well, first of all - i don't trade the ES. i trade the YM imo, unless you trade some pretty big size, the ES is an inferior instrument for intraday trading - a subject i have gone over endlessly today was simply a gift for traders. wonderful, wonderful moves.
Yes Austinp... <b>Agree Completely</b>... The retracements were so insanely intense... The SP would sell off 8 points - hit a minor support point... or break a minor low - whatever - and then scream back up for a 6 point retracement in just 2 to 4 minutes... i got to the point where i would wait for a 2 minute bar to close on its low take the sell point off its bottom... take it down for 5 or 6 points until it hit a support point... cover immediately and wait for it to rip back up to a resistance point until the tick would fly up to 600 + and it would stall and fall back over... then sell it again and do it all over again, again, again... it was if the program traders were simply going back and forth in much much much shorter schedules.. bursts out of the blue... :eek: <img src="http://www.enflow.com/p.gif">
<i>"imo, unless you trade some pretty big size, the ES is an inferior instrument for intraday trading - a subject i have gone over endlessly"</i> Off topic: you begun the statement with "imo" which everyone has right to. That said, I don't see where any $$ advantage lies in YM versus ES trading. The relative ranges are similar in $$ per contract size. The tick difference value is totally irrelevant... each covers the same relative ground in a swing. The YM trades on CBOT which has gone down several times in my career versus once in the CME. It has fractional volume as ES, which limits size any serious pro would consistently trade. Slippage on size is an issue with YM. Again, it's off-topic. I see zero advantage to trading YM over ES (or anything else) other than pure personal preference. Regardless, today was fine to trade. Just "choppy" if you describe 6pt and 8pt ES swings as "chop". I guess it's all relative. Give us more of those 10, 20 and 30pt ES sideways rolls, please!
the advantage is the SPREAD ceteris paribus, a contract with a smaller spread is more cost effective it's that simple from an n=several hundred basis, extensive testing of my setups (i realize this is not necessarily relevant to all setups) shows that YM trades have greater positive expectancy. the ES and YM are VERY closely correlated. thus, there is no advantage in trading ES vs. YM yet several advantages trading YM (better spread) another contract that has an inferior spread might be advantageous for OTHER reasons, but since the YM/ES correlation is so close, YM offers the same benefits as ES, but not the disadvantage. i trade up to 20 contracts (since i manage OPM) and YM is fine
to anyone who thought today was easy, do you use stoplosses? If you let your position ride without stoplosses or trailing stops this would have been a normal day in the context of the last two weeks. If not, you really had to adjust midday and be ready to hold on longer to positions. I don't really like trading without tight stops so it was a little challenging today. JMO. roy
<i>"the ES and YM are VERY closely correlated. thus, there is no advantage in trading ES vs. YM yet several advantages trading YM (better spread)"</i> Commonly flawed logic. The spread means zilch, unless a trader always exits at the extreme end of every move. Otherwise, the spread is absorbed in the price action after trades are exited. In other words, the YM moves more than +40pts while the ES moves more than +4pts from entry to exit. A little more or a lot more, makes no difference. That is a $200 price move, each symbol. Ya with me? The bid/ask spread is irrelevant... each trade made the same amount of money with no regard for spread. The spread was absorbed in the trade's overage of entry = exit span. We did not make $195 on the YM and $187.50 on the ES... we made +$200 on each. * Second trade goes against us -1pt ES and -10pts YM, respectively. That is a loss of -$50 on each trade, period. Rare, very rare is the time when ES will move -1pt against while YM only moves -9 pts against. More commonly, both will overrun the stop by some margin to equal degrees. The fallacy of bid/ask spread making a difference in eminis is exactly that... a fallacy. Over the course of 100 or 1,000 trades at random, it's nullified. Now, if someone has a mechanical system-bot that trades one symbol better than another, so be it. For discretionary traders, that difference should be nil as we adapt to each symbol's very unique "language" on the chart. I would trade the YM given no other choice, probably ahead of ER at this point. There's nothing wrong with it at all... but it holds zero statistical advantage over ES. To each their own
It's not a matter of ES versus YM: it's about how long the moves go before they end. The drop from the morning highs was pretty much steady, but the afternoon drop from 2 PM was erratic on both ES and YM. That said, if one traded COUNTERTREND, buying deep dips on bursts of volume and selling on brief rallies, this afternoon would have been gravy. Although I trade countertrend before 2 PM, I don't afterward. Today was one of those days in which breaking one of my rules would have worked.
"Commonly flawed logic. The spread means zilch, unless a trader always exits at the extreme end of every move. Otherwise, the spread is absorbed in the price action after trades are exited." false. yet another trader who doesn't understand math why am i not surprised. it DOES make a difference, because i am frequently filled on sales at the ask (with limit orders) and buys at the bid (with limit orders) and this is more likely to occur due to the tighter spread. again, it's math. on a scalping basis, over the course of hundreds of trades, every little tick matters. you have more discretion in setting a stop loss (approx. 8-10 stop points vs. 4 YM to ES), a limit exit, etc. this means for short-term trades, it's more cost effective. every dingdong retail trader (who overwhelmingly are losing traders) fails to do the basic research, the basic back (and forward testing) etc. that is more likely to result in positive expectancy. i sincerely doubt you are trading 50 lots etc (when the ES would be advantageous), but continue to trade the ES. i will trade the most cost effective contract because i know that in trading - costs matter. over the course of a year, it makes a BIG difference. ES is the "it" contract to trade among retail traders who don't understand trading. not surprising.
"That said, if one traded COUNTERTREND, buying deep dips on bursts of volume and selling on brief rallies, this afternoon would have been gravy. Although I trade countertrend before 2 PM, I don't afterward. Today was one of those days in which breaking one of my rules would have worked." i don't think in terms of trend and countertrend for intraday trading, although i think the concept has merit in regards to modeling price activity. i looked over my trades and all but 2 (i did 8 trades) were shorts today (which by most understandings of the terms would be "trend" not countertrend) today allowed very clear entry points for minimal stop distance (the largest stop i used today was 12 points) with very reachable 15+ (first target) targets it was simply a dream day to trade. the levels lined up perfectly. you could also see the floor traders doing the guppy line dance around s1 all afternoon, to try to whipsaw retail before the afternoon tankage took over. it was clear in the tape, the breadth, and the price action. again, it was the kind of day you DREAM of.
"to anyone who thought today was easy, do you use stoplosses? " anybody who trades index futures w/o stoplosses deserves to lose all their money. of course i used stoplosses. "If you let your position ride without stoplosses or trailing stops this would have been a normal day in the context of the last two weeks. If not, you really had to adjust midday and be ready to hold on longer to positions. I don't really like trading without tight stops so it was a little challenging today. JMO." imo and ime, today allowed for tight (largest stoploss i used was 12 pts) stops with much larger and definable targets. you can't ASK for better trading conditions. again, it was a dream day.