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Old 01-24-2012, 04:29 PM   #105

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Re: Why the S&P E-Mini Stinks

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Originally Posted by phoenix01 »
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!
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Old 01-24-2012, 08:17 PM   #106

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Re: Why the S&P E-Mini Stinks

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Originally Posted by BlueHorseshoe »
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.
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Old 01-24-2012, 08:19 PM   #107

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Re: Why the S&P E-Mini Stinks

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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.
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Old 01-24-2012, 10:28 PM   #108

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Re: Why the S&P E-Mini Stinks

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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.
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Old 01-25-2012, 02:39 PM   #109

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Re: Why the S&P E-Mini Stinks

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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)?
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Old 01-29-2012, 11:21 AM   #110

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Re: Why the S&P E-Mini Stinks

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.
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Old 01-29-2012, 11:26 AM   #111

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Re: Why the S&P E-Mini Stinks

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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.
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Old 01-30-2012, 07:11 PM   #112

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Re: Why the S&P E-Mini Stinks

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Originally Posted by phoenix01 »
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.
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