Trading the E-Minis with 5-18 day holds.

Discussion in 'Index Futures' started by ElectricSavant, Dec 6, 2003.

  1. nkhoi

    nkhoi Moderator

    18 days = investor :D
     
    #11     Dec 7, 2003
  2. I guess my modifications in the opening post you choose to ignore, as I am not a trader in your eyes.

    By using the longer hold times to form a directional bias the balancing act begins.

    Mr Market...move over....

    ElectricSavant is a genius.....no lets not start this....never mind

    Michael B.



     
    #12     Dec 7, 2003


  3. Thanks, sharing a link is not a major advertising, let's not get paranoidal about it...


    :)
     
    #13     Dec 7, 2003
  4. Yeah....

    So far I have "pulled ticks" 2 times and went flat over weekend pullng out longer term profit and going flat.

    Tonight when trading resumed "pulled a tick" and now am back in on the short signal so I do not miss the projected move.

    Michael B.

     
    #14     Dec 7, 2003
  5. ES:
    I observe the following and hope it helps you. Taking signals from a service implies that you believe they are better than you at deciding when to enter. That may or may not be the case. One way to find out is to obtain a record of how the service performs over a period of time. How long? As long as possible. Have you done that? Most people do not, and it bites them sooner or later. Without that data, you are right to say that any edge they may have can disappear at any time. Regarding "pulling a tick", all I can say is I would want to backtest that strategy to see how it worked over an extended period of time. You can do this manually and if it works, your confidence is justified (go for it). If you haven't done that, then you are on borrowed time (literally) because at some point you will be away from a chart, and the market will run away from you. If that happens right after you have "pulled a tick", it sort of adds insult to injury dosen't it? Last of all, I notice simularities between this method and the one Acrary talked about in one of his posts. If I remember correctly, he stated that he found an "edge" buying on Monday, and selling on Friday without stops. Difference is that he claims to have tested his system out thoroughly. Personally I would recommend putting in the effort to test, and if it seems to work over a period of at least a couple of years data, then go for it. Good Luck with your trading, Steve46
     
    #15     Dec 7, 2003
  6. Monsoon

    Monsoon

    what happens when the service stops mailing you?
     
    #16     Dec 7, 2003
  7. see below
     
    #17     Dec 8, 2003
  8. Then I will need to get esig and put up some hourly charts and figure out my bias with a properly fitted weighted ma.

    Michael B.



     
    #18     Dec 8, 2003
  9. ES:
    Seems that your data goes back to March of this year. That is a good start (IMHO), however most quants would tell you that your data "sample set" is too small to support reliable inference. Specifically, your success to date could (still) be attributed to random chance. Personally, I think it is promising, but that is the most encouragement I can give. I suggest you do one of the following: Either get more data, or institute a max drawdown (daily, weekly, monthly, and/or account maximum) so that if your edge disappears, it does not blow out your account in the process. There is another strategy that always works if you can put it in place. Find a comparable "edge" in a non-correlated market and trade both at the same time. Diversification is a well known way to reduce systematic risk. Best Regards, Steve46
     
    #19     Dec 8, 2003
  10. Thanks for your suggestion. Do you have a non-correlated hedge for NQ?

    Michael B.


     
    #20     Dec 8, 2003