2-Ticks -A-Day

[MarketMoverTrader]

This is my trading journal of an experiment I'm conducting in my personal capacity on the S&P500 e-mini futures market.

I decided to start this experiment following a comment by another member on the trade2win.com trading forums. The comment was “Can you tell me where I can buy the system that makes me 2% a day, so I can skip being an apprentice? Thanks!!”

Maybe there's no system out there that guaruntees 2% a day, but this got me thinking… 2% can’t be impossible surely? If I could just scalp 2 ticks profit each day on the S&P 500 E-mini futures market (my market of choice), then I could do 4.04% net ROI (on contracts traded) every day. Perhaps then, taking losing days into account, this could average out to be at least 2% return per day. Which would be about an extra 40% return per month.

This makes it seem like it is at least worth a try...

Scalping is completely outside of my normal trading strategy, because I only trade price movements during economic announcements, but I thought I would run this experiment in simulation. I will eventually incorporate it into my live trading strategy if it works out well for me – to be judged over probably at least 2 months of simulation.

My rules are simple for this experiment. Although I may do a few trades in any day, I will only record my first attempt at taking 2 ticks, whether it be a winner or a loser. This way I can’t pick and choose which trade I will post as my 2-Ticks-A-Day trade for any particular day, which would negate the whole experiment. And it also will show what my actual results would be if I only did one attempt a day. So the fact that I may actually continue trading the rest of the day will have no bearing on this experiment, and won’t confuse things.

I will post my results of this experiment every now and then in this thread.

Stay tuned...

 

[MarketMoverTrader]

Running total of results so far:

 

[MarketMoverTrader]

Screenshots of trades so far:

2010-09-28


2010-09-29


2010-09-30


2010-10-01


2010-10-04


2010-10-05


2010-10-06


2010-10-07


2010-10-08


2010-10-11

 

[Martinghoul]

MMT, could I just ask pls? Your previous post shows the time of entry and exit... Is that GMT or are you in another time zone?

 

[MarketMoverTrader]

That is the CME time, Chicago. I live in UK.

 

[DionysusToast]

I don't actually see any trades on there, I see SIM trades only.

Your trades on 1st & 7th October are both presuming a fill at the top of the bar. In real life, you'd be very unlikely to be filled there if your limit order to exit was there.

Your trade on 4th October went 5 ticks against you before hitting your 2 tick target.
Your trade on 5th October went 2 ticks against you before hitting your 2 tick target.
Your trade on 6th October went 3 ticks against you before hitting your 2 tick target.

All in all, you are trading in such a manner that you will suffer severe shirt loss should you ever attempt to trade this method with real money. Your results are bogus in 2 cases because you wouldn't have gotten filled at your exit point.

What a load of nonsense.

 

[Martinghoul]

Great, thx...

So I just looked at the Dec10 ES today and I am not sure I understand how your sim could have managed to give you 2 ES points in the time interval you mentioned. The screenshot is what my BBG screen has. When I do a quote recap I see that in the time interval between 14:34:32 and 14:34:52 BST (that's 8:34:32 and 8:34:52 CDT) ESZ0 traded between 1161.25 and 1161.75. The earliest high print I see before 8:35 came at 8:34:55 and consisted of 4 lots trading at 1162.25.

 

[DionysusToast]

Martinghoul - you won't see his sim trades on your chart.

Bloomberg is good - but it ain't THAT good...

 

[MarketMoverTrader]

I don't actually see any trades on there, I see SIM trades only.

Your trades on 1st & 7th October are both presuming a fill at the top of the bar. In real life, you'd be very unlikely to be filled there if your limit order to exit was there.

Your trade on 4th October went 5 ticks against you before hitting your 2 tick target.
Your trade on 5th October went 2 ticks against you before hitting your 2 tick target.
Your trade on 6th October went 3 ticks against you before hitting your 2 tick target.

All in all, you are trading in such a manner that you will suffer severe shirt loss should you ever attempt to trade this method with real money. Your results are bogus in 2 cases because you wouldn't have gotten filled at your exit point.

What a load of nonsense.

Read my initial post - these are all sim trades for now.

I got fills on my simulation software. Maybe it won't work out in live trading - time will tell.

Yes, those certain trades went against me initially. That's part of the scalping strategy I'm testing. I won them, which is more the point. I'm not really sure why you pointed that out. If a trade going against me for a bit is a bad thing, then it is what it is. I'm doing it my own way and I'm just showcasing it here for a bit of fun and for anyone who's interested.

