Why the S&P E-Mini Stinks

[joshdance 10]

How ironic that I was thinking how much this market stinks today, and then I get an email for this thread! :-)

[StevenSJC 10]

Reading one of the posts just above I can say with 100% certainty guaranteed failure will come if you used those preset fixed targets - above it says 2 points and 4 points. That's a recipe for assured disaster. If I've learned anything in the years of trading futures it's never to use a fixed target and stop. It doesn't work.

 

I remember back in the earlier 2000s my typical target on the S&P was 8 points on a daytrade. Can you imagine that now? And that was multiple times a day opportunity.

 

Make sure you figure out a way that has you adjusting your target/stops with market range/volatility.

[phoenix01 10]

Reading one of the posts just above I can say with 100% certainty guaranteed failure will come if you used those preset fixed targets - above it says 2 points and 4 points. That's a recipe for assured disaster. If I've learned anything in the years of trading futures it's never to use a fixed target and stop. It doesn't work.

 

I remember back in the earlier 2000s my typical target on the S&P was 8 points on a daytrade. Can you imagine that now? And that was multiple times a day opportunity.

 

Make sure you figure out a way that has you adjusting your target/stops with market range/volatility.

 

Your completely right buts its VERY difficult to think of a way. I was thinking of incorporating some type of volality study to monitor daily, possible ATR? I think i did some backtesting but it was inconsistent. Any suggestions?

[joshdance 10]

Your completely right buts its VERY difficult to think of a way. I was thinking of incorporating some type of volality study to monitor daily, possible ATR? I think i did some backtesting but it was consistent. Any suggestions?

 

Why not consider how large the range is on the first hour of trading, along with using a relative volume study that tells you whether we are above or below average or median? It's not perfect but it will keep your expectations realistic perhaps.

[BlueHorseshoe 10]

Your completely right buts its VERY difficult to think of a way. I was thinking of incorporating some type of volality study to monitor daily, possible ATR? I think i did some backtesting but it was inconsistent. Any suggestions?

 

Using ATR and also Standard Deviation for stop-losses and profit targets seems to be quite common. It's usually pretty easy to set up on your chart by adapting an exisiting indicator (such as the Keltner Channel for ATR or the Bollinger Bands for Standard Deviation). Commonly, you'd want to leave the number of periods over which the volatility measure is calculated at an appropriate level (usually something shorter than the default though - you might look at something like the last 8 periods), but drop the average around which the bands are plotted down to 1 (ie. just the close).

 

This means that the channel will now plot, for example, 1.5 eight-period Average True Ranges above the closing price - if you enter on the close then your profit target is the upper band. Obviously you can adjust the number of ATRs you wish to target.

 

A slightly more sophisticated method is to use plot the upper band based ATRs/SDevs of the high price, around a one period average of the highs, and the lower band based based ATRs/SDevs of the low price, around a one period average of the lows. The idea here is to make a distinction between bullish volatility and bearish volatility.

 

If you happen to use TradeStation as your trading platform, then I can probably post some EL code for this.

 

Hope that's helpful, and doesn't just read as complete gibberish!

[phoenix01 10]

Using ATR and also Standard Deviation for stop-losses and profit targets seems to be quite common. It's usually pretty easy to set up on your chart by adapting an exisiting indicator (such as the Keltner Channel for ATR or the Bollinger Bands for Standard Deviation). Commonly, you'd want to leave the number of periods over which the volatility measure is calculated at an appropriate level (usually something shorter than the default though - you might look at something like the last 8 periods), but drop the average around which the bands are plotted down to 1 (ie. just the close).

 

This means that the channel will now plot, for example, 1.5 eight-period Average True Ranges above the closing price - if you enter on the close then your profit target is the upper band. Obviously you can adjust the number of ATRs you wish to target.

 

A slightly more sophisticated method is to use plot the upper band based ATRs/SDevs of the high price, around a one period average of the highs, and the lower band based based ATRs/SDevs of the low price, around a one period average of the lows. The idea here is to make a distinction between bullish volatility and bearish volatility.

 

If you happen to use TradeStation as your trading platform, then I can probably post some EL code for this.

 

Hope that's helpful, and doesn't just read as complete gibberish!

 

I will definitely look into this, looks like a really good option. My only problem with Bollinger bands and even the keltner channels is that i trade the pit session chart so usually there a gap on my chart. Therefore the bands completely play up for the first hour or so. Maybe i'll keep up a full session chart. But thanks for the suggestion.

[phoenix01 10]

Why not consider how large the range is on the first hour of trading, along with using a relative volume study that tells you whether we are above or below average or median? It's not perfect but it will keep your expectations realistic perhaps.

 

The only problem is that i quiet often place a trade in the first hour if its a strong open, so i would have no idea how to set the targets till a lot later.

[joshdance 10]

The only problem is that i quiet often place a trade in the first hour if its a strong open, so i would have no idea how to set the targets till a lot later.

 

Look at the globex volume up until the open. Plot it against a 20 or 30 day median, and see where it is in relation to it at the open. Look at the globex range. Look at the volume on the first two or three minutes of the RTH session-- do a statistical analysis (don't be scared) and see if there is a correlation between any of these things (globex range, globex volume, first three minutes volume of pit session) and the range of the RTH session. I have no idea if there is, but my gut says there is some, but again, not too hard to run an analysis on this with the right software.

 

Ultimately the market should say where your stop should be initially, and it will incidentally be higher or lower depending on the volatility. For example, if the prior low that you feel price should not reach is 1.5 points down, a 2 point stop will do. If it's 3 points away and you really think that's where it should be, you'll have to either risk more, or pass on the trade. Same for targets. Where do you think it will go given the current behavior of the market; look at today's ES for example. I took a trade whose target was 1311.00 (I was stopped BE early on) because I based that target on the chart, AND given the low volume, I felt it was reasonable; I should not hope for 30 points on a day like today, for example.

