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Reload tick data with NT/IAB
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Reload tick data with NT/IAB

  #11 (permalink)
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My statement was also inexact. FESX is not suited for scalping. If you timeframe is larger and you hold trades for several hours, my reasoning does not apply. Sorry for the mistake.


jagui View Post
Well... while this could come out from some quantitative analisys, this is not true in reality, as I know several traders, including myself, who find the FESX the easiest instrument to day trade.

The choice is always subjective, becuase each index futures has his own personality.


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  #12 (permalink)
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Fat Tails View Post
My statement was also inexact. FESX is not suited for scalping. If you timeframe is larger and you hold trades for several hours, my reasoning does not apply. Sorry for the mistake.

Your work on index futures is interesting, it makes me think.

Actually I think the opposite: from your analisys I conclude FESX is not good for longer timeframes, as you did the analisys on 15 minutes, and this is not a scalper timeframe, which is closer to 15 seconds than to 15 minutes.

When I scalp, I may have a 2 ticks target. Volatility is not really important, as any instrument move 2 ticks easy during the most traded hours.
I pay $3.80 r/t for ES and €1.70 r/t for FESX, and enter with limit orders, so no slippage.
The net profit would be $25 - $3.80 = $21.20 for ES and €20 - €1.70 = €18.30 for FESX.

So I retain 84.8% of profits on ES and 91.5% on FESX, on a 2 ticks scalp trade.

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  #13 (permalink)
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PowerM View Post
...

By the way: is there a special way to use the "search" function? for example when I see somewhere a *.cs indicator file, and I go to search the thread to the file by entering the *.cs file name in the search, I dont find anything. For example, there is a cs file named "avTickSpeed.cs". the search function does not find it. Any quick idea here?
Again many thanks, I am aware that many things have been written down yet ..

Did you try the advanced Search (after "New Posts", before "Wiki (beta)") ?
I found 3 avTickSpeed.cs, using the "Search Attachments".

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  #14 (permalink)
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jagui View Post
Your work on index futures is interesting, it makes me think.

Actually I think the opposite: from your analisys I conclude FESX is not good for longer timeframes, as you did the analisys on 15 minutes, and this is not a scalper timeframe, which is closer to 15 seconds than to 15 minutes.

When I scalp, I may have a 2 ticks target. Volatility is not really important, as any instrument move 2 ticks easy during the most traded hours.
I pay $3.80 r/t for ES and €1.70 r/t for FESX, and enter with limit orders, so no slippage.
The net profit would be $25 - $3.80 = $21.20 for ES and €20 - €1.70 = €18.30 for FESX.

So I retain 84.8% of profits on ES and 91.5% on FESX, on a 2 ticks scalp trade.


In my opinion you logic is slightly flawed. Volatility and risk management are both important.

Assume that you enter a long trade at the ask (!).

If you look to sell for a profit of 2 ticks at the ask, you practically need price to move 3 ticks, as you will be in the end of the queue of the ask side. Your stop-loss would be 3 ticks below your entry price.

(1) So for FESX you need a 3-tick-move to book a 2-tick-profit. When FESX moves 3 ticks, ES will move 5 ticks and TF will move 10 ticks, so the time equivalent of the 2-tick-profit for FESX is a 4-tick-profit for ES, or a 9-tick-profit for TF.

(2) If the stop-loss is hit, you will book a 3-tick-loss for FESX, a 5-tick loss for ES, or an 10-tick-loss for TF.

(3) At equal risk, you will trade 10 contracts of FESX for 7 contracts of ES or 4 contracts of TF.


Results for a winner

FESX 10 contracts * € 10.00 * 2 ticks - 10 contracts * € 4.00 commission = € 160.00
ES 7 contracts * $ 12.50 * 4 ticks - 7 contracts * $ 4.00 commission = $ 322.00
TF 4 contracts * $ 10.00 * 9 ticks - 4 contracts * $ 3.60 commission = $ 345.60

Results for a loser

FESX 10 contracts * € -10.00 * 3 ticks - 10 contracts * € 4.00 commission = - € 340.00
ES 7 contracts * $ - 12.50 * 5 ticks - 7 contracts * $ 4.00 commission = - $ 465.50
TF 4 contracts * $ -10.00 * 10 ticks - 4 contracts * 3.60 commission = - $ 414.40

Results for a 60% win rate

FESX 0.6 * € 160.00 - 0.4 * € 340.00 = - € 40.00
ES 0.6 * $ 322.00 - 0.4 * $ 465.50 = $ 7.00
TF 0.6 * $ 345.60 - 0.4 * $ 414.40 = $ 41.24

Result for a 70% win rate

FESX 0.7 * € 160.00 - 0.3 * € 340.00 = € 10.00
ES 0.7 * $ 322.00 - 0.3 * $ 465.50 = $ 85.75
TF 0.7 * $ 345.60 - 0.3 * $ 414.40 = $ 117.60

Result for a 80% win rate

FESX 0.8 * € 160.00 - 0.2 * € 340.00 = € 60.00
ES 0.8 * $ 322.00 - 0.2 * $ 465.50 = $ 164.50
TF 0.8 * $ 345.60 - 0.2 * $ 414.40 = $ 193.60

Why do you want to scalp FESX?

