Anyone scalping the FTSE Futures??

[barjon]

made it into a pair now long dow 12383

 

[DaddyJohn]

only one step removed via ftse, dj

I have it on my list of things to do in January to start looking at the DOW

 

[atholh]

Might be of interest, intermarket equity correlations from an academic study: Over the period studied, 1997-2006, the tree shows a tendency to become more compact. This implies that global equity markets are increasingly interrelated. The consequence for global investors is a potential reduction of the benefits of international portfolio diversification.

Developed European markets are at the global centre. Since 2000, France is central node of European markets (used to be Germany before 2000). US links a cluster of North American and South American countries (except Peru) to France, via Germany. Interestingly, US market dominates globally in market value, but has only a loose linkage to other markets. Japan only became linked to other Asian markets since 2001, before that it was more linked to Western markets. South Africa, Turkey and Russia cluster emerged in 2000 and stays reasonable stable since then.

Europe grey circles
North America white diamonds
South America grey squares
Asia-Pacific black triangles
Other white squares

 

[Dick Lexic]

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?

thanks dommo, clear as mud to me but never mind

but i do go along with the predictive info, maybe it's not correlation at all maybe it's manipulation. the Taylor traders will tell you that the markets are "engineered" so sus that on the s&p and you get a fee lunch on the ftse

 

[Mornington Crescent]

despite all the good stuff above, its pretty clear that FTSE is leading the majors and has been for a while

Dow and Dax are clearly off the pace

 

[Dick Lexic]

so long as we stay above that stubborn old 2009 high

 

[barjon]

well we got the 8:30 (tad early) and 9:00 reversals and here we are at 10:00 (tad late) being dragged south kicking and screaming . ftse remains remarkably resilient and seems to prefer north given half a chance by big brother.

 

[barjon]

FTSE
Advancing Issues 20 (27%)
Declining Issues 53 (72%)
Unchanged Issues 1 (1%)
Total Issues 74

Interesting maybe - dunno why only 74 in FTSE100 tho

 

[Mornington Crescent]

Sarkozy will discuss financial transaction tax with Merkel on monday

 

[MartinC-J]

Many thanks for posting that atholh.

I trade the FTSE with the ES and FESX charts up at the same time. I like to see confirmation on all three instruments. There are a few times when the FTSE detaches from the other two, and when that happens you ideally should stop trading for a while until it is clear what the FTSE is doing and why.

Normally they are all linked, and for evidence of that is DJ's comment that on monday of this week Capital Spreads was using the DAX as the underlying index for their quote for the FTSE when the UK market was closed. If these indices weren't linked, would a spreadbetting firm be willing to take that risk?

 

[MartinC-J]

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?

Zen, 1 pt is the norm for most spreadbetting firms these days. With futures the spread is usually 1/2 a pt, but can be more. If there was a spreadbetting platform that provided a DOM for order entry and exit, like there is on the futures market with a 1 pt spread, and the ability to trade with bracket orders, and for less than £10 per point, then I think they would be popular with retail traders.

 

[MartinC-J]

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?

Zen, 1 pt is the norm for most spreadbetting firms these days. With futures the spread is usually 1/2 a pt, but can be more. If there was a spreadbetting platform that provided a DOM for order entry and exit, like there is on the futures market with a 1 pt spread, and the ability to trade with bracket orders, and for less than £10 per point, then I think they would be popular with retail traders.

Spreadbetting firms also put on restrictions for where you can place your stops and limit orders once you are filled. Also they tend to offer the 1 pt spread for the FTSE cash instead of the Future. I prefer to chart the futures price as opposed to the cash price. I find it very difficult to scalp with a spreadbetting platform. A DMA futures platform is so much easier, but unfortunately the smallest trade you can do is £10 per point for the FTSE future. If you just want to swing trade, especially for small bet sizes, spreadbetting is fine.

