ES stop loss fills - Emini Index Futures Trading | futures io social day trading
futures io futures trading


ES stop loss fills
Updated: Views / Replies:3,500 / 28
Created: by stefan416 Attachments:2

Welcome to futures io.

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

futures io is the largest futures trading community on the planet, with over 90,000 members. At futures io, our goal has always been and always will be to create a friendly, positive, forward-thinking community where members can openly share and discuss everything the world of trading has to offer. The community is one of the friendliest you will find on any subject, with members going out of their way to help others. Some of the primary differences between futures io and other trading sites revolve around the standards of our community. Those standards include a code of conduct for our members, as well as extremely high standards that govern which partners we do business with, and which products or services we recommend to our members.

At futures io, our focus is on quality education. No hype, gimmicks, or secret sauce. The truth is: trading is hard. To succeed, you need to surround yourself with the right support system, educational content, and trading mentors Ė all of which you can find on futures io, utilizing our social trading environment.

With futures io, you can find honest trading reviews on brokers, trading rooms, indicator packages, trading strategies, and much more. Our trading review process is highly moderated to ensure that only genuine users are allowed, so you donít need to worry about fake reviews.

We are fundamentally different than most other trading sites:
  • We are here to help. Just let us know what you need.
  • We work extremely hard to keep things positive in our community.
  • We do not tolerate rude behavior, trolling, or vendors advertising in posts.
  • We firmly believe in and encourage sharing. The holy grail is within you, we can help you find it.
  • We expect our members to participate and become a part of the community. Help yourself by helping others.

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

Reply
 2  
 
Thread Tools Search this Thread
 

ES stop loss fills

  #11 (permalink)
Elite Member
Michigan, Jackson
 
Futures Experience: Intermediate
Platform: NT and TS
Broker/Data: NT Continuum
Favorite Futures: ES, CL
 
Posts: 857 since Jul 2009
Thanks: 389 given, 546 received

I would agree with Kronie. At least a 6 tick SL. The ES tends to move in series of 4 ticks with a test either side or both sides giving you 5 ticks. If a 4 tick box is tested on both sides that equals six which would hit your SL. With delta momentum, I use a 6 tick SL.

Reply With Quote
 
  #12 (permalink)
Elite Member
Michigan, Jackson
 
Futures Experience: Intermediate
Platform: NT and TS
Broker/Data: NT Continuum
Favorite Futures: ES, CL
 
Posts: 857 since Jul 2009
Thanks: 389 given, 546 received

Stephan,

Here is the 6 tick test so commonly found in the ES. From this morning.

COTtrader

Attached Thumbnails
ES stop loss fills-es_tested.png  
Reply With Quote
 
  #13 (permalink)
Banned: trolling
NYC + NY / USA
 
Futures Experience: Advanced
Platform: "I trade, therefore, I AM!"; Theme Song: "Atomic Dog!"
Favorite Futures: EMD, 6J, ZB
 
kronie's Avatar
 
Posts: 798 since Oct 2009
Thanks: 216 given, 498 received

they just won't confirm...



COTtrader View Post
Stephan,

Here is the 6 tick test so commonly found in the ES. From this morning.

COTtrader

they just won't confirm that the professionals have tools on their domes that the retail and sophisticated traders just do not have....

some how, they are able to stack, run and flush the book, and orders through, for which retail traders would give a massive heart attack to their brokers and risk maangers, if they did anything like that.

these features rip through orders and flush/run stops with wild abandon, as well as any train wreck would ever do. ES doesn't tolerate that as much as the other contracts, particularly the equity based indices / symbols

either way, these simplistic goals of no risk trading, are well anticipated and run just to rip the easy money off the table, as it were.


plan that reality in your equation, and recalculate....

perhaps 8ticks = $100 or 10 ticks = $125 would be in order, with a tighter eye on your trades (hence true discretionary trading) rather than thinking one can so easily step into the marketplace which trades well over 800,000 contracts daily and then some, and just pick up their lunch / mortgage payment / retirement saving account in winnings.

its vastly harder than one thinks,

think bigger,
think longer,
plan on reality...

Reply With Quote
 
  #14 (permalink)
Elite Member
Georgia, US
 
Futures Experience: None
Platform: Various
Favorite Futures: Various
 
josh's Avatar
 
Posts: 4,898 since Jan 2011
Thanks: 5,143 given, 11,240 received

I don't know how stop size got into the discussion, but perhaps instead of "at least X ticks" one should simply consider the location of the entry, and the context of recent market activity to determine the stop size? If entries are treated as more or less random, then of course a natural rotation needs to be taken into account. But if the entry is already based on rotations, and context, then one might consider a stop placed based on what the market has done, rather than an arbitrary amount. Why risk 8, if 3 will invalidate the trade premise?

