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FGBL intraday scalping
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FGBL intraday scalping

  #11 (permalink)
Elite Member
Hradec Kralove, Czech republic
 
Futures Experience: Beginner
Platform: NintaTrader 7
Favorite Futures: FGBL, ZB, ZN
 
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Posts: 89 since Apr 2010
Thanks: 11 given, 59 received


FGBL07 View Post
I'm using Eurex native market orders, submitted along with the opening order. So they are resting at the exchange, not my broker or PC. Maximum slippage I have experienced so far are two ticks, but I avoid trading around events that cause serious volatility. Such events like the ECB press conference yesterday and the NFP report today.

Where are your data from? You will need very precise data to test such a strategy. Your orders should be resting at the exchange, not your PC. That might cause problems because your broker will have to provide the OCO facility.

Three ticks stop loss is very tight and you need an almost perfect entry to get away with that. Depending on your data feed I guess you will have to test that in real. E.g. If you use IB's data feed then your results will be flawed.

You will have to catch the momentum train when it is strongest, not at its start nor end.

Thanks for useful info (i havent been thinking about it yet). Actually i use CQG datafeed (demo acc). Can i ask you, what broker are you using?

We are what we repeatedly do. Excellence then, is not an act, but a habit.
Aristotle
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  #12 (permalink)
Elite Member
Oberhausen, Germany
 
Futures Experience: Advanced
Platform: Sierracharts
Broker/Data: Interactive Brokers/DTN IQFeed
Favorite Futures: Bund Future
 
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gerimo View Post
Thanks for useful info (i havent been thinking about it yet). Actually i use CQG datafeed (demo acc). Can i ask you, what broker are you using?

I'm using Interactive Brokers, data feed is DTN IQFeed.

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  #13 (permalink)
Elite Member
Hradec Kralove, Czech republic
 
Futures Experience: Beginner
Platform: NintaTrader 7
Favorite Futures: FGBL, ZB, ZN
 
gerimo's Avatar
 
Posts: 89 since Apr 2010
Thanks: 11 given, 59 received


My rules for entries:

My system has 2 patterns - 1 counter-trend and 1 pro-trend.

For counter-trend pattern:
1. The market is declining under the SMA (for long) or rising above the SMA (for short).
2. The market will break the previous boundary of Swing
3. Entry candle has the following properties:

a) Close of candle is into the direction of trade
b) Close of candle is above the previous boundary of Swing (short) or below (long)
i) In the case of DT / DB requires that the market trend character!
4. TEMA (Min) is near or above the TEMA (Vol). TEMA (Min) and TEMA (Vol) is above the EMA (TEMA).
5. Developments in the Real JT Stats is inclined in the direction of trade - the development of the candle should be gradually bullish / bearish (according to the direction of trade)


For pro-trend pattern:
1. The market is declining under the SMA (for short) or rising above the SMA (for long).
2. The market will break the previous boundary of Swing
3. Entry candle has the following properties:

a) Close of candle is into the direction of trade
b) Candle touches SMA
4. TEMA (Min) is near or above the TEMA (Vol). TEMA (Min) and TEMA (Vol) is above the EMA (TEMA)
5. Developments in the Real JT Stats is inclined in the direction of trade - the development of the candle should be gradually bullish / bearish (according to the direction of trade)

We are what we repeatedly do. Excellence then, is not an act, but a habit.
Aristotle
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  #14 (permalink)
 Vendor: www.traderwerks.com 
Taipei Taiwan
 
Futures Experience: Advanced
Platform: NinjaTrader
Broker/Data: Optimus
Favorite Futures: TW
 
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ReaM View Post
Since you stated you are a beginner... Be careful with FGBL, the liquidity is very low right now, probably 1/4 of what used to be normal and if some Goldman Sachs decides to dump 10000 lot you would look at -40 ticks in a matter of one second.

@ReaM The liquidity seems like it has been low for a couple years now. Too low for scalping, that is. I know one person claims the algos drove off the scalpers. I think it is that traders stop using the Bund/Bobl as proxies for other Euro area debt.

Math. A gateway drug to reality.
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  #15 (permalink)
Trading for Fun
Los Angeles
 
Futures Experience: Advanced
Platform: x_trader
Favorite Futures: Stocks
 
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traderwerks View Post
@ReaM The liquidity seems like it has been low for a couple years now. Too low for scalping, that is. I know one person claims the algos drove off the scalpers. I think it is that traders stop using the Bund/Bobl as proxies for other Euro area debt.

Compared to the first quarter and the half of the second quarter, right now it is very thin. Sometimes there often are not even 100 lots offered at some prices. I have older videos of myself trading and there in average are probably twice as many contracts offered for each price.

I don't know how it has been a couple of years ago though. Sounds like it was better^^

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  #16 (permalink)
Elite Member
Hradec Kralove, Czech republic
 
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Platform: NintaTrader 7
Favorite Futures: FGBL, ZB, ZN
 
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Thanks: 11 given, 59 received

Yesterday was my system without entry. Volume didnt make peake during my trading time.

We are what we repeatedly do. Excellence then, is not an act, but a habit.
Aristotle
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FGBL intraday scalping-fgbl-09-12-3-range-9_8_2012.jpg  
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  #17 (permalink)
Elite Member
Hradec Kralove, Czech republic
 
Futures Experience: Beginner
Platform: NintaTrader 7
Favorite Futures: FGBL, ZB, ZN
 
gerimo's Avatar
 
Posts: 89 since Apr 2010
Thanks: 11 given, 59 received

Actually, I am working on my system. I have some improvements and ideas, which should make trading system easier to trade for me. Also I am testing system na US Treasuries Bonds.

I will inform you.

We are what we repeatedly do. Excellence then, is not an act, but a habit.
Aristotle
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  #18 (permalink)
Trading Apprentice
tel aviv, israel
 
Futures Experience: None
Platform: other
Favorite Futures: futures
 
Posts: 7 since Mar 2013
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gerimo View Post
Actually, I am working on my system. I have some improvements and ideas, which should make trading system easier to trade for me. Also I am testing system na US Treasuries Bonds.

I will inform you.


hi,
i'm trying too, to build a trading system for the fgbm (5 years bond) the fgbl seems too choppy...
why are you trading fgbl? as i understand your system, it can be applied to other futures as well, which might be less choppy. someone above here, remarked on your tight stoploss, and i agree with that, how do you manage it? you send orders only at end of bar? or inside bars too?
thanks, goodluck

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  #19 (permalink)
 Vendor: tradevelopers.com 
Madrid Spain
 
Futures Experience: Advanced
Platform: Ninjatrader Developers
Broker/Data: NinjaTrader Brokerage
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FDAX IS GOOD OPTION TO TEST IT IN LIVE THIS THEORY

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  #20 (permalink)
Trading Apprentice
Zaporozhye
 
Futures Experience: Beginner
Platform: NinjaTrader
Favorite Futures: Currency Futures
 
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Quantslab View Post
FDAX IS GOOD OPTION TO TEST IT IN LIVE THIS THEORY

This instrument has very huge volatility and less liquidity. So it is difficult to trade by volume.

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