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The HSI Index Futures Scalping Experiment


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The HSI Index Futures Scalping Experiment

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  #41 (permalink)
Brisbane, Australia
 
 
Posts: 179 since Nov 2013
Thanks: 41 given, 311 received


josh View Post
Nice job brother. Overall it has been a sleepy session. Which I actually don't mind much ... the grind has lots of ups and downs, so it's quite nice to trade. Better than a grind that doesn't pull back, and better than a non-directional market that makes news highs one minute and new lows the next. My stats show we're about 50% of normal volume at this time of day for the ES (computed since Jan 1). So, not a day to expect huge moves.

I've been scratching my head on the nikkei ... down net -5 ticks on it, as it, like china, is in a slow grind but in a much less tradable way for me. The thing about the Nikkei is that once they turn the book, you literally have to hit/lift the market to get in/out. For example, I was long and they kept grinding and grinding up... then when the book flipped, they would do the "walk down" .. with 200 bid, someone hits it for 400, so now 200 are offered ... about 80 contracts lift the offer, then they'll offer lower again at the bid for 300-500, another 300 or so are offered, and so it goes.. they walk it down, and because they trade the level one chunk at a time, you have literally no chance to get a fill. Once I got in somehow at 18th in the queue and still could not get a fill, even though it sat there for 15-30 seconds. It's brutal... it's great when you're on the right side of the trade, but when you're not, there's no worse feeling. So in general, I hit in/out on the Nikkei but with a value area in this session of 13 ticks, it really does become pretty impossible to trade. So, I just leave it alone after a while!

I traded the HHI and got 70 ticks out of it (one HSI for -5 ticks). While using the action on the HHI itself, the HSI really is the driver, it feels like, so I traded off of the HSI, but the action is less manic in the HHI so I enjoyed it. With such low volume though, not sure it will scale to where I'll want to be, but we'll see. Got about 10 points on the ES as it does its thing. So pretty much the norm for me .. a little ES, a little MJNK, a little china.

Edit: despite the low volume, both china indices are hovering near a composite 4-day low -- see attached HHI picture. In my MP-centric macro view of markets (macro meaning longer than a day), this is a super poorly auctioned 4-day area that is begging to be re-auctioned. If we hold these highs, the probability is high for a test up to those highs, which would be about a 3-4% move. It's all speculation, but it's one scenario that is in play, IMHO.

edit: I just realized that I'm posting this in your journal, sorry for cluttering it up! I will post this kind of thing next time in the general Asian session thread!



Josh,

No problem at all with your posting here (even if its accidental) as it's good in some respects to know some are reading my posts....futures i.o is fairly quiet from what I've seen so far compared to other sites...

Now comments:
Nikkei....personally your making it hard on yourself trading that market, with a 5 tic min-move it's an inferior instrument to the Hang Seng....your comments about not getting filled (even though it's the HIGHEST volume asian index) scares the crap out of me (the bid/off 5point is too expensive) ...I'd rate the HHI better value vs the king HSI....I did start-off trading the HHI for a few months before "graduating" to the HSI...HHI is just a bit slower given the scaling.

Lastly, are you trading tick charts for intra day? - I'd never go back to time-based charts after trading tick-charts..just too slow and the levels are not as easy to read. (I realise it's not always available from every data vendor but well worth the cost for scalping)..

Hint - whenever I see consolidation in any market I "know" an explosion of activity is just around the corner..ie good opportunity.....Volatility is cyclical. Some good studies have been done by Tony Crabel - NarrowRange4(NR4) and NR7
for example...food for thought.

From your comment below:
" My stats show we're about 50% of normal volume at this time of day for the ES (computed since Jan 1). So, not a day to expect huge moves."

Did you mean during HK trading hours the ES volume is 1/2 of it's normal volume compared to US trading hours volume?

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  #42 (permalink)
Legendary Market Wizard
Georgia, US
 
Experience: None
Platform: SC
Broker: AMP+CQG
Trading: ES, HSI, Nikkei
 
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Posts: 5,466 since Jan 2011
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Godzilla View Post
Josh,

No problem at all with your posting here (even if its accidental) as it's good in some respects to know some are reading my posts....futures i.o is fairly quiet from what I've seen so far compared to other sites...

