Is scalping Emini a sustainable trading strategy? - futures io
futures io



Is scalping Emini a sustainable trading strategy?


Discussion in Emini and Emicro Index

Updated
      Top Posters
    1. looks_one loantelligence with 12 posts (18 thanks)
    2. looks_two Trentatron with 8 posts (10 thanks)
    3. looks_3 bobwest with 6 posts (29 thanks)
    4. looks_4 TWDsje with 6 posts (12 thanks)
      Best Posters
    1. looks_one SBtrader82 with 6.7 thanks per post
    2. looks_two bobwest with 4.8 thanks per post
    3. looks_3 TWDsje with 2 thanks per post
    4. looks_4 loantelligence with 1.5 thanks per post
    1. trending_up 9,544 views
    2. thumb_up 170 thanks given
    3. group 45 followers
    1. forum 86 posts
    2. attach_file 11 attachments




Welcome to futures io: the largest futures trading community on the planet, with well over 125,000 members
  • Genuine reviews from real traders, not fake reviews from stealth vendors
  • Quality education from leading professional traders
  • We are a friendly, helpful, and positive community
  • We do not tolerate rude behavior, trolling, or vendors advertising in posts
  • We are here to help, just let us know what you need
You'll need to register in order to view the content of the threads and start contributing to our community.  It's free and simple.

-- Big Mike, Site Administrator

(If you already have an account, login at the top of the page)

 
Search this Thread
 

Is scalping Emini a sustainable trading strategy?

(login for full post details)
  #11 (permalink)
lightsun47
Toronto, Canada
 
 
Posts: 169 since May 2018
Thanks: 200 given, 140 received


awesomizer View Post
@Big Mike is the forum owner and top admin and from reading his trading journal, he has the experience of reading hundreds or thousands of trader's journals since starting this forum and from his experience he says it is not sustainable and you will not find anyone that can prove they scalp and make big bucks long term.

From my experience, it is an evil temptation of greed and learning to be patient with trades is actually more profitable.

I agree, but only somewhat. This forum does not represent 100 percent of all the traders out there in the world and similarly, you cannot claim scalping does not work for all the people around the world.

There are people personally I know who scalp out points (1-2 at once) everyday (not ticks) successfully and go on dozens of lots. It is hard, but not impossible.

If there is an alien civilization thriving a few billion light years away from earth and you cannot see them because of ridiculously vast distances, that does not mean they don't exist.

Sent using the futures.io mobile app

Reply With Quote
The following user says Thank You to lightsun47 for this post:

Can you help answer these questions
from other members on futures io?
1 min chart v-shape scan help please
ThinkOrSwim
Portfolio Management Tool/Software
Psychology and Money Management
TradingView help in improving Anchored Vwap
Platforms and Indicators
Help with NinjaScript strategy keyboard event
NinjaTrader
Color templates for MT5 40 items
Platforms and Indicators
 
Best Threads (Most Thanked)
in the last 7 days on futures io
Webinar: Happy Hour w/Cem Karsan
30 thanks
Avoiding Account Killing Freight Trains
20 thanks
Losing faith...
18 thanks
Fail to Plan - Plan to Fail: What can go wrong?
13 thanks
Al Brooks Trading Course (www.brookstradingcourse.com)
13 thanks
 
(login for full post details)
  #12 (permalink)
 bobwest 
Site Moderator
Sarasota FL
 
Experience: Advanced
Platform: Sierra Chart, NinjaTrader
Trading: ES, YM
 
bobwest's Avatar
 
Posts: 6,647 since Jan 2013
Thanks: 49,872 given, 22,208 received


mrbouffa View Post
Like the title says, I've been testing it out on a 512 tick chart, only staying in a position for 10-30 seconds. I use exit brackets, so the trade auto exits at 2 - 3 ticks. Is this sustainable compared to longer day trading? Haven't been using any indicators just volume and price. Any indicators work best for scalping?

One basic question is, "Have you been trading this in a cash account?" Not sim, not "testing." Live trading.

I'm not going to say I know the answer to your question, but if you haven't been trading it live, you won't know either. If you did trade it live, and if you were making money at it, I think you would know, and wouldn't be asking anyone. ( )

That does sort of show my opinion.

