Using ES Time and Sales

[PuffyGums]

Quote from OldTrader:



My guess however is that grob is not actually a trader, and therefore anything that he says is HIGHLY theoretical.

OldTrader

Finally someone figures it out. You need not guess about grob (jack hershey). HE DOES NOT HAVE A TRADING ACCOUNT. That is why he published his 'executions' using a demo. In some of his other posts he talks about getting an account in the future tense.

HE DOES NOT TRADE. Why do people expend effort on decoding his posts as if they are some holy grail?

 

[stock777]

Quote from PuffyGums:



HE DOES NOT TRADE. Why do people expend effort on decoding his posts as if they are some holy grail?

Trading is a distraction. By not trading , Jack is able to see through the smoke and mirrors, and divine the truth.

I suggest everyone here close thier accounts, just watch the markets for 5 or 6 years, and benefit from the same liberating experience.

 

[nononsense]

Quote from PuffyGums:


Finally someone figures it out. You need not guess about grob (jack hershey). HE DOES NOT HAVE A TRADING ACCOUNT. That is why he published his 'executions' using a demo. In some of his other posts he talks about getting an account in the future tense.

HE DOES NOT TRADE. Why do people expend effort on decoding his posts as if they are some holy grail?

PuffyGums,

The best answer to your above question is given by the quote Ramoutar fished up for us some time ago:

"Subscribers here by thousands float, and jostle one another down, Each paddling in his leaky boat, and here they fish for gold and drown. Now buried in the depths below. New mounted up to heaven again, they reel and stagger to and fro, At their wits' end. like drunken men. Meantime, secure on Garraway cliffs, A savage race, by shipwrecks fed, Lie waiting for the foundered skiffs, and strip the bodies of the dead."

Be good,

nononsense

 

[mBear]

It should be noted that while what Grob has stated may be a perfectly valid method of scalping, transaction costs tend to take a bite out of the profits.

I have had days scalping in es where my P&L said I made over $1k, but once commissions were subtracted, they were net losing days. I don't do that anymore.

If there were no transaction costs, this method would work, well enough to overcome the whipsaw - that happens in all markets, and on all time frames, including the tick - whipsaw that traders tend to fear.

In any case, if you combine this method of entry with your normal approach, you will always start out on the right side of the market, with the market confirming the direction of your entry.

Wells Wilder wrote about this approach in one of his books, "The Adam Theory of the Markets." You want to buy, simply because price is going up and sell, simply because it is going down. In the electronic age, we have the ability to trade this in real time, with each tick.

I would like to say thanks, Grob, for a very enlightening and helpful discussion.

 

[nononsense]

Quote from mBear:

[...]

I have had days scalping in es where my P&L said I made over $1k, but once commissions were subtracted, they were net losing days. I don't do that anymore.

If there were no transaction costs, this method would work, well enough to overcome the whipsaw that happens in all markets, and on all time frames, including the tick, and that most traders fear.

In any case, if you combine this method of entry with your normal approach, you will always start out on the right side of the market, with the market confirming the direction of your entry.

Wells Wilder wrote about this approach in one of his books, "The Adam Theory of the Markets." You want to buy, simply because price is going up and sell, simply because it is going down. In the electronic age, we have the ability to trade this in real time, with each tick.

[...]

mBear,

Of course what you are saying is known a long time. You already had some personal experience with this kind of trading as you explain: "I don't do that anymore."

Don't be too rosy about the possibilities in your "electronic age". If you program such kind of strategies and subject these to some rigorous backtesting you will find out that making money this way is perhaps even more tricky than what you experienced already.

nononsense

 

[OldTrader]

Quote from mBear:


In any case, if you combine this method of entry with your normal approach, you will always start out on the right side of the market, with the market confirming the direction of your entry.

Just for the record, I would point out that this method of entry will only have you on the right side of the market for an instant, until it changes. There are so many changes within a minute that if this method does not confirm your "normal approach", then all you have to do is wait an instant.

I see little practical value to grob's approach, at least as he presented it.

OldTrader

 

[EMini-Player]

Quote from nononsense:



FastTrader,

Would it be possible to elaborate a bit more on your above strategy? I find this most intriguing. Did you arrive at this mainly by observation or do you have a theory behind this?

Thanks for your posts.

nononsense

nononsense, I'm not a professional analyst, nor have I spent much time reading too much into market theories, so this is from simply watching the market and trading it.

At first glance, it probably doesn't sound right. I mean, if the Bid Size is at 1000+ while the Ask is at 300; why would you want to short? There's obviously support here. This may sound logical, but from what I've seen, it doesn't work this way. The Bid Size gets eaten up by the big players who are also shorting into it, and it quickly drops (look at T&S or simply the pace at which the Size is getting eaten up). If you look at my trade journal, you'll notice I have some trades which last only 20-30 seconds but result in a 3-4 tick profit. This is exactly when and where I get those profits. At key reversal points where Bid size is upped to 1300-1500 contracts and the entire Bid gets eaten up FAST! And I sell into it. In a matter of seconds, the ES will drop 3-4 ticks and I will bail with my profit.

Hope this, somewhat, clarifies what I mean.

-Fast

 

[EMini-Player]

Grob, I'm still wondering whether we're talking about the same thing. You say you try to join the minority, so if Bid size is 1000 and Ask size is 300; would you short since the minority is selling and the majority is buying or willing to buy?

-Fast

 

[pspr]

Quote from OldTrader:



Just for the record, I would point out that this method of entry will only have you on the right side of the market for an instant, until it changes. There are so many changes within a minute that if this method does not confirm your "normal approach", then all you have to do is wait an instant.

I see little practical value to grob's approach, at least as he presented it.

OldTrader

Me thinks that OldTrader is correct. The only way I can fathom that Grob could be correct is in those brief moments the market is moving fast and new limit orders behind the market move haven't caught up yet to the limit orders that have been placed ahead of the market move and that have been building for a longer period.

Regardless, it isn't a viable trading strategy.

 

[EMini-Player]

Quote from downtickboy:

I can understand why people are getting confused with what Grob is saying. It might be easier to use an example with numbers for what he is saying as I read it.

EX 1
Bid 1000.50 Size 600 Ask 1000.75 Size 100

In this case go long and hope to see the next price at

Bid 1000.75 Size 600 Ask 1001.00 Size 200

So then in the best conditions the price will continue to rise.

This sounds like the exact opposite of what I do. That's why I'd like Grob to clarify a bit.

-Fast