Scalping the ES mini making $1000 a day

Discussion in 'Strategy Development' started by Cazza La Randa, Dec 30, 2006.

  1. Pure scalping action: (based on Pivot Points) - Short at the resistence PP - Long at support PP

    I found very profitable to scalp the ES with the scale out three targets system

    Size : 3 contracts (or a multiple)

    1° Target 0.75 (3 ticks)
    2° Target 1.00 (4 ticks)
    3° Target 1.25 (5 ticks)

    Stop Loss 1.00 (4 ticks)

    When the 1° Target is reached, my stop loss go to breakeven

    So, I have 4 possibilities:

    - all targets : my profit is $37.5 + $50 + $62.5 = $150
    - two targets : my profit is $37.5 + $50 = $87.5
    - one target: my profit is $37.5
    - stop loss : - $150

    Considering that 80% of trades are profitable:

    10 trades: (...even 20 a day)

    2 stop loss = - $300
    3 full targets = $450
    3 two targets = $ 262.50
    2 one target = $75

    Net profit : $ 487.50 (- R/T commission $ 120) = $ 367.50
    24.6% in commission


    But with more contracts.... 9 contracts:

    10 trades:

    2 stop loss = - $900
    3 full targets = $1350
    3 two targets = $787.50
    2 one target = $ 225

    Net profit: $ 1462.50 (- r/t commission $ 360) = $ 1102.50

    Obviously, I can take three loss in one day (or in two consecutive days....this is called... drawdown), but at the end of the month profit and loss are equally distributed as I mentioned above

    How many traders on this board use the same technique?
     
  2. i don't use the "same method", but i similarly scalp the index futures, for small targets.

    i also take smaller (initial targets) than my initial stop loss and scale out, like your method

    that works for me

    however...

    if you are scalping for 3 ES ticks, you are MUCH better off (ceteris paribus) trading the dow minis.

    better entries and exits with limit orders/better spread

    the smaller the target, the more of a difference the spread makes.

    also, it helps with stops for the same reason (9 points won't hit your stop, 10 pts will) etc.

    whereas with the ES it could

    frankly, scalping the ES is (imo) moronic when you can get the same dynamics, and a better spread with the YM. trading costs are ESSENTIAL for a scalper, and spread matters

    when and if the ES ever goes to the 10 ticks per point spread, like the pit contract (the S&P pit contracts uses 1/10 of a point), i might consider scalping it

    fwiw, my setups work better on the YM anyways. the YM and ES are highly correlated, but they are not the same. try backtesting your setups on both contracts and see if there is any difference in the effectiveness of your strategies, of course.

    but again, ceteris paribus, you will be more effective with this method on YM than with ES
     
  3. I tried the YM.... for the reason you mentioned... but I noticed more whipsaws...I have no feeling with that future contract..and I don't have slippage trading the ES
     
  4. absolutely, then stick to the contract that works with your setups.

    my setups work SIGNIFICANTLY better with the dow than the ES.


    interestingly, they also work quite well with the Nikkei

    the Nikkei and the Dow are both price weighted. the ES is cap weighted.

    i am not sure if that is meaningful, but it is interesting
     
  5. August

    August

    New here, so sorry if you've covered this in past posts, but 80% profitable trade rate seems high - are you trading on your own private system or something that you can share?
     
  6. Based on the knowledge and skill you displayed in your unwelcome post in SPM and your YM post here, would you be up for a constructive comment?
     
  7. Pivot Points

    http://en.wikipedia.org/wiki/Pivot_point_calculations

    JJ
     
  8. doli

    doli

    re: "10 trades: (...even 20 a day)"

    Does it move between the points enough times a day to provide that many trades?
     
  9. asap

    asap

    80% is impossible to keep in the long run (say 10,000 trade history), it is agains all odds.

    Any system based on futures (in options it is different as you may that the path of hi prob setups), but in futures, a very good edge is something around 60%. Most professional traders I know have W% of around 50% and still they make a lot of money. that doesn't necessarily mean that in each 10 trades you have to have 4 losers. In fact, you may put on 100 trades and win in all of them, however, sooner or later the market will always teach us a lesson. Always try to build your trading system to reamin profitable with as few as 50% winners in your records. Otherwise, by the time you realize your system is no longer working, you'll be bust.

    The problem with your trading system is that comms and slippage are huge burden. It happened to me a couple of times before that a system with a very good track record self destroyed just because of slip and comms. It is very easy in hi freq trading going bust on those. I guess you posted that comms weighted 20% or so the the profits. That's unbearable, you're basically saying that 20% of your effort goes directly to someone else. Now imagine, what happens when your W% begins to drop. In my systems, I pay around 3% in comms and still is too much imo. I would also think that the ER2 or YM would be better for that since it allows wider profit targets for the same comm taken even though the liquidity is far lower. Also most of the ES traders I know go for at least 3 or 4 points rather than 1 or 2. IMO is not worth it.

    Anyway just my 2c
     
  10. Do you think there is a relationship between targets and W%? Does your response fall in line with your beliefs regarding this particular relationship?
     
    #10     Jan 7, 2007