Anyone scalping the FTSE Futures??

[MartinC-J]

Jimi - well done. Credit to you for holding on to the trade so long. I have been expecting today for a long time. When it finally broke it was going to take a lot of stops with it.

Tomorrow morning maybe open with a last wriggle down and then a big reversal.

 

[jimioddy]

Martin

Thanks for your comment. There was no self-discipline on my part, I use an 'automated trading system', which I wrote myself. I learnt a long time ago, and have reminded myself recently, that if I try to do something as it happens, I get it wrong nine times out of ten. My ATS is not rocket science, but it keeps my hands off the keyboard, if not my eyes off the screen. I detect when the price is moving in a direction and jump in. If a trend results it's good. If it reverses neatly it's good. But the gains can all be lost when the price goes sideways. Simple, don't trade when the price goes sideways. However, I find it impossible to tell, hence my ATS also finds it impossible. That's life.

Jimi

 

[MartinC-J]

Jimi - have you tried backtesting your system to improve your odds? In other words you may find that it works better on tuesdays instead of wednesdays. Or if the opening range of the first hour is less than the average or more than the average. Otherwise, you need to take a subjective view each morning and look at the price action first thing. If its cagey and moribund don't trade. If it has strong moves from the start then trade.

At the moment the market is trying to bounce, and 5768.5 is holding for now. It will test the lows now. If it prints a higher low on the 5 min chart, it will probably move up through the morning. I have 5787 for a possible high target.

 

[MartinC-J]

I've taken a few crumbs this morning. Mostly from a long at the open. The ES and FESX are holding it back for now. If they break above resistance there's a chance FTSE will make it to 5788. I am out of the market for now.

 

[barjon]

Well that wouldn't have done you much good as it finished up -57 weak on the day (the most extreme day this year so far). And it was weak all day except for a little burst between 12:00 and 13:00.

Trust me to be running two!! Currently -17 on the first and -14 on the second. I'll see how it goes up to dow close and may hold overnight.

I'm still holding. ftse opened a little weak, -3 (having gone much worse last night after the close), but has been trading strong since. It's a bit complicated by the dividend adjustments, but better than +20 so far. Still underwater, but out of the deep and well towards the shallows.

I would have been sorely tempted to go in again on the open since, with a clean sheet, it would have been squarely within the "rules". I stayed tucked up in bed though, cos I was bitten like that last year.

 

[MartinC-J]

I think the market is waiting for some clarification of the greek deal situation. Something has to break by tomorrow or we get a disorderly default. I don't blame the bondholders. They took out default insurance and as Greece has defaulted they should be able to make a claim. Saying that they should take a 70%+ haircut and calling it no default is a joke. The hands of the french and german governments are all over this.

 

[barjon]

I'm still holding. ftse opened a little weak, -3 (having gone much worse last night after the close), but has been trading strong since. It's a bit complicated by the dividend adjustments, but better than +20 so far. Still underwater, but out of the deep and well towards the shallows.

I would have been sorely tempted to go in again on the open since, with a clean sheet, it would have been squarely within the "rules". I stayed tucked up in bed though, cos I was bitten like that last year.

closed in the black +6 on one +7 on the other. Wait for another extreme now.

 

[MartinC-J]

jon - did you get a dividend payment for your longs, and if so when did you have to be in to qualify and when could you sell to close your position?

ADP non farms at 1:15pm. This is drifting sideways until then, and if it more or less as expected we might get a bounce up. The greek situation is a little too unclear right now so that could boot it one way or the other.

 

[barjon]

jon - did you get a dividend payment for your longs, and if so when did you have to be in to qualify and when could you sell to close your position?

ADP non farms at 1:15pm. This is drifting sideways until then, and if it more or less as expected we might get a bounce up. The greek situation is a little too unclear right now so that could boot it one way or the other.

martin

yes, the result includes the div adjustments on both ftse and dow. The adjustment to ftse price was made smack on 4:30 - so I suppose I could have sold then, although the cash adjustment transaction didn't appear in the account 'til later. Not sure about dow.

jon

 

[MartinC-J]

Thanks jon. Is there any point in going long at 4:29 and closing at 4:30? As long as the price doesn't drop too much at the close maybe.

We are very close to the 5788.5 level and the 38% retracement level on the 1 hr chart. I have a feeling the US open may take it higher before they sell it off again, but I have taken a small short from these levels in case the 38% holds.

 

[Dommo]

Martin - there is no arb to be had, if that's what you're thinking. In the SB world, the dividend payment amounts to little more than a movement of funds within your account. If you're long, you lose on the index value (floating PL), but your cash account is credited with the equivalent amount (vv for shorts). The dividend event has no net economic effect on your account, and the time of day (say, 4.30pm or 10pm) when it is effected is perfectly arbitrary. There is no 'opportunity' and no way to take one side of this accounts transaction without the other.

One minor hazard would be triggering orders on big dividend days.

 

[barjon]

..........Thanks jon. Is there any point in going long at 4:29 and closing at 4:30? As long as the price doesn't drop too much at the close maybe........

Not really, I think they've got it well taped and the cash adjustment in your account usually looks about right against the ftse price adjustment, although it's difficult to tell exactly.

Looks like I chickened out a bit early - it's been strong another +8 since.

 

[reksa]

Its well worth keeping an on the Dividend dates. You will see some very typical price action leading up to the close on certain ex divs.

But no way to arb the system.

