ES trading system

How to set up ES trading system?
QJ said...
First, to trade ES you need a good charting system. QuoteTracker is good, TradeStation, ThinkOrSwim all good.
Here is the example setting use QuoteTracker with IB as data feed. After set both IB and QT, the ES tick is: GLOBEX@ESM9
ok, now you are ready to set up a few indicators, try those for 1-2 days.

for 1min:
single regression channel (65,2)
Par Sar (0.09, 0.2, 0.2)
BB (20,2)
Time Series Forcast (7)
Time Series Forcast (6)
ema(14)
ema(89)
Pivot Points

Volume
RSI(21,14)
Ergodic (20,5,5)
Williams %R (13,3)
Inverse Fisher Transform RSI(14)
MACD Histogram(12,26,9)
Chaikin Money Flow (14)
On Balance volume (21)

for 5min, same except ema (3 min is same as 5min):
single regression channel (65,2)
Par Sar (0.09, 0.2, 0.2)
BB (20,2)
Time Series Forcast (7)
Time Series Forcast (6)
ema(7)
ema(21)
ema(50)
Pivot Points

Volume
RSI(21,14)
Ergodic (20,5,5)
Williams %R (13,3)
Inverse Fisher Transform RSI(14)
MACD Histogram(12,26,9)
Chaikin Money Flow (14)
On Balance volume (21)

for 15min
single regression channel (65,2)
Par Sar (0.09, 0.5, 0.2)
BB (20,2)
Time Series Forcast (11)
Time Series Forcast (10)
ema(14)
ema(34)
Pivot Points

Volume
RSI(21,14)
Ergodic (20,5,5)
Williams %R (13,3)
Inverse Fisher Transform RSI(14)
MACD Histogram(12,26,9)
Chaikin Money Flow (14)
On Balance volume (21)
Accumulation/Distribution(3)

for 60min QT charts:
single regression channel (65, 2)
Par Sar (0.09, 0.5, 0.2)
BB (20,2)
Time Series Forcast (7)
Time Series Forcast (6)
ema(8)
ema(21)
Pivot Points

Volume
RSI(21, 7)
Ergodic (20,5,5)
William %R (14, 3)
Inverse Fisher Transform RSI(14, 9)
MACD Histogram(12,26,9)
CCI Histogram (14, 6)
MSROC (13)
On Balance volume (21)
Accumulation/Distribution(5)

for daily QT chart:
single regression channel (59,1.5)
Par Sar (0.09, 0.5, 0.2)
BB (20,2)
Time Series Forcast (11)
Time Series Forcast (10)
ema(10)
ema(50)
sma(20)
Pivot Points

Volume
RSI(21,14)
Ergodic (20,5,5)
William %R (14, 3)
Inverse Fisher Transform RSI(14, 9)
MACD Histogram(12,26,9)
CCI Histogram (14, 6)
MSROC
On Balance volume (21)
Accumulation/Distribution(5)

QQQ said...
in range bound trading, I prefer use support and resistance, sometime when indicators, say above 0.50 but if it is at resistance, I will have to think about it. Time Seris forecast is better indicator for range bound trading

Wahaa said...
Just FYI: Inverse Fisher 大于 0.5是买信号，小于-0.5是卖信号。QuanMM told me this before.

laogua said...
QJ had already show her setting. Check the fig here.
ES Daily and 60min: http://i43.tinypic.com/2ajtggn.png














ES 15min and 5min: http://i41.tinypic.com/jjvclu.png













ES 3min and 1min: http://i43.tinypic.com/20gy9mr.png














Wahaa said...
I hope that everyone has a relaxing weekend right now. For the classmates who want my es settings, here it is:
I used Qsis's 5 min charts as a base, add pivots and tsf from Qsis's comments,I only keep MACD and volume(+EMA) as indicators(otherwise it is too much for me!:-)

FAQ - Options

For option, which indicator is more important, volume or Open Interest?
QJ said...
First we notice the obnormal VOLUME on option moves, then verify on next day it is BUYTOOPEN or SELLTOCLOSE via OI change. plus IV change as well to make conclusion.

