FDAX day trading

Discussion in 'Index Futures' started by shortbleu, May 16, 2009.

  1. Hi all,

    This is my first post on this website, I read a few threads here and I really like Elite Trader Forums.

    Just to introduce myself:
    I am not new to Equity Index Futures trading (FCE CAC40) that I've been trading as a long term investor, holding positions from a few months to over a year and rolling the contracts every month when they expire.

    I am quite new to day trading however, I worked for a prop firm 5 years ago for just about 3 months and I left because I was "forced" to scalp financial futures like bobl, bund, and eurodollar on a tick by tick basis (very short term scalping) and I hated it. Just to put it right, I am not and will never be a short term scalper looking for a tick target beccause 1) I don't have the skills and aptitude to do this, and 2) I don't have any interest in this kind of extremely short term day trading.

    Basicly, I can't trade financial futures in a trading range as it does not fit my personnality. I am a trend follower and I like equity index futures because they are less likely to trade in a range, they are more volatile and large moves can easily allow a single trade to capture between 5 points (10 ticks) and 50 points (100 ticks).

    I am very new to equity index futures day trading, I started 3 days ago on the future dax with only 1 lot at a time and I have a few questions for you.

    1) Am I trading the correct equity index future (Dax) or should I trade the CAC40?

    Although I have a better knowledge of the CAC 40 than the DAX, I thought the Dax would be better for me because his movements are a bit larger than the CAC40, eg. when the CAC40 takes 5 points, the dax might take 6 points, so i thought the larger moves would suit well my approach. Also, I thought about the ratio commission / profit which is I believe better for the Dax as the Dax has a larger nominal. My reasoning is has follow:

    If it costs me EUR 4 round turn and I make 5 points on CAC40, the ratio commission / profit will be: 4/(5*10)= 0.08
    Comparing with Dax, if I make say 5 points on Dax (could be 6 points), the ratio will be 4/(5*25)=0.032. Therefore my conclusion is the Dax is lot more cost efficient because the nominal is a lot larger: 4700pts *25eur = 117500 eur for dax against 3200pts*10eur = 32000eur.

    I'd like to know if other people have the same reasoning and if you look at profit / commission ratio in the same way? Can you please confirm the Dax will suit my trading style better than the CAC40?

    2) what margin should I use to day trade the DAX?

    The value of the Dax at the moment is 120,000eur more or less.
    At the moment, I use a capital of 30,000eur for one lot (leverage 4). Do you think this is conservative enough or too risky? From your experience, is it likely to blow out the capital in a few weeks / months with this sort of leverage? I was thinking the capital to trade 1 lot should be anywhere betwen 24,000 eur and 60,000 eur (somewhere between leverage 2 and 5). I can't imagine myself using a leverage 5 as I really want to preserve the capital.
    Can you tell me your thoughts, what sort of leverage are being used by profitable trend following day traders who have been successful over at least 2/3 years without blowing their capital?

    I read other threads and read that other day traders were complaning about brokers asking 5,000 eur for intraday margin and they were turning to brokers asking 2,000 eur intraday margin or less for DAX. From my perspective, this is madness as I believe there is a potential to lose 80 points (2,000 eur) in a few seconds on a single trade if the market goes mad on news and a gap / mini krack can happen and people who use 2,000 eur or so would blow out their capital straight away. Am I just wrong or is there something I don't understand? I am asking because I've read threads on other forums where people ask for very low margin and high leverage. I just don't get it.

    Many thanks for your advices.
  2. Can someone help?
    Many thanks :)
  3. asap


    leverage will kill you eventually in any instrument. dax is no exception.

    the dax is by far the best stock index future around commission and slippage wise. the volumes are sufficient for 10 lot hi-freq trading without affecting the market. for the lo-frequency there is room for as much as 1000 lots as long as the orders are algo placed. most IB desks in europe trade those sizes in the dax. furthermore there are highly liquid options on the underlying index available to hedge or simply adjust the deltas along the way.

    margin requirements are subject to multiple criteria and there is no rule of thumb that suits all.

    for a mechanical system trading the dax on a daily basis that is expected to trade it for many years to come the maximum leverage should be 2X, that is around 1 car per 50k account for aggressive exposure and 1X for prudent sizing.

    however for quick scalps here and there, 2-4k per lot is acceptable. obviously this kind of trading will eventually blow up if repeated many times over, as the occasional gap takes its toll.