This is just an experiment, and if you think it's nonsense that's fine, but please don't clutter up this thread saying so. If you think I'll fail miserably if I go live with this, then just watch me fail quietly. Or send me a private message to express your glee and say that you told me so.

Thanks.

 

[DionysusToast]

Allowing a 2 tick trade to go against you 5 ticks is not scalping. Risking a few ticks for the possibility of making 4 or 5 ticks is scalping.

Risking 5 ticks to make 2 ticks is madness.

The point that you 'won' is irrelevant. The fact that one loser wipes out multiple winners is totally relevant.

At what point do you actually get out of a trade ? 10 ticks against, 20 ticks against ?

At best, the approach you have is death by commission.

If you want to show how good you are with SIM trades here, then expect people to point out your errors.

In this case:
- Having no exit strategy when a trade goes against you.
- Thinking you have hit your profit target with a limit order that would not be filled.
- Not accounting for commissions.

Anyway - I apologise for cluttering up your thread with a dose of reality.

 

[Martinghoul]

MMT, you're being unreasonable here... This is a public forum and a public thread. By creating it, you don't automatically reserve the right to only see positive comments posted on it.

My point is that, at best, this thread is worthless, since its results are clearly not based on actual mkt trades. Therefore, I don't see how you intend to validate your hypothesis that making 2% a day is feasible. At worst, this thread misleads people, who would mistakenly choose to believe that your sim trading is representative of the real mkt.

Hence, the point I was making to ensure that the following is abundantly clear. This is a sim in a sense that not only are your positions and your pnl simulated, but the mkt prices themselves don't reflect trades that have occurred in the real mkt. This, to me, invalidates whatever conclusions you might be tempted to make based on your trades.

 

[Martinghoul]

Martinghoul - you won't see his sim trades on your chart.

Bloomberg is good - but it ain't THAT good...

DT, I obviously know this... My point wasn't that I should be able to see his trades, but that the pnl couldn't have been real.

 

[MarketMoverTrader]

Allowing a 2 tick trade to go against you 5 ticks is not scalping. Risking a few ticks for the possibility of making 4 or 5 ticks is scalping.

Risking 5 ticks to make 2 ticks is madness.

The point that you 'won' is irrelevant. The fact that one loser wipes out multiple winners is totally relevant.

At what point do you actually get out of a trade ? 10 ticks against, 20 ticks against ?

At best, the approach you have is death by commission.

If you want to show how good you are with SIM trades here, then expect people to point out your errors.

In this case:
- Having no exit strategy when a trade goes against you.
- Thinking you have hit your profit target with a limit order that would not be filled.
- Not accounting for commissions.

Anyway - I apologise for cluttering up your thread with a dose of reality.

OK, no problem. I'm not trying to show anyone how good I am with SIM. It's all just an experiment and it's all just in simulation - no secret about that. I don't expect anyone to do or not do anything, but I just intended this to be a showcase of what I'm trying to do, and I'm not looking to hear all the reasons why I'm destined for disaster. I'm not recommending anyone try to copy me, or to show how good I am. I just want to use this thread to follow my experiment, and maybe if I take it live I can show what happens.

You think risking 5 ticks to make 2 is madness - didn't I metion I'm mad?! Please everyone, do not copy me or try this at home.

I am trying out a particular self-proclaimed unorthodox technique I heard about from someone (who actually turns out to be a very successful full-time trader). I think scalping is about taking small chunks out of the market, and not about how big your stop-loss is. So I will call it scalping, but you don't have to. We'll just say I'm using 'methods' to take 2 ticks at a time.

I will take 8 ticks loss at most. Again, you think it's madness, but that's okay.

If you think this is crazy, then just sit back and enjoy the show. Don't get on my back about what I'm doing and how crazy it is. I'm not asking you to do this. I'm not even asking you to view this thread.

Thanks for the dose of reality. Here's my answers to your points:
- I have an exit strategy at 8 ticks loss max. Never said I didn't. I'm not 100% mad (yet).
- The point of my profit targets not being filled if I was live will come to light if/when I go live. I took profit on sim, and sim is what I'm quite openly reporting. That's all.
- I have accounted for commisson. 2 ticks is 5% without commission, 4.04% with commission.

 

[MarketMoverTrader]

MMT, you're being unreasonable here... This is a public forum and a public thread. By creating it, you don't automatically reserve the right to only see positive comments posted on it.

My point is that, at best, this thread is worthless, since its results are clearly not based on actual mkt trades. Therefore, I don't see how you intend to validate your hypothesis that making 2% a day is feasible. At worst, this thread misleads people, who would mistakenly choose to believe that your sim trading is representative of the real mkt.

