Determining optimal # of contracts to buy when daytrading emini S&P 500

Discussion in 'Index Futures' started by Thundershock, May 23, 2010.

  1. Assume that you have a $10000 account. Your broker allows you to daytrade 1 emini S&P 500 contract for as little as $1000. How many contracts would you buy assuming you average 80% winning trades with an average gain for winning trades of 5 points and an average loss of 5 points with 10 points being the most you'll ever lose (stop loss)??

    I'm guessing that it's safe given this, to buy 7 contracts?
  2. You would risk 35% of your account on one trade?

    7 * 50 = 350 * 10 = $3500?

    Would be best not to trade ES (IMO) without $50,000. But I have already been in a thread like this and there is no winner.

    So GL
  3. Well, I'd have to have 6 losing trades at -10 points in a row before I'd be cleaned out doing that. If 80% of my trades are profitable, then the odds of me losing 6 trades in a row are .000064 or 6.4 in 100,000 or 1 in 17,000 roughly. As I make money and go higher, the odds of being cleaned out drop even more.

  4. What are you basing this on historically for sample size.
  5. My trades since 2007
  6. I know, but what is your sample size and do you do the same exact thing everytime, time after time?

    Do you have a statistical record of everything?

    If not, you are throwing money into the fireplace.
  7. Sample size is 67 trades (Very selective) and yes I have a documented record of everything. (dates, gain or loss, etc) I do the same exact thing every time as the trades are based on a strategy.

    I understand that the sample size may not be that big but then again what are the odds that I would have an 80% success rate after 67 trades if it were due to chance?? I'm guessing very very unlikely. (you could probably use standard deviation to find this out)
  8. Sounds ok..

    If you have made it through 2009 early vix and through 15 vix sounds like a plan.

    I have watched about 100000 hours of ES replays in 1 hr candles and IMO I still see a lot of tricks.

    But being selective and repetitive is good. Just don't plan to manage other peoples money like that. I would automate everything and just leave it alone then.

    Still, anything can happen, and usually does. But try to forget that after you quickly lose your first two.

    Just kidding, good luck along the way.
  9. What you just mentioned is the hardest thing for me when it comes to trading. When the daily vix is around 25 or higher I look for a 10 point gain but when it drops to say 20, it's hard to figure out what I should adjust the target to. Do I make it 20% less or what? Typically I've just said ok instead of 10 points, I'll do 5 points for anything under 25 and 10 points for everything above 25. Granted when the VIX was sky high in 2009, I had to further adjust since it was easily moving 10 points in a matter of minutes.
  10. I don't trade like that.

    I do automate everything though and I certainly will not design models for intraday ES. But I have to have different rules than you.
    #10     May 23, 2010