|
PureBytes Links
Trading Reference Links
|
Bob:
Thanks for the helpful comments.
Using a spread line based upon the values of ES-NQ we have found to be
helpful. A simple formula such as this is useful:
Input: Input1(Close of data1), Input2(Close of data2);
Plot1(Input1*50 - Input2*20,"SpreadDiv");
One can then develop ma's and stochastic studies of the spread using a
longer time frame for the trend determination than for the trading trigger
setup. Using the ma of the spread, one can easily see that the es is
stronger than the nq for the particular time frame being visualized, when
the short ma is above the long ma (when es is data1 and nq is data2).
I will be interested in seeing if the new ER2 contract of the Electronic
Russell 2000 will develop enough trading to be used in spreads. (It is the
first cme contract using 3 characters for the base symbol, the cme site
says. The present bmi contract symbol would be ER2 Z1).
For any interested, the link for info on that is
http://www.cme.com/products/index/abouteminirussell.cfm
Don
----- Original Message -----
From: "Bob Heisler" <BHEISLER@xxxxxxxxx>
To: "TaoOfDow" <TaoOfDow@xxxxxxxxxxxxxx>; "Rich Tuchow"
<rtuchow@xxxxxxxxxxxxxxx>
Cc: <omega-list@xxxxxxxxxx>
Sent: Sunday, November 18, 2001 4:31 PM
Subject: Re: Profit Taking --- Round 2 --- Other Alternatives
One addition to the Mini thread...take a look at the NQ if you haven't
already done so. I've found the NQ to be greatly preferable to the ES on
most occasions and only trade the ES when I think I have to, and then
grudgingly so. The margin requirements are about the same but the NQ is
normally cleaner, has less noise and trends better - all of which make it
easier to manage a trade.
It moves about 3 points to every 1 point on the ES right now, so during the
day I am always looking to see if it's easier to get 6 points on the NQ or 2
points on the ES, and in which direction(s). These aren't profit
objectives, just my way of determining which contract is best to trade in
the current environment. Being willing and able to trade both/either can
come in very handy especially on those days where the Dow/Nasdaq diverge
(buy the stronger/sell the weaker). You may also find that the best trading
conditions usually exist when the Nasdaq is leading the charge.
Bob
----- Original Message -----
From: "TaoOfDow" <TaoOfDow@xxxxxxxxxxxxxx>
To: "Rich Tuchow" <rtuchow@xxxxxxxxxxxxxxx>
Cc: <omega-list@xxxxxxxxxx>
Sent: Saturday, November 17, 2001 10:22 PM
Subject: Re: Profit Taking --- Round 2 --- Other Alternatives
> Dear Rich,
>
> It has been fruitful to me to consider several possibilities that are "out
of
> the box" that you have considered --- some of these have been mentioned by
> others, notably Ted & Bob.
>
> 1. Trading multiple contracts, each under its own parameters. The fellow
in my
> mind most associated with this idea is Joe Ross, of "Ross Hook" fame, who
> advocated trading threes: taking one off after making one's commission
expenses;
> the second off after making a few, predetermined number of points; and the
last
> off upon hitting a trailing stop set up to catch a substantial move. Ted
> elaborates on this specifically and Bob generally. I recall Bill Williams
> saying that his hardest time trading was trading one-lots (and secondarily
any
> fixed number of contracts, all or nothing), and I find it emotionally
easier to
> trade several contracts, each with its own rules, than one size all or
nothing.
> That having been said, I find it easier still to trade one size all or
nothing
> very tightly (see #2 below) as well as varying the size of my entry
depending on
> the size of the anticipated move. This is one of these situations like
Justice
> Stewart who in answer to the question, "What is obscenity?" Replied: "I
can't
> give you a definition, but I know it when I see it." I can't give you an
> objective description of "This is the start of a big move." But every now
and
> then, something goes off in me when I see something on the screen, and
what goes
> off in me says "Start of big move --- This is an opportunity --- Be
courageous
> --- Don't fuck up and play chicken --- Commit!!!" And for reasons that I
can't
> explain, my feelings more often than not (much more often than not) will
be
> realized. I just wish I had some control over whatever it is that goes
off in
> me. It just happens, often without my expecting it, in fact when I
usually
> least expect it. I've learned that it occurs, if at all, only when I have
let
> it go and am not looking for it. For a control freak such as myself who
was
> trained and has worked largely in analytic environments, it has been a
real
> challenge for me to get out of my analytic and into my intuitive. All I
can say
> is that I seem to be more successful as a trader when I rely less on my
analytic
> and more on my intuitive, although this has indeed been a long, difficult,
and
> stressful learning experience for me, and I still have much yet to learn
with
> it.
