Scalping the ES mini making $1000 a day

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

no

it is dependant on the setup, and the stop size vs. the rewards size

as an extreme example, i can give you a setup that i can guarantee over 80% successful trades (but not that it will be a winning strategy. there is a difference)

buy at 09:35:05 EST
set a limit order to sell 2 ticks above that point
keep that trade in all day

that will be way over 90% successful in the long run.

obviously, it would be a stupid strategy, but that's not my point

my point is that 80% is not completely unreasonable

i have a few setups that have over 80% successful traders.

(n>6,000)

 

And profitable in the long run ?

 

I mentioned in my post that my assertions didn't apply to hi prob trading such as in options (ie buying ITM synthetic covered calls). You future example falls in the same category. If you have a 99% winners and the 1% loser outweigh the win amount.

the point here is whether the poster should stick to a trading system that trades 1 or 2 points on the ES, carries 20% weigh of comms and has an unrealistic W% expectation of 80% based on a limited sample. Also, from the setup info provided, the trades look exactly the opposite from your "extreme example" which adds to my point. Given the profit targets and stop losses, I am pretty sure 80% is impossible in the long run but I wouldnt be surprised to see 80% winners in last couple of months. For instance, I had close to 100% win rate in september and october, however I ended 2006 with just 52% win rate.

 

Thanks to everyone for the discussion. I understood both perspectives, thanks for the clarification.

 

*Yawn* this kind of strategy is a pipe dream, pure and simple. If you backtest without slippage, yes, you'll find it very profitable. but you WON'T get the fills on ES. The order flow in ES is set up so that by the time you enter your limit order, there are hundreds of contracts waiting to be filled ahead of you at those levels. This is an execution nightmare.

Save your money.

RoughTrader

 

Limit on the ask for a buy has ~99% chance of getting filled.
Limit on the bid for a sell has ~99% chance of getting filled.

Globex is FIFO. If you take that into account and scale back your targets to reflect that, one would do just fine.

For instance, if a certain setup has an average 1-1.25 pt (4-5 tick) move in the ES, expect to catch .50-.75 (2 to 3 ticks) even while doing size (>100 contracts). just about all limits in the queue will be filled before price advances.

 

This is all TRASH TALK unless you've got the back testing results to prove it. Can we see them ?