Scalping ES, ER, NQ, YM, SP, etc.

Discussion in 'Index Futures' started by trainee2006, Dec 15, 2006.

  1. I'm looking to generate some income during periods of low-volatility.

    Can anyone share some methods for scalping ES, ER, NQ, YM or SP, or other futures?

    Or should I wait out the sideways periods?

  2. I think sideways movements are the most difficult to trade, but that is me. Other guys probably make a killing during these times. The ultimate question really is - how will you define when it has entered the sideways zone and when has it left... I think that is the biggest question.


    Heres a simple intraday strat to get you going. Test it youself and play around with it.
    As an overbought, oversold indicator, it works 75% of the time, but it says nothing about how far price will travel. As a divergence indicator, where the indicator diverges from price and points to a new trend, it proved accurate and timely, working between 76% and 82% of the time.

    Here are some trading rules that should help with profitability.

    Buy when the RSI indicator rises above 30 from below, especially if accompanied by high volume (or volume trends upward).
    Sell when the RSI indicator drops below 70 from above, especially if accompanied by high volume (or volume trends upward).
    If RSI is midrange (between 30 and 70), then ignore it, including divergence signals.
    Trade after a straight-line run and divergence appears with the RSI indicator.
    The Wilder relative strength index (RSI) is a price momentum indicator that is useful for intraday trading. Values above 70 mean price is nearing a top or correction of the uptrend. Values below 30 mean price is nearing a bottom or retrace of the decline. The RSI’s primary value is calling the turning points in a trading range market (between support and resistance).

    Trading: Overbought and Oversold Signals

    Here are the trading rules for using RSI as an overbought or oversold indicator. These assume a 14-period lookback on the RSI and a 10-day intraday price chart.

    If you have access to tools that you can change the 14-period lookback, try tuning it for your market. Locate regions of support and resistance and see if changing the 14-period lookback to another value will give you better turning point prediction. You are looking for signals that help you time the move from support to resistance and back again. Perhaps you want to use different signal lines than 30 and 70 (like 20 and 80). Play with it. See if you can get RSI to signal when it hits or approaches support or resistance zones.
    Find your buy or sell candidate in the usual manner, following rules and procedures you have already setup. Plot the RSI indicator.For example, if you see price topping out, high volume accompanies the turn, and RSI says the stock is overbought, that's a sell signal.
    If RSI is above 70, then wait for it to drop below 70 before trading. Close out a long trade, go short, or buy a put option. Large price declines often start from the overbought region. High volume can confirm the trend change.
    If RSI is below 30, then wait for it to rise above 30 before trading. Then buy, cover a short, or buy a call option. Large price advances often start from the oversold region. High volume can confirm the trend change.
    If RSI is midrange, then ignore the signal.
  4. fwiw, i prefer so called "trendless" markets and i scalp the YM for a living.

    imo, lagging indicators (RSI, MACD, etc.) have (how can i put this nicely) --- less than optimal utility for intraday scalping the index futures.

    generally speaking, the more "trendless" the market, the less utility a lagging indicator will have, for rather obvious reasons.

    imo, (not saying it's the only way, but it's my way, and it's profitable) try getting rid of all lagging indicators. concentrate on PRICE, support/resistance, and the tape.

    i have a LOT of stuff on my monitors when i intraday scalp. i do not have one single lagging indicator anywhere to be seen. nor do i have any moving averages.

    again, this is just my way, but i think you are putting yourself way behind the price action, ESPECIALLY during "trendless" markets, if you are using lagging indicators
  5. Generally speaking I agree with you. However, you can use MACD and MAs profitably. You just can't use them in the conventional ways. They can be very useful, as anything can be if you discover how to use them profitably, usually in combination with other techniques.
  6. omniscient

    omniscient Guest

    agreed. AMT4SWA started a very open thread regarding how he used MACD and other indicators:

    and also participated in an ET trade-a-thon:

    using his techniques. i think he removed most of his charts when he started he new partnership, but, at was suggested, you can glimpse how a successful trader used standard indicators in a non-standard fashion.

    obviously, the settings that Chris used may be less suitable to today's markets.


    take care -



    I should have been a little more clear. My post was designed to get the author thinking and have a play around with indicators or whatever, not just RSI.
  8. Absolutely terrific post.

    The substitute for what to use for making money in low volatility, "trendless" markets is there and has very high utility.

    I would say that over 50% of my screen space has been made available for this stuff and most of it had to be coded over several renditions to get it to high utility.

    There is no possibility that anyone can do this without extracting proper data sets.

    This kind of profit taking comes as just a surplus over and beyond advanced intermediate trading proficiencies.

    It definitly is not anything to get involved with until well after all others of the other four levels of extraction are in hand.

    I do not call it scalping but it is taking money out of the markets rapidly in brief, often linked, takings during high noise to signal periods.
  9. What time frame do you scalp in most of the time?
  10. Charly


    Sounds good - would you care to share the details??

    WHITSTER: what do you mean by TAPE
    when speaking about scalping?

    I'm sure you two know what are you talking about - and in your cases more
    would indeed be more. :D

    #10     Dec 18, 2006