Basic question: what are the best instruments

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AbsoluteReturn1

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Hi

I am new to day trading and have developed/tested a strategy with TradeStation which gives very promissing backtesting results when choosing 5 $ round turn commission. Best time frames are 1 to 10 minutes, all signals are reversal signals with limit orders. There are about 4 to 8 trades per hour. I've tested with mini index futures and many forex symbols. With S&P mini future the average profit is 10$ per trade - the equity curve looks very consistent.
Because I'm new to daytrading, I wonder if this strategy will be profitable in real trading? Please could anyone tell me,which instruments are best in respect of reliable fills.

Thank you in advance for any advice.
Regards
 
only one way to find out..

you wont have any fill problems on any of the major futures contracts, unless your moving huge size lol
 
For liquidity the e-mini S&P (prefix ES) should be pretty thick. You should be able to get a limit order in on the buy (on ask) and sell (on bid) without much problem.

Mini-Dow can be a bit challenging because the price jumps fast per point and you are likely to miss out.

E-mini Russell should be a good, thick one too.

If you want to trade equities for your test, trade SPY and you shouldn't have any problem. Or the Q's (QQQQ) for Nasdaq.
 
Whatever you are doing will not work in the real world. No matter what instrument you are using. At 4 to 8 trades per hour, your account will be empty in a month or less at $5 a round turn. Plus, there are rarely that many really good opportunities in a day.

Backtesting is misleading. What happened yesterday often has no affect on what is happening right now. Any technical setups which you think will be profitable in the long run will most likely not be profitable at all. If you're going to trade, learn how to read the order book (market depth). Watch the volume and the trades.

If you have not yet traded at all and have not yet fallen prey to the lures of turning pennies into millions, don't start. I've made plenty of money trading and when someone asks me how to get into it, my response is always the same.

"Don't."

:eek:
 
Yeah. From tail to head or head to tail. Or maybe you can start with the feet.

Anyway you go, you're probably going to need a knife.
 
Before going live, find a broker that will let you run the program live through simulated data feeds for some time. Get a datafeed that allows you to trade 'live' without any real risk as it's in simulated mode...many brokers have these if you ask...the data flows tick for tick with real market at that time, not what happened yesterday or days before.
 
I've discussed the liquidity issue several time with other fellows, and...

Everybody looks for huge inmense liquidity. I did, as well.

But later I realized that too much liquidity can drown you. Are you sure that you need a market that move thousands of contracts in a few seconds? That's great. But do you really need it?

I don't. I just need to get a good fill for my little contract. Or maybe two of them. I can even withstand one tick more or less without any problem.

That open several market for me, that could seem too illiquid, but actually are ok for me and my needs. And these markets could be more easy/profitable to trade.

Of course it depends on what do you need.

Let's take a look at these figures provided by cmegroup: Volumes for July'09

E-MINI S&P500 42,272,629
EURODOLLARS 40,061,988
10-YR NOTE 16,420,693
5-YR NOTE 8,034,099
E-MINI NASDAQ 6,243,296
30-YR BOND 4,995,238
CORN 4,765,779
2-YR NOTE 3,094,748
SOYBEAN 2,845,653
MINI DOW 2,830,504
SOYBEAN OIL 1,543,857
WHEAT 1,298,099
SOYBEAN MEAL 1,146,637
LIVE CATTLE 855,383
FED FUND 688,569
LEAN HOGS 644,07
S&P 500 453,521
5-YR SWAP 100,093
10-YR SWAP 99,039
FEEDER CATTLE 95,198
NASDAQ 46,606
1MOS LIBOR 42,088
GOLDMAN SACHS 40,921
3-YR NOTE 34,399
E-MINI EAFE 27,839
MINI SOYBEAN 27,41
DJIA 27,114
MILK 26,248
LUMBER 24,34
OATS 19,37
ROUGH RICE 16,454
E-MINI MSCI 15,65
MINI CORN 13,116
EUROYEN 7,225
MINI WHEAT 5,838
DRY WHEY 340
$25 DJ 225
BUTTER 5
PORK BELLIES 2,369
S&P 400 1,642
BUTTER CS 1,52
NFD MILK 73
WOOD PULP 60
MLK MID 0
MINI EURODOLLAR 0
EMINI XINHUA 0


The point is: You can have problems trading Wood Pulp Futures, but is still a wide range of markets offering enough liquidity.

There's life beyond ES! :cheesy:
 
Liquidity provides protection as it ensures tigher spreads. If the bid ask is 16/17 and you buy 17, you can get out at 16 is needed. In illiquid markets, the bid ask maby be 13/17. You buy 17 and have to get out, you're selling 13 for a bigger loss.

cuotes said:
I've discussed the liquidity issue several time with other fellows, and...

Everybody looks for huge inmense liquidity. I did, as well.

But later I realized that too much liquidity can drown you. Are you sure that you need a market that move thousands of contracts in a few seconds? That's great. But do you really need it?