If you stay in the market for a longer time the unfavourable bid/ask-spead and the high commissions for FESX are less important, but if your average time per trade is less than 15 minutes, it is going to kill you.

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  #15 (permalink)
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Thank you Fat Tails, I think you're right in your logic

There must be something else into the equation, at least for me, because I do better with FESX.
I always do some ES trades each week, ES was the instrument I first learned 10 years ago but, no matter how hard I try, I do better with FESX. I can read it more clearly. It just works for me.

Another reason I favor FESX is because I live in Europe, and during the Europe morning there isn't enough liquidity on ES.

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Would definitely not trade ES during the European morning. 6E could be an option.

If FESX works fine for you, maybe you have a better win-to-loss ratio than the one I assumed.


jagui View Post
Thank you Fat Tails, I think you're right in your logic

There must be something else into the equation, at least for me, because I do better with FESX.
I always do some ES trades each week, ES was the instrument I first learned 10 years ago but, no matter how hard I try, I do better with FESX. I can read it more clearly. It just works for me.

Another reason I favor FESX is because I live in Europe, and during the Europe morning there isn't enough liquidity on ES.


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  #17 (permalink)
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Great calculation, Fat Tails, I would not have the things considered like this.
Where do you have the ratios for FESX, ES and TF (3/5/10 ticks)? Did you get them by setting the total ticks of the contracts in relation, e.g. 1 for FESX and 4 for ES? I suppose so .. would it work in the same way when I would buy with a limit buy?
I dont think so .. so why do i have to consider the buy at the ask? Or is it simply so that I always have to buy at the ask when the quote is below my potential buying point?
Ok, very basic questions from me as usual ;

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  #18 (permalink)
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PowerM View Post
Great calculation, Fat Tails, I would not have the things considered like this.
Where do you have the ratios for FESX, ES and TF (3/5/10 ticks)? Did you get them by setting the total ticks of the contracts in relation, e.g. 1 for FESX and 4 for ES? I suppose so .. would it work in the same way when I would buy with a limit buy?
I dont think so .. so why do i have to consider the buy at the ask? Or is it simply so that I always have to buy at the ask when the quote is below my potential buying point?
Ok, very basic questions from me as usual ;

You can compare the average ranges of the 15 min bars over the last two weeks. To do this you use an average range indicator, put it on a chart for the instrument, which uses the RTH session (you do not want to compare the volatility of the night session, do you?).

For ES and TF the daily session length is 6h45, which would be 27 15 min bars. To take the last two weeks with 10 working days, you can set the period of the range indicator to 270 and read the value off the chart. For FESX with the slightly longer session of 8h30 you will take 340 bars.

If I do this exercise right now, I get the following averages ranges in points

ES 5 min 1.92 / 15 min 3.26 / 30 min 4.51 / 60 min 6.42
TF 5 min 1.59 / 15 min 2.76/ 30 min 3.86/ 60 min 5.63
FESX 5 min 5.14/ 15 min 8.83 / 30 min 12.34 / 60 min 17.07

Now you can convert the points to ticks. For ES 1 point = 4 ticks, for TF 1 point = 10 ticks, and for FESX 1 point = 1 tick. So in ticks the figures above would be

ES 8 / 13 / 18 / 26 ticks
TF 16 / 28 / 39 / 56 ticks
FESX 5 / 9 / 12 / 17 ticks

I used 3/5/10 as a proxy for the tick moves that occur during similar periods. All these instruments basically move in parallel, so if you are in an ES trade for 5 ticks, you will make 10 ticks in TF during the same time.

Whether you buy at the ask or at the bid, depends on your strategy. If you are playing the market maker (a counter trend strategy) you will likely buy the bid. But my assumption was, that the trades were momentum trades. If you trade momentum breakouts and try to catch a few points, then you will likely buy at the ask and lose the spread.

I just assumed that momentum following trades are a natural choice for retail traders, as market maker strategies require access to lower commissions.


Last edited by Fat Tails; August 1st, 2010 at 11:04 AM. Reason: Part of the post transferred to thread "Comparing Index Futures"
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