Anyone scalping the FTSE Futures??

[Mornington Crescent]

I think its going to take a Goldmans special in the next 10 mins for this to do something spectacular

Perhaps they are the market leader



I dont know about the market but I am beginning to feel exhausted

 

[Dick Lexic]

I think its going to take a Goldmans special in the next 10 mins for this to do something spectacular

Perhaps they are the market leader



I dont know about the market but I am beginning to feel exhausted

if goldmans sucks are involved anything can happen........

 

[MartinC-J]

Just briefly checking in. The FTSEH2, ES and the FDAX are all linked. On any given day one can make the first move ahead of the other two, but really you just need to follow one instrument and apply the your rules for entries, exits and money management. If you are going to spreadbet then scalping is difficult, not only because of the spread but also because order entry is so difficult and not immediate.

I closed my small ES short at 1272 for +7.5 pts, but I am expecting it to go to 1265 (38% on 1 hr) at some stage tomorrow. For some reason the FTSE is not selling off at all. There seems to be something else going on there. It has broken above its channel on the 1 hr, with possibly 5677 on the cards, but if the ES is going down first then maybe it won't stay up here for long. Any sell off should not be long lived, as this has the look of a stronger move up. We also have results season just around the corner.

 

[Dommo]

to be honest i could never make my mind up who was leading who the ftse before 1.30pm? the s&p after that? then we get asia kicking in with it's opinion ha

i think maybe the s&p is the puppet master........just my opinion

Although contemporaneous equity index returns are highly correlated I'm sure it's very difficult to say that one index leads another (at least in any consistently useful, tradable way). Buying (say) US indices in the US session may well trigger buying in other equity indices, but that trading is effectively instantaneous. Once you examine correlation of non-contemporaneous returns (ie does one asset lead another?) all those strong correlations more or less vanish.
Of course, I'd be delighted if anyone can show otherwise!
If one index consistently leads another that implies a free lunch. Is that plausible?
It's clear that indices see most movement in their local session and correlated (but smaller) moves are normally seen in foreign markets. On charts, this might suggest that (say) during the Asian session, Asian indices are 'leading' others, but I don't believe they are, at least not in any useful way. I think it's an illusion.

 

[ZEN archer]

Just briefly checking in. The FTSEH2, ES and the FDAX are all linked. On any given day one can make the first move ahead of the other two, but really you just need to follow one instrument and apply the your rules for entries, exits and money management. If you are going to spreadbet then scalping is difficult, not only because of the spread but also because order entry is so difficult and not immediate.

Thanks.

On my platform spread on FTSE 100 is 1 point during normal hours.

At this moment it is 6 points, but I don't trade FTSE 100 after London close at 16:30.

Is 1 point too much?

 

[barjon]

aw, do listen to your uncle jon you guys - it's the DOW

In the US leaderships shifts about a bit twixt DOW, S&P and NAZ - who was that renowned trader who operates quite simply on S&P with "If we're trading strong to the DOW I scalp to the long side and if we're trading weak to the DOW I scalp to the short side".

In general, though, FTSE keeps a 1:2 pace with DOW and rarely rolls along outside 1: 1.85 - 2.15 for long. It's been consistently weak over the last few months (should be up at around 6200 to have kept pace over the year) but it'll snap back in due course - today, for example, it traded about 65 strong into the London close and although it'll bob about twixt strong and weak I expect it will move towards redressing the balance. What you don't know, of course, is whether it will do that by rising relatively faster than DOW or by falling relatively slower . So not much help then (unless your trading it as a pair, of course)

HNY all you chaps - keep up the good work.

jon

 

[Dick Lexic]

Although contemporaneous equity index returns are highly correlated I'm sure it's very difficult to say that one index leads another (at least in any consistently useful, tradable way). Buying (say) US indices in the US session may well trigger buying in other equity indices, but that trading is effectively instantaneous. Once you examine correlation of non-contemporaneous returns (ie does one asset lead another?) all those strong correlations more or less vanish.
Of course, I'd be delighted if anyone can show otherwise!
If one index consistently leads another that implies a free lunch. Is that plausible?
It's clear that indices see most movement in their local session and correlated (but smaller) moves are normally seen in foreign markets. On charts, this might suggest that (say) during the Asian session, Asian indices are 'leading' others, but I don't believe they are, at least not in any useful way. I think it's an illusion.

Hi dommo, can you tell me how you examined correlation of non-contemporaneous returns? i don't even know what it means

no free lunch unless you read the tc's

 

[DaddyJohn]

Although contemporaneous equity index returns are highly correlated I'm sure it's very difficult to say that one index leads another (at least in any consistently useful, tradable way). Buying (say) US indices in the US session may well trigger buying in other equity indices, but that trading is effectively instantaneous. Once you examine correlation of non-contemporaneous returns (ie does one asset lead another?) all those strong correlations more or less vanish.
Of course, I'd be delighted if anyone can show otherwise!
If one index consistently leads another that implies a free lunch. Is that plausible?
It's clear that indices see most movement in their local session and correlated (but smaller) moves are normally seen in foreign markets. On charts, this might suggest that (say) during the Asian session, Asian indices are 'leading' others, but I don't believe they are, at least not in any useful way. I think it's an illusion.

