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Intra day trading using a mechanical breakout system.
Time passes by
Posted 21-07-2008 at 10:11 AM by rdstagg
Well time has flown by.
The recent increase in IB margin requirements has scuppered the money management on this system which is a shame.
Currently the table below shows what is required to trade a single contract on this portfolio. Bear in mind you would need at least 50% more than this to realistically trade (ie not have any margin calls as soon as something goes against you by a point) it has all gone a little Pete Tong (wrong).
the good news is the system is putting in a constant set of new equity highs. Currently equity WOULD have been 162,728 but this is with 7 contracts and clearly you cannot trade that no of contracts with that amount of equity.
Four options -
a) alter the position sizing to a much slower growth rate eg increase a contract every time you make 37,370
b) Play golf whilst the "volatility "subsides and Interactive Brokers get back to more sensible intraday margin requirements.
c) Increase your account equity as required - needs a fairy godmother or something like that.
d) Trade the underlying stocks - I have NOT checked it out this time but in the past I have found this can be quite productive. However it is far more commission intensive and much more difficult to keep a handle on.
Personally I am doing b) most of the time. US indices are still easily tradeable - it is really just the Dax that is so ridiculously priced - esp when you compare it to its stable mates the ESTX50 and The Swiss index (SMI).
The margin requirement for the dax allows for a 17% fall in the index currently - bear in mind this is intraday margins we are talking about here and in the last 5 years the biggest one day range has only been around 9% and that was not a gap. Next biggest is around 7% .
Margin 20-Jul
dax 15,052
estx 3,132
smi 6,433
er2 5,250
emd 4,000
ym 3,503
37,370
The recent increase in IB margin requirements has scuppered the money management on this system which is a shame.
Currently the table below shows what is required to trade a single contract on this portfolio. Bear in mind you would need at least 50% more than this to realistically trade (ie not have any margin calls as soon as something goes against you by a point) it has all gone a little Pete Tong (wrong).
the good news is the system is putting in a constant set of new equity highs. Currently equity WOULD have been 162,728 but this is with 7 contracts and clearly you cannot trade that no of contracts with that amount of equity.
Four options -
a) alter the position sizing to a much slower growth rate eg increase a contract every time you make 37,370
b) Play golf whilst the "volatility "subsides and Interactive Brokers get back to more sensible intraday margin requirements.
c) Increase your account equity as required - needs a fairy godmother or something like that.
d) Trade the underlying stocks - I have NOT checked it out this time but in the past I have found this can be quite productive. However it is far more commission intensive and much more difficult to keep a handle on.
Personally I am doing b) most of the time. US indices are still easily tradeable - it is really just the Dax that is so ridiculously priced - esp when you compare it to its stable mates the ESTX50 and The Swiss index (SMI).
The margin requirement for the dax allows for a 17% fall in the index currently - bear in mind this is intraday margins we are talking about here and in the last 5 years the biggest one day range has only been around 9% and that was not a gap. Next biggest is around 7% .
Margin 20-Jul
dax 15,052
estx 3,132
smi 6,433
er2 5,250
emd 4,000
ym 3,503
37,370
Total Comments 1
Comments
| | I dont trade DAX but from what i have read DAX futures trade at 25 EUR a point. And the IB margin is 15000 EUR per contract. 15000/25 = 600 pts which is a 9% intra day move not 17%???? Yes, my mistake It's still a huge margin requirement whichever way you look at it! |
Posted 21-07-2008 at 04:16 PM by donaldduke Updated 21-07-2008 at 04:42 PM by rdstagg |
Recent Blog Entries by rdstagg
- Time passes by (21-07-2008)
- Time Pressure (25-06-2008)
- A Great day (20-06-2008)
- Delays and frustrations and ER2 demise (19-06-2008)
- It did for us (12-06-2008)
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