Forex - Spot v's Futures

jimvt

Active member
rog1111 said:
Wow, there were some large short term spikes today on US data release. I got hit with -72 pips on GBP futures. Ouch !

Interestingly though, comparing Globex with FXCM charts, the GBP futures spike was about 40 pips bigger than the spot spike & the EUR futures spike was ca 11 pips larger than the spot. I guess the futures are far easier for the big players to move due to less liquidity, and although I am loathe to admit it, this just might make a case for trading spot rather than futures, particularly for GBP, as long as spreads are tight, and I am seriously thinking of changing.

rog1111

Wouldn't life be good if you could spread trade between the two at times like this, except you'd never get the fills you'd need.
Nice "holy grail" dream anyway. :rolleyes:
 

rog1111

Established member
ChowClown

Hey that's a good average, well done !

The problem with trying to backtest using close stops like 10 pips is that my 12 month spot data is hourly. Since a lot can happen in an hour, in the first hour, you can't be sure whether your stop would have been hit, and you have to make assumptions, which is why I have sometimes mentioned best/worst scenario.

I have given below some "best" scenario results using your criteria for EUR:$, from hourly data, and although they may be unrealistic, you are unlikely to have done better.

April = - 220
May = - 83
June = + 416

If I could lay my hands on some longer term 1/5/10 minute data then that would help. I have some futures data which I am still looking at, but I don't regard it as adequate for testing GBP, but maybe EUR. I find that the 2 hour restriction does help to take out quite a few losers.

rog1111

ChowClown said:
Rog,

I'm trading the '1-8am (GMT) EUR/USD, 60SL, 2hr entry, 6pm (GMT) exit' (phew) BO.

Since 22nd April '04:

Max DD: 81, currently averaging 11 pips/day, using FXCM (3 pip spread).

If you have the inclination/time and it's not too much hassle, would you be able to include a backtest of the '7-10am (GMT) EUR/USD, 10SL, no entry time restriction, 11pm (GMT) exit' - for Apr/May/Jun spot.

Thanks.
 

rog1111

Established member
I guess that the futures would be the tricky fill, and that you'd need some automated arb'ing software and super fast direct connection to even get close. It would be nice though, 40 pips is a LONG way out of line ! It makes you think, that suppose you had the clout to create such large temporary spreads (as the comms do), then you could also be ready and waiting with your arb trades

rog1111

jimvt said:
Wouldn't life be good if you could spread trade between the two at times like this, except you'd never get the fills you'd need.
Nice "holy grail" dream anyway. :rolleyes:
 

rog1111

Established member
Mind you, even poor fills would probably suffice to make a profit at such times. I have a little piece of software that monitors IB's currency spot vs futures spread at all times, but I've never run it for more than a few minutes. It'll be interesting to try it out and see how much deviation occurs, even on a "normal" day.

rog1111

jimvt said:
Wouldn't life be good if you could spread trade between the two at times like this, except you'd never get the fills you'd need.
Nice "holy grail" dream anyway. :rolleyes:
 

TRADERguy

Active member
rog1111 said:
Wow, there were some large short term spikes today on
rog1111 said:
US data release. I got hit with -72 pips on GBP futures. Ouch !



Interestingly though, comparing Globex with FXCM charts, the GBP futures spike was about 40 pips bigger than the spot spike & the EUR futures spike was ca 11 pips larger than the spot. I guess the futures are far easier for the big players to move due to less liquidity, and although I am loathe to admit it, this just might make a case for trading spot rather than futures, particularly for GBP, as long as spreads are tight, and I am seriously thinking of changing.



rog1111




Spikes that are out of line with the cash usually occur in a fraction of a second on economic releases. Enough traders in the futures click on the release that the price gets out of line with the cash and is brought back into line by arb computers within a small fraction of a second. Today there was a double whammy when the Philly Fed was release early and the first release was wrong. Whipsaw city.

 

ChowClown

Senior member
Many thanks for your time and input rog1111, I'll stick with the 1-8am for now :)

rog1111 said:
ChowClown

Hey that's a good average, well done !

The problem with trying to backtest using close stops like 10 pips is that my 12 month spot data is hourly. Since a lot can happen in an hour, in the first hour, you can't be sure whether your stop would have been hit, and you have to make assumptions, which is why I have sometimes mentioned best/worst scenario.

I have given below some "best" scenario results using your criteria for EUR:$, from hourly data, and although they may be unrealistic, you are unlikely to have done better.

April = - 220
May = - 83
June = + 416

If I could lay my hands on some longer term 1/5/10 minute data then that would help. I have some futures data which I am still looking at, but I don't regard it as adequate for testing GBP, but maybe EUR. I find that the 2 hour restriction does help to take out quite a few losers.

rog1111
 

JonnyT

Senior member
ChowClown said:
Rog,

I'm trading the '1-8am (GMT) EUR/USD, 60SL, 2hr entry, 6pm (GMT) exit' (phew) BO.

