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The Bear

Tick chart for ES looks different than YM

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Guys I'm looking at ES for the first time ever last night, and when I look at a 100 tick chart for ES in candlestick form, why does it look so square like and choppy compared to the same setup for 100 tick YM?

 

Is there a way I can make the ES look like the YM chart setup?

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Guys I'm looking at ES for the first time ever last night, and when I look at a 100 tick chart for ES in candlestick form, why does it look so square like and choppy compared to the same setup for 100 tick YM?

 

Is there a way I can make the ES look like the YM chart setup?

 

A tick is a tick, keep in mind the ES has many more participants and bigger money going in so 100 ticks will be used up very quickly. Open up to a greater number or ticks and you'll see the range open up.

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Bear,

When I compare volume based charts, same premise as the tick charts, you have to keep your ratios in tact to get somewhat similar results.

 

In other words, if you like a 100 tick chart on the YM and let's say average volume is 100k per day (easy to keep the math simple but you get the idea) and the ES ave volume is 1mill.

 

So, 100 tick on YM = .1% ratio

 

.1% x 1mill = 1000 tick chart

 

If my math is correct here, that's saying a 1000 tick chart on the ES is the equivalent to a 100 tick chart on the YM in terms of attempting to keep the ratios the same on both charts. A way to 'even it out' while looking at different markets.

 

This idea holds true on volume based charts, but I don't trade tick charts so maybe it may not work as well. It might give you an idea of where to start and you can adjust your settings from there. 1000 ticks may be a lot, I don't know, but you can see that your setting will probably have to be much higher than 100 to mimic your YM setting.

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Bear,

When I compare volume based charts, same premise as the tick charts, you have to keep your ratios in tact to get somewhat similar results.

 

In other words, if you like a 100 tick chart on the YM and let's say average volume is 100k per day (easy to keep the math simple but you get the idea) and the ES ave volume is 1mill.

 

So, 100 tick on YM = .1% ratio

 

.1% x 1mill = 1000 tick chart

 

If my math is correct here, that's saying a 1000 tick chart on the ES is the equivalent to a 100 tick chart on the YM in terms of attempting to keep the ratios the same on both charts. A way to 'even it out' while looking at different markets.

 

This idea holds true on volume based charts, but I don't trade tick charts so maybe it may not work as well. It might give you an idea of where to start and you can adjust your settings from there. 1000 ticks may be a lot, I don't know, but you can see that your setting will probably have to be much higher than 100 to mimic your YM setting.

 

Thanks bros. Your posts help.

 

I've been fiddling around and I'll keep you posted on my results. I tried the 1000 tick chart, but the range of the day from left to right was very narrow, meaning the whole days data fit on my one monitor. Do you think another way to do it is just put the YM chart up on the right monitor, then the ES on the left, then just adjust the ES by plugging in values, to visually make them match? Would this be a valid way to keep it somewhat similar in action?

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Not a bad idea...pull them up side by side and just tinker till you get it where you can spot the same patterns.

 

The issue may be that they really move in close proximity but the volume/ticks are quite different. I normally use a 1 or 5 minute chart and other than the larger volume the patterns and flow look about the same so maybe a tick chart on ES won't work well?

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Not a bad idea...pull them up side by side and just tinker till you get it where you can spot the same patterns.

 

The issue may be that they really move in close proximity but the volume/ticks are quite different. I normally use a 1 or 5 minute chart and other than the larger volume the patterns and flow look about the same so maybe a tick chart on ES won't work well?

 

I sometimes use a 2-min chart in the past - and I when I checked the ES 2-min it looks very close to the YM 2-min.

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Bear,

I would just play with it and see. For volume based charts, this is an easy calculation as illustrated above. I do not use tick charts, so hard to say what is best here.

 

In terms of keeping things similar and smooth, have you considered volume based charts? Just an idea.

 

Interesting - i'll take a look at your posts. Ive actually never heard of volume based charts.

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I sometimes use a 2-min chart in the past - and I when I checked the ES 2-min it looks very close to the YM 2-min.

 

If you want a similar visual I'd run minute based charts and not tick or volume charts. JMHO.

Tick and volume charts will differ from the ES to the YM just based on the volume difference alone. Add to that the fact that the YM has really wacky movements sometimes since there are more noob's trading it on emotions. The candles tend to close almost identical to the ES but watch them while forming the candle and they often are very different till the close of that time period. Not to say there isn't noob's trading the ES or pro's playing the YM but the pro money on the ES greatly outweighs the lil guys on the ES.