>
> 2. Trading in and out through a move. Bob elaborates on this. The great
> majority of my larger "trades" (a la 10-15 point "trades") consist of
multiple,
> smaller trades --- they hit my profit targets, I get out, and look to get
back
> in, just like with a new trade, although in the same direction as the
last. I
> basically don't use stops, especially trailing stops. I get out mostly on
> profit targets, a small pullback upon the failure to hit a profit target,
or a
> small gain/loss or scratch following entry. The market does what I expect
> (occasionally) or I'm outa' there (much more often than I would prefer ---
God I
> ain't). Bob has some cogent comments about this, which reduce down for me
to
> "Plan your trades, and trade your plan." I can guarantee you that when I
start
> messin' with my plan during the day, generally as a result of my
perception of
> what has transpired for better or worse with my trading earlier that day,
I am
> colluding with my own prospective failure. For me at least, I just don't
have
> what it takes to both think and trade, and when I try to do both, I shoot
myself
> in the foot and will soon (altogether too soon) regret my extravagance.
Another
> lesson that has been hard for me to accept, and I'm still working on it.
>
> 3. Trading selected hours. In my experience, there is more opportunity
for
> profits available for trading during the first and last hour or two of the
> market day than during the middle of the day (the "noon balloon"). No
wonder,
> all you have to do is spend a day or two on the floor and watch its
population
> fluctuate during the day. It's packed at the open, and after an hour or
two,
> sometimes you could roll a bowling ball from from one side to the other
and not
> hit anyone. Then the guys come back from lunch for the last hour or two
before
> "quittin' time." If I were looking for larger moves, these would be the
times
> that I would look for them.
>
> 4. Trading selected days. In my experience, it pays to be at my desk
> especially on Mondays and Fridays as opposed to other days of the week
(Goldspan
> days excepted, among others). If I were looking for larger moves, these
(and
> Greenspan days, among others) would be the days that I would look for
them.
>
> 5. Developing ways to discern, upon the initiation of a move, whether the
move
> will peter out after 3-5 points or extend further.
>
> 6. Developing ways to discern, after a move has gone 3-5 points, whether
it
> will now peter out or extend further.
>
> Frankly, I find entries more problematic than exits. The exits just seem
to pop
> out at me. It's the entries that I struggle with. I continue to attempt
on
> entry to buy the bottom tick or two or sell the top tick or two. I gotta
get
> over that. I'm driving myself nuts with it.
>
> Lastly, I was surprised to read that you identified yourself as "an S&P
...
> trader", in the sense that I was surprised to read that you are trading
the S&P
> and curious why you had not switched to the S&P E-mini. I guess I am
going to
> expose my naivity and ignorance here. In my experience, my (what I have
come to
> see as a long overdue) shift from trading the S&P to the S&P E-mini has
been
> nothing but positive. Perhaps you trade much more size that I or have
other
> reasons for doing so. Although I traded very little, I used to trade the
S&P
> through a commercial/wholesale desk that routinely traded 100s and
occasionally
> 1000s (I can remember standing in back of the head of the trading desk
when he
> sold 1000, old $500 contracts during a fast market down and his worst fill
was
> half a point off his desired price) --- my max was 10-lots, which was
very, very
> seldom; my usual was onesies and, if I was really feeling my cojones,
twosies.
> That desk gave me what seemed to me to be great service at reasonable
rates
> ($17/car). To my surprise and increasing pleasure, all in all (speed,
> commissions, fills, relative absence of human interaction, etc.), I have
come to
> prefer my experience with the E-mini and electronic trading relative to
open
> outcry trading. Would you be willing to tell me what keeps you trading
the S&P
> as opposed to the E-mini? Maybe you are a member or a lessee?
>
> Sincerely,
>
> Richard
>
>
> Rich Tuchow wrote:
>
> > I am an S&P day trader and keep going back and forth in my mind my exit
> > strategy. There are 2 schools of thought 1)let profits run 2)don't try
to
> > be a pig on every trade. It seems that every time I grab the 3-5 point
> > profit the trade goes on to 10-15 points and every time I let profits
run,
> > the 3-5 point profit disappears. I am not particularly found of
trailing
> > stops because you have to be willing to give back a fair amount of
profit.
> > Others use a staggered exit strategy such as take 1 contract off at 3
points
> > another at 5 another at 8 etc.
> >
> > I would be interested in hearing only from successful S&P day traders
which
> > school of thought they follow.
> >
> > Thanks
>
|