Haven't post for a while, I didn't get enough time slot for trade, so not much to post about. But in my spare time, when market is closed, I studied about the difference between stock futures and forex, here are some findings.
1: An old saying, a chart is a chart, it's the same on any market. This is true.
2: The markets ARE different, from time frame to trade, the size to trade, the width of the stop. They are all different. So on winning strategy can work on another market and it CAN lose badly too.
3: SPY is just the same as ES, at least I couldn't tell any difference from the chart.
More on futures:
ES is mini sized S&P. Which is $50 per point per contract, meaning it's $12.5 per tick (pip in fx). And it's the same as you trade 500 shares of SPY. So if you want smaller risk, trade smaller size with SPY, if you want bigger return and bigger leverage, go with ES!
After hour for ES does move, but u need to see the bid/ask to at least 200+ level. Otherwise it's just a waste of time.
ES close at 4:15 EST PM, to avoid over night margin, close you position before that.
More on FX: USD/JPY pair.
IB gives 1 to 50 leverage, you pay 1000$, you can buy 50K USD/JPY and then USD goes up 5 pip, u sell, u will get 25$ profit. Then IB takes 5$ as commission.
So far IB is the best I found, the rest of broker charge NO FEEs, but they provide much wider spread. If you are trading 100K slot, one pip is already $10.
Don't get fooled by FX AD saying, this is the biggest market in the world, 2T$ a day.... Everyone is trading on 1/50 margin, so it's really just 40B$ a day, smaller than US stock market.
Showing newest posts with label thought. Show older posts
Showing newest posts with label thought. Show older posts
Tuesday, April 22, 2008
Saturday, March 15, 2008
Mid March review and couple changes.
First of all, I'm -0.6R, that didn't bother me, even now I'm trading double the size, I just need to summarize my trading in the past weeks.
1: There is one more high possibility setup I found, it's heavy volume on 15 minutes chart and far from EMA5, but 5 minutes chart looks good. Example is ADSK CIEN
2: No trading for the ones that are within ORH/ORL, example MHS.
3: Be careful on the setup at ORH/ORL with low volume, not the low volume on the entry bar, but low volume overall. Example: T.
As my schedule changed, the time available for trading is limited, I was thinking of trading futures in after hour, but just found out that you cannot use stop order in AH. That can put myself in much higher risk if I'm wrong in the direction. Also, future has much bigger size, compare to just trade SPY. ES future is almost as you buy 500 shares of SPY for 1 contract of ES. So if you want to limit your risk to 100 or 200$ per trade, and when there are 3 or 4 points on the entry bar, you don't have a chance to buy 0.5 contract or something like that. I will be looking for setup to trade SPY in the next couple days.
1: in 3 minutes chart, as my trading time is really limited, I need the setup works in a short time frame, which means it will move faster.
SPY
1: There is one more high possibility setup I found, it's heavy volume on 15 minutes chart and far from EMA5, but 5 minutes chart looks good. Example is ADSK CIEN
2: No trading for the ones that are within ORH/ORL, example MHS.
3: Be careful on the setup at ORH/ORL with low volume, not the low volume on the entry bar, but low volume overall. Example: T.
As my schedule changed, the time available for trading is limited, I was thinking of trading futures in after hour, but just found out that you cannot use stop order in AH. That can put myself in much higher risk if I'm wrong in the direction. Also, future has much bigger size, compare to just trade SPY. ES future is almost as you buy 500 shares of SPY for 1 contract of ES. So if you want to limit your risk to 100 or 200$ per trade, and when there are 3 or 4 points on the entry bar, you don't have a chance to buy 0.5 contract or something like that. I will be looking for setup to trade SPY in the next couple days.
1: in 3 minutes chart, as my trading time is really limited, I need the setup works in a short time frame, which means it will move faster.
SPY
Sunday, January 20, 2008
weekend thoughts..
After review the trade I had for the past weeks, I realize that I shouldn't be focusing on single / two bars patten too much, shift to price action/trend line analysis can make my trade much better. My scanner was purely based on single/2 bars patten, these are not bad thing. But I got lots of false signals while the price is at a choppy area which is not critical to the breakout play.
My goal is to find good entry bar in an existing trend or breakout. Honestly, I don't know how to code it yet.
Then I listed the trades I like the most from library and realize that they are ALL happen in the ORH/L area, note, my ORH/L including previous day's H/L too, whichever is bigger/smaller. For example, previous H/L 25/23, ORH/L 26/24, then I use 26/23 in my code.
