Simple ES scalping strategy?

Discussion in 'Index Futures' started by IronFist, Apr 23, 2008.

  1. Found this in a section of a .pdf I downloaded from some other site:

    I'm not sure how old this is but since he talks about telephone brokers it must be pretty old

    Pattern 1: The 15-minute Opening Range Scalp (15ORS pattern)
    This is my all-time favorite method- it’s easy to do, need no more than
    telephone or Internet access to a broker, and is very reliable. It differs
    from the usual notions of opening range breakouts in that profits are
    taken so quickly that the trade lasts no more than 1 minute.

    Setup: Wait for the first 15miute [sic] range to form from the

    Entry: Enter on a buy stop 2 tics above the high of the first 15
    min range or Enter on a sell stop 2 ticks below the low
    of the first 15 min range

    Profit exit: Close out positions on an immediate 1-point profit

    Stop Loss: Exit for loss on a 1 point loss from entry or,
    Exit if trade is open for more then one minute.

    Re-entry: On being stopped out, look for the usual breakout in
    the opposite end of the opening range. In this case I
    normally double my stop entry size and wait. Same exit
    rules apply.

    Would've worked today (see shaded area: 8:30-8:45 CST)


    What do you think?
  2. The open is the most important piece of information for the intraday trader, but two ticks seems to be not enough of a buffer for a buy/sell stop (I don't use a mechanical orb system myself, but many do).

    The system you are describing reminds me of a method on Linda Raschke's website under "Scalping".

    Many traders use a 30 minute breakout, and I've seen 45, 60, and even 90 minute opening range breakout.

    The one-point profit target stinks. The vast majority of futures traders should not be scalpers--it has the highest casualty rate in the profession.

    I would suggest using the system but use wide stops (the other side of the opening range for the stop) and no profit target.
  3. Oh I forgot to mention, completely ignore the fact that that chart has GMMA moving averages on it... they're completely unrelated to the method posted in this thread.
  4. What does one take profits then?
  5. Let's see... The low of 15 min opening range was 1377.25.
    If you followed the strategy, you would initiate the short at 1376.75 (2 ticks below 77.25). The low on the same 1 min bar was at 1376 and retested again on the next 1 min bar giving you only .75 potential profit. The strategy didn't work and you would get stopped out for -1 (or better if you exited 1 minute after the entry).
    Honestly, I think the R/R plain sucks with this method. You might try to backtest it to see if it's viable over a longer period.
  6. try the 3 minute bar and be prepared to reverse if you get an outside bar on the next 3 minute bar by 2 ticks....this can be improved and filtered but that will be up to u
  7. I looked at both the template writeup and your comments.

    You made a few assumptions when applying the template; your assumptions apparently overrode the template for you to get the conclusion you drew.

    On the otherhand, every day begins with the trader's fisrt trade. This may be why there are so many templates for the opening range.

    It is a very cool excercise to come to understand how everyday begins.

    Once that certainty is established, then it is possible to begin to trade. Trading before this certainty is obviously going on but what are the consequences? The trader is at high risk since the opening is not yet in relationship to the market premium.

    The premium must be met for the market to begin operating effeciently. Some say the market is never efficient and that is a tough decision to make if you want to make money during RTH.

    An opening trade is the topic. Five aspects round out the trade strategy. They are said to be: Setup, Entry, Profit Exit, Stop Loss and Re-Entry.

    All the values are specified without regard to the market. I think this is a general weakness. But it would be fair to say that the opening range trade could be defined on at least a given trading fractal.

    Below, I make some suggestions where the market determines how to trade the open. If I were to name the approach I would call it: Golfer's Delight^. This is because it makes money quickly and gets the wife's wish fulfilled to get the trader out of the house she is running with the daily profits the Golfer's Delight provides.

    Read as a recipe:

    1. Setup. Go, before open, and get the YM premium from At open, continue to take the difference between the premium and the INDU and YMXX spread. When it reaches 0, go to ES chart (5 min to reduce freakout) it is time to place the first order.

    2. Entry. Using 20 contracts of the ES, enter on the side of market sentiment*.

    3. Completing Turn. Using 40 contracts, reverse when sentiment* changes.

    4. The Exit for the day to play golf. Using 20 contracts, exit when sentiment* changes.

    5. Re:stop loss. Sentiment and if used volume change signals occur well before stops, if any would be reached. So unfortunately in this approach stops are never hit.

    *Determining sentiment. You may replace sentiment in steps 3 and 4 with alternative to get on the course earlier (SEE ALTERNATIVE). You DO have to use sentiment to enter first trade, however. There are many ways to determine sentiment and using several concurrently is pleasant. From coarse to less coarse, several follow.

    1. On BO of forming bar relative to prior bar, use the bar color to get sentiment and enter.

    2. On bar pair (forming and prior bar) trend channel, go in the direction of the tape or if three bars are needed use the channel sentiment expressed and enter.

    3. Use the bar color on S/S.

    4. Use the DOM to determine whether the bid or ask is in control. (Use the sum of 5 levels of each and observe which sum is the lessor) Observe that there are no WALLS on this side and enter. If a WALL exists, enter when it dissolves which it will.

    5. On OTR tic of YM use the direction of the tic trend to enter ES.

    ALTERNATIVE for steps 3 and 4. Use volume by having a PRV display on volume that shows the sum of PRV during the forming volume bar. For step 3, the volume must exceed the prior bar; if it does not, then do step 4 because the turn has come. For step 4, the volume must be less than the prior bar, you are in a retrace during the first trend of the day; if it does not, then exit because the turn has come.

    ^the Golfer's Delight is based on the wife's needs to run the household on 200 to 300 points (ES) a day. Using 20 contracts is appropriate since you have golf clubs, can pay fees and dues and your person transpotation that you negotiated for using last year's track record and the trip to the islands for New Years last year.