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Yesterday's Hi-Lo range on the ES: a favor
- Thread starter candletrader
- Start date
Quote from Gordon Gekko:
acrary,
won't it be ok to just go for the 2 day range instead? for example, in your file, if 17.4 points isn't enough for you right now, but 20+ points is, then you could hold overnight and go for the 2 day range. as your file shows, the 2 day range is 23.7.
but then the problem becomes you probably won't make as much $ in a year, because now it takes you 2 days to make what you could before in one day. if you wanted to make the same amount of money, would you increase the size of your trades? i know this might mean bigger drawdowns, though.
the other thing i was wondering, is there a current trading instrument with increasing ranges or at least not decreasing so much? or do the ranges of many markets generally decline together? if the ES range declines relative to price level, then maybe there is a bullish market out there with increasing ranges.
Yes, going to a longer holding period is how you normally deal with a lack of volatility. If the market reverts to volatiltity levels pre-1996 then basically daytrading is dead and so is short-term swing trading.
If you needed to make a certain amount of money, you'd have to increase size to get the same level of profits. If the risk per-trade were too high, you'd need a larger account to trade to reduce the risk relative to account size.
I looked at other markets to see what was increasing. All the equity markets are decreasing (russell 2000, value line, nasdaq, mini dow, ftse-100, dax index). Some of the markets that I found increasing were euro, crude, 10 year notes, 30 year bonds, and the german bund.
Here's the report for the SP market. Look at how many days you'd need to hold just to get a 10 point range prior to 1996.
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that really is just shocking. in 1995, to get a 10.4 range, you needed 10 days! and that's only a 10.4 range! it's averaging over 15, now. if SP goes back to those ranges, traders who aren't aware of what's going on are really going to be in for a surprise in a few years. as acrary posted earlier, say you make 25% of the range for the time period you trade, that would only be 2.6 points per contract ($130/contract) every 10 days! i'm already worrying about what the hell i'm going to do, now.Quote from acrary:
Here's the report for the SP market. Look at how many days you'd need to hold just to get a 10 point range prior to 1996.
acrary, do you only trade SP? if so, if it were to go back to pre-'96 ranges, would you continue to trade SP, or would you look to trade another market? for example, you mentioned the 10 year note and 30 year bond ranges are increasing. if SP continues to decline and other markets improve, would you switch until SP started to rebound (assuming there is a better profit opportunity in those other markets)?
i'm wondering what the trading opportunities are for bonds and notes. although you said the ranges were increasing, i wonder what the profit opportunity is for those, compared to your SP perfect trader test. what i mean by that is, what the average daily range is and how much you could make per contract. i really don't know much about those markets yet. i would take a look at the 10 year notes and 30 year bonds myself, but i don't get those quotes in esignal at the moment. i must say, i have noticed that some people that trade SP/ES also talk about trading bonds and notes. maybe these people already know the opportunity right now in the SP market is declining and have already moved to other markets for the time being.
this is a major newb question, but are profits taxed the same way as ES for bonds and notes? if so, and the profit opportunity is there, it might be smart to monitor multiple markets since they clearly change.
p. s. acrary, all these questions aren't necessarily directed at you. anyone can reply to this.
Quote from candletrader:
Scary stuff... hopefully things like program trading will keep volatility at respectable enough levels to allow us to continue daytrading...
I wouldn't hold my breath. I started trading as a pro in 1987. Program trading had just started at our firm. Remember the 87 crash? Program trading and portfolio insurance got alot of attention then. Most firms stopped doing program trading with clients money after that.
I don't know for sure, but I think internet trading and prop shops doing momentum trading started around 1996. Maybe Mr. Bright can lend some insight. It'd be nice to know what is causing the decline so we can get a handle on where this will stop.
Quote from acrary:
Yes, going to a longer holding period is how you normally deal with a lack of volatility. If the market reverts to volatiltity levels pre-1996 then basically daytrading is dead and so is short-term swing trading.
If you needed to make a certain amount of money, you'd have to increase size to get the same level of profits. If the risk per-trade were too high, you'd need a larger account to trade to reduce the risk relative to account size.
I looked at other markets to see what was increasing. All the equity markets are decreasing (russell 2000, value line, nasdaq, mini dow, ftse-100, dax index). Some of the markets that I found increasing were euro, crude, 10 year notes, 30 year bonds, and the german bund.
Here's the report for the SP market. Look at how many days you'd need to hold just to get a 10 point range prior to 1996.
I wonder how this all equates in % of level terms. just an idel thought...
best
Natalie
Quote from Gordon Gekko:
i'm wondering what the trading opportunities are for bonds and notes. although you said the ranges were increasing, i wonder what the profit opportunity is for those, compared to your SP perfect trader test. what i mean by that is, what the average daily range is and how much you could make per contract. i really don't know much about those markets yet. i would take a look at the 10 year notes and 30 year bonds myself, but i don't get those quotes in esignal at the moment. i must say, i have noticed that some people that trade SP/ES also talk about trading bonds and notes. maybe these people already know the opportunity right now in the SP market is declining and have already moved to other markets for the time being.
this is a major newb question, but are profits taxed the same way as ES for bonds and notes? if so, and the profit opportunity is there, it might be smart to monitor multiple markets since they clearly change.
Here's the perfect trader report for the 30 year Bond. As you can see from this, the volatility is at its highs. The bond is quoted in 32'nds and this is in decimal. The daytrading range for this year has been 1.1. This translates into 32/32nd + 3/32 or about 35/32nd's range per day. The multiplier for 1/32nd is $31.25, so the range is about $1,094 per-day. This compares to the 17.4 x $50 = $870 range in the Emini. You can see from this, the Tbond already has better potential opportunities than the Emini. I don't daytrade the 30 yr so I don't know how to trade it;the slippage; or good strategies for intraday trading. If the SP and ES markets volatility continue to shrink I may start doing something in this market.
Yes, the taxes are treated the same for the Bonds as the Emini.
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Quote from Girlpower:
I wonder how this all equates in % of level terms. just an idel thought...
Just glancing at the chart, the % levels havent changed all that much. Hence the contraction in daily range is no big deal, as it's clearly just a reduction in the value of the contract, and not so much a contraction in volatility. An increase in the number of contracts traded will compensate for the contraction in the range, while keeping the risk equivalent to what it was earlier.
However, this does highlight how ridiculous the spread is on the ES. I think if the daily range continues to shrink, and there is no corresponding narrowing of the contract spread, we will start to see many of the institutional traders move back to the SP which trades with a $.10 spread.
Jeff
Just a thought...if you're interested in following daily ranges, it's very easy to create a study that calculates each day's high-low value and display it as a histogram beneath the chart.
That makes it easier to find the smallest range days of a given time period and also see what the most recent day's ranges are for comparison.
That makes it easier to find the smallest range days of a given time period and also see what the most recent day's ranges are for comparison.
acrary,Quote from acrary:
Here's the perfect trader report for the 30 year Bond. As you can see from this, the volatility is at its highs. The bond is quoted in 32'nds and this is in decimal. The daytrading range for this year has been 1.1. This translates into 32/32nd + 3/32 or about 35/32nd's range per day. The multiplier for 1/32nd is $31.25, so the range is about $1,094 per-day. This compares to the 17.4 x $50 = $870 range in the Emini. You can see from this, the Tbond already has better potential opportunities than the Emini. I don't daytrade the 30 yr so I don't know how to trade it;the slippage; or good strategies for intraday trading. If the SP and ES markets volatility continue to shrink I may start doing something in this market.
Yes, the taxes are treated the same for the Bonds as the Emini.
this is very interesting. thank you!
you are THE MAN!