Can you buy "the index"?

Discussion in 'Index Futures' started by thereuare, May 29, 2002.

  1. Matthew,

    Thanks for the email, but where on the site is the historical data?

    #21     May 30, 2002
  2. matthew


    They should have come through as .prn files. Did they not?
    #22     May 31, 2002
  3. They're there, i just didn't see them.(not my main email program)

    That's the info i need, but each file only had 1 day of data... anyplace i can get that daily data but covering a few month period? Maybe the CME's website?

    #23     May 31, 2002
  4. I have traded Nasdaq futures successfully based on an index analysis strategy, but its not easy, there is a lot to learn. Here are my observations:

    1. Trade the e-mini futures if you trade anything at all. The brokerage costs are only half the cost to trade QQQ, the liquidity is better, and you don't have to worry about partial executions costing you extra in brokerage costs. Forget QQQ, and forget basket trading - they cost too much. If you can't make money trading the e-mini, then your strategy will not work.

    2. Sell into strength and buy on weakness. If you do the opposite, you will underperform the associated index numbers for that time frame. The only way to come close to matching index numbers is to sell when everyone else is buying, because I think the premium paid versus the cash index gets larger. Sometimes I see the premium as high as 4 or 5 points, and sometimes it drops to zero, or even below the corresponding index value. Its hard to compare them, because one is slightly delayed, but you get the point. But you can't afford to give away 2 points average on each trade due to random price fluctuation.

    3. Use an NDX index ticker to compare where the futures prices are in relation to the cash index. Every 15 seconds you get a new tick, and a new comparison can be made. This helps you see if the premium is high or low at any given moment. You can't afford to overpay when buying and get underpaid when selling, otherwise such a strategy based on an underlying index will blow up on you. I like to use the LYCOS ticker at this link:

    4. Paper trading futures in not realistic in my opinion. There is no way to verify whether you will actually get executed or not. If you feel you have a winning strategy based on index numbers, test it by trading one e-mini contract at a time for a month and see if you can at least break even. If you can make money with one contract, you can make a lot more with 20 contracts.

    5. Use a low cost broker, you can't afford high commissions, they eat any potential profit. I use e-local and pay $6.50 RT, but IB only charges $4.80 RT. I would use IB, but they don't accpet Canadian accounts.

    6. It takes time to learn. Have enough before you start to withstand some learning curve losses.

    7. Make sure your index strategies make an AVERAGE profit of at least 0.10% per trade on paper. Anything less and you will be trading just to break even. Anything more is better. After you factor in brokerage costs and slippage, you need at least that much theoretical return per trade to justify making the trade.

    8. Avoid using a lot of stops. By the time the cash index reaches your stop loss, the futures will have lost more. Getting out in a panic situation is never a very good deal for you. I set a high stop loss of 2% loss on the cash index, basically only saving myself from really big catastrophes. I find that as soon as you get out in a panic, the price will have improved for you a few minutes later. So I only use stops in emergencies.

    9. Don't let people on this board tell you "it can't be done". What they should be saying is "I don't know how to do it myself". I have made over $25,000 US funds trading nasdaq e-mini futures in the last 5 weeks. And I use strategies based on index numbers, the same type of strategy others around here say won't work. Yes, it was a really great 5 weeks, but it wasn't luck. And no, I am not going to tell you exactly how I did it.
    #24     May 31, 2002
  5. To show how new i am to futures....

    $4.80/RT at IB (or $6.50 thru your firm), is that per contract, or per round-trip order? (ie-if you trade 2 contracts in and out, is that still $4.80 or is that $9.60?)

    Any suggested websites to get info on contract sizes and how a 1 point move in the futures corresponds with increasing/decreasing your account value. What are the most well known websites regarding the mini-futures?
    #25     May 31, 2002
  6. RT stands for round turn, meaning one buy and one sell. You can trade in and out of 1 contract for $4.80 at IB. My $6.50 rate at e-local is based upon a minimum number of trades per month.

    I suggest going with the cheapest to try it out.
    #26     May 31, 2002
  7. Right, but if you were trading 2 contracts in the same order (2 in, 2 out), is that $4.80 or $9.60?
    #27     May 31, 2002
  8. matthew



    Commissions are charged per contract traded. Also, I didn't realize I had only sent one day of data. I had thought I was sending the complete data files. I have a system glitch that I won't be able to fix til monday.
    #28     May 31, 2002
  9. Matthew,

    Thanks for the answer and the follow-up.
    #29     May 31, 2002