Intra-day-ISE
IV and OI data will have to wait after mkt close and next day, to try figure out if the volume is buy or sell

based on the ISE report,
in the past couple of days, you can see the call volume on equities is much larger than put;
on the other side, the put volume on all indices & ETF is much larger than call.
today, the pattern on equities stay the same, but the pattern on indices&etf has changed.

CBOE option data: http://www.cboe.com/data/IntraDayVol.aspx
-------------------------------------------------------------------------------------
Option Trading Tips - Collar

What is the bear spread?
Wahaa said...
Bear call spread : selling lower call option.buying higher call option.
When to use it? If you expect some stock will trade under some price by OE. (My opinion)
For risk/reward, just google bear call spread.

StariX said...
For those are interested in Options spread, a nice introduction:
http://evilspeculator.com/?p=6558
BTW, the software used in the link above is thinkorswim

Wahaa said...
OIH stock up $4 eariler. If you buy 100 share with $8800 and you make $400 today.
I only had 10 contracts of spread.it produces $600 profit with much smaller capital. For people who don't have time to trade everyday and like to "死克" sometimes. It worths look into it.

Case study
Puts on the iShares Ultra Short S&P 500 Fund (SDS) are active Tuesday. The leveraged fund moves inversely to the S&P 500 and, when falls when the equity market moves higher. One strategist might be looking for a move lower in the ETF (and therefore a move higher in the equity market), as June puts were actively traded. Most of the activity appears to be part of a substantial condor, where the strategist sold 10000 June 49 and 50 puts, while buying 10000 June 56 and 10000 June 45 puts. If this is an opening condor, it is a bearish trade that yields its best profits if SDS closes between $49 and $40 at the June options expiration.

TA_Wen said...
Qj: for the SDS condo: I think the max gain will be if SDS closes between 49 and 50. For 1 set of (56p, -50p, -49p, 45p), the gain is (as a function of SDS price x @ Jun OE):
0 if x > 56;
56 - x if 56 > x > 50;
6 if 50 > x > 49;
6 - (49 - x) if 49 > x > 45;
2 if 45 > x;
From the close price of SDS options, for buy to open 1 such condo, the premium needed is:
3.6-1.3-1+0.25=1.55.
So max loss: 1.55*100*10k=1.55million, max gain: 6million

For option trading, did you still set up stop? If yes, how to determine the stop?
I normally very careful on option, try to get better entry and take profit quick. I use stock's support/resistance to decide if I need enter/exit/rollover options. For example, I bought XOM Apr and Feb puts, I exited Feb puts at open to take quick profit, but leave Apr puts, sure now under water. IF XOM breaks above 82-83 resistance, I will exit XOM and find a chance to roll into later month and high strike puts.

max pain
http://www.optionpain.com/MaxPain/Max-Pain.php

TA_Wahaa said...
Last night when ERTS reported Q4 loss, I have been thinking how to get out with profit. I didn't feel comfortable to hold it until OE to see it would stand up above $20. (They might). This morning, when it went to higher 21, I bought back the put with higher strike price since it was cheaper. When it dropped under 20, I sold the put with the lower strike.

FAS and FAZ is always only 0-3 day play. Never think about to hold those things, those are not stocks.
look for real troubled banks and get 1-2 puts at a time on those extrame bounces (Jan10 puts)

Could you give more instruction on swing trade if possible because many people like me do not have eought time to do DT and lack of ability to act so fast?
Yes, I can do that, Here is the one: buy AAPL Jan10 leap calls any strike between 125-140 and AAPL will need to see 145 for SPX to hit 1000.
Thanks very much!

Interesting option activity

Case Study - Interesting option activity CIEN April 28,2009

Ciena (CIEN) calls were actively traded Monday. Shares slipped 38 cents to $10.83 and total options volume rose to 8X the normal levels. There was no obvious company specific news to explain the action, but it was decidedly bullish. 29,000 calls and 2,000 puts traded. A lot of the volume was concentrated in June 12.5 calls, where nearly 25,000 contracts traded or about 60X the existing open interest. In addition, with about 68 percent of the volume hitting ask-side, it appears that buyers were dominating the action and positioning themselves for a rally in shares of the network-equipment maker.