 

I say pick a time frame for your given style and trading instrument and don't deviate. You will grow familiar with what the volume bars look like for that instrument and understand volume that is abnormal easier.

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ES and YM have totally different trading dynamics, IMO. From a 'controlling risk' perspective, I think it is much easier to trade ES as it tends to 'back and fill' and will therefore 'let you out' if you think your trade is not right after giving it some time.

 

But from a 'reward' perspective, it is much easier to make big moves in YM because it can just fall apart or take-off in a 'spikey' type of move.

 

Thus, if I am 'going with' a momentum move -- I use YM as it tends to trend strongly on extended spikey type of movement. Nasdaq (NQ) and Russell (ER2) behave like this too. I don't have to trade that many contracts to make a lot of money and can control risk by using smaller size.

 

If I am 'fading' a move (trading against the recent move because I don't think it is set-up for continuation) -- I use ES with bigger size. This is because if I am wrong about fading this move, I can often get out as it backs and fills and not suffer too much damage in terms of ticks/points.

 

Being on the wrong side of a 'dogpile' YM/NQ/ER2 move can be absolutely brutal. Likewise, being on the good side of ES is rarely as lucrative as YM. Thus, I like trading small er size with YM and larger size with ES to even this difference out.

 

In terms of charts, ES trades a ton more ticks than YM -- thus one ES 100-tick bar might take 45 seconds to complete while a 100-tick YM chart might take more than a minute.

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Awesome input Dogpile.

 

Good point on the YM often picking a direction and sailing with it where the ES seems to let you reflect very briefly and re-assess. The ES tends to roll up or down instead of just tanking or soaring as you scramble if your wrong.

 

I like your concept of YM when your pretty sure of the move to maximize profit potential and the ES when fading or not totally sure. I might have to steal some of that and modify it to use for myself. ;)

 

Question, on the YM I've heard there is less slippage, do you think that's bs?

I mean the DOM on the ES is quite deep so that could effect your fills BUT the 4 ticks per point gives you what I see as some wiggle room with more opportunities to exit/enter.

 

Thoughts?

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Awesome input Dogpile.

Question, on the YM I've heard there is less slippage, do you think that's bs?

I mean the DOM on the ES is quite deep so that could effect your fills BUT the 4 ticks per point gives you what I see as some wiggle room with more opportunities to exit/enter.

 

Thoughts?

 

This has been debated on ET before.

 

The thought process is:

YM tick @ $5

ES tick @ $12.50

 

Therefore, the 'cost of slippage' is less on the YM if you assume that when you place an order on the YM and ES, there is no slippage. Since the tick value is less on the YM, it costs you 'less' to trade here.

 

The serious assumption here is no slippage. The YM trades about 1/10 the volume of the ES so if you trade any decent size, you will see slippage on the YM; whereas you may not on the ES. So, the question then becomes how much slippage are you seeing on the YM. For every 2.5 YM slippage points, you'd do the same on the ES.

 

So in theory the YM could be 'less expensive' when trading small lots. When trading larger lots, you will see some slippage AND you can EASILY send some red flags. What I mean is, if you throw a 20, 30 or 50 lot on the YM, that will not go unnoticed. Throw a 100 lot on the ES and it's just normal trading biz. When trading larger lots, the last thing you want is to send a red flag out there in my opinion.

 

In the end, the ES is where the serious money is at. I suggest trading there as soon as possible b/c that's where you will end up trading, whether that is 3 mo's or 3 years from now. The ES has it's own characteristics as you guys have pointed out a few here, but it will take some serious screen time to see more.

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Question, on the YM I've heard there is less slippage, do you think that's bs?

I mean the DOM on the ES is quite deep so that could effect your fills BUT the 4 ticks per point gives you what I see as some wiggle room with more opportunities to exit/enter.

 

I don't think there is that much slippage on either. Some, yes -- but not a lot. This probably depends on the timeframe you trade on though... I don't make that many trades per day so this is less a factor than if you make a lot of trades per day.

 

One other thing I think is relevant that I didn't mention is actually pretty important. With ES, due to the 'back & fill' --- you can often enter at say 1501 and offer out 1/4 or 1/2 of your position for 6-7 ticks above that entry and get filled if your initial entry was pretty good. Even if you are wrong about the ultimate move, you get that partial position off at a profit and have low risk on the balance. This is much of the reason you can use bigger size on ES, IMO.

