This is what I've been working on the past 2 nights. I downloaded an Excel spreadsheet of all the daily numbers for the S&P since 1991. So it's about 30 years of data. I determined the following things... The S&P goes up 53.54% of days, and down 46.4% of days. It gains at least 1% on 12.8% of days, and loses at least 1% 11.9% of days. It gains 2%+ 3.07% of days, -2% on 3.6% of days. Gains 3%+ on 1.1% of days, loses at least 3% 1.2% of days. The goal is to make a strategy that I can trade S&P emini futures on. Since this is so highly leveraged, I would be risking about 10% of the account if I waited for the index to gain/lose 1%. So I went further and divided everything into decimals of a percent within the first percentile of gain/loss. 0.1% = gains 46.97% of days, loses 40.57% of days 0.2% = gains 41.19% of days, loses 34.85% 0.3% = gains 35.87%, loses 29.95% 0.4% = gains 31.47%, loses 25.97% 0.5% = gains 27.07%, loses 22.84% 0.6% = gains 23.37%, loses 20.11% 0.7% = gains 20.11%, loses 17.58% 0.8% = gains 17.34%, loses 15.51% 0.9% = gains 14.87%, loses 13.35% Since I'm trying to do all of this as day trading. (meaning that I will close the trade within 24 hours of opening it), then the percentages of the stop-loss and take-profit should probably be at least 75% when added together to happen on any given day. One thing that jumps out at me is that it's more likely for the index to gain 2% than it is to lose 1%. I always want to go bull, and I really want to do the same strategy every day. The market is bull unless something very strange is going on, such as recent times. One other problem is that I'm having trouble entering both a stop-loss and a take-profit on the Schwab futures account. It wants me to have margin to cover both, as if I would want to execute both of them instead of just one or the other. Thoughts? I'm happy to elaborate further or to do more research. And I also know that this doesn't account for intraday volatilty, but that's a little too much research for me.
Wonderfull statistic works so far. I personally feel that you should consider data only from the HFT-era onwards. Also I want to mention that in order to get the full movement of a day you had to start buying right at the start of the trading day, without any confirmation, what I think to be risky thou.
Just one, - that you're going to be among those who made it. Because so far it goes well from what i see, - try, fail, reinvent - try again.
Also on Schwab I have to say that their charts are propietary, meaning spreads can widen to stop you out. Try IB, they are not known for such pick pocketing tricks.
Yea, and I'll be honest... This is very boring compared to trying to predict the economy. Predicting when the next bubble may burst, etc. But I'll do whatever works. I'd love to just "set it and forget it"
And at the same time, it can be very interesting. Theranos story for example. Those who went in with OTC deals. R.I.P.
I re-did the numbers to only include from January 2000 until present. It's much the same. I think what makes most sense to me is to set TP at 3% and SL at 2%. It is more likely to hit TP.
I bought the Micro emini S&P MESM20 @ 2631. I just bought one contract because I'm still testing out the motions. I figured out how to set the Take Profit by just calling it a separate order. Although this only works because I bought a small enough amount that leaves me enough margin to do this. TP = 2710 (+3%) SL = 2578.5 (-2%) @dozu888 I think you're right about just going long always. I'll wait for one good short day then sell my SPXS. I just don't want to lose $10,000 on that!!!
Oops. Just realized I did that wrong. I did 2% and 3% instead of 0.2% and 0.3%. So it's TP = 2639, SL = 2625.75