This is a function of trading methodology and style, more than anything else. Sitting in a small loss for hours has no particular merit for me personally, as it means that either my price or my timing was pretty far off the mark, and I'd rather focus my attention on other opportunities instead of tying up my focus and capital. However, others might see the virtues of that as "patiently letting the trade work." There is no right or wrong with this.

Reply With Quote
 
  #15 (permalink)
Trading for Fun
Sunnyvale, CA
 
Futures Experience: Advanced
Platform: TTTrader
Favorite Futures: CL
 
Posts: 160 since Dec 2012
Thanks: 8 given, 94 received


josh View Post
I don't know how stop size got into the discussion, but perhaps instead of "at least X ticks" one should simply consider the location of the entry, and the context of recent market activity to determine the stop size?

My personal opinion is that stop distance should not be predetermined, but should reflect the current price behavior.

Reply With Quote
 
  #16 (permalink)
Banned: trolling
NYC + NY / USA
 
Futures Experience: Advanced
Platform: "I trade, therefore, I AM!"; Theme Song: "Atomic Dog!"
Favorite Futures: EMD, 6J, ZB
 
kronie's Avatar
 
Posts: 798 since Oct 2009
Thanks: 216 given, 498 received

there's a school of thought that is taught, to watch for and anticipate the retail "MAE of pain"

there's also a school of thought, even evidenced here with the comments of running without stops, just watching the tick and position...

you started this thread with an objective, and we got side tracked by the tight bands you put around your assumed position taking.

what were your intentions?, with this approach?

1) to keep your losses small? (really a fictitious goal)
2) to be able to fire off orders frequently? (another unrealistic goal for retail traders)
3) to sample a newly learned approach that you just studied?

pm me if that's too revealing to answer in the thread, but I would like to understand your answers

you see, every now and then, comments like":
1) run with tight stops
2) run with no stops
3) run with large targets
4) run with naked orders (no OCO to band your position - experienced traders know these terms)

and the logical question then revolves around, why?
are the pro's doing sampling of the retail traders, just to see how they need tweak their systems again?

are the pro's sampling the responses to see whether the retail traders ever learn, or keep repeating the same errors?

are the pro's sampling the responses to see which way the winds keep blowing?


see the pattern?

Reply With Quote
 
  #17 (permalink)
Elite Member
Toronto, Canada
 
Futures Experience: Intermediate
Platform: Ninjatrader, MT4
Favorite Futures: Forex, US Index Futures
 
stefan416's Avatar
 
Posts: 45 since Sep 2011
Thanks: 7 given, 2 received

Sorry I didnt reply sooner everything and thanks for all the input. I see it has gotten a little sidetracked into stop size. Kronie, to answer your last post, number 3 would be my best answer. My newly developed method, which is only about 2-3 weeks old, is ES specific in that it relies on the big bid ask sizes so there is very little slippage. Originally is was to take advantage of the play through price to fill idea I had which was based on false assumptions unfortunately lol. A year into my trading and I still didnt properly understand a stop-limit order!

Either way, I find ES to be a terrific instrument. Demo'd CL since last summer but found trading very sloppy with the lack of liquidity and the bid ask jumping about when heavy orders came through slipping multiple ticks on your entry and stop. I seemed to have developed a preference for the relative exactness of the ES with its volume as well as favouring more mechanical systems in general. I find it gives me more confidence in my next trade if I have hard stats telling me that I have "this" edge in the market and "this" expectancy over time. I think, its what a lot of people lack.

In saying that, and in relation to the earlier posts, as well as what I said earlier about stop-limit play through fills, I found 3-4 ticks to be plenty upon backtesting. Using the data I collected from Jan 2012 to august 2012 using a 3 tick stop I then adjusted the values for 4 ticks (an extra tick per losing trade taken as well as risk adjustment);

~43% Win
~32% Break even
~25% Lose

Wins are 1.102 R
Break Even are 0.168 R
Losses -1R
All after commissions with 2% risk

This gives me a ~75% win rate of at least a tick minus commissions and a weighted average Expectancy if 0.283 R over about 400 hypothetical trades. Jan 2013 gave me slightly higher overall win rate with more break evens at about 53%. This past week I've had 5 - 3 tick losers, 10 - +1 B/E and 4 - 5 tick wins. This has left me approx $120 in the black on my single contract trades -- estimated expectancy 0.208 R. This past week I've also been using the simulated stop orders which seem to be working nicely. My new thoughts on using it are try and get the 3 tick stop out but if I get slipped a tick then it has been accounted for in testing. I dont really know what to set the volume threshold to so its at 50 right now. My logic behind this is that it only needs to be as big as an average order going through to allow my order to be placed before the bid or ask moves beyond my price. Maybe 100 is more appropriate? Maybe Market order rather than stop-limit? Comments would be appreciated on this part!