What should we do? We can trade stock
QQQ said... April 28, 2009 9:57 AM
CIEN start 1/3 or 1/2 position here at 10.9, set stop 10.5,
QQQ said...
on CIEN, 200ema is at 11.49. and there is slightly negative divergence, if it can pass 11.49, this negative divergence won't count, otherwise, it is likly go with the rest of Q's until news, etc. hit.. that tells why yesterday those option trades did
note here Q's means QQQQ
QQQ said... April 28, 2009 2:34 PM
CIEN finally passed 200ema, now we can move stop to 11.10
QQQ said... April 29, 2009 11:38 AM
CIEN is build up an acsending triangle here, if it gets volume and breaks HOD, it will break the triangle UP, move my stop to 11.40 now.
QQQ said... April 29, 2009 1:31 PM
CIEN is at 11.80, move stop to 11.50, also my trading rule says if I have a stock that moves 10% 1-2 days after I enter, I will exit 1/2 and take that 10% profit.
QQQ said... April 29, 2009
I stopped out at 11.55 from 10.91 entry. will look for buy back.

We also can trade option
TA_Wahaa said...
I sold June $10 put at $1 (cien), small amount)
QQQ said...
Wahaa sold puts, she is super bullish on CIEN bet it will never go down below 10.
TA_Wahaa said...
It also means that I'm willing to become a owner if it drops under $10 by June. My average cost will be $9 a share.
TA_Wahaa said...
I'm closing CIEN put. (Sold it at $1, now try to buy back at $0.55)，I don't want a winning position become a losing one.

laogua said...
欲知后事如何，请看...(话还没说完，被众青蛙扔鸡蛋无数)

How to deal with Fed Day

Case Study-How to deal with Fed Day April 29,2009
Old post about Fed day
http://qqqmktanalysis.blogspot.com/2008/11/1029-summary-how-to-deal-with-fed-day.html

the classical action after fed:
Stage 1: whipsaw ups/downs
Stage 2: a fake move
Stage 3: real move normally oppsit to stage 2.

This worked well before BUT not last time that we had huge surprise as Fed decided print paper to buy bonds. that was such a surprise that mkt ran straight UP and never looked back below that fed day.

this time is normal, because mkt already expected Fed to continue buying bonds to save bond mkt, in turn will further weaken $USD.

If Fed announce more paper printing and buy bounds I will chase gold: Buy GLD, GDX, AEM EGO, CDE, AUY

TA_Wahaa said...
I did this since Mar last year. It worked most of time. My baby is (AUY)

QJ said...
as I said, unless $USD UP, EUR and OIL down, don't expect equity mkt down too much, so use UUP (DX), FXE (EUR), and USO (CL) as indicator, plus XLF, XLE and QQQQ as your reference if you trade ES. even daytrade, need watch them closely

QQQ said... April 29, 2009 7:04 PM
about mkt sense, it comes with a board view of all mkts and their relationship. I believe many people are still don't understand why mkt is up 3 digits, I know all of you reading this blog/comments knows clearly: it is because of $USD, and why post fed 10 points sell off? again because of $USD.
the first one was fear of fed announcement would crash USD, and the later was the fed announcement was unable to calm down bond mkt, and hence, USD jumped from 84.3's to 84.8's. and spx dropped 10 points. every move are in sync.

TA_Wen said... April 29, 2009 4:36 PM
Qj: I shorted @ spy~88.3 as I saw:
1. FED no action;
2. R3 = 88.36;
3. Price over 15min upper BB.
My plan was if it decisively moved beyond R3, I would cut loss.

I covered @ 87 as I saw:
1. Price touched 15min lower BB;
2. Price penetrated 5min EMA but got support @ 15min EMA (darn they r too close)
And so I finished a wining trade although I chose to stay on short side after FED.

