The original caveat still stands: assuming the market isn't doing anything too hooky.
UK Scalpers
- Thread starter alpha_monkey
- Start date
The original caveat still stands: assuming the market isn't doing anything too hooky.
Yeah... I'm sure one can get in and out of 200 contracts. But, again, this thread is about scalping and statements like this might be misleading.
Fair enough.
Harris, on DAX I find ultra-short term (tick) scalping, getting hit on inside market, to be best with 5-10 cars max. Beyond that I find it still gets too fat, or you'll have to cross (hit/lift) by a tick or two. And if you cross market, you can get anything up to 30 cars with no more than 1-3T slips, and that isn't really a lot of edge lost if you have good trade location in the first place. However, you do indeed have to think "longer-term" in that case, i.e. 3+ points, or it ain't worth the R:R. That said though, you'll paint the tape in the process, which works in your favor, anyway, at least in the DAX. It really depends on your targets, though. If you're not all too short-term oriented, you can indeed trade several hundred cars in the DAX (FESX or similar hedge recommended if things go ugly). And I really see no reason to be too UST-oriented, since you'll deprive yourself of a lot of opportunity to get some really good moves in that market. Speaking of both location and liquidity, just watch out that you don't trade initiatively too far away from value area, and you'll be fine.
As for ES... Mate, unless you trade 5 clips a click (i.e. 2,000+), or during after-hours, I don't think there'd even be slippage. Never personally gone that far, but that market is so huge, you should never even get to find out. Don't forget that your risk grows immensely with that kind of exposure. It's actually more exponential than proportional. That's why even big genius hedge funds struggle to make a slice of what small traders can. Whatever you trade, better to be a small fish in a big pond than a big fish in a small pond IMO. Liquidity and stealth can be a great ally. Hiding your intentions while moving size is hard enough the way it is already.
Also, you shouldn't have to ask above questions, since most of them could be answered with a little observation of the DOM. Just my 5c.
Nice to see this thread's still going strong! Love the European courtesy, must be the oldest non-bash-flame thread on the board...
Ooroo,
~S
Have you thought of trading the Eurostoxx instead? You can do 1000 lots for a tick or two at most, which is at least as "big" as 200 Dax.
Also interested in what kind of stop vs profit target you are looking at with that size, and what general approach you are using.
I've also posted up a thread for Bund traders/scalpers, I'll add it below:
"I'm trying to get an idea of the per contract profitability achievable by a good trader in the bund, to try to see how my own results are measuring up. I'm interested in how much they might expect to make on days like today and yesterday, how many ticks per contract would represent a good result on a good figure day with lots of volatility, and how they might do on quiet days with a narrow range. Also some idea of drawdowns would be good.
Finally, how have you found this year compared to previous periods? Better, worse, the same?
Reply via PM if you prefer"
I agree, not much slippage, in addition to giving up the spread ofcourse, if you hit the bid/ask.
Nevertheless, ES isn't "infinately liquid" and often there are very few, i.e. <50 contracts at best-bid/best-ask
Also don't assume to have no slippage at all on ES stops. I sometimes do, although I generally try to avoid very volatile moments and bad places to put stops (ie where per experience most people's stops are clustered).
So I don't know how it would work in reality for someone trying to short counter-trend an overbought market, in case he gets stopped out as the move continues in a buying climax.
That's the trouble with the ES, you have a very wide bid/ask spread relative to daily range, at least nowadays. Which also reinforces that massive liquidity. Wish they'd finally turn the ES to .1 increments instead of .25, this type of tick can cost you a lot of profit potential over time. The ES trade like bloody bonds these days. An alternative is to trade markets like HSI, EUR, YM, ER2 or DAX, all of which have very nice tick sizes.
Absolutely! That's why I said: "Don't forget that your risk grows immensely with that kind of exposure. It's actually more exponential than proportional. That's why even big genius hedge funds struggle to make a slice of what small traders can. Whatever you trade, better to be a small fish in a big pond than a big fish in a small pond IMO. Liquidity and stealth can be a great ally."
Now this is my favorite reason for trading the Eurex; native stops. On Globex (with 'simulated' stops), you aren't even in a queue, and never know where you're gonna get filled. On the DAX, for example, you might have more volatility, but certainly also a lot more confidence of getting your stops filled, rather than "run".
Why try, anyway? What does "overbought" mean? I don't recommend anybody to try countering an "overbought" market, or for that matter, parabolic move. It's one of my top 10 trading rules to never fade a parabolic move. If you're not going with the flow in the first place, as you should be (i.e. too late), then at least step aside. How do you think you can "call the top" on it? Are you clairvoyant? "Volume climax" is, at the very least, a two-bladed sword, in that while climaxing volume can presuggest change, it can also reinforce/re-establish value at that price area. If there's still lots of sellers above, then the market can go up forever. And don't tell me any serious size pro's look at stochastics.
