Anyone scalping the FTSE Futures??

[jimioddy]

Jimi - sorry for the late reply. I have been on a building site for most of the day.

Having something like a tickometer, would help in deciding pacing and market structure. A market that is moving up or down at an average of 2 pts per minute should have a different structure to a market that is moving at 10 pts per minute. Yes, you can get a feel for it by just looking at the chart, but it is nice to have a specific number. For example, I have a 50 lots per minute cut off level for trading. If it goes below this I stop trading. If the price is moving at 2 pts per minute, then I will decide that for it to make the next resistance level up, I need to be more patient and wait for it to get there. Also maybe I should not panic and think it will suddenly move against me. As long as the tickometer stays constant then there is no need to close a trade. Just hypothecating really, but you get the jist.

Martin

Fascinating. I've noticed that the FTSE moves at two or three or four specific rates (as do other instruments). I'd like to know why, but it's really not important. If we can detect which one is happening at a particular time with any level of certainty, then we can react accodingly. Good point, thanks for the idea. I'll do some research next week. If I get anywhere interesting, I'll let you know. If anyone has anything to add, please do.

Jimi

 

[ordinaryguy76]

Martin

I've been trading for 3 years now and programming for half that time. I've done lots of backtesting, programming & testing ideas, optimising parameters etc (nearly always on the FTSE, occasionally with Forex) and have finally concluded that it is impossible to develop an automated system that works for all market conditions (of the UK100). Although initially I thought 'Why not?' However, I now accept that an element of intuition or jusdgement is necessary.

Why not try S&P ?

FTSE seems to be too volatile. I've tried several strategies as well.
If your stop is too small, it will always get triggered, if it's too large, it will eat into your profits too much when it's finally triggered.

Now, I'm trading S&P only, with good results. My system is 90% automated and my 10% tinkering usually reduces system's profits.

I'm not scalping, though, I'm not good enough for this game.

 

[MartinC-J]

jimi - if I can figure out how to program an indicator that gives me the time of open and close for a 50 volume candle, then I should have a decent indicator for speed of movement. Using a 1 min chart would possibly be too slow. Effectively you want something a little like $TICK that NYSE provide for the us market, but one for the UK market.

og76 - well done with your ES system. I tend to only consider the ES after 2:30pm. Maybe I shouldn't. It's chart is a lot smoother in the morning than the FTSE.

 

[barjon]

jimi - if I can figure out how to program an indicator that gives me the time of open and close for a 50 volume candle, then I should have a decent indicator for speed of movement. Using a 1 min chart would possibly be too slow. Effectively you want something a little like $TICK that NYSE provide for the us market, but one for the UK market.

og76 - well done with your ES system. I tend to only consider the ES after 2:30pm. Maybe I shouldn't. It's chart is a lot smoother in the morning than the FTSE.

Martin

Don't tick charts have time on the bottom axis? I would have thought a vertical line on the chart drawn every x minutes would give you a good visual clue even though it'd be a manual chore.

 

[MartinC-J]

jon - there has to be an easy way of doing it and it may be staring me in the face. I want a wavy sinusoidal, possibly smoothed, line that tells me the speed of lots traded per second. Maybe even better if it was split into 2 lines, lots traded at the bid and the ask per second. I don't want it to have any reference to the price level. I have my charts to confirm levels. If I had Ninja Trader this would probably be easy to set up. But I have OpenEcry and they don't do time and sales.

 

[barjon]

martin

i thought you were interested in speed of price movement, not "activity" - although I appreciate the connection.

easy - "a wavy sinusoidal, possibly smoothed" - blimey

 

[reksa]

EUR/USD is getting smashed. And NFP was only a small beat, so we could be in this tight range for the remainder.

Hard to find any good trades.

 

[Chalky_trader]

EUR/USD is getting smashed. And NFP was only a small beat, so we could be in this tight range for the remainder.