In saying all that, trading live is no doubt a different story with actual orders hitting the real exchange but plenty can be accomplished with regards to testing the idea on paper and on past data!

Any comments anybody?

Reply With Quote
 
  #18 (permalink)
Elite Member
Toronto, Canada
 
Futures Experience: Intermediate
Platform: Ninjatrader, MT4
Favorite Futures: Forex, US Index Futures
 
stefan416's Avatar
 
Posts: 45 since Sep 2011
Thanks: 7 given, 2 received

Forgot to add,

I put all the data from last year into the excel journal froh vvht that I use. It gives me these stats in the All trades column | Single Contract Column, this journal only has 286 or the 400 or so trades but surprisingly the win ratio is roughly the same.

Av Net profit: $92.6 | $15.14
StD Net Profit: $375 | $45
Win/Loss Ratio: 3:1 | 3:1
Win/Loss Dollar: 0.63:1 | 0.71:1
SQN: 4.17
Expectancy (ticks):7.4 | 1.2
Profit factor: 1.91 |2.14
Sharp: 1051
Calmer: 51.39

This is including $3.52 in commissions / contract which is my total RT cost of trading the ES using a 4 tick stop.

Hope this gives you all a better idea.

Reply With Quote
 
  #19 (permalink)
Elite Member
Toronto, Canada
 
Futures Experience: Intermediate
Platform: Ninjatrader, MT4
Favorite Futures: Forex, US Index Futures
 
stefan416's Avatar
 
Posts: 45 since Sep 2011
Thanks: 7 given, 2 received


stefan416 View Post
Forgot to add,

I put all the data from last year into the excel journal froh vvht that I use. It gives me these stats in the All trades column | Single Contract Column, this journal only has 286 or the 400 or so trades but surprisingly the win ratio is roughly the same.

Av Net profit: $92.6 | $15.14
StD Net Profit: $375 | $45
Win/Loss Ratio: 3:1 | 3:1
Win/Loss Dollar: 0.63:1 | 0.71:1
SQN: 4.17
Expectancy (ticks):7.4 | 1.2
Profit factor: 1.91 |2.14
Sharp: 1051
Calmer: 51.39

This is including $3.52 in commissions / contract which is my total RT cost of trading the ES using a 4 tick stop.

Hope this gives you all a better idea.

Starting Balance $5000, no more than 2% risk/trade

Reply With Quote
 
  #20 (permalink)
Trading for Fun
Sunnyvale, CA
 
Futures Experience: Advanced
Platform: TTTrader
Favorite Futures: CL
 
Posts: 160 since Dec 2012
Thanks: 8 given, 94 received



stefan416 View Post
In saying all that, trading live is no doubt a different story with actual orders hitting the real exchange but plenty can be accomplished with regards to testing the idea on paper and on past data!

Any comments anybody?

My comment is to be sure to backtest on adverse market conditions and very different market conditions. Ranging market versus trending. High volatility market vs low. I believe you said you backtested January through August ... be sure to expand it well beyond that short timeframe. Also when backtesting start the test on different days and compare results. The idea is to have the test start in different types of markets, as this will affect the results.

You said the results were $120 gross profit from 400 trades? Or was it $120/day?

Reply With Quote

Reply



futures io > > > > ES stop loss fills

Thread Tools Search this Thread
Search this Thread:

Advanced Search



Upcoming Webinars and Events (4:30PM ET unless noted)

Adam Grimes: TBA

Elite only

NinjaTrader: TBA

Dec 7

Linda Bradford Raschke: TBA

Elite only

Ran Aroussi: TBA

Elite only
     

Similar Threads
Thread Thread Starter Forum Replies Last Post
Scalping with ES, shouldn't I get my fills immediately? tracy Traders Hideout 8 June 7th, 2013 03:05 PM
Set Stop loss gerimo NinjaTrader Programming 3 May 24th, 2012 02:36 PM
Comparing simulation fills vs expectation of real fills Zwaen Traders Hideout 6 May 23rd, 2012 04:23 AM
"Stop If Bid" command for entry's and stop loss arjfca EasyLanguage Programming 4 October 7th, 2010 06:05 PM
Stop Loss Order Big Mike Terms (Glossary) 0 June 28th, 2010 01:29 AM


All times are GMT -4. The time now is 11:37 AM.

Copyright © 2017 by futures io, s.a., Av Ricardo J. Alfaro, Century Tower, Panama, +507 833-9432, 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
Page generated 2017-11-21 in 0.15 seconds with 20 queries on phoenix via your IP 54.162.166.214