Chicago PMI and ISM Mfg Index

Case Study-Chicago PMI and ISM Mfg Index April 30,2009
QQQ said...
I am eating my lunch here and my partnar just sent me a note remind me tomorrow 10AM we have ISM number release. Because today's Chicago PMI is GOOD (40.1), tomorrow's ISM will NOT be bad.
Previous Consensus Consensus Range Actual
Business Barometer Index - Level 31.4 35.0 33.0 to 38.0 40.1
http://www.bloomberg.com/markets/ecalendar/index.html
Plus tonight both China/HK and European mkt are closed, it is very easy for mkt MM to manipulate premkt open. If they do make ES at 870+ at cash mkt open (9:30PM) then they will be able to make 880 again on better than expected ISM number.

regarding to mkt, tomorrow 10am is release of ISM. 10am is natual time for reversal, so do expect a upside move, then watch very carefully around 2:30, or anytime after lunch for distribution/exit signs. why wants hold over the weekend? notice, over the past few weeks, there were Later Friday buyers to hold over weekend, expect next week's continuation, if tomorrow we see this bahavior changes to end of day sell, then we know next week will be a correction week, at least it is going to be a normal WWW week.

laogua said...
The key point in this case is according to the first day's Chicago PMI, we can predict the next day's ISM Mfg Index(The Institute for Supply Management's manufacturing index). Then we will know what MM want to do.

FAQ - ES Trading

How to setup ES trading system

Please talk briefly on future trading such as a chart, and basic trading tips. Is the future option similar to option?
Future trading involve great risks if one couldn't be able to enforce highest discipline and flexibility. Mostly it requires restricted TA with no-emotion. It will take a lot time to discuss and learn to trade futures. I will have to do Face-to-Face evaluation before teach trading technicals. That is what Trading Camp is about.
Here is a book for your questions: http://www.amazon.com/Trading-Commodities-Financial-Future-Mastering/dp/0131476548/ref=si3_rdr_bb_product

Future is easy to learn, easier than options, but do require highest discipline. A good future trader can easily deal with stocks later on after be successful trading future. You need open an acct that enable trade future, IB is good because you can use Quotetracker to chart. TradeStation is easy and good for very fast trade if you fingers are slow typing. if you have 20K/25K acct, you will make >$500 a day/night, for the most dummy follower, unless you against me on purpose.

What are futures' symbols?
ES is SPX
CL is OIL future
YM is DOW
NQ is NDX
TF is RuT futures.
DX is $USD future
EUR, 6E, E7, EC are EUR:USD future
AUD:USD, (6A or AD)
GBP:USD (BP)

About FX trade
There are interesting time windows that ate best for FX trade.
all in Eastern time below:
3am London, and Paris mkt open
4am Germen and eastern european
8am U.S pre-mkt manipulation
12:00PM european mkt close,
2;30PM CME commodity closing, after that. mkt will be easy to manipulate. also after 12PM, euro mkt closed. that makes FX easy be manipulate as well.

On IB, type EUR and pick June contract, then pick 6E June contract it will show symbol 6EM09 same for GBP, type GBP, see 6BM09.
if you use QT, type GLOBEX:@6EM9; NYBOT:@DXM9 that is the USD future, you might need sunscribe NYBOT data
EUR trade is at TradeStation sybmol is ECM09

I have been testing and trade with my friend's tsunami trading system on EUR:USD and GBP:USD, it is actually pretty good!
http://tsunami-trade.com/
The cost is little high though, $4995 fix cost plus $1500 per year.

Where to check real-time quotes for futures?
http://www.quote.com/us/futures/indices.action
http://www.livecharts.co.uk/MarketCharts/crude.php
http://www.cmegroup.com/trading/equity-index/us-index/e-mini-sandp500.html
http://www.nymex.com/lsco_fut_cso.aspx
http://oil-price.net/

When will ES expire？If it expire but I still hold it, what will happen?
QJ said...
The S&P 500 E-mini contracts expire the third Friday of the contract month. So The June contract expires the third Friday of June. ES is spx index, when it expires, it exits, that means if you short, it will be covered at closing price. If you hold long, it will be sold at closing price.
OIL, Wheat, Soybean, Copper, etc, will be physical deliver to the address that you specified, include shipping and handling fee, just like you buy books from AMZN.

If I have 25K in my account, how many ES contracts I can trade?
QJ said...
It depends your broker, some DT margin is low, normally initial margin is around $6000 for ES, so to be safe, you can max trade 4 contract and carry over night.
say if you trade 4 contracts, each point of ES move will cost $200, 10 points wrong side more will eat up $2000 easily. if you are not careful, cuts here and there, very soon you will see your 25K acct becomes 20K easily, so start with paper trading first, and start only 1 contract, no matter how big your acct is.

