ok. I don't buy the daytrading paradigm anymore 100% but when things move overnight and stops are useless whatdaya do ?????. In futures if properly executed you can make a living from some DT and a lot of big or small home runs. Since I started in futures there are lots of changes - it now has become 7/24 affair - sp indecies are traded around the clock and Globex has finally "grown up". Is anyone here take indecies home at all ???? If so how do you have the balls, even if has sizeable profit (which would warrant such a move your stops may or may not work.
andrasnm, I'll take the NQ home overnight. I'd like to say that I sleep without worry, but that's not so. My test is this: if I can't sleep, then I've got too much risk. If I sleep like a baby...well, then I must be flat... I'm a mechanical trader. My solution to this issue has been by testing heavily. I've got seven years of historical intraday data, plus EOD continuous contract data bact to the inception of the ND and SP. (Is that enough for me? Nope, that's why I sleep with "some worry"). I've tested both the overnight moves on an absolute basis as well as the worst overnight moves in my systems. Since "my worst loss has yet to be realized," I'm going to be taking an extreme view. I know my 1 standard deviation loss in my system, so I'll first look at 3 to 5 times that amount. I'll also do the same with the absolute overnight moves and assume that I'm in the opposite position. Next for comparison, I'll take the worst case of each of the above and triple that. (Within reasonable limits--e.g. a 5X500point=$50,000/contract loss isn't possible with the NAZ at 1600). With this set of really ugly numbers, I'll throw in a bit of subjective and discretionary approach and decide just what I can stomach. Sometimes that means I won't trade the system at all. Other times it means I'll pull off some contracts before the end of the day (for my systems which are more in the swing trade timeframe, that means giving up part of the profits too). Or I'll even consider trading the system by going flat at the end of each day--which really diminishes the profit on swingtrade timeframe systems--but may be worth the risk reduction. So, in the end, I'm taking the NQ home. I know that my analysis described above is not the absolute worst case, but with an overnight market, I assume I'll get stopped at some point with some horrendous slippage, possibly quintupling my worst loser.
The one contract NQ if it has profits, and I would only take home a profit (with stops) won't kill you but it may take your profit back or worst put you in a loser next day. On the long run it maybe worth it if you take home winners and strong follow through assumes next day. Which is why I strongly feel that without overnights moves in your favor you will lose potential profits.
I believe holding overnight is the way to make really big money in the S&P futures. Right now I don't even think about doing it but I hope one day I'll have enough capital , experience, balls and a nice YTD P&L to do it. Anybody who held S&P (or NDX futures to a lesser extent) at the close of trading on 9/21 made a huge homerun even if the position was closed 2 days later.
Andras, I do a lot of trading in the S&P and more than 90% of my trades have a holding period of more than one day. Also, I never use stops. The risk is all relative to leverage. I look at the probability distribution of swings in the SP and work out what I am comfortable with losing in 5% of worst cases. Interday is not necessarily riskier than intraday. Say you don't want to lose more than 20 points on a trade and you happen to be long on Sep 10. You would have been hit for approx 60 points, or 3 times greater than what you allowed for. Then consider a daytrader running 2 point stops. The fed announces a surprise rate cut and your stop is filled 30 points away - 15 times what you allowed for. Hope this helps
Not to mention that if you're really concerned you can place stoploss on Globex overnight to help sleep easier. Although I would only place stops farther out than normal as the low volume on Globex at night sometimes it seems people are pushing the market around to trigger stops. Normally I'd love to play this game too but spread is too high on Globex for my taste.