Who here trades index futures for a living?
- Thread starter Daal
- Start date
LOL....massive failure on that trade. Good thing he was kicked out of here and doesn't have to face any ridicule.
Hi Steelâ¦
Attached are 2 charts, including the indicators that I use. What you see on each chart is:
My own zigzag indicator. This indicator is calculated so I can look at different tick charts with different symbols and read price action across symbols/charts. The zigzag indicator shows intraday moves. The intraday move lines are historical after deciding when a move is complete and the next move is starting. The MAGENTA number on the right side of the graph is the size of the current move in real time. Zigzag tends to keep me out of risky trades by helping me understand when intraday price action is ranging versus trending and when price moves might be too small to trade.
At the right hand side of the chart are 2 numbers shown below the MAGENTA number. The upper number shows the average daily ATR over the last 10 days. The lower number shows todays current daily ATR. This helps me understand range days versus trending days and when there isnât enough price movement to take trades at all during the day for that symbol/chart.
The horizontal lines are: High/Low of today(blue/yellow), H/L of yesterday(green/red), H/L of last 10 days(orange), 24 hour floor pivots(various colors) and some additional lines(white) outside of R3/S3 pivots that provide price action reference. To minimize chart lines, they are only drawn when price is close to a line. I prefer taking trades near one or more of these lines, but not always. I tend to like trades above the high of yesterday, below the low of yesterday, around main pivot point, reversal trades near the high/low of 10 day, etcâ¦. but that doesnât stop me from using any of these lines in my trading or trading where there arenât any of these lines, depending on price action.
The vertical lines are time: every 15 minutes from 5am pst to 9am pst and every 30 minutes after 9am. Most of my trades come between the futures open 5am pst and 9am pst and this is my most intense trading time, given that I trade 16 symbols/charts. Some reasons that time is important to me are: various pit open/close, exchanges open/close, economic reports, new York lunch hour, equities open/closeâ¦. For example: moves right after the futures open, equities open, Frankfurt close, London close and 7/730 econ reports, etc. In my experience, price action moves tend to occur within 15 minutes of one or more of these times.
My indicators notify me verbally when price is close to a time period or close to one of the horizontal S/R lines described above. Then itâs up to me to evaluate price action for that symbol, evaluate overall market context, look at the context of common symbols like index futures or currency futures. I then review potential setups and decide when to start the trading process. Index futures tend to move together. So does (Europe)EC,BP,CD,SF. Also (Asia)AD, JY,NE. Sometimes like currency futures today one symbol will move/setup before others allowing me to enter trades in the same direction across several symbols.
The multi-colored bar indicator at the bottom of the chart tracks how long it takes for each tick to fill for each symbol. For example: how long it takes for 250 trades to fill a bar on a 250 tick bar chart. This helps me understand trade speed and when to be very careful taking trades during slow trading periods like before futures open or after 9am pst.
I donât do videos⦠sorry.
toucan
I trade ES and ZN in the mornings. Average return has been about $40 per contract per day. I'll have positions in one contract or the other but not both at a given time.
It's not exactly a living, but it probably will be eventually if market conditions remain relatively constant.
It's not exactly a living, but it probably will be eventually if market conditions remain relatively constant.
Thanks so much for the details description.
Really amazing for trading 16 symbols at a time....
so one symbol a chart? or multiple ticks(time) frame?
Per the chart, your setup seems to get entry when zigzag size longer and price break up or down for some lines...
How about more pricisely describe your setup entry? and exit?
I tried many systems,, and found myself love price action trading,,
well, still not very good at it,, already blow off one account.
Your systems looks simple and directly,, I'd like to try to build s similar one with Ninja.,, well, hopefully I could make it...
Thanks again for your kindly sharing!
Hi, toucan,,
What does "size" mean in mathematical term?
Thanks.
-Steel
Steel...
It doesn't look like I can give short answers... sorry for the detail.
Yes, one symbol per chart. I use tick bar charts and the tick size of each chart can be different given that each symbol has a different trading volume. One symbol per chart and only 1 timeframe per symbol/chart. I donât look at longer term charts. Looking at 16 charts is intense, but the visual and verbal indicators that I use make it much easier and quicker to analyze and make decisions.
