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cajam

Hello from Australia

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My name is Cameron I have just started intra day trading the SPI200 futures. I have been demo trading and live trading on and off as I develop my techniques.

 

I have developed some mechanical trading systems using TradeStation that are profitable but I find it too slow (EOD). I am manually backtesting my intraday approach which is a bit of an ajustment for me but I feel closer to the price action and able to design systems that i couldn't possibly program.

 

I think this is one of the best forums I have come across and appreciate the generosity of its members. I will endeavor to reciprocate.

 

Thankyou.

Cameron

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Hey Cameron where abouts in Aus are you from?

 

I'm a Melbournite myself :)

 

SPI200 is a bold choice, not enough liquidity here! Have you tried trading the Nikkei instead? Basically same time zone and wayyy more liquidity than anything we could hope for on an index contract here in Aus unless you want to trade the bonds or the greasy wool futures!

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Thank you for the warm welcome, I hail from Sydney south coast (Wollongong area)

 

With regards to my market choice, to be honest I have not looked past the local market yet. I am told the Heng Seng is brutal with regards to slippage, I have looked at it EOD for mech system trading but not intra day yet. I am very new to the intra day time frame.

 

My goal is to trade systematicly on very short swings that give 20+ signals per day. I want to apply my edge as many times per day as possible to average out the winners and losers.

 

Interestingly all the short term EOD systems I have designed were counter trend, shorting extremes etc but I am more comfortable with trend approaches in day trading

 

I have been watching the SPI Tick data and am looking at trading micro break outs with a 3 point stop, 4point target or trail for about 8 - 10 points. So far I have come up with some good setups that backtest fairly well but I have only got 2 weeks of data so far. I am using an IB connection through Ninjatrader and recording each day.

 

My basic method is as follows:

{define trend - Higher highs, Higher lows (Uptrend)

 

If I am in an uptrend and receive a lower High, I will look to short the break from the previous Low pivot.

 

I will also take the first continuation break out.}

 

I have a variety of filters to keep me out of periods when my setup fails (at the top and bottom of Trading ranges etc.). It seems the first 15 - 20 minutes and last 20 -30 minutes are the worst times for this setup as it is too choppy at those times on a tick chart.

 

With no filters if I take every signal during a day 40+ it seems to be a profitable strategy but sometimes there is a string of losses 4-5 that hurt. Still in the early stages but am committed to working out a strategy that fits this lucrative time frame.

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Keep on testing your system mate. It sounds nice and simple and if you feel comfortable with it then fantastic.

 

However like I said earlier, if you're looking for 20-40 setputs a day and are hoping to make a decent living then forget about the ASX200 SPI futures, theres not enough volume going through. If your taking that many trades per day you'll be one of the biggest players on the whole market! If you want to trade more than 1 lot then you may find it hard to get in/out of your positions. Try the Nikkei instead. Same time zone, generous tick size, and also a heap more volume!

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