, in 10 years it probably traded 250 times - how someone can even develop a model like that and say it has any positive expectation is beyond me.
Also, the idea behind the model of simple moving average crossover would surely ring a few alarm bells to the developer.

Moreover, the developer must surely have some data on max draw-down expected, expected losses in a row, losing months in a row or any other idea on when to pull the model before the account gets wiped out.

I am pretty sure the big money is in swing trading, but for the pikers like me i think we have to rely on intraday strategies - these can be developed with smaller draw-downs and gives more trades to define the system more clearly so developer has an idea of when to deactivate the model.

Anyway GMST, this is the best i have been able to come up with so far - this is 5 models which trade long/short or hedged on the YM and ES.
I have been trading this live since August now and so far its doing okay. I would be happy if i can even get a one third of the back-testing performance.
 

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Quote from Blotto:

This isn't serious. Nobody is going to post this. There are a few places in the market where it is good value to take a directional position of 3-4000 lots or more, as a day trade, for $500 or more profit per contract.

Any serious commentary would also get lost in the noise. What if I said there were a few very large directional traders who were buying the last hour of Thursday and the first 40 minutes of Friday in size, expecting the move we had? What if there was some way I knew this for a fact. What would it add to your trading?

A 30 year veteran who sometimes posts here, who has been an exchange member for decades, assures me that if one has such a system, and scales up to a decent size, "the players will find you and shove money down your throat". About the time anyone is at that level, they would likely not want/need the extra money, as compounding to limits of available liquidity is not a slow process for this class of trader. Market liquidity will eventually restrict the position size which can be used, so the rare conditions when larger size can be traded become more important to exploit.

I doubt there are more than a few dozen people worldwide who know where and why and how to do this. Maybe fewer. There is zero chance of any of them posting details on ET.

There are plenty of strategies which can be used on ES in sizes of a few hundred to a thousand for a few ticks, but I interpret the question of "best" as meaning the opportunities to commit substantial capital for a good short term return, as opposed to making smaller (albeit very consistent) profits trading for ticks. But I wouldn't argue semantics...a fully automated system which can consistently earn the spread in small size is a "best" system also.

"Trading at retail level" is misleading. Among the top players in this business will be self made independent traders. When you consider what is possible for those with understanding and capital but with few restrictions / handcuffs that come with working for an institution or managing OPM, it is logical that it will be this way. Think Paul Rotter and those at similar levels. There will be a few dozen world class individuals who will try to remain as anonymous as possible at that level.

Better question is what is the "best" system which you are capable of devising / implementing. Perhaps surprisingly there are some top level folks in this business who read ET but seldom if ever post...so there is a chance that the holders of some of the best edges in the ES see this thread!

Bottom line - do the best you can for yourself, don't trouble too much about what others are doing. They aren't going to tell you anyways :-)
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Very good points!

http://www.elitetrader.com/vb/showthread.php?s=&postid=3875167
Quote from gmst:

Thanks horton for your views.

In my experience:

2005-2006 was a very low volatile period for ES and most of my strategies on ES that work very well 2007 onwards, have bad performance in 2005-06. Market was basically dead after first hour in these 2 years.

To the OP - So, if you find that your strategies don't perform well especially in the 2005-2006 period, I will say don't worry too much about it - take it as a market anomaly or unnatural markets for a brief period and trade what you have now which is suitable for current markets. Just that you have to be careful about market conditions if they change going fwd. A good way is to look at your max. historical DD and if you hit that then stop trading the strategy for some time.
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