Here's DAX volume for today... http://www.eurexchange.com/data/statistics/statGenerate.html?symbol=FDAX If he trades 20k contracts a month I don't think that's 1 %
629 x 629= $750 euro net ( $-382 euro) I pretty much just churned my selflike mad this morning (before U.S. open). I didn't think the Dax would stay in the narrow early range like it did(narrow for the DAX) and was looking for a B.O. It didn't happen and I got down a $2k early. I wasn't able to short anything on the employment # (wasn't fast enough). But I managed to get back in the positive( gross) and ended up losing some commissions. Not the way I would've wanted to start this journal, but thats o.k.
04 Dec 2003 FDAX Delivery Month Dec 2003 Vol 107k 20k / month = 1k / day 1 / 107 ~1% OK, if Eurex reports volume by single-side, it would be 0.5%...
Speaking of ultra-active DAX trading... I've done some backtesting on 1-minute data. Impressive performance, BUT you have to execute orders without any slippage. 0.1 Dax point (2.5 EUR) is deducted from each round-trip for commissions. Testing period is 10 months (circa 220 days) Total net profit: 8898 pts (avg 40 / day) # trades: 33723 (avg 153 / day) Max drawdown: 435 pts
Wow! You have 629 RT per day. If you could get 1 tick per RT then you would get 7k a day! Is it really hard to make one tick for a scalper?