So I didn't code the trendline, but I narrow my scanner to ORHL area, the result comes out better than the existing scanner.
Also I changed my exiting rule in the backtest to use trailing stop, not the typical trailing stop by a fixed percentage or amount, but trailing by the previous bar's low. I compared couple different stop methods:
1: trailing stop by previous bar.
2: Fixed 1R vs. 4 R ( L vs. P )
3: Scale out 50% at 1R and let the rest run.
It turns out #1 has the best PF. If you don't know what's PF, Move the Markets has a very good topic.
Another thing I did was change my position size in backtest, I was using a fixed amount in my back test, but now it's base on a fixed R size. At the end of this post is the code in case you are interesting in IB. (Sorry, I couldn't get the code on this page, it's always got messed up by html editor. Contact me in comment if you want to see the code. )
The following are some examples from my scanner:
Here is an OK play,
and here is an losing setup,
here is a winning setup.
Also, I realize the good trade came out from this current scanner are not much based on Gaps. Yes, they are still Gaps, meaning the Open is still Higher/lower than previous close, but not big enough to be picked up by my previous script. So I will change my watchlist to add some stocks that are better for this type of play, they are now:
1: price between 20-80
2: average vol greater than 3m.
3: ATR / Close is greater than 3.5%.
A totally different topic:
If you want to trade for a living, it doesn't look as easy as others did. Here are some facts:
1: Let's say you currently making 100K a year before tax, you will need to make about 138K (fib number) to cover all the expenses if you are self employed, such as medical insurance and 401k etc.
2: There are about 46 weeks you need to work every year (excluding holidays/vacations etc), so you will need to make 3K a week.
3: It depends on your trading strategy/style, how many trade you will take on an average daily. Let's say you take 2 high quality trade (trade that you entered on your edge, we don't even count the random trade, feel good trade, revenge trade, you shouldn't trade these at all), so it's 10 trades per week.
4: Let's say you have a 50/50 winning ratio, and you win 2R or loss 1R on any given trade (PF = 2, a pretty good system), so you R will need to be $600
5: If you are risking 1% as your R size, you will need 60K capital to start with.
My goal is to find good entry bar in an existing trend or breakout. Honestly, I don't know how to code it yet.
Then I listed the trades I like the most from library and realize that they are ALL happen in the ORH/L area, note, my ORH/L including previous day's H/L too, whichever is bigger/smaller. For example, previous H/L 25/23, ORH/L 26/24, then I use 26/23 in my code.
So I didn't code the trendline, but I narrow my scanner to ORHL area, the result comes out better than the existing scanner.
Also I changed my exiting rule in the backtest to use trailing stop, not the typical trailing stop by a fixed percentage or amount, but trailing by the previous bar's low. I compared couple different stop methods:
1: trailing stop by previous bar.
2: Fixed 1R vs. 4 R ( L vs. P )
3: Scale out 50% at 1R and let the rest run.
It turns out #1 has the best PF. If you don't know what's PF, Move the Markets has a very good topic.
Another thing I did was change my position size in backtest, I was using a fixed amount in my back test, but now it's base on a fixed R size. At the end of this post is the code in case you are interesting in IB. (Sorry, I couldn't get the code on this page, it's always got messed up by html editor. Contact me in comment if you want to see the code. )
The following are some examples from my scanner:
Here is an OK play,
and here is an losing setup,
here is a winning setup.
Also, I realize the good trade came out from this current scanner are not much based on Gaps. Yes, they are still Gaps, meaning the Open is still Higher/lower than previous close, but not big enough to be picked up by my previous script. So I will change my watchlist to add some stocks that are better for this type of play, they are now:
1: price between 20-80
2: average vol greater than 3m.
3: ATR / Close is greater than 3.5%.
A totally different topic:
If you want to trade for a living, it doesn't look as easy as others did. Here are some facts:
1: Let's say you currently making 100K a year before tax, you will need to make about 138K (fib number) to cover all the expenses if you are self employed, such as medical insurance and 401k etc.
2: There are about 46 weeks you need to work every year (excluding holidays/vacations etc), so you will need to make 3K a week.
3: It depends on your trading strategy/style, how many trade you will take on an average daily. Let's say you take 2 high quality trade (trade that you entered on your edge, we don't even count the random trade, feel good trade, revenge trade, you shouldn't trade these at all), so it's 10 trades per week.
4: Let's say you have a 50/50 winning ratio, and you win 2R or loss 1R on any given trade (PF = 2, a pretty good system), so you R will need to be $600
5: If you are risking 1% as your R size, you will need 60K capital to start with.
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