But to spell it out, it is very likely that going for "2 -3 ticks," you are going to get killed. These are just very, very small fluctuations, and it is very unlikely that you will consistently be that spot-on in your timing. Also, you can't take even as much a one or two ticks of slippage with that small a leeway, and there is always the problem of commissions. It is quite possible to scalp and make money exceeding commissions, but the smaller the profit, the harder it is to do that.

The main thing is that when actual money is being made or lost, everything changes. Your emotional equilibrium goes out the window, you become impulsive or panicky, you jump in and out too much, and your account suffers. Keeping your head and actually following a strategy gets very difficult with real-money trading. I do not suggest trying anything as difficult as you propose without having a ton of experience under your belt.... which is why I asked whether you were trading live or not, and why I assumed that you are not.

If I am right about whether you are live or sim, there are simple things you can do:

(1) Go live as soon as it is financially possible. Trade the micro contracts, so your risk is less (the MES has one-tenth the size and financial risk of the ES, and is a good way to learn.)

(2) Try your strategy. Do only one contract per trade, and have a daily and perhaps a weekly limit on how much you will lose that day (or week) before stopping for the day (and/or week). I predict you will find it more difficult than you think. But you also will not be needing to ask anyone else what is an unanswerable question for them, which is whether you can profit from your plan. In other words, try it and see. But if you are trading in sim now, get out of sim as soon as you can. Trade in the real world.

After doing these two steps, you will know the answer, and you will also be better prepared to either fix what needs correcting, or to try something with a different timeframe, or whatever you find you need to do.

--------------

If I've made the wrong assumptions about whether you're trading in sim or live, or if I've made the wrong assumptions about your experience level, I apologize. But I do not think that someone who is trading live in the markets with actual cash would be asking your question, so I have tried to give you a way to find out the answer for yourself.

If I am right, it may cost you some money to get that answer, but that's still how you would be best advised to do it.

Good luck.

Bob.

When one door closes, another opens.
-- Cervantes, Don Quixote
Visit my futures io Trade Journal Reply With Quote
The following 9 users say Thank You to bobwest for this post:
 
(login for full post details)
  #13 (permalink)
 SBtrader82 
Rovigo (ITALY)
 
Experience: Intermediate
Platform: SierraChart, MotiveWave
Broker: Rithmic, Dorman, Interactive Brokers
Trading: Emini, Nasdaq, DAX, Bund, IBEX
 
SBtrader82's Avatar
 
Posts: 459 since Feb 2018
Thanks: 177 given, 1,043 received



lightsun47 View Post
I agree, but only somewhat. This forum does not represent 100 percent of all the traders out there in the world and similarly, you cannot claim scalping does not work for all the people around the world.

There are people personally I know who scalp out points (1-2 at once) everyday (not ticks) successfully and go on dozens of lots. It is hard, but not impossible.

If there is an alien civilization thriving a few billion light years away from earth and you cannot see them because of ridiculously vast distances, that does not mean they don't exist.

Sent using the futures.io mobile app

exactly!! I also don't like to put things like absolute truth: I cannot say "scalping doesn't work" or "that methodology doesn't work", because to a certain extent there is nothing that really does or doesn't work in trading.
Maybe the essence of trading itself is that there is no black or white, and no absolute truth.

One thing that I mentioned in another post (can't remember where) that I think should be considered is the sustainability of a certain strategy. The more we want to play "mechanically" the more we are entering the robots' playing field.
In the case of scalping, all the techniques used by scalpers (by the way I took John Grady's courses in the past), are extremely mechanical. Any decent programmer could code them.
So, sooner or later your edge will disappear.

There is one thing called "the Moravec's paradox": basically the easier it is to describe something in words the easier it to be done by robots.

Follow me on Twitter Visit my futures io Trade Journal Reply With Quote
The following 4 users say Thank You to SBtrader82 for this post:
 
(login for full post details)
  #14 (permalink)
 bobwest 
Site Moderator
Sarasota FL
 
Experience: Advanced
Platform: Sierra Chart, NinjaTrader
Trading: ES, YM
 
bobwest's Avatar
 
Posts: 6,647 since Jan 2013
Thanks: 49,872 given, 22,208 received


SBtrader82 View Post
The more we want to play "mechanically" the more we are entering the robots' playing field.
In the case of scalping, all the techniques used by scalpers (by the way I took John Grady's courses in the past), are extremely mechanical. Any decent programmer could code them.
So, sooner or later your edge will disappear.