 

[Dommo]

Zen, 1 pt is the norm for most spreadbetting firms these days. With futures the spread is usually 1/2 a pt, but can be more. If there was a spreadbetting platform that provided a DOM for order entry and exit, like there is on the futures market with a 1 pt spread, and the ability to trade with bracket orders, and for less than £10 per point, then I think they would be popular with retail traders.

I would add that on a SB platform you normally cross the spread (ie your limit BUY order only executes at the broker's ASK price (and vice versa for SELL orders)). For this reason I think DOM on a SB platform would operate quite differently to that in the futures market (where you don't cross the spread but do pay commission).

For this reason (crossing the spread) on the whole I think (apart from spikes) limit orders on SB platforms offer little price advantage over market orders - and meanwhile you're advertising your intentions. Of course, you'd likely use limit orders while you're away from the screen.

 

[DaddyJohn]

Zen, 1 pt is the norm for most spreadbetting firms these days. With futures the spread is usually 1/2 a pt, but can be more. If there was a spreadbetting platform that provided a DOM for order entry and exit, like there is on the futures market with a 1 pt spread, and the ability to trade with bracket orders, and for less than £10 per point, then I think they would be popular with retail traders.

Spreadbetting firms also put on restrictions for where you can place your stops and limit orders once you are filled. Also they tend to offer the 1 pt spread for the FTSE cash instead of the Future. I prefer to chart the futures price as opposed to the cash price. I find it very difficult to scalp with a spreadbetting platform. A DMA futures platform is so much easier, but unfortunately the smallest trade you can do is £10 per point for the FTSE future. If you just want to swing trade, especially for small bet sizes, spreadbetting is fine.

Hi Martin, I know we have discussed this before, but since I have now offically stopped my scalping and move towards more positional trades (I am even holding overnight !!!) I have dumped my Stellar platform and now only trade through a SB platform.. I have 2 accounts with them .. with one account I hold smaller positions but look to hold them for longer periods of say 1-2 weeks and the second account I use for intraday trading where I judge a good risk/ reward for say a 50 pt profit.. I have gone from making 50 sclaps a day to maybe 1-2 trades a day.. it is far more relaxing and together both accounts are showing profit of 4.5% in two weeks of trading this approach.. so not blinding results yet,, but I am trading very small size whilst I re-orientate my thinking away from the frenzy of scalping...

I will move back to futures once I am confident I have made the mindset change.

 

[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

I dare say FTSE is leading them down as well

close run thing with the french though

 

[Mornington Crescent]

This business is going to get out of hand

EU aims for sanctions on Iranian oil and banks at January 30th meeting

 

[DaddyJohn]

This business is going to get out of hand

EU aims for sanctions on Iranian oil and banks at January 30th meeting

I agree MC.. I have suspected for a month now that the Iranian issue is going to get worse before it get's better

 

[Mornington Crescent]

I agree MC.. I have suspected for a month now that the Iranian issue is going to get worse before it get's better

It smacks a litle of U.S Sanctions on Japan which arguably triggered the war in the Pacific

 

[MartinC-J]

The Iranians have to divert attention away from their nuclear programme and more importantly from the troubles in Syria. If their president, "I'm a dinner jacket", can get the fanatics all riled up again against the great satan, it will reinforce their power base for a crackdown on anti-government protesters. My guess is they will try and force the issue to a head, but it will come to nothing. The price of oil will not budge much as a result of the sabre rattling. SYria will fall at some stage during this year. It will happen quickly just like it suddenly did in Libya. Then when it does, all the focus will be on Iran and the green revolution. Ahmadinejad will have run out of allies, and he will have to tone it down or face an arab spring of his own making.

 

[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).

Just for completeness if anyone is interested the result of the pair trade @ 4:30 would have been:

ftse 5674 - 37 from entry so short x 2 = +74
dow 12375 - 28 from entry so long x1 = -28 Net = +46

nb: in case it's not obvious - 1 ftse point is "worth" 2 dow points, hence 2 ftse positions and 1 dow position to even things up.

Interestingly that would have been better than the way I did it where my later dow long entry conversion to a pair trade was a net loser which dented my gain from the straight ftse short.

jon