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

[Laissez Faire]

The footnote is this... There are complete RTH session linear range (and travel) values and there are linear range (and travel) values for the time a trader trades. I guarantee myself to trade during the first 2.5 hours. That linear range can be substantially different than the values for the entire RTH session.

I AVERAGE 64% of the RTH linear range per contract. Hitting 75-90% during the first hour or so is commonplace.

That's really impressive, IMO. Well done!

Also important to understand, losses are very contained. My system/method takes most of it signals from volume and price-behavior in that order, NEVER price alone. Volume leads price, btw. When price-behavior no longer syncs with volume, one of 2 things will happen... reverse or sideline. Sideline like reverse, includes booking profit or loss, but also the exit and do nothing option.

Your comments regarding volume are interesting. Never studied it too much myself. Might have to give it some study.

I suppose this originates from Hershey?

Holding through big (a relative term) drawdown is not something I do... get on the bus, or sideline. Only 2 things happen regarding price alone... continuation or change.

Does this include drawdown on unrealized profits, too?

To include an example of my own from Friday. On my largest profit - the trade went from + 11,00 and then -8,75 points against me back down to + 2,25. This was the bottom before price took off and I closed the trade out for + 20 points.

This is not how I typically trade though, but I've realized that if I want to bank the large ones, I need to sit through some heat and retraces. But one thing I'll never do is to let a large winner turn into a loss. I would have banked this one at + 1,0 or so and rather re-enter.

In theory, I could have gotten out at + 10,00 and re-entered either on the retrace or at the same price, but in practice I find that this is not always easy.

 

[Hooti]

One of the first successful traders I knew traded for a small number of points each day. He said that once he became consistently profitable he pushed it. But as he made more and more profit, he started to dwell on... the more risk he was taking, the more taxes he had to pay. This bothered him a lot. Also, he didn't like being alone in front of the computer all day.
So
he cut his trading time to usually an half hour or so. He would get up, turn his computer on and said that he usually made a trade "while he was brushing his teeth." He took a job... I think in construction... because he liked the guys he worked with and doing things with his hands. He had an arrangement that if he came in late he could make up for it during the lunch hour. If he needed an extra hour for trading, he had it.

He actually cut his trading income. And 'traded' this for more of a social life and the contentment of not paying as much in taxes. This worked for him.

 

[tiddlywinks]

I suppose this originates from Hershey?

Yes.

Does this include drawdown on unrealized profits, too?

To include an example of my own from Friday. On my largest profit - the trade went from + 11,00 and then -8,75 points against me back down to + 2,25. This was the bottom before price took off and I closed the trade out for + 20 points.

The chart you posted contains no volume, so I can not say how I it may have played out for me. FWIW, this is one reason I do not participate in very many "trade" discussions... very few include volume. It is not my job to persuade, defend, or argue the use of volume with what for the most part are narrow or closed minded posters. What works for me does not mean it will work for others, AND VICE-VERSA! In this way, I too am a narrow-minded poster.

To generally answer your question of giveback... yes, that is included. A 20 point swing would be seen. Plus for MY intraday trading style, the example breaks a rule.... never let decent profit turn into loss. The trick here is that each trader must define what decent is in relation to the expectation for entering the trade in the first place.

FWIW, there are 2 real-time pieces of volume data I monitor. 1) the actual volume. 2) a pro-rated volume calculation which is ... based on the current pace of volume, will there be more, less, or about the same amount of volume to previous bar, when the current bar closes? A third piece is the price-bar. The bar ends (the high and low) while a bar is forming as well as the actual close of the current price bar are important in relation to the 2 volume pieces mentioned.

Of course there is more to it, but it all starts with knowing and having a full understanding that there are only 10 possible formations of adjacent price-bars.

Good trading to you.

 

[Tradex]

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

Generally speaking, if you can consistently capture 1/3 to 1/2 of the intraday range, in any financial instrument, you are good.

If you can book 2/3 of the range (or more) with a reasonable drawdown you have an excellent trading system.

 

[Laissez Faire]

The chart you posted contains no volume, so I can not say how I it may have played out for me. FWIW, this is one reason I do not participate in very many "trade" discussions... very few include volume. It is not my job to persuade, defend, or argue the use of volume with what for the most part are narrow or closed minded posters. What works for me does not mean it will work for others, AND VICE-VERSA! In this way, I too am a narrow-minded poster.

Actually, it was a volume chart. It's pretty much the only way I 'use' volume. I haven't yet found any edge using volume myself, but then again, I have not studied it in depth or yet found any reason to believe a huge edge can be found using it.

That's not saying it does not exist. Clearly you find it useful.

FWIW, there are 2 real-time pieces of volume data I monitor. 1) the actual volume. 2) a pro-rated volume calculation which is ... based on the current pace of volume, will there be more, less, or about the same amount of volume to previous bar, when the current bar closes? A third piece is the price-bar. The bar ends (the high and low) while a bar is forming as well as the actual close of the current price bar are important in relation to the 2 volume pieces mentioned.

Interesting for sure.

Is there anywhere I can read a primer to better understand how volume 'always' leads price? Jack's got like 20.000 posts here and I'm not yet ready to jump down that rabbithole, although his posts and ideas sure are intriguing.

Thanks.

 

[Laissez Faire]

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.

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:

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.

 

[Laissez Faire]

Anyone at all? Particularly issue b.?

Does other platforms aggregate trades or are they split like Ninjatrader does it in the example above?

It seems to me the only solution is to find a way to aggregate this automatically in Excel.

Curious to hear how others are dealing with this - if at all.

 

[Laissez Faire]

Nobody? Really?

I think I'm going to develop something in Excel. It's the only way I can see how.

How does other platforms deal with this? Are similar trades/exits aggregated?

 

[Laissez Faire]

Back on topic:

1. 1st trade of the day: + 17,75 MFE. Closed it for + 5,00, i.e., I gave back 12,75 points of unrealized profit.

2. Went 6,75 points in the red on the next four trades.

3. Gained back my losses and then some. Current P & L = + 15,00

In hindsight - I would have been far better off closing out my initial 1st trade for a profit. This illustrates the general 'problem' for me when trying to capture bigger profits versus going for modest daily profit targets. I give up certain profits in favour of larger uncertain profits.

Normally, I'd never give back 12,75 points, but in this heightened volatility it ain't that much and I knew I had to give the trade some room to breathe if I were to have a shot.

I had similar experiences past week where some outsized profits had to pay for my initial losses.

Of course, the best is to not have many losses AND outsized profits. In time...

 

[tiddlywinks]

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

Ummm... the ONLY reason you can possibly get more than 10 points out of a 10 point move is because you traded MORE than 1 contract.

Soooo... (10 x 1) - (10 x 1) is exactly correct: PER CONTRACT is Net zero at days end. The other way, PER TRADE feels better though. Tough!

NET P&L / Total number of contracts (not sides) traded is completely misleading if you are doing different size trades and/or adds in a non-martingale fashion when determining PER CONTRACT. JMO


As for other platforms, Sierra trade aggregation or not, is as option through it's scale-in/scale-out settings and other trade treatment settings.