There is one thing called "the Moravec's paradox": basically the easier it is to describe something in words the easier it to be done by robots.

Thanks for this. Not to wander off-topic too much, but I found this topic of Moravec's paradox extremely interesting, and I didn't know anything about it:

"As Moravec writes, 'it is comparatively easy to make computers exhibit adult level performance on intelligence tests or playing checkers, and difficult or impossible to give them the skills of a one-year-old when it comes to perception and mobility'."
( https://en.wikipedia.org/wiki/Moravec%27s_paradox )

There are implications of this for trading, as you say, so it's not actually off-topic. You could say that the more conceptual something is, the easier it is for a computer to duplicate it and do it better.

There is always a tendency for an edge to disappear, because if it works, someone else will figure it out too and will do it better than you. This paradox opens up another angle on this: the better your technique (or perhaps, the more mechanically precise it is), the more vulnerable it is to the machines beating it.

Bob.

When one door closes, another opens.
-- Cervantes, Don Quixote
Visit my futures io Trade Journal Reply With Quote
The following 8 users say Thank You to bobwest for this post:
 
(login for full post details)
  #15 (permalink)
 SBtrader82 
Rovigo (ITALY)
 
Experience: Intermediate
Platform: SierraChart, MotiveWave
Broker: Rithmic, Dorman, Interactive Brokers
Trading: Emini, Nasdaq, DAX, Bund, IBEX
 
SBtrader82's Avatar
 
Posts: 459 since Feb 2018
Thanks: 177 given, 1,043 received


bobwest View Post
Thanks for this. Not to wander off-topic too much, but I found this topic of Moravec's paradox extremely interesting, and I didn't know anything about it:

"As Moravec writes, 'it is comparatively easy to make computers exhibit adult level performance on intelligence tests or playing checkers, and difficult or impossible to give them the skills of a one-year-old when it comes to perception and mobility'."
( https://en.wikipedia.org/wiki/Moravec%27s_paradox )

There are implications of this for trading, as you say, so it's not actually off-topic. You could say that the more conceptual something is, the easier it is for a computer to duplicate it and do it better.

There is always a tendency for an edge to disappear, because if it works, someone else will figure it out too and will do it better than you. This paradox opens up another angle on this: the better your technique (or perhaps, the more mechanically precise it is), the more vulnerable it is to the machines beating it.

Bob.


Exactly!!! and to be honest I use this concept a lot!
whenever a trade is "too evident" I am concerned about the viability of it, because everyone will see it and try to take it, which would mean that there should be no-one taking the opposite trade.
On the other hand machines can help us, because they will compute very fast what is the best way to go from a strategic point of view. So sometimes I like to think "what are the robots going to do in this situation?".

Follow me on Twitter Visit my futures io Trade Journal Reply With Quote
The following 4 users say Thank You to SBtrader82 for this post:
 
(login for full post details)
  #16 (permalink)
ondafringe
Albuquerque, NM, USA
 
 
Posts: 90 since Jul 2012
Thanks: 66 given, 86 received


SBtrader82 View Post
...whenever a trade is "too evident" I am concerned about the viability of it, because everyone will see it and try to take it, which would mean that there should be no-one taking the opposite trade...

But only if what you're watching to determine "too evident" is the same thing everyone else is watching, which is why I don't watch what everyone else is watching!

Reply With Quote
The following 2 users say Thank You to ondafringe for this post:
 
(login for full post details)
  #17 (permalink)
 AlexSobol 
Sumy, Ukraine
 
Experience: Beginner
Platform: NinjaTrader
 
AlexSobol's Avatar
 
Posts: 59 since Apr 2019
Thanks: 112 given, 96 received

I'm no fan of fixed targets like 2 ticks, 1 point. Even if you wanna use targets make em based on price action. Previous high/low, S/R. It makes more sense.
If you're using 512 tick chart you can easily hold for few minutes or even hours.
Scalping is possible but not with 2 ticks target.

Reply With Quote
The following 2 users say Thank You to AlexSobol for this post:
 
(login for full post details)
  #18 (permalink)
 TWDsje   is a Vendor
 
 
Posts: 656 since Apr 2016
Thanks: 19 given, 734 received


SBtrader82 View Post
In the case of scalping, all the techniques used by scalpers (by the way I took John Grady's courses in the past), are extremely mechanical. Any decent programmer could code them.
So, sooner or later your edge will disappear.

