CanOz's intermittent and sporadic trades

[CanOz]

Just starting to look at futures, DAX in particluar. New to me.

What sort of commission is usual for one contract? If one wanted to control say $1million of value (I won't be), how do I work out how many contracts that represents? Thanks in advance.

1 point = 25 EUR

current price = 10200

10200 * 25 = 255,000 EUR

$1,000,000 = 860,000 EUR

860,000 / 255,000 = 3.37 contracts

 

[Gringotts Bank]

1 point = 25 EUR

current price = 10200

10200 * 25 = 255,000 EUR

$1,000,000 = 860,000 EUR

860,000 / 255,000 = 3.37 contracts

Awesome, thanks for that.

 

[Gringotts Bank]

I've written a system which looks ok on backtest. But it's for the 5 min timeframe and takes very small profits (around 2-4 points on 3 contracts). So now I'm wondering what % of the day/night would the spread actually be 0.5? And when it's not 0.5, what sort of distribution of spreads exist? Obviously getting filled is essential, and that's hard to estimate. Not quite sure how to proceed...

 

[CanOz]

I've written a system which looks ok on backtest. But it's for the 5 min timeframe and takes very small profits (around 2-4 points on 3 contracts). So now I'm wondering what % of the day/night would the spread actually be 0.5? And when it's not 0.5, what sort of distribution of spreads exist? Obviously getting filled is essential, and that's hard to estimate. Not quite sure how to proceed...

Can you fill on limits?

 

[Gringotts Bank]

Can you fill on limits?

Hi Can, yes it appears so.

 

[Gringotts Bank]

Hi Can, yes it appears so.

maybe not after all. Disappointing.

 

[CanOz]

maybe not after all. Disappointing.

There is more liquidity on the FESX, can you apply the same 'logic' to that market?

 

[CanOz]

This is an open range breakout strategy with a twist. It uses a couple of different times frames for volatility filtering. I want to add a 'regime' filter as well, or basically a third time frame.

 

[CanOz]

Here's the same thing using a trailing stop that kicks in at 2R.

 

[Gringotts Bank]

Here's the same thing using a trailing stop that kicks in at 2R.

I've been looking at some of Jeff Swanson's strategies, including his version of ORB. I'd like to find something scalable.

Re:FESX, better liquidity is good but the system broke down when I tweaked the exit rules to allow limit orders. The entry was fine.

 

[CanOz]

Here are some possible scenarios for the DAX today....

 

[kid hustlr]

Can - got to be thinking mean reversion type day given the upcoming events over the next several days?

Anyone else feeling a little nervy looking at the S&P index over the past week or 2?

 

[cynic]

My thoughts these days are pretty much along the lines that it might go up or it might go down.

Similar to your own in some ways, but without the channel.

Doncha luv the profundity of the markets these days?

 

[CanOz]

Yeah, trading in balance with no news is choppy stuff....

Cynic, with my discretionary trading i try not to get married to a bias, so always have a few hypothetical scenarios

 

[CanOz]

Some poor souls got trapped right off the open.....

 

[Modest]

10402 looks like interim support for a push into 10445

 

[captain black]

10402 looks like interim support for a push into 10445

Nice accumulation pattern between 10391 - 10398. It's a bit messy so would look to go long at the bottom of the range with a tight stop.

Took a long on the FESX showing a similar pattern.

 

[CanOz]

Nice accumulation pattern between 10391 - 10398. It's a bit messy so would look to go long at the bottom of the range with a tight stop.

Took a long on the FESX showing a similar pattern.

Current vpoc is 396

 

[captain black]

Current vpoc is 396

Cool

These areas where different forms of analysis converge are where all my testing is at the moment. Have been working on different forms of S&R in Amibroker after following Modest's FESX thread. Looks like I'll have to add VPOC to the list as well

Hope everyone got on board the long in that accumulation zone, looking nice now

 

[Modest]

Looks like it is runnin out of steam, next down side target 10365

FESX 2945ish