You might get away unshorn doing this as a small trader with a few cars, but if you haven't learnt this lesson by pain yet, then you obviously haven't tried getting out of counter-trend size in a trend move / breakout yet. If you want to trade counter-trend with size, I recommend you wait for a trend change confirmation sign of some type first. If you show big size on the ask, that size can (probably will) be eaten, and then squeezed out north.
But don't take my words for anything, I'm just another clueless sucker you're playing against. If you got a solid strategy and plan of your own, you should have nothing to worry about, anyway.
Have Fun,
S
Scientist:
I'm not a scalper myself. My style is intraday swing, so what works for me might not work for a scalper.
Re ES tick size:
Agreed, ticksize in ES is a big problem. This was even more so during the 5pt ranges back in Dec-2003 - Mar-2004 and more or less ever since shrinked to ATR <10pt since Aug-2003.
Btw I think it's just GREAT that EurexUS did the deal with Russel, it could finally cause some changes at CME and CBOT, especially wrt how they price their electronic vs pit products.
I don't think the Globex stops ("simulated" stop-market orders via STP LMT by brokers like IB) are less effective than Eurex's. You don't HAVE to use the simulated stops, stored on IB;s servers, you can you native STP LMT orders which are stored on Globex. Also one can modify the parameters of the STP LMT order.
But I'd be interested to hear other opinions of people who think that Eurex way is superior.
As I said, I'm not a scalper. But most of my entries are counter-trend, which was a necessity forced on me by the market itself, during the 5pt range months. My avg MFE / avg MAE ratio for all trades of year 2004 is a bit over 2, over 100s of trades, so this clearly works for me.
So I would assume this would be even more so for a scalper.
I'm not a scalper myself. My style is intraday swing, so what works for me might not work for a scalper.
Re ES tick size:
Agreed, ticksize in ES is a big problem. This was even more so during the 5pt ranges back in Dec-2003 - Mar-2004 and more or less ever since shrinked to ATR <10pt since Aug-2003.
Btw I think it's just GREAT that EurexUS did the deal with Russel, it could finally cause some changes at CME and CBOT, especially wrt how they price their electronic vs pit products.
I don't think the Globex stops ("simulated" stop-market orders via STP LMT by brokers like IB) are less effective than Eurex's. You don't HAVE to use the simulated stops, stored on IB;s servers, you can you native STP LMT orders which are stored on Globex. Also one can modify the parameters of the STP LMT order.
But I'd be interested to hear other opinions of people who think that Eurex way is superior.
As I said, I'm not a scalper. But most of my entries are counter-trend, which was a necessity forced on me by the market itself, during the 5pt range months. My avg MFE / avg MAE ratio for all trades of year 2004 is a bit over 2, over 100s of trades, so this clearly works for me.
So I would assume this would be even more so for a scalper.
Good! Good that it works for you that is! Personally, I also trade intraday swing, intraday trend and even interday swing and position trades now. On top of scalping, that is. I personally believe now that all trading timeframes have their pro's and con's, but if I combine and integrate them all, I can make considerably much more than I could with any of them on an individual basis. Also, it forces me to look at the market from as many angles as possible. I like to look at markets from a top-down approach (M, W, D, 120, 60, 30, 15, 5, 3, 1). But again, that won't for everybody, particularly if you have all your hands full already. However, should you ever get bored with one or two timeframes, I can highly recommend this.
This is not quite what I meant, I recommend you study the treatment rules for order types on the exchanges you contemplate to trade, and would very highly press to do so at least on the exchange you actually do actively trade. It isn't something to be unaware about.
As for "superior"; Again, I wouldn't suggest anything like that, particularly not in terms of technology of the Eurex system. And in terms of order treatment, again, what is "superior" depends entirely on your personal requirements. But it is essential to be aware of the rules.
Many of my entries are "countertrend", particularly in the day timeframe on low-range futures indices. CT trades offer the highest R:R ratios. My point was really that of not fading moves that seem threatened by continuation / break.
As for MFE/MAE, I hope you're aware that MFE/MAE has little to do with actual average profit and average loss. It's the average that counts, maximum is statistically irrelevant unless you can come close to exploiting it. But then I suspect you know all that, and just meant something different.
I haven't tried it, but I think it'd be confusing to mix trades (cancelling eachother out, partially, as different timeframe signals have different risk, resulting in different # contracts put by the 60min system vs the 1min system) of a single market, initiated from signals from many different timeframes.
I'd rather add more markets and spread risk around, rather than keep it in just one market. Downside is, in very high volatility times, markets tend to be more correlated than usual.
If you go back to my earlier message, you'll see i was referring to AVERAGE MFE / AVERAGE MAE being around 2 (as computed by Ninja). Avg Profit / Avg Loss ratio is again ~2, relatively stable over several rolling 2month periods
Before anyone asks how this can be... Certainly my exit efficieny is hardly close to exploit the maximum open profit during the life of the trade, but the "discrepancy" between the stats is probably because I do take some short-term "scalps" with a 1/5 or 1/6 of my regular size.
Those scalps "skew" Avg MFE / Avg MAE, but are relatively insignificant $-wise when computing Avg Win / Avg Loss.