I live in Australia and trade the ASX200 FUTURES . Is there other traders also trading the ASX200 FUTURES? I would be interested in discussing the market.
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Yes I trade it but I hedge it with the S&P500 overnight. Also known as the 'spi-mini' spread. I've done that spread for about 4 years now.
Just a word of advice, my prop firm had "Australia's biggest spi day trader" in the SPI and he gave back his limits a few years ago. I think he recently got them back again but let me tell you, it took a lot of heart out of those who made their living on that from 2006-2011. We also had a guy who owned a few ferraris and used to trade only SPI back on the SFE Floor days in the 70's and 80's... and guess who got crushed in the past few years and ended up retiring?
If you are doing positional trades and trends on it then I guess that's Okay but then again you can trade any market with this nack for trends and breaks or whatever.
Most people who trade the SPI trade it like a complete spastic; a very common trade is to pyramid/martingale after 4pm and see where the ASX200 cash closes at 4:10pm, then try to make your living there. I don't like this type of averaging hard and going all-in so I avoid it.
There are a very, very few number of humans who participate in it outright successfully that I am aware of (every day). If anyone has any advice on what they can share I would love to hear.
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To-date I have mostly been systematic trading on US markets, I wanted to get into discretionary trading but not the midnight variety, been playing with some ideas via SPI CFD's while trading the Mini Nikkei (take a look at that if you don't end up on the SPI).
s0mmi makes a good point about hedging on the S&P 500, biggest difference I have found with our local market compared to US, our day session is very reactionary to over night movement compared to say ES where you can look for tests/re-tests and confirmations of night levels in the day session.
Our market might rip and go after a big US session, or just dry up and consolidate (most frustrating). But often never re-test prior day RTH levels.
I use volume/market profiling and find I have to use both day & night sessions to get a good picture and define my levels, where on ES you can just use RTH only.
Most days the majority of the days range is done in first 90 minutes and ive found taking the first early swing or fading the overnight trend the best bet . Most daily cash ranges overlap and that can be something to exploit . There are many edges to exploit in the SPI/XJO/AUS200 imo and its a very overlooked instrument by australians and i am perplexed as to why tbh . Whilst daily ranges are small lately its still miles ahead of many indice . I do not scalp and take 3 types of trades
Intra Swings where i try and net >50% daily range in 1 trade
2-3 day swings where i target 50-150 points
3-6 weeks swings with entry around SPI expiry , a certain money flow / cycle repeats ad nauseum
Using a quantitative approach many patterns (for want of a better word) exist that are not really visible to the naked eye . Times where price is not really random . Find this and >50% of a year is predictable in asx200 , not predictable in a way of defining targets to the point but predictable in the sense of trend is 80% probable in v^ direction
SPI EXPIRY overlay on daily
Intra daily range done early in cash session
I have a couple algos that perform very well trading ASX200 both intra and daily timeframes .
Long only daily since 2003 , no risk management with dynamic sizing , i have a short algo as well and running concurrently the curve is actually smooth as silk with max DD 16% over same period...edit (not too mention as well as smoother curve it is also faster ) . The worst trade here is 1 week after lehmans declared bankruptcy
Put the time in and its a good instrument imo
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Calling out SPI /ASX200 traders to get a group of like minded individuals together to chew the fat during asx hours . bit of collective thinking , idea sharing and social chit chat ... Any takers Skype whatever
Getting a good active thread going here as well on the agenda . Hit me up please if interested
First week of the year and looking at seasonals it looks typical that SPI drops of into mid Jan , i dont put a heap of weight into it but taken in context it can be useful .
Historically the best ranging day of week XJO is a tuesday but the continuity of these studies is skewed by huge range days such as US election / Brexit type events . In my experience Monday is the weakest cash range of the week so monday is the day to play golf
Naturally always exceptions to the rule but Mondays either dull as or rampant trenders and not much inbetween , the olive markers on price are mondays with Cash range in bottom pane and mondays marked with red arrows
Note many of the trender mondays are gap opens and range breaks , something to note . if US holidays either side weekend squeezes of crowded trades ( sentiment ) are common
The following user says Thank You to Ozquant for this post:
Great to see some SPI action, or any action in our time zone
I considered trading the SPI this year, I have been on the Mini-Nikkei the last 18 months, but lack of volatility is just a killer, either I needed to massively size up or start shopping for a new instrument. So NY resolution is to first check out the Kospi200, if that doesn't work out I might end up on the SPI.
Intraday SPI was pretty good for 2017 up to start of OCT which is where daily ranges nosedived . 1st day of 2018 was the largest cash range in over 2 months so its a decent sign . Lack of volatility all round indice and FX wise , ive even resorted to BTC which has actually been pretty solid . I gave up US indice a year ago , was coma inducing .
PS nifty fifty is one ive been working out a system for as well . I like the mean reverting stuff . The Nifty pre xmas had regular 1% cash ranges and thats all you need
Never a good sign when first 90 minutes cash 15 point range , i am going to have a good sleep and return for last hour . Algo running but with volatility this low almost certain there will be no fills ..
Algo has done a reasonable job this week in poor trading conditions , snuck in a couple other trades so reasonable start to year , the 50 points on tuesday was a bonus
Got the obligatory bounce of XJO long term support and now looking for areas where the ceiling may exist , i am thinking 5690 will be the speedhump from here medium term
i've spent the morning looking for some thread about trading the XJO and ended up back at my forum to find this thread,
i'd be keen to join a group or chat, on whats app skype messenger etc, hope it's still relevant for you,
what i was searching for was how to trade the XJO i have an NT/AMPs account, there getting back to me with Futures FCM margin details etc
i used to trade it here with options before/after the GFC, wanted to know how everyone else is trading it CFD's Furtures etc, using US accounts or Aust brokers etc.
i may be naive here but want to explore exploiting the XJO reaction to the overnight ES movement, most of the move seems to occur in the first hour, and as i have no overnight data i don't know about re testing PDH/L etc, i'm discretionary trading looking for simple advantages
Nice coding work, can't offer any advice and your work already intimidates me
say hi free anytime
cheers
"If you believe you CAN, OR believe you CAN'T, you're RIGHT!"
@ martinhunting - that's cool. i've been trading it for about 2 years. just wondering what other people's experience has been, if anyone's been successful trading it/made a living out of it etc.
@ Linds - not sure if that was directed at me or martinhunting but no I haven't.
Hi
I use both volume profiling and the VWAP anchored from a high or a low . Main chart is a 15 min chart but I use a 3 minute chart for entries. I am retired and only trade usually in the mornings for a couple of hours .
The AUS200 follows the American markets quite closely I normally have a S&P500 chart opened .
Hear is today's 15 min chart that bounced off the anchored VWAP off the low. 60 min shows the anchor from the low .