 

[MartinC-J]

Martin - there is no arb to be had, if that's what you're thinking. In the SB world, the dividend payment amounts to little more than a movement of funds within your account. If you're long, you lose on the index value (floating PL), but your cash account is credited with the equivalent amount (vv for shorts). The dividend event has no net economic effect on your account, and the time of day (say, 4.30pm or 10pm) when it is effected is perfectly arbitrary. There is no 'opportunity' and no way to take one side of this accounts transaction without the other.

One minor hazard would be triggering orders on big dividend days.

Thanks Dommo. That's the clarification I needed. No arb to be had.

We grind higher with no clear price action at the 38% retrace. Maybe see what happens with the us open at 2:30pm. 1351.75 on the ES is a very clear level. Let's see if it gets there.

 

[Chalky_trader]

Thanks Dommo. That's the clarification I needed. No arb to be had.

We grind higher with no clear price action at the 38% retrace. Maybe see what happens with the us open at 2:30pm. 1351.75 on the ES is a very clear level. Let's see if it gets there.

Hi Martin

When you calculate these levels im assuming that you use Fib retracements,

if so when plotting the lines, should the retracement be of a daily move like yesterday or the entire move of the last few days?

 

[MartinC-J]

Hi Martin

When you calculate these levels im assuming that you use Fib retracements,

if so when plotting the lines, should the retracement be of a daily move like yesterday or the entire move of the last few days?

Good question. I have spent a bit of time trying to figure out where you take your Fib levels from. To get my 38% level for the FTSE futures, I used the swing high from monday at 1pm( 5894.5) and yesterdays low at 7pm (5721.5). Normally I would have taken the nearest day's high which would have been yesterday's opening high at 8am, but for me it wasn't a swing high and was all part of the same down move from the high at 1pm on the monday.

When you have a strong move, most pullbacks tend to be to the 38% level. The price stalled just above the 5788.5 level. It faked me out slightly as I went short at 87.5 and then scratched when it looked like going higher. I should have held my nerve, but I have trouble getting the scalping mentality out of my brain, and I tend to scratch if things don't quite look right.

So in summary always take your fib levels from where the price action is. And that goes for all time frames, 5 min, 60 min or daily.

 

[Chalky_trader]

Good question. I have spent a bit of time trying to figure out where you take your Fib levels from. To get my 38% level for the FTSE futures, I used the swing high from monday at 1pm( 5894.5) and yesterdays low at 7pm (5721.5). Normally I would have taken the nearest day's high which would have been yesterday's opening high at 8am, but for me it wasn't a swing high and was all part of the same down move from the high at 1pm on the monday.

When you have a strong move, most pullbacks tend to be to the 38% level. The price stalled just above the 5788.5 level. It faked me out slightly as I went short at 87.5 and then scratched when it looked like going higher. I should have held my nerve, but I have trouble getting the scalping mentality out of my brain, and I tend to scratch if things don't quite look right.

So in summary always take your fib levels from where the price action is. And that goes for all time frames, 5 min, 60 min or daily.

Thanks

sure is subjective,

is there any reason not use the start of the move 5937 (friday open) as that also looks a swing high?

I go through phases looking at these levels but end up drawing so many of them i confuse myself and therefore tend to stick to traditional S&R lines

 

[barjon]

Good question. I have spent a bit of time trying to figure out where you take your Fib levels from. To get my 38% level for the FTSE futures, I used the swing high from monday at 1pm( 5894.5) and yesterdays low at 7pm (5721.5). Normally I would have taken the nearest day's high which would have been yesterday's opening high at 8am, but for me it wasn't a swing high and was all part of the same down move from the high at 1pm on the monday.

When you have a strong move, most pullbacks tend to be to the 38% level. The price stalled just above the 5788.5 level. It faked me out slightly as I went short at 87.5 and then scratched when it looked like going higher. I should have held my nerve, but I have trouble getting the scalping mentality out of my brain, and I tend to scratch if things don't quite look right.

So in summary always take your fib levels from where the price action is. And that goes for all time frames, 5 min, 60 min or daily.

Martin

That's interesting. The 50% been working well on the cash today both on the way up and the afternoon down.

Can't say I use fibs to any great degree, but when I look I take them from the re-test of the swing high/low (where there is a re-test) rather than the actual swing high/low. It's a habit from years ago when I knocked about with a fib trader who used them to good effect all the time.

jon

 

[MartinC-J]

The swing high from friday is from the overnight session at about 1am. You could use the high from 8am but it's a bit too far back for my liking. If you use the high from the most recent price action that's usually enough. Tom Hougaard does this, and that's where I get it from. Hence the high from two days ago instead of yesterday, as it was all in one move, ie the same price action.

As for jon's suggestion of the retest. I will do the same as long as it moved away a fair distance from the swing high/low before coming back to retest. That's the point for me where the price action starts.

 

[Chalky_trader]

The swing high from friday is from the overnight session at about 1am. You could use the high from 8am but it's a bit too far back for my liking. If you use the high from the most recent price action that's usually enough. Tom Hougaard does this, and that's where I get it from. Hence the high from two days ago instead of yesterday, as it was all in one move, ie the same price action.

As for jon's suggestion of the retest. I will do the same as long as it moved away a fair distance from the swing high/low before coming back to retest. That's the point for me where the price action starts.

Jon / Martin

I appreciate your feedback

That clears it up a bit in my mind,

wherever you start it, or end it however, the recent selloff was pretty severe, im looking to sell each sign of weakness and hold any winners as long as i possibly can.

Have a good evening and good luck for tomorrow.