There is one thing called "the Moravec's paradox": basically the easier it is to describe something in words the easier it to be done by robots.

When I went back and tested the John Grady strategies what I found was that there were periods where they worked pretty well, and there were periods that were quite dismal. Essentially you become prone to large drawdowns. It is impossible for the market to be completely efficient against all strategies all the time. So instead it cycles.

So the question then becomes when do you use the strategy? I have been unable to find any kind of market generated data that can reliably predict what kind of market we are in early enough to make it all work. However, I have found situations where you can know what strategy to use based on the news and fundamentals. It largely comes down to whether latent liquidity will break or hold. Things about the situation that I can deduce in the moment based on unique factors for that day, but are far too varied to program for. They also tend to be factors that most people overlook. This is what Grady calls "context". So there are still places where the humans can see things that the robots don't, but they are rare. So then the problem is that as a retail trader your knowledge and understanding is too incomplete to reliably catch the 20% of cases where this applies, or your execution just isn't fast enough.

Which really stresses just how tight the tolerances really are. Say you knew that the market was going to move up 8 ticks, and you had no risk or margin limitations. What's the optimal number of contracts to maximize your profit when you consider the potential price impact of your trades? When I analyze this I get out about 200 lots.

Meaning that if more than 200 lots try trading on the same signal as you, the signal's expectancy could become unprofitable because of execution impact unless you can consistently get in and out first. Maybe that's why you don't see many market orders at any one price larger than 200 in ES?

Coincidentally, this is the opposite way of how Grady approaches it in his book. He's willing to share the information because he thinks the more people trading the signal the better. My conclusion after learning more about market microstructure is that he is simply wrong on this point, and that some of the edge has indeed been arbitraged away unless it's a more volatile market or you're really good at the context. His course is still really good BTW, and I highly recommend it.

Reply With Quote
The following 3 users say Thank You to TWDsje for this post:
 
(login for full post details)
  #19 (permalink)
lightsun47
Toronto, Canada
 
 
Posts: 169 since May 2018
Thanks: 200 given, 140 received

TWD, I followed everything what you said - except when you said if everyone's jumping on same price level, it is bound to fail.

Why is that can you please tell us? Thanks.

P.S. The OP is nowhere to be seen and the replies are getting bigger and bigger here.....

Sent using the futures.io mobile app

Reply With Quote
 
(login for full post details)
  #20 (permalink)
 TWDsje   is a Vendor
 
 
Posts: 656 since Apr 2016
Thanks: 19 given, 734 received



lightsun47 View Post
TWD, I followed everything what you said - except when you said if everyone's jumping on same price level, it is bound to fail.

Why is that can you please tell us? Thanks.

P.S. The OP is nowhere to be seen and the replies are getting bigger and bigger here.....

Sent using the futures.io mobile app

When you place an order, it has an impact on the market. Your one lot probably doesn't matter, but the combination of you and everyone else trading that same signal does have an impact. So we think of everyone trading that signal as one big order called a meta-order. There is an order quantity at which the impact of that meta-order on price cancels out what you would expect to make from the signal itself. Everyone trying to get in at once moves price away from you so you get a worse spot and make less.

There's a lot of research on this area, and when I try the models myself on ES I get numbers that are roughly equal to the largest market order you'll tend to see on a normal day. So if more than 200-400 people are trading your 8 tick signal it will reduce the effectiveness of the signal.

Reply With Quote
The following user says Thank You to TWDsje for this post:


futures io Trading Community Traders Hideout Emini and Emicro Index > Is scalping Emini a sustainable trading strategy?


Last Updated on June 21, 2021


Upcoming Webinars and Events
 

NinjaTrader Indicator Challenge!

Ongoing

Your Charts Should Speak To You w/Bob Cometta

Elite only
 

Our 12-year anniversary w/ $$,$$$ prizes (check soon)

August
     



Copyright © 2021 by futures io, s.a., Av Ricardo J. Alfaro, Century Tower, Panama, Ph: +507 833-9432 (Panama and Intl), +1 888-312-3001 (USA and Canada), info@futures.io
All information is for educational use only and is not investment advice.
There is a substantial risk of loss in trading commodity futures, stocks, options and foreign exchange products. Past performance is not indicative of future results.
no new posts