Anyone have any experience data mining SP 500 futures peak/trough cycles average pullbacks etc? Reason: I would like to have some stop points for trades that I have on and ones that I formulate in the future in conjuction with simple money monagement techniques
I didn't do a formal study, but I concluded from experience that the ES is so efficiently priced that no stop placement is any better than any other. Disclaimer: I have quit trading the ES (for now). I love the liquidity in ES, but I think there is easier money to be had.
I spent a lot of time and effort trying to find a way to profitably day trade the ES, and always came up empty-handed. But unlike many ETers, I make no claim that it cannot be done. My policy is to gather the low-hanging fruit, and ES seems to be just out of my reach. My game these days is position trading options on futures.
Excellent u look directional bias? I want the ES stats longer term for instance what did vol pop up to during the 08' sell off, what was retrace net down...etc
Quite the contrary. I am selling volatility market neutral. I tried options on ES and quit that after getting whacked last December. I am more concerned about quick anomalies (i.e. flash crash) than big moves like in 2008.
U look at commodities? Or individual equities? So you sell vol and trade delta and hope mean reversion? Last December whacked u short a little vol?
Yes, I currently trade options on futures. I think futures are easier than stocks, and I like the leverage and favorable tax treatment. For the 12/21/2012 trade in ES, as I recall the market dropped after hours about 40 handles and recovered about 30 in a matter of seconds. That was expensive.
Ah, yes after hours BS . I was looking at a method or way to enter the market via some longer dated pivot ranges using futures and instead of buying underlying buy an option, if you care I can share what I was working on... Not a big deal but a start think it has some components missing that could make it a decent set up trade