I agree.. the best you can say is that if one gets ahead of itself then you get some catch up (or down) but it is hard to trade.. watching S&P is good for scalping FTSE .. but then again why not just scalp ES?? best thing to do is watch price action and trade accordingly.. too many charts makes life too hard..

Django had two fingers.. but was the best jazz guitarist of his generation

 

[barjon]

I agree.. the best you can say is that if one gets ahead of itself then you get some catch up (or down) but it is hard to trade.. watching S&P is good for scalping FTSE .. but then again why not just scalp ES?? best thing to do is watch price action and trade accordingly.. too many charts makes life too hard..

Django had two fingers.. but was the best jazz guitarist of his generation

mmm, well if you trade both DOW and FTSE and you think FTSE is trading strong vs DOW you'd be better doing your longs on FTSE and shorts on DOW, so it does have relevance even for straight directional trades.

 

[Dommo]

Hi dommo, can you tell me how you examined correlation of non-contemporaneous returns? i don't even know what it means

no free lunch unless you read the tc's

Hi DL - I would calculate the usual (contemporaneous) correlation between X and Y using X,Y returns over exactly the same period of time ie:
ret(X) = X(t1) - X(t0);
and
ret(Y) = Y(t1) - Y(t0).

For equity indices, over any reasonable time period, these correlations are high (typically 0.8 or more).

Non contemporaneous correlation would calculate correlation of returns over different periods, say:
ret(X) = X(t1) - X(t0)
and
ret(Y) = Y(t2) - Y(t1)
to examine if X 'leads' Y.

For almost any pair of assets I have looked at, this correlation is very low, suggesting that one index does not consistently 'lead' another in a way that is useful at retail level. If it did, it would be arbed away.

I'm not saying that useful predictive information cannot be discovered, but I don't see how one index leads another in a reliable way. Markets are lightning fast. If Dow or SP supposedly leads other indices, how exactly does one capitalise on that?

 

[Dommo]

mmm, well if you trade both DOW and FTSE and you think FTSE is trading strong vs DOW you'd be better doing your longs on FTSE and shorts on DOW, so it does have relevance even for straight directional trades.

I thought you traded FTSE/Dow on a reversion basis. If so, wouldn't you sell FTSE/buy Dow if FTSE was recently strong relative to Dow?

I'm sure it depends on your view of prospective FTSE/Dow behaviour - ie will the recent trend continue or revert? I like this trade in general as I think it has a lot of reversion although as you have pointed out before, FTSE has been quite consistently weak the last year relative to Dow. Short FTSE/Long Dow would have been a solid strategy in 2011 on seeing FTSE strength relative to Dow. But that's merely equivalent to saying that entering on a pullback is a good strategy in a trending market.

 

[Chalky_trader]

why not the DOW and the FTSE a pair?

short the strong one and long the weaker one and wait for the correlations to play out..

If the correlations are strong then you should be fine and you have a hedged strategy!

(clearly not scalping though)

 

[barjon]

I thought you traded FTSE/Dow on a reversion basis. If so, wouldn't you sell FTSE/buy Dow if FTSE was recently strong relative to Dow?

I'm sure it depends on your view of prospective FTSE/Dow behaviour - ie will the recent trend continue or revert? I like this trade in general as I think it has a lot of reversion although as you have pointed out before, FTSE has been quite consistently weak the last year relative to Dow. Short FTSE/Long Dow would have been a solid strategy in 2011 on seeing FTSE strength relative to Dow. But that's merely equivalent to saying that entering on a pullback is a good strategy in a trending market.

Yes, I do trade the on a reversion basis as you and chalky say. The difficult part is deciding the level where the period of strength (weakness) will be followed by a period of weakness (strength). Intraday it's unusual for ftse to go more than + or - 40 without reverting for a bit.

But if your'e doing straight directional trades and ftse is trading strong it will go up 60(say) instead of 50 when the dow goes up 100 and down 40(say) instead of 50 when the dow goes down 100. Thus, you'll get more bangs for your buck taking your longs on ftse and shorts on dow.

jon

 

[DaddyJohn]

mmm, well if you trade both DOW and FTSE and you think FTSE is trading strong vs DOW you'd be better doing your longs on FTSE and shorts on DOW, so it does have relevance even for straight directional trades.

I dont trade DOW

 

[Mornington Crescent]

another new high
coming thick and fast
gap closed
still no sign of a reversal

but I am not very impressed with the pattern

its about time we had some back testing

 

[barjon]

I dont trade DOW

only one step removed via ftse, dj

 

[barjon]

i short 5711 will go with dow if doesn't work




ps: I'd have got got 12403 for a dow long if I'd done it as a pair straight away (both SB proxy prices of course) so you can judge how a pair trade would have worked (or not).

 

[counter_violent]

i short 5711 will go with dow if doesn't work

Following littleangels trades again ?

 

[Mornington Crescent]

the french eventually managed to make a high yesterday but not today

so if they want to take the markets down now its all set

 

[barjon]

Following littleangels trades again ?

well it was around 8:30 wasn't it