What's a worthwhile daily take on the e-mini S&P 500?

[bone]

You know what: the CME gave Sarao an extraordinary GIFT by warning him first. He could have taken his $70M and sailed off into the sunset. That’s not heroic, that’s stupid tbh.

Yeah Bone, but this so much highlights how much the HFT firms, Goldman, JP Morgan, Morgan Stanley, etc. were in bed with Terry Duffy and the CME. They were "untouchable".
What great justice in the financial markets we have....LOL !

 

[tiddlywinks]

Give us the weighted probability distribution,
Please

Irrelevant to my work.

Now that you are aware of the 10 price-bar cases, have at it!!
Just open your favorite time-based chart and start right there.
Weekends have a purpose!

 

[syswizard]

You know what: the CME gave Sarao an extraordinary GIFT by warning him first. He could have taken his $70M and sailed off into the sunset. That’s not heroic, that’s stupid tbh.

I am not going to dispute that...but at the same time, what about taking the money back from the "big boys" ?
Yeah, that ain't gonna happen any time soon.

 

[chloedecker2013]

Hi.

In your experience or opinion - what's a worthwhile daily take on the e-mini S&P 500 in points per contract? Daytrading the NYSE RTH session.

Currently, index futures in general offers a lot. Yesterday's RTH range was 32.00 points and the sum total of the minor swings were 254.50 points. And that's one of the least volatile days recently. So, obviously lots of points available, but that does not mean they're easily acccessible. This is a market where you quickly can rack up losses, too.

I briefly talked to a full time trader a little while back who blew my mind when he told me his only goal each single day was to net 1 ES point, but he did this with huge size and comfortably lived off it as he had a very high hit rate. He would call it a day as soon as he got that single point. If stopped - he would carefully assess the market and consider if it was worthwhile to take another trade.

To me, 1 ES point seems a bit too conservative and not very robust, but it's obvious that even a small daily take can be profitable - especially if compounded.

In general, there seems to be different ways to approach day trading. Some strive to maximize profits on any given day for cool hoodie, but may also set themselves for astroworld hoodie up for larger losses. Others may strive for daily consistency with smaller profits, but with less drawdown. The end result may not be that different in the end. However, it seems clear that if you want to compound your account, you need consistency.

So - any thoughts on the subject?

I ask newbies or paper traders to refrain from posting.

Thanks.

point each day is $1000 each month. If you can make $1000 each month constantly with one contract you are doing a great job. Scale it up to 100 contracts or even more and you are making a very good income.

 

[yc47ib]

This is really a somewhat futile to misleading exercise. I haven’t met anyone yet who could control the market.

You take the very best risk vs reward entries that you can and you take clean efficient pre-defined losses.

You target, let’s say, five points because that’s what your modeling says is optimum - and when the market runs another twenty points you can’t second guess yourself because no one knows what’s going to happen five seconds, five minutes, or five hours from now. No one.

You take your little piece out of the days trading range you go on looking for that next optimum opportunity. That’s all you can do.

Control freaks and people looking for certainty should not be involved in trading markets.

I was always cautioned against “projecting” by my mentors.

Another very important factor, you do not know what the market going to be like today, and this makes a lot of the difference based on the type of trader you are.

 

[Tradex]

If you can make $1000 each month constantly with one contract you are doing a great job

Not if you risk 10 grand (or more) to earn that 1k/month...

Fellow traders, generally speaking, if you can make 2% a month (on average) and keep the maximum drawdown under 25% you are already a great trader, no matter what market/timeframe you are trading.

Yes I know, making 2% a month seems like child's play, but on a compound basis that's close to 27% a year (3 times the average annual return of the S&P500 for instance).

Very, VERY few traders (and that includes most hedge funds) can earn that kind of return consistently, let alone with a 25% maximum drawdown or less.

 

[yc47ib]

Keeping track of points per contract proves difficult when trading more than one contract. Two problems present themselves and I only expect these to become worse as I add even more contracts.

a. Different trading size throughout the day skewing the points per contract statistic

If you net 10 points on 5 contracts, but then take a net loss of 10 points on 1 contract, you're basically left with 0 points per contract, although the end result is

(10 x 5) - (10 x 1) = 40 points total

The alternative is to simply average those 40 points by 5, i.e., 40 / 5 = 8 points per contract.

But not quite correct either, is it?

Equally, if you lose 50 points on 1 contract, but gain 10 points on 5 contracts, you're left with a net loss of 40 points per contract, although you're breakeven on the day.

Here's an example from my older records, actually. As can be seen, I was up 6,50 points per contract on 3 contracts traded. But as I started trading 1 contract, I actually ended the day at 0 points per contract when each contract is summed separately, although the end result was net 13 points total.

View attachment 230227

It seems like simply averaging the end result by the maximum/average # of contracts may be the only viable solution for this particular problem.


b. A single trade is split into multiple trades:


View attachment 230226

Not always, but I frequently experience that multiple lots are split in multiple parts.

Yesterday, I netted 19 points per contract on a single trade on 4 contracts, but Ninjatrader splits this into one trade @ 3 contracts and one trade @ 1 contract.

I assume this is because these trades are crossed separately, although it happens in the same time interval. Maybe there's a few ms difference.

So, while the result per contract was 19 points, my bookkeeping for the day would say I netted + 38 points per contract.

This one could easily be adressed if Ninja could aggregate all trades which have the same exit/entry price at the same time interval, but it clearly does not.

Does any other platform do this?

It may be that I'm the only guy who keeps track like this, but if not, I'm wondering how you experienced ES traders deal with these issues.

PS: In the past I've tried to aggregate my trades manually, but it's very time consuming to do and I simply can't be bothered to do that. Alternatively, I'd have to make a script in VBA or something which does the aggregation after I've imported this to Excel.

Thanks in advance.

my broker statement (global futures is my clearing firm) gives how many points I made /lose accumulatively averaged out.
Something like: average entry, 3152.03, average exit 3153.65

 

[Laissez Faire]

my broker statement (global futures is my clearing firm) gives how many points I made /lose accumulatively averaged out.
Something like: average entry, 3152.03, average exit 3153.65

The statements from Dorman ain't that pretty.

 

[SimpleMeLike]

This is really a somewhat futile to misleading exercise. I haven’t met anyone yet who could control the market.

You take the very best risk vs reward entries that you can and you take clean efficient pre-defined losses.

You target, let’s say, five points because that’s what your modeling says is optimum - and when the market runs another twenty points you can’t second guess yourself because no one knows what’s going to happen five seconds, five minutes, or five hours from now. No one.

You take your little piece out of the days trading range you go on looking for that next optimum opportunity. That’s all you can do.

Control freaks and people looking for certainty should not be involved in trading markets.

I was always cautioned against “projecting” by my mentors.

I love this post bone.

Especially the : "Control freaks and people looking for certainty should not be involved in trading markets."

"You take your little piece out of the days trading range you go on looking for that next optimum opportunity. That’s all you can do."

 

[CannonTrading_Ilan]

My fellow broker Joe Easton, watches the ES closely and shared this:

[7:04 AM] Joe Easton - Cannon Trading
In my opinion 1/3 of the daily range is a "good take"/result. 1/2 to 3/4 is excellent and 100% or more of the range is extraordinary. These are ballpark #s and the goal in any day is to be green. Even 1 pt positive is moving in the right direction and easier said than done.