YM Trading Strategy

Discussion in 'Strategy Building' started by doublea, Apr 25, 2005.

  1. doublea


    Here is a simple YM Trading Strategy.

    Compare YM to ES. If the change in YM is less than 8 X change in ES, go long YM. If the change in YM > 10 X ES, go short YM.

    for example: If the YM is up 100 and ES is up 9. Look for a shorting opportunity, with an initial target of {100-(9 x9) =19 YM pts.

    Entry: In the five minute chart, after the above mentioned conditions are met wait for a lower high and sell at market. Reverse this for going long.

    For Example: If the high at 12.10.00 pm is 10040 and the high at 12.15.00 is 10036, then sell at the market at 12.15.01.

    Stop: Stop will be 2 pts. above or below the previous high.
    The stop will be 10042.

    Risk/Reward: The initial risk reward should be greater than 2.5 to take the position. Our risk: 10042-10036 = 6 pts. and reward is 19, so take this trade.

    Exit: Exit will be when change in YM = 9 X change in ES.
    If the YM goes to 10021(up 81 pts.) and ES stays at 9, then cover with a profit of 19 pts. But if the ES is down to 7 instead of 9, do not cover your position, your new target is 10003 and set a trailing stop at 10021. If the ES is up 10, then your target is 10030.

    Please share your thoughts/ opinions.
  2. Did you do any tests of this strategy?
  3. John47


    double that on the testing. The gist seems to be like spreading the YM/ES? Perhaps it would be worth giving this a shot w/ ES/NQ.
  4. doublea


    Not the mathematical testing, although I have been watching the SP and DJ index (not the futures) and and they seem to work. I will test this soon, maybe this weekend. Can somebody get me 5 or 15 min intraday data for YM and ES for a month, a year would be better.
    I got this method from a guy who used to work for a hedge-fund, he did not trade this but told me that his boss used it frequently. Gary Smith, in his book How I trade for a living mentioned this too. It was a one line thing.
  5. Yeah, I knew he did. That's why I asked if anyone did some testing on it.
  6. How is that trading strategy working for you ?
  7. blanca


    Should we apply this system to the openning or could be applied to any hour of the day? what happens if let`s say the dow is below 8 how would the calculations be?

    For example right now ym is at 31 in change and es is at - 0.75, how would the calculation be?

  8. nitro


    You're going to get killed.

    Actually, _IF_ you are hedged, you won't lose money as fast as if you were trading directionally without a real insight into the market.

  9. Still testing that strategy I suppose ?
  10. doublea


    I tested the strategy, it did not work so well.:confused:
    #10     May 14, 2005