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Very simple ES strategy that seems to work


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Very simple ES strategy that seems to work

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  #21 (permalink)
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marketvoyager View Post
Mike, from the webinars, could you possibly give me a top five or top ten list in terms of importance and educational yield from all the webinars listed?

I just found out that my strategy is quite hard to implement, you where right, even thou it usually works the execution is quite difficult.

One of the best webinars I've heard...

https://futures.io/webinars/mar19_2011/afternoon_with_big_mike/

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  #22 (permalink)
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tturner86 View Post

Good one, thanks.

A guy will do a backtest for the TMV over a couple of years this weekend, then slowly add other indicator filters going forward if it looks promising. Will let everyone know the results. So far my observation is that the average safe profit is one or half a point on choppy market before any exit signal, however you could potentially make five points or more per day, which is not too bad.

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  #23 (permalink)
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marketvoyager View Post
A guy will do a backtest for the TMV over a couple of years this weekend, then slowly add other indicator filters going forward if it looks promising.

No criticism intended, but this whole approach of finding something that looks promising and then trying to improve it by "adding other indicators" is questionable, for me: it speaks of underlying belief-patterns predicated toward making trading decisions on the basis of multiple indicator combinations.

I hope you'll excuse my mentioning that I found my routine trading becoming steadily profitable only when I learned to avoid this kind of approach.

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  #24 (permalink)
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marketvoyager View Post
... slowly add other indicator filters going forward if it looks promising.


Tymbeline View Post
No criticism intended, but this whole approach of finding something that looks promising and then trying to improve it by "adding other indicators" is questionable, for me: it speaks of underlying belief-patterns predicated toward making trading decisions on the basis of multiple indicator combinations.

I hope you'll excuse my mentioning that I found my routine trading becoming steadily profitable only when I learned to avoid this kind of approach.

I strongly agree. Indicators of a similar type, such as oscillators, are not all that different. Adding a whole lot of them, which are all doing similar things, doesn't add confirmation, or "filtering" or whatever, just difficulty in figuring out what to do.

More stuff on the chart is usually not going to be the best way to go. Trying to understand what you see is a much better idea .

Complexity is your enemy.

Bob.

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  #25 (permalink)
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Tymbeline View Post
No criticism intended, but this whole approach of finding something that looks promising and then trying to improve it by "adding other indicators" is questionable, for me: it speaks of underlying belief-patterns predicated toward making trading decisions on the basis of multiple indicator combinations.

I hope you'll excuse my mentioning that I found my routine trading becoming steadily profitable only when I learned to avoid this kind of approach.

I agree, its not doable nor consistent, I already found out, hence I need to add two layers to get good execution. One is statistical analysis, and I am no expert at this but I think a good example is the combination of the divergence from previous vpoc and overnight high and low combined.

The other is to have fixed scaleout strategies combined with auto-trailing stops, so this would be risk management I guess. So for this last one I found something that so far worked on a backtest of a few days, so I buy three lots, and scale out in thirds, one at half a point, the other at 0.75 and the other at one point. The initial stop is at two points, but once the spread touches 0.75, a stop for one third moves to brake even, and the other one to even plus one, so you have a profit. I know, two points of risk for 0.75 sounds bad, but when I combine the indicators with patterns and carefully watch the ticks of the underlying S&P index, it works ok, and if it moves against me I can always get out with a one point loss. I guess there is a better strategy thou. So basically if I am patient I can probably get three to five points out of the ES most days with this strategy, but it remains to be seen.

Do you know about other useful statistics for trading the ES? Something like, how many points on average does the S&P move in one direction before pulling back based on x variable for the period?

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  #26 (permalink)
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marketvoyager View Post
The other is to have fixed scaleout strategies combined with auto-trailing stops

Why do you think automated trailing stops will be an improvement? I ask because whenever I've tested them carefully over statistically significant data, they haven't been. Automated trailing stops sound very good, but it's terribly easy, without painstaking statistical research, to overlook the times that they result in opportunity-cost.

That's something of which I'd want to see pretty irrefutable statistical evidence, myself, before adopting it as a strategy. I instinctively think of it as somewhat akin to "trying to farm out decision-making to an indicator, for convenience" and long experience has taught me that that's unlikely to go well, in the long run.


marketvoyager View Post
I found something that so far worked on a backtest of a few days

A few days?


marketvoyager View Post
so I buy three lots, and scale out in thirds, one at half a point, the other at 0.75 and the other at one point. The initial stop is at two points, but once the spread touches 0.75, a stop for one third moves to brake even, and the other one to even plus one, so you have a profit. I know, two points of risk for 0.75 sounds bad

.

"Bad" is perhaps putting it rather mildly?