 

I don't think you can do this with the other contracts. For the other contracts, primarily NQ and YM, I usually use 'stop-orders' to ENTER. I am trying to 'join-in' on a dogpile type of move -- often due to program trading. You can still take partials off if the initial program pushes you to a profit right away -- but your 'stop' entry-order on YM will often be just fine in terms of short-term location -- whereas you cannot do this with ES -- I don't think you can ENTER on stop-orders on ES profitably -- you give up too much.

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I suggest trading there as soon as possible b/c that's where you will end up trading, whether that is 3 mo's or 3 years from now. The ES has it's own characteristics as you guys have pointed out a few here, but it will take some serious screen time to see more.

 

I'm going to try and sit and watch it starting NOV. and do some light duty trades. I like the idea of 12.50 per tick instead of 5.00 per tick. Not sure why I never tried it in the past, maybe because I started with YM and didn't bother to venture outside.

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I'm going to try and sit and watch it starting NOV. and do some light duty trades. I like the idea of 12.50 per tick instead of 5.00 per tick. Not sure why I never tried it in the past, maybe because I started with YM and didn't bother to venture outside.

 

My view is simple Bear - if you can make money trading, would you rather have $12.50/tick or $5/tick? All things being equal, I want $12.50.

 

This is assuming of course your system makes money over time.

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My view is simple Bear - if you can make money trading, would you rather have $12.50/tick or $5/tick? All things being equal, I want $12.50.

 

This is assuming of course your system makes money over time.

 

As a noob I look at it the opposite. Would I rather risk $5 per tick or risk $12.50 per tick? But I often think about fills and slippage between the 2. I'm a small timer so either could absorb my impact without a trace.

 

If/when I move up in lot size or feel my system is good to go I'll switch over to the ES and keep the YM for hedging use mainly.

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As a noob I look at it the opposite. Would I rather risk $5 per tick or risk $12.50 per tick? But I often think about fills and slippage between the 2. I'm a small timer so either could absorb my impact without a trace.

 

That was my point MC.

 

Until you are confident in your trading, 'only losing' $5/tick is the most attractive option.

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That was my point MC.

 

Until you are confident in your trading, 'only losing' $5/tick is the most attractive option.

 

Are you calling me a f'in loser?

 

 

 

:o J/K

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As a noob I look at it the opposite. Would I rather risk $5 per tick or risk $12.50 per tick? But I often think about fills and slippage between the 2. I'm a small timer so either could absorb my impact without a trace.

 

If/when I move up in lot size or feel my system is good to go I'll switch over to the ES and keep the YM for hedging use mainly.

 

True - the main concern should be how much you will lose. But i will say that with YM, I find small stops tend to get whipsawed alot, unless it's one of those crazy days when the trends are perfect, but these days rarely happen.

 

The thing with ES is, there are less ticks for equivalent distance of YM right? So this may completely change my dynamics. Meaning, let's assume YM is moving in tandem with ES. There's more ticks for YM because the resolution is finer right? Does anyone know if the asset value of the contract itself is similar to YM in size?

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The more important thing is the range of movement over the time frame your interested in. Volatility if you like.

 

In an ideal world you would want small tick size (granularity) large range and volatility within that range. Its easy to see why the ER was popular. Oh and or course you want thick volume traded so can you can get in or out easily (S&P certainly has that in spades). A higher $ value per tick can be good in so far as it helps keep commissions down (compared to amount traded). However if there is no volatility its tough making money. Still imo its better to have large $ swings with a lot of small ticks rather than large $ swings with a few big ticks. Worse is small $ swings with large tick size.

 

It's probably worth considering margin requirements too though personally that's seldom an issue for me as I tend to trade small compared to my account size. (Actually it needed considering if I required overnight DAX margin sometimes and foolishly IB used to count after 4.15 GMT overnight)

 

Looking at any of these parameters without consideration to how they all interrelate is not likely to yield wise decisions. Also dynamics change sometimes quite frequently and radically. The S&P for example is quite a different animal last I looked to when I traded it. In those days 20 or even 30 point runs where not unusual last I looked (some months back) 8 point daily ranges wherent uncommon. I would guess its enjoying a bit more volatility again now.

 

It's all important stuff (along with time frame you focus on) to get something that suits your own personality and risk tolerance.

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