Your saying the market will change multiple times in the first 4, 5- minute bars. If this is fact, you should be able figure out a way to take this to the bank.
Exactly. And has he determined statistically from the price action exactly what the difference is between ES and Forex markets ? There's all kinds of measures like volatility and entropy, etc. If he doesn't measure and track this stuff, he's asking for more trouble down the line.
Well, this might explain why he had trouble. He's indicating more size = less liquidity. Anyone see the fallacy here ?
your best bet as a newb or even seasoned with ES is risk 2 pts and go for 4. set your OCO order and walk away, come back in a couple hours. Even if you have no fucking idea what constitutes an edge, this simple practice should keep you somewhere near break even. and you should probably just trade YM anyway with 1 contract, smaller tick size more likely you'll get filled on your exit and the volatility is fairly close. like other said, ES is ultra efficient, thats why is so hard.
Good distillation in an equation of the verbose that I wrote! But I am a bit confused when you say fallacy - are you agreeing with my logic or are you refuting it? If you are refuting my logic, please explain your counter-logic, as it is not at all obvious. Thanks.
First, If x doesn't work in trading, it does not mean that inverse of x will work because of spread and commissions. Volume wise and activity wise, first 15-20 minutes after the market open are most hectic. Generally, no clear direction is formed yet, as bulls and bears fight and test each other's strength. So markets can change directions fairly quickly and chances are you will be whipsawed. Compare this opening activity with times between 1000 and 330. During these hours, on many days market has clearly found a direction for the day or at least for one half of the day - and its an easier trading environment. Another point that makes trading the first 15-20 minutes hard is - if you are trading first 15-20 minutes, you are essentially going for 1-3 point target as markets can quickly change directions, and there is a significant chance that your 1-2 point stops will get hit - so essentially you are scalping. As per one of my post above, I do not recommend scalping for struggling ES traders. EDIT: In any case, your post has made me think, and I appreciate your post. In future I would look more closely to see if I can find trading opportunities in the first 20 minutes window. BTW, I have a strategy that actually works in first 20 minutes but its average trade profit is 1 tick, and at this stage in my trading career, I don't want to trade anything which average trade profit is less than 1 point. When your average trade profit is 1 point, you have a lot of room for differences between execution and theory; also it gives a lot of cushion and warning time if your edge starts to deteriorate.
Very good point. Listen all struggling traders! Know your markets basics like ATR, morning range, afternoon range, volume, main players in the market etc. I initially didn't do "any" statistical analysis on ES, I had done "a lot" on fx. Finally I did some on ES, and this has helped me gauge the difference between different contracts. Know about physics entropy but what is entropy in trading context ?
You were indicating a higher "time in queue", not liquidity. ES is highly liquid...ie 1,000 contract orders are handled easily. However, your tiny 1 contract order has to sit in line with thousands of other limit orders; thus the long wait. What you need to measure: average size of bid+ask divided by daily average volume divided by # of minutes of trading each day. The higher the number, the longer the wait.
precisely, we both agree here! Its just unfortunate that it took me more than 5 months of losing to recognize this simple thing