Re-visiting old thread: ES Volatility Study

TickJob · Oct 27, 2005

http://www.elitetrader.com/vb/showt...rpage=40&highlight=es volatility&pagenumber=2

By aphexcoil

For the month of October, out of 13,392 2 minute candles, the following statistics apply.

If the high of the second candle is .50 ES points or GREATER than the previous candle and a long position was initiated and an initial stop-loss of 1.25 was set:

885 Events occured (discounting events while in a trade):

Of which:

482 trades were stopped out.

403 trades reached a profit target of +1 ES points.
256 trades reached a profit target of +2 ES points.
179 trades reached a profit target of +3 ES points.
129 trades reached a profit target of +4 ES points.
90 trades reached a profit target of +5 ES points.
70 trades reached a profit target of +6 ES points.
57 trades reached a profit target of +7 ES points.
51 trades reached a profit target of +8 ES points.

(I'll stop here, but suffice to say that even 13 trades were able to make it +15 ES points. I did not check anything higher)

These are inclusive. This means that all +8 ES points (51 trades) are also included in the +7 ES point category.

Using a trailing stop loss, it should be possible to average 2.5 ES points per successful trade.

The simulation was very liberal with slippage, allowing .50 in slippage and .25 additional for "imperfect" timing of trades.

482 trades stopped out at 1.25 ES loss = 602.5
403 trades successful at an average gain of 2.5 ES points = 1,007.50 ES points

90 ES points for commission for a NET total of +315 ES points during the 28 day trial.

An average of +2 ES points per successful trade would give a NET of 113.5 points.

As you can see, letting profits run is critical. If you had set a limit of 1.25 ES points, you would have lost.

More...

Stop Loss=1.25 and Take profit=1.25 may not necessary end up lost, depends on how you do it

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Re-visiting old thread: ES Volatility Study

TickJob