    BTW, the cac is la creme de la merd, if you know what i mean. just forget about it.
  4. Hi there and many thanks for your response.
    I was advised on another forum to trade the DJ Eurostoxx50 rather than dax because it has similar volatility in the long run, less the high volatility spikes.
    Since volume is higher for DJ Eurostoxx50 (around 1.4Mi trades / day) versus 160K trades / day for Dax, the DJ Eurostoxx50 moves more slowly. What do you think?

    Why did you say CAC40 is shit? Can you explain why? Volatility of CAC40 seems similar to Dax, a bit less maybe
  5. I can't always trade the dax in the morning as I am in the UK and work full time. I am not sure yet if it's worth or not to trade the DAX after work, between 7.00pm and 9.00pm London time, but I am really not sure as volatility is low at that time, so I am really disgusted .

    Any idea of a future market to trade between 7.00pm and 11.30pm london time. Eminis do not have a great nominal sir commission ration compared to dax. Eg for emini S&P: nominal = 900pts * 50 usd= 45000 usd
    commission RT = 4.8usd
    ratio = 45000 /4.8 = 9375.

    Eg for DAX: 5000pts * 25 eur = 125000 eur
    commission RT = 3.5eur
    ratio = 125000/3.5 = 35714, great ratio.

    I am looking to trade something with a ratio superior to 20000, so eminis would not do the trick. Also, nominal needs to be inferior or equal to 140K eur or equivalent because my capital does not allow me to trader bigger size (money management).

    So what can I trade between 7.00 and 11.30pm london time with ratio > 20000 and nominal <= 140k eur or equivalent currency?

    I might create a new post to answer this question but wanted to have your advice first?

  6. what do you think about big nasdaq?
    1400pts * 100 usd= 140000usd
    4.8usd commission
    ratio = 140000 / 4.8 = 29166

    Looks OK?
  7. Only unless you want to deal with trading the pit contract. The Globex version doesn't come online until 4:30pm NY / 9:30pm London.

    None of the big CME index contracts trade electronically during the day, it's completely ridiculous. E-minis only during RTH, to maintain the low ratio/high commission model...
  8. Hi Trader KGB,
    I would be interested in electronic trading only. I went on the CMEGROUP website and found the following information regarding the Nasdaq100 (the big NQ100 at USD100/pt, not the e-mini) on the website:

    Trading Hours
    All time listed are Central Time Open OutcryMON-FRI: 8:30 a.m. -3:15 p.m.CME Globex (Electronic Platform)MON-THURS: 3:30 p.m.-8:15 a.m.
    (daily maintenance shutdown from 4:30 p.m.-5:00 p.m.)
    SUN: 5:00 p.m.-8:15 a.m.

    Just so you know, I am not American and English is not my first language, so I find difficult to understand the above information found on the CMEGROUP website and I might have a few questions you might help me with:

    1) Central time = New York time (London are 5 hours ahead)?

    2) CME Globex (Electronic Platform)MON-THURS: 3:30 p.m.-8:15 a.m. Does that mean I can trade electronicaly from 8.30pm London time to 1.15pm London time?

    3)(daily maintenance shutdown from 4:30 p.m.-5:00 p.m.). Does that mean we cannot trade between 9.30pm and 10.00pm London time because the exchange system is under maintenance?

    4) Why did you say we can trade from 9.30pm London time onwards if the exchange system is under maintenance at that time?

    5) Can we trade on Sunday between 10.00pm and 1.15pm London time?

    I agree that it sounds ridiculous that none of the big CME index contracts trade electronically during the day. What does mean RTH, is that day time rather than evening time? Did you mean the big CME index contracts do not trade electronically during the day because the exchange wants to charge a high ratio commission / nominal on e-mini futures?

    Personnaly, I am not interested in e-minis because their ratio commission / nominal look very bad compared to the big contracts. The big Nasdaq 100 would suit me in term of ratio commission / nominal.

    Is the volume large enough on The big Nasdaq 100 to allow day trading during the electronic hours? I read somewhere the liquidity was a lot bigger on the eminis but I am not interested in eminis. I would day trade only 1 lot of big Nasdaq100 at a time, what would be the average spread and slippage expected?

    Many thanks for all your help
  9. help please
    many thanks
  10. Central time = Chicago time = 1 hour behind NY, 6 hours behind London

    9:30pm London time to 2:15pm London time.

    10:30pm - 11pm London, yes.

    I forgot about the half hour close.

    Yes, 11pm - 2:15pm London.

    RTH = regular trading hours (9:30am - 4pm NY).



    I don't follow the big contracts electronically, but the e-minis are more liquid in general. Trading just one contract at a time should likely be fine though, however I can't comment on spread or slippage as I don't track it (though you can't technically have slippage trading just 1 contract).
    #10     May 24, 2009