I don't. I just need to get a good fill for my little contract. Or maybe two of them. I can even withstand one tick more or less without any problem.

That open several market for me, that could seem too illiquid, but actually are ok for me and my needs. And these markets could be more easy/profitable to trade.

Of course it depends on what do you need.

Let's take a look at these figures provided by cmegroup: Volumes for July'09

E-MINI S&P500 42,272,629
EURODOLLARS 40,061,988
10-YR NOTE 16,420,693
5-YR NOTE 8,034,099
E-MINI NASDAQ 6,243,296
30-YR BOND 4,995,238
CORN 4,765,779
2-YR NOTE 3,094,748
SOYBEAN 2,845,653
MINI DOW 2,830,504
SOYBEAN OIL 1,543,857
WHEAT 1,298,099
SOYBEAN MEAL 1,146,637
LIVE CATTLE 855,383
FED FUND 688,569
LEAN HOGS 644,07
S&P 500 453,521
5-YR SWAP 100,093
10-YR SWAP 99,039
FEEDER CATTLE 95,198
NASDAQ 46,606
1MOS LIBOR 42,088
GOLDMAN SACHS 40,921
3-YR NOTE 34,399
E-MINI EAFE 27,839
MINI SOYBEAN 27,41
DJIA 27,114
MILK 26,248
LUMBER 24,34
OATS 19,37
ROUGH RICE 16,454
E-MINI MSCI 15,65
MINI CORN 13,116
EUROYEN 7,225
MINI WHEAT 5,838
DRY WHEY 340
$25 DJ 225
BUTTER 5
PORK BELLIES 2,369
S&P 400 1,642
BUTTER CS 1,52
NFD MILK 73
WOOD PULP 60
MLK MID 0
MINI EURODOLLAR 0
EMINI XINHUA 0


The point is: You can have problems trading Wood Pulp Futures, but is still a wide range of markets offering enough liquidity.

There's life beyond ES! :cheesy:
Click to expand...
 
cuotes said:
I've discussed the liquidity issue several time with other fellows, and...

Everybody looks for huge inmense liquidity. I did, as well.

But later I realized that too much liquidity can drown you. Are you sure that you need a market that move thousands of contracts in a few seconds? That's great. But do you really need it?

I don't. I just need to get a good fill for my little contract. Or maybe two of them. I can even withstand one tick more or less without any problem.
Click to expand...


noob trader spotted.. :p
 
covered_call said:
Liquidity provides protection as it ensures tigher spreads. If the bid ask is 16/17 and you buy 17, you can get out at 16 is needed. In illiquid markets, the bid ask maby be 13/17. You buy 17 and have to get out, you're selling 13 for a bigger loss.
Click to expand...

Absolutely right, my dear!!

Nevertheless, in the corn market 'rush hour' , even when it moves 10 times less than ES, is difficult to find a spread bigger than one tick.

My point is that there are other markets with enough liquidity.
It can be worthy to take a look around.
 
Sorry but as the other fella said, it won't work because of the amount of trading you're doing.

In future, never discount the 'cost of doing business' because for short term traders that's AS important as buying/selling at the right prices.

Good luck anyway.
 
I'm aware of my undercapitalization problem :confused:

But I can't afford open a position with 100 contracts. Not even 10. Maybe some day. But not now.

We'll be increasing size little by little, as we gain knowledge, experience and money.
 
AbsoluteReturn1 said:
Hi

I am new to day trading and have developed/tested a strategy with TradeStation which gives very promissing backtesting results when choosing 5 $ round turn commission. Best time frames are 1 to 10 minutes, all signals are reversal signals with limit orders. There are about 4 to 8 trades per hour. I've tested with mini index futures and many forex symbols. With S&P mini future the average profit is 10$ per trade - the equity curve looks very consistent.
Because I'm new to daytrading, I wonder if this strategy will be profitable in real trading? Please could anyone tell me,which instruments are best in respect of reliable fills.

Thank you in advance for any advice.
Regards
Click to expand...

If you have a method that works you need to trade forex because there are NO commissions.
Your method produces alot of trades, so every time you trade the commission that you save goes right into your account.
These add up FAST.
 
cuotes said:
But later I realized that too much liquidity can drown you. Are you sure that you need a market that move thousands of contracts in a few seconds? That's great. But do you really need it?

I don't. I just need to get a good fill for my little contract. Or maybe two of them. I can even withstand one tick more or less without any problem.
Click to expand...

The point is that you need liquidity so you can 'get a good fill for my little contract'.
 
N Rothschild said:
agreed, some of mrsouls posts are utter drivel
Click to expand...

rothchild- the guy is making 70 trades a day- that is $6,600 in commissions EVERY month as a fixed cost!

And you are saying that he should pay those commissions- get a brain!

Are you making $6,600 a month?
 
and the difference between a commission and the spread you will pay from a retail forex broker? get a brain
 
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