How bad does the spread hurt in eminis?

Discussion in 'Index Futures' started by schulzey, Jun 27, 2012.

  1. schulzey


    I'm currently practicing every day with my futures demo platform since making the move from stocks.

    I'm doing much better than I thought I would but the fills are always at the last price instead of the bid or ask. This makes it very difficult to tell how my trades would do because I put in stops and limit orders.

    My questions is, if I have a good strategies for entry and risk management and I have equal reward/risk ratios with 3-4 times as many winning trades as losing trades, how much is the spread going to hurt my performance? Would you professional emini traders say the fills hurts performance badly on the ES?

    These strategies are some of the same ones that were succesful for me with stocks and they seem to be working on the ES. I just don't know how the fills are going to turn out when I trade real money soon.

    These are short term trades, with about 1.5-2 points average profit and loss on the ES.
  2. schulzey


    In other words, could anybody make a lot of money trading the ES if they got filled at the last price instead of the bid/ask?

    I'm hoping I don't have a wake up call when the bid/ask spread kicks in with real cash.

    As always thanks for any replies!
  3. Rework your backtest using bid/ask price changes and not trades.
    Require bid or ask to move through your limit with sufficient liquidity to register a fill.

    Your results will be much different.
  4. ammo


    just take your sells at the bid and your buys at the offer,its only 12.50 difference
  5. what's leading the mini now? oil?

    what are usually the top 3 leaders? is it bonds, euro, oil in that order?
  6. schulzey


    Between not getting some orders even filled, and a tick difference on sells, buys, and breakevens I think it will make a substantial difference on my bottom line. I'm starting to realize that the demo doesn't really show what it's going to be like at all unless you're trading intermediate term where the spread makes less of an impact.
  7. schulzey


    I see now that if I buy at 1313.00 for instance, the price had to go to a last price of 1312.75 with a bid of 1312.75 and ask of 1313.00. To sell at breakeven last price would have to go to 1313.25 to get a bid of 1313.00 and ask of 1313.25.

    So essentially price has to move 2 ticks in your direction just to break even whenever you buy/sell short. And of course it also substantially alters my exits for profit/loss.

    Normally I'm an intermediate trader and I started to look into trading shorter term with the emini but the spread really does mess things up bad.
  8. ammo


    while you are still on demo, just for fun try to lose as often as possible and ride it to the full loss,you will be surprised at what you will learn looking at the market from the other really need to be an expert loser to make money,the losses are where you give it back,if you could master keeping that small,the money piles up,the mental part of losing is why i was suggesting to trade that way on sim,most people are so in denial that they are ever wrong about anything,that being in a losing position is like crawling into a ufc ring,they will make up anything to support a reason it isn't so,if you embrace it and learn all about it you will be years ahead of the game
  9. schulzey


    So just for the record, when you buy at bid or sell at ask, your orders never get filled unless it goes a tick above or below your asking price?
  10. ammo


    pretty much
    #10     Jun 27, 2012