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Hi Don,
That's a very interesting way of doing that. Up till now I just converted
everything into Dow points (using the cash indices) to gauge whether or not
the three were moving in sync and to identify the stronger/weaker. If the
Dow was at 9900, the SPX at 1140 and the NDX at 1600, you'd have multipliers
for the SP/ND of 8.7/6.2. So if the NDX was up 20 it would be the
equivalent of 124 Dow points. This allows quick comparisons and is easy to
track and display in TS.
But your idea makes a lot of sense and is one I hadn't though of...some
things never change....hehe. Thanks for adding another tool to the toolbox.
I hope the ER2 attracts enough volume too.
Bob
----- Original Message -----
From: "Don Roos" <rosewood@xxxxxxxxxxxxx>
To: "Bob Heisler" <BHEISLER@xxxxxxxxx>; "TaoOfDow"
<TaoOfDow@xxxxxxxxxxxxxx>; "Rich Tuchow" <rtuchow@xxxxxxxxxxxxxxx>
Cc: <omega-list@xxxxxxxxxx>
Sent: Sunday, November 18, 2001 7:59 PM
Subject: Re: Profit Taking --- Round 2 --- Other Alternatives
> 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
> >
>
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