Hard to find any good trades.

Interesting to see the EUR/USD action.

is there any correlation between the forex pairs and the indeces?

 

[MartinC-J]

I am sure there is some correlation for the euro. Daddyjon should know that one. He follows it.

Strong £ is good for the FTSE. Strong auzzie dollar good for equities in general.

 

[Chalky_trader]

5900 ftse cash again - oh dear!

 

[MartinC-J]

So much for the sell off this week. Back to the highs. All we need to see now is the ES get above 1377 and we might see 6000 in the FTSE again.

 

[jimioddy]

Why not try S&P ?

FTSE seems to be too volatile. I've tried several strategies as well.
If your stop is too small, it will always get triggered, if it's too large, it will eat into your profits too much when it's finally triggered.

Now, I'm trading S&P only, with good results. My system is 90% automated and my 10% tinkering usually reduces system's profits.

I'm not scalping, though, I'm not good enough for this game.

ordinaryguy76

Sorry for the late reply. I developed my ‘automated trading system’ using just the FTSE so I was looking at movements of 10s e.g. 5860 to 5870, instead of a change in a decimal place (made it simpler to observe & test). I convinced myself that if my ATS worked for one instrument, it would work for another since my rules detect changes in the values of fast ‘Moving Averages’ instead of discrete prices. Not only that, but I also convinced myself that the timescale should not matter either. Why? Because the price is fractal and if I removed the axes from a chart, it would not be possible to tell whether it was a 1, 5, 10 or 15 minute chart.

In summary, I thought it would make no difference what timescale, currency pair or index I used, all I would have to do would be to calculate the best parameter values used by the ATS. To an extent this is true i.e. I quickly applied my ATS to the SPX500, but the results were not as good (after optimisation) as they were when I applied it to the FTSE. Furthermore, the 5minute timescales is better than the 1 minute timescale. There are too many things that I cannot explain, so I just stick to the UK100 and the 5 minute timescale.

Yes, it is volatile and stops can be tricky. There are no right answers.

Jimi

 

[Dick Lexic]

a close above 5880 cash on friday was a result for the bulls ...think they'll try to keep it up there but it might need a bit more testing if we are to go 6000 soon....well that's my line in the sand... if we close below it's back to the drawing board

 

[Splitlink]

I am long at present but it would not take much to shake me out of the trade. What I see is a potential pulback, now, with the low at 5860. When it goes over 95 cash, I'll be happy.

 

[Splitlink]

I closed my trade. It does not seem to be going down too much but it's taking too long.

 

[MartinC-J]

This could be our reversal here off the 78.6% retrace. I'd like to see the 20EMA on the 5mc tested and possibly broken.

 

[reksa]

Anyone see any decent setups?

 

[Splitlink]

Anyone see any decent setups?

I got out, earlier but am back in again from 5882.3 cash. I am optimistic

 

[jimioddy]

I am long at present but it would not take much to shake me out of the trade. What I see is a potential pulback, now, with the low at 5860. When it goes over 95 cash, I'll be happy.

Splitlink

You said in post 5776 of today:
“What I see is a potential pullback, now, with the low at 5860. When it goes over 95 cash, I'll be happy”.

I believed you and marked 5860 and 5895 on my chart. You were right.
I simply buy or sell depending on which way the wind is blowing (no setups).
The past few days have been good, although the 7th was pretty bad – see chart.

Jimi

 

[Splitlink]

Splitlink

You said in post 5776 of today:
“What I see is a potential pullback, now, with the low at 5860. When it goes over 95 cash, I'll be happy”.

I believed you and marked 5860 and 5895 on my chart. You were right.
I simply buy or sell depending on which way the wind is blowing (no setups).
The past few days have been good, although the 7th was pretty bad – see chart.

Jimi

Glad to have been of help. I got out, though, and got back in later, again. That means that I have to make up a loss. Just done it. Let's see if we get it over 5900.