Hence, the point I was making to ensure that the following is abundantly clear. This is a sim in a sense that not only are your positions and your pnl simulated, but the mkt prices themselves don't reflect trades that have occurred in the real mkt. This, to me, invalidates whatever conclusions you might be tempted to make based on your trades.

Ok, hold on. You seem to have misunderstood the point of this.

I know people can make whatever comments they want. But if I think someone is not straight on the point of my starting this thread, is it unreasonable to say PLEASE don't clutter it up with XYZ? Ok, if it happens then it happens. It just wouldn't be my preference.

If you think this thread is worthless, then don't view it. I think it is an interesting exercise if I post an idea, post my results as I test it on sim, and then post my massive failures when/if I go live with it. Don't really see why it's 'worthless' myself.

I don't think I've mislead anyone. How do you think I am being misleading? I stated clearly from my first post that it is being tested in simulation right now, and it came about because of an idea I had.

I don't mind if you think my conclusions are not validated. I actually haven't drawn any conclusions yet. It's all just a big question mark, born from an idea I had, that I wanted to try out and start a thread about. Nothing more. I have a hypothesis that it MIGHT be feasible - let's just see what happens.

Peace :clover: (and luck)

 

[Martinghoul]

Sure, MMT, peace... I may have sounded more aggressive than I intended.

However, my point stands. I personally didn't realize that your "sim" trading is done using non-mkt prices for what you're trading. I was originally under the impression that everything is simulated realistically, apart from the positions themselves.

My question to you is, given the above, what are you trying to achieve with this exercise? You certainly won't be able to conclude that the strategy you're pursuing is viable.

 

[MarketMoverTrader]

That's a good point you make.

I think it is simulated realisticly. When I trade with both my Global Futures sim and live platforms open, the price charts appear exactly the same. The price points are real, but the only question is whether some of the orders in my trades would have been filled had it been live. I thought that's the only issue (?).

About what I'm trying to achieve - well surely any strategy has to be proved viable on sim first, even if it's not 100% realistic on the fills.

 

[Martinghoul]

About what I'm trying to achieve - well surely any strategy has to be proved viable on sim first, even if it's not 100% realistic on the fills.

That's absolutely true and I would certainly see the value in going throught the sim if your slippage were a fraction of the positive pnl you're capturing. So if you were making 20 points on every one of your ES trades, it really wouldn't matter if your sim is inaccurate by a point or two. However, you're attempting to determine the feasibility of a strategy that is capturing 2 points. Surely you'd have to agree that, simply because some of your trades wouldn't have happened in the real mkt at all, the whole sim exercise is a bit suspect.

 

[MarketMoverTrader]

That's absolutely true and I would certainly see the value in going throught the sim if your slippage were a fraction of the positive pnl you're capturing. So if you were making 20 points on every one of your ES trades, it really wouldn't matter if your sim is inaccurate by a point or two. However, you're attempting to determine the feasibility of a strategy that is capturing 2 points. Surely you'd have to agree that, simply because some of your trades wouldn't have happened in the real mkt at all, the whole sim exercise is a bit suspect.

It's ticks, not points (on the S&P eminis). 4 ticks in a point. 2 points is a 20% return, which I'd love to do every day! I'm still not certain that some of them would not have worked in reality, but that's a moot point to argue. But maybe I should go for 3 ticks in sim from now on, but record them as 2 ticks profit? Then it's sure-fire that it would have worked in reality. Maybe I'll do that from now. yeees, this plan is coming together nicely now

 

[Martinghoul]

It's ticks, not points (on the S&P eminis). 4 ticks in a point. 2 points is a 20% return, which I'd love to do every day! I'm still not certain that some of them would not have worked in reality, but that's a moot point to argue. But maybe I should go for 3 ticks in sim from now on, but record them as 2 ticks profit? Then it's sure-fire that it would have worked in reality. Maybe I'll do that from now. yeees, this plan is coming together nicely now

Sure, let's call them ticks if you like... To me, coming from the world of fixed income, anything before the decimal point is a point, with ticks being something else.

As to some of your trades not having worked in reality, the point I am making is not about a specific trade. I just used your latest recorded fill to illustrate that point. If your sim is giving you fills that are off-mkt by 1 tick, how do you know it won't be off by 2 or 3 ticks? If that's the case, trying for 3 ticks won't help.

 

[MrGecko]

ignore everyone else and follow your nose. The proof of the pudding is in the eating.