Now comments:
Nikkei....personally your making it hard on yourself trading that market, with a 5 tic min-move it's an inferior instrument to the Hang Seng....your comments about not getting filled (even though it's the HIGHEST volume asian index) scares the crap out of me (the bid/off 5point is too expensive) ...I'd rate the HHI better value vs the king HSI....I did start-off trading the HHI for a few months before "graduating" to the HSI...HHI is just a bit slower given the scaling.

Lastly, are you trading tick charts for intra day? - I'd never go back to time-based charts after trading tick-charts..just too slow and the levels are not as easy to read. (I realise it's not always available from every data vendor but well worth the cost for scalping)..

Hint - whenever I see consolidation in any market I "know" an explosion of activity is just around the corner..ie good opportunity.....Volatility is cyclical. Some good studies have been done by Tony Crabel - NarrowRange4(NR4) and NR7
for example...food for thought.

From your comment below:
" My stats show we're about 50% of normal volume at this time of day for the ES (computed since Jan 1). So, not a day to expect huge moves."

Did you mean during HK trading hours the ES volume is 1/2 of it's normal volume compared to US trading hours volume?

Yeah, Nikkeis are "weird" ... they can consolidate in a 5 tick range for 3 hours and then the last 10 minutes of cash into the futures close they will move 20 ticks .. like they did today. Sure, all instruments do this sometimes, but I've seen Nikkeis do it a LOT ... basically, under most circumstances, after the first hour, until the last 30 minutes, it's no good to trade.

I trade mainly using the ladder, but my intraday structure chart is a volume-based chart, no discernible bars, just a continuous flow. I've been using it for about 7 years with almost no changes. Using this, along with my profile on the ladder, I get a great visual of the consolidations you talk about. I have the visual imprinted onto my brain actually after so long, it's impossible to miss on a volume chart with the bars as small as I have them, which is why I love using that view instead of a time-based chart. Actually at the bottom of my volume chart I have a "bars per time" view so that I still get a visual representation of quick volume.

It was interesting that today when HHI was breaking out after lunch, it had a really nice sustained volume. It has gone higher in the face of lots of selling. I took the breakout and got flat at 10912 near these highs. Basically, China was super bid today .. it's the type of buying that is sustainable, as opposed to the 150 point HSI rips that sell back off. It can be frustrating, in a way, but if you can just get in and trust the bids as long as they hold, it makes for a smoother ride, IMO.

What I meant about the relative volume is that since Jan 1, at 10:30PM ET (2 hours into China cash session), ES has on average traded about 100K. At that point today (2 hours into China), ES had only done 50K. So, I meant that ES has relatively much lower volume than it normally does, at this point in the day.

I am in the process of importing as much data as possible into a local database that I am using to perform basic research. I have not imported HSI/HHI data yet, but I will do this soon, after I get some of my functions written.

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  #43 (permalink)
Brisbane, Australia
 
 
Posts: 179 since Nov 2013
Thanks: 41 given, 311 received



josh View Post
Yeah, Nikkeis are "weird" ... they can consolidate in a 5 tick range for 3 hours and then the last 10 minutes of cash into the futures close they will move 20 ticks .. like they did today. Sure, all instruments do this sometimes, but I've seen Nikkeis do it a LOT ... basically, under most circumstances, after the first hour, until the last 30 minutes, it's no good to trade.

I trade mainly using the ladder, but my intraday structure chart is a volume-based chart, no discernible bars, just a continuous flow. I've been using it for about 7 years with almost no changes. Using this, along with my profile on the ladder, I get a great visual of the consolidations you talk about. I have the visual imprinted onto my brain actually after so long, it's impossible to miss on a volume chart with the bars as small as I have them, which is why I love using that view instead of a time-based chart. Actually at the bottom of my volume chart I have a "bars per time" view so that I still get a visual representation of quick volume.

