YM Scalper

[ZOSO 10]

I backtested a system that runs 24/7 on the YM with an 8 point target and an 8 point stop.

 

In a typical month, the system generates approximately 120 trades with an 85% win rate.

 

The next step is to code it to auto-trade on NT.

 

I am curious to get your opinion how many contracts per trade the YM could handle before slippage becomes an issue.

[diablo272 10]

I am interested in this as well. My only contribution is that the answer you get will not be a concrete amount. This is because you can even get slippage if you're only trading one contract, it's just that as you go up in size, it becomes more and more likely that you will get slippage on at least some of those contracts. And are you using AON orders, or no? If you really want to get an IDEA (only an idea, since no sim is the same as live trading) of this, trade this system on a replay, or I imagine you could use the backtest function within NT using increasing size as the only variable. Also you can just open a DOM at any point during NY and Globex hours and look at the size of the inside bid and ask. It would be ideal if you could somehow connect the inside BxA of the DOM to a spreadsheet, so each time the sizes of the inside BxA change, they would be recorded into the spreadsheet, and then you could average these over a series of days, weeks, and months, and you might have a decent picture of market depth at different times of the day. I have no idea if something like that is possible without knowledge of programming, though.

 

Another thing to think about is that you may just want to program your system for the ES instead of YM.

 

So I am aware of ways that I can get this information myself, and before I increase my size past a certain amount, I will certainly begin work on this, but I am personally just interested in the experiences of those who trade or have traded larger size live on the YM. Also, if you have experience trading larger size on NQ or ES, that is pertinent info as well. Thanks.

Edited July 27, 2009 by diablo272

[ZOSO 10]

diablo, the system enters only on limit orders. Clearly, after hours the market is very thin and your suggestion is constructive. The good news is less than 10% of the trades are triggered after hours.

 

I am also testing the system on the ES, EC, CL and FGBL as well, with different profit and stop parameters adjusting to their respective volatility. My early takeaway is the ES is not as successful using the system as the other instruments. I attribute this to the overall lack of professional traders in those other markets.

Edited July 27, 2009 by ZOSO

[swansjr 10]

I backtested a system that runs 24/7 on the YM with an 8 point target and an 8 point stop.

 

In a typical month, the system generates approximately 120 trades with an 85% win rate.

 

The next step is to code it to auto-trade on NT.

 

I am curious to get your opinion how many contracts per trade the YM could handle before slippage becomes an issue.

 

 

Would love to see your results and/or your code. I have experience in developing systems, but I've not had much luck with developing scalping systems.

[zdo 20]

ZOSO

 

very generally… basically nimble size is forced to the ES

These days in the YM, complete fills and fills all at one price start going away at 12 cars and quickly becomes really evident 15 and > and by 30 it’s a mess. 5 cars still go off ok

… statistically speaking (of course )

… and that’s “these days” in these conditions

… needs to be checked weekly

…also time of day is important

…not to mention, broker is important factor

 

hth

Edited August 5, 2009 by zdo
:)ly was a block head

[ZOSO 10]

ZOSO

 

very generally… basically nimble size is forced to the ES

These days in the YM, complete fills and fills all at one price start going away at 12 cars and quickly becomes really evident 15 and > and by 30 it’s a mess. 5 cars still go off ok

… statistically speaking (of course )

… and that’s “these days” in these conditions

… needs to be checked weekly

…also time of day is important

…not to mention, broker is important factor

 

hth

 

Right. I'm not enamored with YM in general and won't trade it live; ditto for the NQ, TF or any of the other E-mini financial indexes. I would like to tame the ES only because it is liquid, but that is a double edge sword. I haven't thrown in the towel on it, but with many other alternatives, I'm not breaking my back to find a system either.

 

Anyway, the early test results on CL, ZB, and EC are promising as scalper systems running 24/7. I like the idea of making money while sleeping at night.