In contrast to my comment above about automated trailing stops (of which I certainly think you should be wary), I'm not trying to imply that "this can't work", and it may even be that methodical and systematic analysis will show that it does, but "something that so far worked on a backtest of a few days" honestly doesn't even begin to be evidential.


marketvoyager View Post
Do you know about other useful statistics for trading the ES?

I don't. But I'm not trying to trade it.

I wish you good luck with this, but I think a major re-appraisal of your approach and objectives may be more helpful than "additional indicators".

(By the way, I routinely trade 3 lots, scaling them in and out, myself - and am certainly not trying to put you off that idea in itself.)

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  #27 (permalink)
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marketvoyager View Post
I agree, its not doable nor consistent, I already found out, hence I need to add two layers to get good execution. One is statistical analysis, and I am no expert at this but I think a good example is the combination of the divergence from previous vpoc and overnight high and low combined.

The other is to have fixed scaleout strategies combined with auto-trailing stops, so this would be risk management I guess. So for this last one I found something that so far worked on a backtest of a few days, so I buy three lots, and scale out in thirds, one at half a point, the other at 0.75 and the other at one point. The initial stop is at two points, but once the spread touches 0.75, a stop for one third moves to brake even, and the other one to even plus one, so you have a profit. I know, two points of risk for 0.75 sounds bad, but when I combine the indicators with patterns and carefully watch the ticks of the underlying S&P index, it works ok, and if it moves against me I can always get out with a one point loss. I guess there is a better strategy thou. So basically if I am patient I can probably get three to five points out of the ES most days with this strategy, but it remains to be seen.

Do you know about other useful statistics for trading the ES? Something like, how many points on average does the S&P move in one direction before pulling back based on x variable for the period?

What you described here is just more rookie mistakes and will never work.

Every five minutes you think you solved the market with a new strategy?

I would suggest you stop now and find a different hobby, you don't seem to be cut out to learn this profession. I'm trying to save you time and money.

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  #28 (permalink)
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Big Mike View Post
What you described here is just more rookie mistakes and will never work.

Every five minutes you think you solved the market with a new strategy?

I would suggest you stop now and find a different hobby, you don't seem to be cut out to learn this profession. I'm trying to save you time and money.

Sent from my phone

That is one tough advice to take because I am still hopeful to make a turnaround. I will not risk my own money on this thou so the risk is low, and I will continue to learn, I think I can make it, its just that I have not put in enough time and effort in study.

What is it exactly that you think is the best and most reliable method to make trade decisions? So far you have disregarded most price based indicators, you don't seem to like minute charts, you do seem to approve volume profile, the collective ma, and the range cci pivots. I know you have an extensive post on your own trading methods thou, have not read it yet.

What about price action patterns? What else is in your top list?

What about actual index price action analysis? I have found that I trade much better with the index.

Also, whats a good target scale out, stop loss trail strategy on average. Thanks.

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  #29 (permalink)
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Big Mike View Post
What you described here is just more rookie mistakes and will never work.

Every five minutes you think you solved the market with a new strategy?

I would suggest you stop now and find a different hobby, you don't seem to be cut out to learn this profession. I'm trying to save you time and money.

Sent from my phone

I think I know why I am wrong according to you and most traders here. I think its because I am trying to find a strategy that tries to structure trades based on fixed market price parameters, based on indicators. If such a thing where profitable, somebody somewhere would find out, and many people would fallow, eventually cutting the strategies profit. Hence every single strategy has uncertainty and the mental perspective must be in terms of probabilities.

Now, what I cannot figure out is what tools and methods do you approve of, thou I guess its mostly all in your post.

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  #30 (permalink)
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marketvoyager View Post
That is one tough advice to take because I am still hopeful to make a turnaround. I will not risk my own money on this thou so the risk is low, and I will continue to learn, I think I can make it, its just that I have not put in enough time and effort in study.

What is it exactly that you think is the best and most reliable method to make trade decisions? So far you have disregarded most price based indicators, you don't seem to like minute charts, you do seem to approve volume profile, the collective ma, and the range cci pivots. I know you have an extensive post on your own trading methods thou, have not read it yet.

What about price action patterns? What else is in your top list?

What about actual index price action analysis? I have found that I trade much better with the index.

Also, whats a good target scale out, stop loss trail strategy on average. Thanks.

Felt somehow compelled to butt in here. I think in the end you will realize to many indicators only serve to confuse you. I would suggest picking one or two and using that in confirmation of price action around support and resistance areas.
I'm sure you've heard that before and if you think about it there is a reason it's been parroted ad nauseum.

Aside from that I cringe at the thought of looking at a 1m chart. Way to much noise and not enough movement to get anywhere in terms of making money.

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