Be careful looking at these charts as they are historical. When I started trading I would look at a chart at the end of the day and think, why didnât I see all the moves. Trading is easy using historical charts after the day is done. My setups, entries and exits donât have anything to do with zigzag indicator because the only time you can draw the line in is after the move is complete and a new directional move is started. The Magenta number at the right does tell me the size of the current move, in real time, before the line is drawn in. This helps, but I donât use that for setups, entries or exits. To use the 2 charts as an example. Use a piece of paper to cover up the part of each chart to the right of my entries and you will see what I saw when I entered each of the trades. The blue zigzag lines where not drawn in yet. For YM, the line wasnât drawn in until about 7:04 and for SF the line wasnât drawn in until about 9:30.
A standard zigzag indicator would plot a trendline of each move after the move changes direction. The zigzag indicator would then print the distance (number of points) of the move (represented by the trendline) above/below the point where price changed direction. So, if the move was down and the distance of the move is 4.56 points, the trendline would be about 4.56 points long and the number above/blow the change of direction would be 4.56. The problem is a YM move could print 30 points and an EC move could print 0.030 points and itâs very difficult to evaluate moves in 16 charts using actual points. So I convert the point move into a number that is similar across all charts.
You asked about setup, entry and exit.
Let me start with exits first.. I see exits as part of trade management after the entry and have that completely automated. I think its complex but here is an overview. Once the trade is entered, a maximum stoploss is placed. If price goes against the trade by that amount, I exit and lose the entire stoploss amount. However, if price moves in the trade direction, then the stoploss is cancelled and replaced by stops at various intervals. These stops could be the entire number of contracts or split into several stops/contracts depending on price action. The stops continue to be cancelled/replaced as price moves in the trade direction until either the stops are hit or a target price is hit. An initial target limit order is placed at the same time as the stop market stoploss order is placed. As price moves in the trade direction, the target can be moved further in the trade direction using an analysis of the bars in the trade move up to that point in time. In general, if the price move is strong, the target will continue to move up, but if price action seems weak, then the target will stay at its current level. So to summarize, stops and targets move in the trade direction until either the stops are hit or the target is hit. Given the above, I only lose a full stoploss when price moves against the trade without moving up first.
Entries are also automated. When I see a setup forming, I turn on the automation and the entry system looks at price movement and decides when to actually enter. In general it looks for bars forming in the direction of the trade and if the bars meet the entry criteria, it places either a stop market order, or continues to review the bar formation and places a market order later in time. I give up some price movement before entering but at least I know price is moving in the trade direction before entry.
Setups are all subjective and not automated. This is the only part that I canât automate and itâs very hard to explain what I see. One of my trader friends and I tried to automate this part over about six months and we finally gave up. All I can say here is that I look at time, support/resistance lines, trade speed, overall market context for the day and the price movement of similar symbols. I then look for some pause in price movement that indicates a setup. The most common pauses are a nice looking pullback, a small pullback (say 1-3 bars) in a strong move, or just a stall in price bar movement. I also trade double top/bottoms, head/shoulders and reversals in the early AM.
An example is my YM trades on the chart I sent you. In general, price for currencies and indexes were all moving up (market context). For the first YM trade I saw that all 4 index futures were moving up at the open (similar symbol price movement) and saw a one bar pullback down (price movement pause) in YM toward R1 (cyan line) and the high of yesterday (green dotted line). I turned on automation thinking that the pullback would continue down closer to the high of yesterday (near support/resistance), but the move was too strong (trade speed) and so there was only 1 bar in the pullback. Note that you have to see the pullback forming and not wait until it completely forms. The automation then took over, entered the trade and started adjusting the stops/target up as profits increased and right after 645 it looks like the automation quit moving the target up. The final target was then hit just before 7am.
The second YM trade, all 4 indexes formed a high and reversed down (similar symbol price movement). I saw that price formed a high of the day (blue dots), reversed back down below the high of the last 10 days (orange line) and to R2(support/resistance/cyan line) and pulled back up to the high of the last 10 days(support/resistance/orange line). My expectation was that the high of the last 10 days would hold on the pullback up and then move down againâ¦.If that happened, I also expected the price move down to be a measured move down similar to the move up in the first trade. I turned on automation and 3-4 minutes later the short trade was entered. Would have been another nice trade, But it didnât happen and I took a full loss on that short. The good news is that the first trade was about 4 times the full stoploss of the second trade. Itâs not always that nice, or I would be rich.
Cheers
toucan
I forget where SÃÃÃ took profits on his initial buys, but he does seem to be scaling back in now - http://rbl.ms/1eBtXO4