It was interesting that today when HHI was breaking out after lunch, it had a really nice sustained volume. It has gone higher in the face of lots of selling. I took the breakout and got flat at 10912 near these highs. Basically, China was super bid today .. it's the type of buying that is sustainable, as opposed to the 150 point HSI rips that sell back off. It can be frustrating, in a way, but if you can just get in and trust the bids as long as they hold, it makes for a smoother ride, IMO.

What I meant about the relative volume is that since Jan 1, at 10:30PM ET (2 hours into China cash session), ES has on average traded about 100K. At that point today (2 hours into China), ES had only done 50K. So, I meant that ES has relatively much lower volume than it normally does, at this point in the day.

I am in the process of importing as much data as possible into a local database that I am using to perform basic research. I have not imported HSI/HHI data yet, but I will do this soon, after I get some of my functions written.


Hi Josh,

Power to you for mastering the volume based charts...you must be onto something good if you have using them for 7 years..wow..it must fit your style of trading well.

So now I understand why your following and comparing the volume between the 2 markets - makes sense with your style of trading......many years ago when the ES started the volumes in Asia were nothing and believe it or not the Hang Seng was a "proxy" for the ES....how times have changed.

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  #44 (permalink)
Legendary Market Wizard
Georgia, US
 
Experience: None
Platform: SC
Broker: AMP+CQG
Trading: ES, HSI, Nikkei
 
josh's Avatar
 
Posts: 5,466 since Jan 2011
Thanks: 6,054 given, 14,450 received


Godzilla View Post
Hi Josh,

Power to you for mastering the volume based charts...you must be onto something good if you have using them for 7 years..wow..it must fit your style of trading well.

So now I understand why your following and comparing the volume between the 2 markets - makes sense with your style of trading......many years ago when the ES started the volumes in Asia were nothing and believe it or not the Hang Seng was a "proxy" for the ES....how times have changed.

I wish I could say I had mastered anything! It still seems that the Hang Seng calls the shots and ES follows, at least, most of the time...

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  #45 (permalink)
Brisbane, Australia
 
 
Posts: 179 since Nov 2013
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josh View Post
I wish I could say I had mastered anything! It still seems that the Hang Seng calls the shots and ES follows, at least, most of the time...

Josh,

What are your normal trading hours as it was like after midnight your time when you posted this comment?
Are you a night owl?

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  #46 (permalink)
Legendary Market Wizard
Georgia, US
 
Experience: None
Platform: SC
Broker: AMP+CQG
Trading: ES, HSI, Nikkei
 
josh's Avatar
 
Posts: 5,466 since Jan 2011
Thanks: 6,054 given, 14,450 received


Godzilla View Post
Josh,

What are your normal trading hours as it was like after midnight your time when you posted this comment?
Are you a night owl?

It varies, last night was an unusually late night for me. Usually I am done by the China lunch, or maybe 30 minutes after the reopen. I am definitely a night owl, always have been. It's something I've tried to change my whole life but at this point I've decided not to fight it really.

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  #47 (permalink)
Brisbane, Australia
 
 
Posts: 179 since Nov 2013
Thanks: 41 given, 311 received

Lucky 13?
4/4 - done in under 30mins..


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  #48 (permalink)
Brisbane, Australia
 
 
Posts: 179 since Nov 2013
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Tough day as Fridays's normally slower...5th trade was an error as tried to short at a support level....DUMB! Easy to spot in hindsight

+40 tics today..managed to a late trade in..



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  #49 (permalink)
Brisbane, Australia
 
 
Posts: 179 since Nov 2013
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+70 tics - not really reading the chart well today...1 error (a really stupid error as I didnt want to miss the breakout that didn't eventuate) - really DUMB
Snuck in a late trade

in retrospect I missed the 2nd trade of the day which was an instant 20tics that kinda made me NOT want to miss the breakout which caused the error....its a mind-game for sure...need to focus better.


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  #50 (permalink)
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Battle Royal.....behind from the first trade.....fought like crazy for +18tics....but cant see that buried within the 1 lot numbers.. Pat on the shoulder for not giving up..

22 trades....in reality I really should just turn it off if I'm down more than 50 tics but I just couldn't walk away with a loss for the day...



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