Since 22nd April '04:

Max DD: 81, currently averaging 11 pips/day, using FXCM (3 pip spread).

If you have the inclination/time and it's not too much hassle, would you be able to include a backtest of the '7-10am (GMT) EUR/USD, 10SL, no entry time restriction, 11pm (GMT) exit' - for Apr/May/Jun spot.

Thanks.

Hi Chow,

My cable trader system has blown your method away since March 2003. i.e. Total points around 100% higher or 3000 pips...

Your method has had some poor quarters.

JonnyT
 

mik1973

Well-known member
Hi Chow,

I understand most of the strategy you have outlined but would appreciate clarification on the 2 hour entry. Does this mean that in order to take a trade a breakout of the 1-8 bar must occur by 10am.

Having looked at £/$ over the last week it seems news announcements (particularly around 1.30) have played havoc with B/O systems. Has anyone had any success with placing trades after these announcements have been made.

Cheers,
Mick
 

JonnyT

Senior member
mik1973 said:
Hi Chow,

I understand most of the strategy you have outlined but would appreciate clarification on the 2 hour entry. Does this mean that in order to take a trade a breakout of the 1-8 bar must occur by 10am.

Having looked at £/$ over the last week it seems news announcements (particularly around 1.30) have played havoc with B/O systems. Has anyone had any success with placing trades after these announcements have been made.

Cheers,
Mick
Back testing suggests that limiting trades to this 2 hour period is a bad idea.

The fact also remains that 95% of trades are taken during this period...
In fact the vast majority are taken within the first 45 minutes.

JonnyT
 

mik1973

Well-known member
Hi Jonny,

What is your approach to B/Os with reference to timescales? Do you have set times to allow the B/O to occur or would you wait for the range to break no matter what time it occured (even if it was only a few minutes befoe you would close out at the end of day)?

What times would you close your own trades?

Cheers,
Mick
 

JonnyT

Senior member
Hi Mick,

All is revealed in my Cable Trader manual, aswell as a back test soreadsheet

PM me if you want further details.

JonnyT
 

rog1111

Established member
...a bad idea if its gross number of pips that you are after. A good idea if you want a higher average trade, and a better pl/drawdown ratio

rog1111

JonnyT said:
Back testing suggests that limiting trades to this 2 hour period is a bad idea.

The fact also remains that 95% of trades are taken during this period...
In fact the vast majority are taken within the first 45 minutes.

JonnyT
 

ChowClown

Senior member
Hi mik,

Yes, if I'm not filled by 10am, no trade that day. I've found the 1am-8am EUR version copes quite well so far (because of the 60 pip stoploss) with key reports - 70+ so far today for example.

Good luck.


mik1973 said:
Hi Chow,

I understand most of the strategy you have outlined but would appreciate clarification on the 2 hour entry. Does this mean that in order to take a trade a breakout of the 1-8 bar must occur by 10am.

Having looked at £/$ over the last week it seems news announcements (particularly around 1.30) have played havoc with B/O systems. Has anyone had any success with placing trades after these announcements have been made.

Cheers,
Mick
 

ChowClown

Senior member
darrenf,

Haven't traded the 9pm exit so far. JT's EUROTrader appears to exit at 11pm, so there's probably some merit in later exits. 6pm suits my circumstances and in the backtest comparison rog1111 kindly posted for us all, the PLtoDD ratio was the best.

Cheers
 

darrenf

Well-known member
ChowClown said:
Hi mik,

Yes, if I'm not filled by 10am, no trade that day. I've found the 1am-8am EUR version copes quite well so far (because of the 60 pip stoploss) with key reports - 70+ so far today for example.

Good luck.


Hi Chow clown,

A quick question if I may.

Do you trade the first breakout only, or would you stop and reverse if an opposite breakout occurs?

Actually, same question to Rog111 also if I may?

Darren
 

ChowClown

Senior member
Hi JT,

I trade EUR/USD not cable. IMHO over time (many years rather than 1 or 2) profitability will converge across most BO systems.

From memory the original 7-10am system you kindly posted had an average of around 25-30 pips/day based on the small sample of data you backtested with. Subsequent backtesting over a few years, from another member, resulted in an average of around 8 pips/day.

It's swings and roundabouts to my mind, but I don't care, so long as the system I trade is profitable over the long term. Your ideas have provided a great deal of food for thought and I for one won't be contributing more to a PPP!

JonnyT said:
Hi Chow,

My cable trader system has blown your method away since March 2003. i.e. Total points around 100% higher or 3000 pips...

Your method has had some poor quarters.

JonnyT
 

ChowClown

Senior member
....first BO only. I remove the opposite order immediately.


darrenf said:
Hi Chow clown,

A quick question if I may.

Do you trade the first breakout only, or would you stop and reverse if an opposite breakout occurs?

Actually, same question to Rog111 also if I may?

Darren
 
 
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