Eminis PnF

[JonnyT]

Hi folks,

As per my promise, here is my first post regarding a strategy for trading the S&P emini ES

You probably know I'm a big fan of PnF for intraday trading so I applied a technique from a very successful trader of FTSE to the S&P emini.

The set up is a PnF chart set to Box size 1, reversal 2

The technique is to trade 5 box reversals, thus always being in the market.

The results have not allowed for slippage (overnight moves mainly) or commission.

Since the 24th December 2002 this method has produced a profit of 213 points from 56 trades. The worst drawdown has been 6 points!!!

Thats over $10,000 of profit per contract net of costs in about 7 weeks.

I'm not saying such wonderful performance will continue, but it augers very well indeed.

JonnyT

 

[Henry]

Hi JonnyT,

Interesting post. I actually just started seriously looking and P&F for intraday yesterday myself. One question though, if the reversal size is 2, how do you get a 5 box reversal?

Cheers,

H.

 

[delboy trotter]

JonnyT,

Could you post a chart as an example, for us to look at? Perhaps one of your recent trades.

Cheers

db-t

 

[TBS]

Hi JonnyT,

Interesting post. I actually just started seriously looking and P&F for intraday yesterday myself. One question though, if the reversal size is 2, how do you get a 5 box reversal?

Cheers,

H.

The chart is constructed using 1 point per box, and a 2 box reversal criteria, however, the trades are entered and exited on 5 boxes being filled in the opposite direction.

With PnF it is important to get a scale-view of the chart that you are trading, sometimes the reversal criteria are also the trade points, but not always - as in this case.

If you get your chart optimisation right, there are several other types of trade that you can make from the same chart.

TBS

 

[TBS]

This is how the action for the sp's today would look - granted it has been a very tight range so far - hence a coulple of losing trades.

 

[JonnyT]

The master has spoken

What can I say? TBS the trader I didn't name has beat me to it with an elegant reply.

One thing I will add is that I haven't tried to optimise the results in any way, just went for a five box reversal as it seems to work with other indices.

I've enclosed this image of recent S&P emini activity for you all to look at.

One other thing, with Interactive Brokers it is possible to fully automate this system, i.e trade as a Black Box. Something I am currently working on...

From visual inspection it should be safe to run this 24 hours and achieve results very close (if not better) than those illustrated.

JonnyT

 

[zambuck]

what software are you using for the p & f charts...????

 

[JonnyT]

Hi zambuck,

I use Sierra Chart with MyTrack data feed. The cheapest really good solution IMHO though the PnF charts take some getting used to!

JonnyT

 

[Fluke]

TBS

Could I ask you to give me the same example for the FTSE index.
I spent some time studying PnF charts long hand but could not find a package to do it,so I let the charts laps.
I can do these by hand daily no problem.

 

[delboy trotter]

TBS/JonnyT,

I have tried this on eSignal and get a completely different chart. On eSignal you get a choice of time periods and when you change from 1min to 5min etc you get a different chart. My understanding is that PnF were independant of time ? If not then what time period are you using?

db-t

 

[zambuck]

Hi zambuck,

I use Sierra Chart with MyTrack data feed. The cheapest really good solution IMHO though the PnF charts take some getting used to!

JonnyT

Hi JonnyT

Thanks for that.....I have been using these charts for sometime now and have used Indexia and now TA which are probably the best for p & f....

Do you use any buy / sell signal for trading?...i.e like kermit zeig or others...???

 

[TBS]

TBS

Could I ask you to give me the same example for the FTSE index.
I spent some time studying PnF charts long hand but could not find a package to do it,so I let the charts laps.
I can do these by hand daily no problem.

I do all my PnF charts in Excel, easy to read and keep, plus updating them through the day keeps you on top of the price action.

Here is the chart for todays FTSE futures action:

The sell point marked on it is the 5 box reversal as suggested by JT. The red font denotes that the market gapped down first thing.(in this case from a high of 3670 yesterday)

 

[delboy trotter]

So does anyone know why using eSignal you get different charts for different time periods?

db-t

 

[DaveJB]

At a rough guess, the same way bars are made - you could take the limits of the high and low every 5 mins, and do an H-L P&F chart from it, so a 15 min chart would probably cover a wider range, the H-L would differ, leading to a different chart. It depends on whether you are picking a single price to be 'the' price, and making something in the manner of a closing price P&F chart, or doing an H-L variety using the price range over a period, or perhaps the bid x ask or similar. That's my guess until somebody who knows the proper answer can fill the details in.

 

[TBS]

TBS/JonnyT,

I have tried this on eSignal and get a completely different chart. On eSignal you get a choice of time periods and when you change from 1min to 5min etc you get a different chart. My understanding is that PnF were independant of time ? If not then what time period are you using?

db-t

PnF is independent of time in the respect that if your reversal criteria are not met, then the chart doesn't move. They are not independent in terms of the time frame that you include in the chart.

If you have a chart set on 5 minutes, then the box will only 'stick' if the price remains at that level when the 5 minute period is over.

I don't know what JT uses, I generally use 1 minute charts and don't include the top or bottom of a run if the price action for that minute doesn't close over (or under) the appropriate level.

The SP chart example I knocked up was just from eye-balling a 1 min chart, if a level was hit, then I put the box in - so it is effectively a tick chart.

I wouldn't consider trading futures with anything more than a 1 minute chart if you are dependent on getting a fill at or very close to your reversal points - a heck of a lot can happen in 5 minutes!

 

[oatman]

All decent software carries P+F. I use Indexia,Tenfore Satellite and trying to get Updata to work reliably - Ha Ha!
Try it on Ftse Future. It works on everything. Set up a 1min. 2.5x3 or a 3x3 hilo
The idea of P+F is to get break out levels.
On 2.5x3 the market must move 7.5 points in one direction then reverse 10 points to give a signal. Of course you'll get false breaks when the market does nothing. This is why you must choose your box size. The smaller the box the more sensitive it becomes, the more signals you get. Put 3x5 on and the market must go 15 points and reverse 20 to give a signal. When the column of Xs(up) or Os(down) moves further than the previous column of same you have a signal.
That's the idea, give it a go.

Happy trading

 

[JonnyT]

I use 1 minute charts, it simply cannot be done with anything else!

JonnyT

 

[Miki]

Thanks, Paul. Why JonnyT?

 

[JonnyT]

Well once when I was pissed and in a quiz team we were having a quiz between ourselfs. I felt the questions I was getting were harder than what the other were so I complained. The answer to the next question was Jonny Bristol but the person answered Jonny Tits as he knew the answer. I complained again so they gave me the same question. Of course I answered Jonny Tits (didn't have a clue what the answer was) and everyone just burst out laughing. I've been JonnyT ever since. Another nickname is sledge...Always pulled by dogs.

JonnyT

 

[Helenqu]

[Always pulled by dogs.

JonnyT [/B]

Bet your wife really appreciates that sort of remark J