[BlueHorseshoe 10]

My only problem with Bollinger bands and even the keltner channels is that i trade the pit session chart so usually there a gap on my chart. Therefore the bands completely play up for the first hour or so.

 

I know exactly what you mean - I experience the same frustrations as I only trade the S&P cash session. If you happen to be using TradeStation then there is a simple way around this problem (but unfortunately I can't help you with any other charting package)?

[phoenix01 10]

Is there anyway to pick what the best days to trade the ES market on facts regarding volume, volatility, news annoucments etc etc. I don't have a back testing software and was wondering if people had noticed any correlations with good trending days.

[SunTrader 10]

Is there anyway to pick what the best days to trade the ES market on facts regarding volume, volatility, news annoucments etc etc......

Not in today's market and not for a long time anyway.

[TimRacette 11]

Is there anyway to pick what the best days to trade the ES market on facts regarding volume, volatility, news annoucments etc etc. I don't have a back testing software and was wondering if people had noticed any correlations with good trending days.

 

I trade smaller on Monday and Friday, a lot of times Monday is a gap and go day so there may only be one entry into the trend. Tues-Thurs is when a lot of the money is made during the week.

[metaltrade 10]

I have to react on the OP.

 

50 is a joke. I trade 50 contracts on the 6E on normal market hours and I get a fill instantly.

 

I have personally traded over 150 contracts on the ES and got instant fills.

 

A friend trader has placed 2000 contracts and got a fill on the ES.

 

If you think 50 contracts is a problem getting a fill you have never traded 50 contracts on the ES.

 

I have traded the ES on a daily basis and my last losing day is more than 40 days ago. I'm profitable every month on the ES.

 

If there is anybody who doesn't believe it. I'm willing to attest that officially by somebody who officially edits my account at Interactive Brokers.

 

This thread is nonsense.

[SunTrader 10]

.........

If there is anybody who doesn't believe it. I'm willing to attest that officially by somebody who officially edits my account at Interactive Brokers.

 

This thread is nonsense.

Well if it wasn't it sure is now.

 

Officially edits :haha:

 

The word is audit.

[metaltrade 10]

Well if it wasn't it sure is now.

 

Officially edits :haha:

 

The word is audit.

 

 

Haha, that's really funny, sorry my first langauge isn't english.

 

I can't edit that post either.

 

But still, my offer is there, if there is somebody willing to officially audit my trading account no problem for me.

 

I also want to point out, today was a medium slow day trading for me the ES but fills were no problem at all. I only traded with 20 contracts.

 

It is true that EPiQ (estimated position in the que) of software I use (X-trader) helps, but it's typically for a losing trader to blame it on the instrument.

 

In fact, I need guys like the OP to make money. i hope they keep doing what they do.

 

THANKS FOR THE MONEY ANYWAY.

[gosu 10]

I have to react on the OP.

 

50 is a joke. I trade 50 contracts on the 6E on normal market hours and I get a fill instantly.

 

I have personally traded over 150 contracts on the ES and got instant fills.

 

A friend trader has placed 2000 contracts and got a fill on the ES.

 

If you think 50 contracts is a problem getting a fill you have never traded 50 contracts on the ES.

 

I have traded the ES on a daily basis and my last losing day is more than 40 days ago. I'm profitable every month on the ES.

 

If there is anybody who doesn't believe it. I'm willing to attest that officially by somebody who officially edits my account at Interactive Brokers.

 

This thread is nonsense.

 

You trade 50 clips ES with IB? Why? You are getting jacked.

[metaltrade 10]

You trade 50 clips ES with IB? Why? You are getting jacked.

 

I'm not. They lowered their rates for me.

[metaltrade 10]

You trade 50 clips ES with IB? Why? You are getting jacked.

 

I don't only trade on IB, I'm also with Velocity and Deepdiscounttrading.

 

I just called out IB because I thought you guys would accept it more easely :-)

 

I'm profitable on all 3 accounts.

 

I pay $3.32 for 1 ES trade RoundTrip ALL IN (so including clearing & exchange, NFA Fee, commission)

[SunTrader 10]

Haha, that's really funny, sorry my first langauge isn't english......

The typo wasn't the only thing I found funny about your original post.

[cma6 10]

" It's very difficult at times to get a fill unless price moves through your price."

That happens in every very liquid market that exists.

 

"More important is the chart that showed Average Yearly Tick Movement across all the major index futures. Lowest rank? The S&P e-mini vs. the Dow, Nasdaq, Russell small and mid-cap."

What is "Average Yearly Tick Movement" and what is its significance?

It is not clear what you are recommending: Russell 2000 (small or mid-cap?) (mini) futures as a better trade for the small trader than the emini S&P?

[cma6 10]

Steven, have you traded the Russell emini on the ICE?

If so, what are your impressions of that trade vs. ES on the CME?

[cma6 10]

Doesn't ES just trade tick for tick off of SP?

How can there be much of an arb?

[SunTrader 10]

Doesn't ES just trade tick for tick off of SP?

How can there be much of an arb?

 

As Sting once wrote in a song:

 

I will turn your face to alabaster

Then you'll find your servant is your master.

 

ES rules now even when factoring in it being 1/5th the size of SP so the arb is the other way.

 

Today 1.7m contracts traded vs under 10k

 

But it does exist, only in fractional seconds though for the guys along side the pit.

Edited May 3, 2012 by SunTrader

[cma6 10]

You are saying that the primary market is ES, not SP?

Wow, I never would have guessed. And ES leads with SP following sometimes?

[cma6 10]

I can get live quotes on SP at Forexpros.com

Is there anywhere to get live quotes on ES?