|
PureBytes Links
Trading Reference Links
|
I would like to entertain/stimulate a discussion about the myths/truths of
emini stock index futures day trading systems. I have done a lot of research
on this subject, and I'm not just trying to bait or badger system ideas out
of anyone. I am sincerely interested in testing my own theories and debating
the topic with others who share my interest....so here goes:
My 8+ years of research so far on this subject has led me to hypothesize the
following:
1. There is no proof that anyone has made money consistently using a 100%
mechanical system to day trade emini stock index futures. This is not meant
to insult those who claim to be doing so, or to call them liars. I am
well-aware that many CLAIM to be making money consistently day-trading a
100% mechanical system on eminis, and I sincerely trust the honesty and
integrity of these people. However, I have seen no PROOF that anyone does it
consistently, year-after-year. I don't know or care how it would/could be
proven, I just want to state my hypothesis that no such proof is available
to the public. In other words, "the suggestion that one can day trade the
emini stock index futures with an automated system has not been publicly
proven."
2. One of the most "robust" commercially-available 100% mechanical systems
for day trading the big S&P contract is the R-Mesa program. This conclusion
is based on my search for the last 8 years of a viable system for trading
the eminis. I have learned a lot about curve-fitting and "robustness." I
understand that most systems are simply fit to past data. However, judging
by published track records for every commercial S&P system I've ever seen,
R-Mesa seems to be the only one that has performed consistently since 1985.
I have asked the developer of R-Mesa (John Ehlers) and others about using
mechanical systems on the eminis. The consensus seems to be that even the
best big contract S&P systems will not "work" as well on the eminis, and
that maybe NO system can work on the eminis. These ideas have led me to the
following "master" hypothesis:
3. There is no commercially-available 100% mechanical system for day trading
the emini futures that can show a "reasonably robust" performance record
over the entire life history of the emini futures (works on over the
life-of-contract for all 7 emini markets <2-7 years depending on the
contract>). If such a system exists, then it is in very high demand and
would become well-known to the public very quickly. Therefore, I have
concluded it is "reasonable to assume" that no such system has been
available since the emini futures began trading.
Okay, those are three of the hypotheses I'm working with. I would appreciate
an opportunity to discuss/debate this topic with others....assuming anyone
else shares my fascination about this. I have even thought about writing a
book about this, and I'm hoping that creating a thread here will help me
gauge public interest in such a book. Maybe it's old news and I'm just slow
to realize what everyone else already knows. Maybe I've missed some
important information, or maybe I'm missing out on some great opportunities
to become an emini systems day trader.
I'm just another wannabe trader like everyone else. I've never made a dime
trading futures, and I don't claim to have any secret power to help anyone
else do so. I'm just a Tradestation "enthusiast" who's fascinated by the
mystique and fantasy of day trading the emini futures. I'm currently trading
a system on the YM, but I feel my expectations are reasonable. I don't
"expect" the system to make money, and I've accepted it as at least 50%
possible that I willI lose the max drawdown amount ($4000.00) of my system.
I understand that there might be system-assist brokers or system vendors of
questionable systems who will attack my ideas aggressively here (as they
have on TradestationWorld). I only ask that we keep the conversation civil
and avoid personal attacks. Attack my hypotheses, attack my research, but
please don't start the name-calling that sometimes results when anyone
proposes the notion that "mechanical systems trading is highly-speculative"
I am sincerely opened to opposing views, and I promise to debate without
resorting to personal attacks.
Ron Hudson
Tradestation 7 Easylanguage Specialist
|