Is there any 25k limit for ES daytrading?
Daytrading ES has no 25k limit, you can put 10k then start from only 1 contract, but please paper trading it before you put real money, it is high risk involved!!

How to do paper trading?
TA_Jetblue said...
IB has its paper trading account (you need to have a real account). I didn't use it and I don't remember whether it is delayed or not. I think it is not. The other way is to use IB as datafeed to NinjaTrader (NJ is free as long as you don't use it to enter real trade) and NJ's paper trading is pretty good. It even tries to simulate the fill of order you can feel the pressure when you see the price just moves away from your desired entry point. LOL. On the other hand, TradeStation has paper trade. But TS costs 99$ platform fee plus datafeed fee (maybe around $50). And it paper trading is fishy. As long as the price touches your price, you get filled and this will not happen in reality.

How to calculate the pivot point for ES?
QJ said...
I just use QT to give me ES pivots. other pivots I use:
http://www.livecharts.co.uk/pivot_points/pivot_points.php?symbol=%5Eusd
H and L piviots are called camarilla pivots in QT, here is a link explains
http://www.mataf.net/en/tools/pivot-points-camarilla
http://www.camarillaequation.com/
http://www.camarillaequation.com/trading-camarilla-equation.html
90ufo said...
QJ's pivot is on ES (including overnight). SPY or SPX pivot is during USA market hour only. (SPX and SPY are diffrent in QT, b/c SPX has no gaps, SPY has gaps). QT's default is have pre/after-mkt ON, to turn it off, right-mouse-botton, "view" => "show pre/after mkt" => turn off pre/after-mkt.
aFei said...
Why pivot point sometimes show on ES chart, sometime it is not?
If use QT and selected both Pivot and PivotExtra, my guess is : go to PivotExtra "Edit", make sure Pivot is visible, check "Show line labels" "show line price".
sometimes the value is far away from pivot/r1/s1. You need to do is to check the adjust check box. But I don't always check them all. The reason is that they all sqeeze together and the chart doesn't look good. I always check the points which is close to the current value.
Benmao said...
from QT, you can try the following to add pre/after mtk price
1) right click a chart;
2) choose "view...";
3) from "show pre/after market..default(..)",
choose the one you like;
from "select indicators..", you can check box to show the price label for some indicator, such as 20sma, pivot point, etc...

How to set up trailing stop?
QJ said...
Trailing stop can be preset at certain amount, I usually have preset 2-3 points, and I put trailing in as soon as order fill.

How to set stop for ES trading?
Badger said...
QJ said "shorted ES at the 50ema passed down", I always worry about fake broken. Any idea how set the short point (how much point below the 50ema: 0.5 or 1 point)?
same question for long: if I have long position, when 50ema broken, I need to exit, how much point below the 50ema I need to exit? Thanks.
Jingyi said...
BADGER,俺试着说, 这set stop 有很多经验在里面, 若可能的话,当然越紧越好, 尤其做FUTURE时, 要自己体会,0.5点若work, will be good
Badger said...
thanks jingyi, 0.5 point many time does not work, it is too tight. I found QJ normally trigger order almost at the point (for example, today the 50ema 855.4, I believe she short just around this point). I think she know if it is fake one.
TA_Jetblue said...
I think QJ mentioned that she pays attention to whether price cross EMA50 with volume or not. Well, trading is all about experience and details. EMA50 is a good support or resistance but using it blindly, you will be chopped to death sometime. It is my frustration too. I like to trade against S/R. Sometime I can get exact top and bottom but other times, I am just screwed up by chops. I tried to use so many different indicators when price apporoaches S/R but none of them really help me. I am wondering whether QJ has any suggestions
laogua said...
QJ, please answer this question

Case Study

Cases

• DRYS quick move May 13-15, 2009
• Interesting option activity CIEN April 28,2009
• AXL big move on May 8, 2009
• DE option trading on May 11, 2009

Events

• MAD and MDD
• OIL May contract exp April 21, 2009
• Oil EIA
• How to deal with Fed Day
• Chicago PMI and ISM Mfg Index
• WWW day sell off
• Phi Mate dates
• Market Cycle
• 11/13 Summary How to Spot Bottom Reversal
• 11/14 Summary Buy support oversold, sell resistance over bought
• 11/28 A paper cup range day