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Ryan W

Day Trading Futures ( /ES)

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Does anybody here Day Trade (or swing trade) futures? I have been playing with the /ES (E-Mini S&P 500) lately and I really like it! I've been working on some strategies and concepts that once I have more time with, I will share with the community. But I figured I would put it out there to see if anybody else trades any other futures.

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Hi Ryan, 

From your videos on YouTube, it appears you're using TradeStation for futures trading.  I am curious to know more about your platform/broker setup.

 

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I swing trade the Dow Jones using the MA200 on the 1-hour chart. I enter the trade when the price closes above or below the MA200 with a stop above/Below the MA200 depending on the position.

I scale out using resistance lines and keep the last contract until the price crosses over or under the MA 200.

image.thumb.png.7477450551ec2d8ef8c572c743fd2c50.png

The biggest problem with this system is when the price is chopping up an down the MA 200.

 image.thumb.png.44a67313958ad32c3605b02a54486ba6.png

This system does not yield a lot of trades. (Maybe 2-3 a month)

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For the S&P 500, I use an automated system.

3 things that must happen for a trade.

1. Price must close below the Upper/Lower Band 

2. MACD Line must be -1 or +1 depending on long or short,

3. RSI must be above 70 for a long and below 30 for a short.

Stop is 10% of the weekly ATR and the target is 15% of the weekly ATR.

image.thumb.png.2055f0dfe2c59a24554fb94f87521174.png

 

The system did well this week

However, it does have its down days as well.

 

Good week with only 3 trades.

image.thumb.png.24d94d18009a3aaf3d6b628944d7eafc.png

Didn't do that well in the middle of the month. A lot of chop.

image.thumb.png.fa8fd3e05d17fcdff77fc7469d965114.png

 

This system can also be reversed for a sideways market!!!!!!

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On 6/5/2018 at 7:28 PM, Ryan W said:

Does anybody here Day Trade (or swing trade) futures? I have been playing with the /ES (E-Mini S&P 500) lately and I really like it! I've been working on some strategies and concepts that once I have more time with, I will share with the community. But I figured I would put it out there to see if anybody else trades any other futures.

Hey @Ryan W,

Would be fantastic to get more insight into some of your strategies and concepts 🙂 I'm definitely interested...

Cheers,

Ronnie

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Hey guys, sorry for the lack of response on this. Here are some updates:

With regards to my day trading strategy on the /ES, I exclusively watch order flow and the tape. I use a special platform called JigSaw DayTradr to accomplish this. It's a proper depth of market (DOM) that includes the inside prints between the bid and the ask as well as the current prints and a volume profile. This allows me to gauge the velocity (speed) at which orders are moving as well as see large orders to help make a decision as to whether we will continue, pull back or reverse. I look for a very specific order flow event called absorption. You see this in equities (Iceberg, refreshing, etc). All essentially the same concept of a larger player absorbing either buying or selling as well as absorbing the stops that are getting hit at that price. The JigSaw platform has what's called 'Auction Vista' which is a essentially a 1 second tick chart that plots dots at the levels of absorption. These areas usually act as support and resistance and can be used to place a trade around.

Now, since mid-October the liquidity has really dried up in the /ES. We are seeing 100ish (or less) contracts at each level whereas before the volatility in mid-October, we were seeing 300+ contracts per level. This made it a lot easier to trade as you weren't getting 4-5 point moves in a matter of seconds like you do now. As a result, I've had to take a step back from trading the /ES because the volatility is just too extreme and very difficult to trade (and make a decision quickly enough without risking a 2+ point loss in a matter of seconds).

I've been looking at equities again this week and I have to admit that what I learned from trading futures is very much applicable to equities. The bonus in equities is the chart patterns tend to hold up a bit better compared to those found in the /ES. So I am utilizing my knowledge of order flow and tape reading on my TradeStation DOM (The matrix) and of course chart patterns, VWAP and MA's to place trades. I have to say, it's pretty interesting to see how everything works out. I am trying to see if I can use the JigSaw DayTradr platform to trade equities as that will really help give me the upper-hand. The Matrix is alright, but I prefer having the inside prints on the DOM, as well as being able to see the last trade to gauge velocity.

A lot of this is tough to put into text as a video would make a lot more sense. Once I am more comfortable with trading equities again (and hopefully able to utilize the JigSaw platform), I will put together a video. Until the /ES returns back to normal, I am going to likely stay away for now. I've spoke with many other futures traders and they are in the same boat - they are too afraid to touch the /ES until liquidity comes back. Many traders are looking at other futures contracts but some of the better ones are the European (EUREX) products which unfortunately, don't trade that well during the U.S. open.

 

@Kasper, I think that's a really interesting system you have in place. I think automated strategies are definitely helpful, but how have they been in this recent low-liquidity, high volatility environment?

 

If you guys have any questions, please feel free to ask here as I'll be monitoring this thread.

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Also, I do use TradeStation but that's for equities. I was originally using it for Futures, but once I got involved in JigSaw, I never looked back. As I mentioned, I am hoping to utilize JigSaw to trade equities, but the setup is a bit convoluted and I will still have to use TradeStation for charting.

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Yeah automatic trading does not mean you can just sit back and do nothing hehe. I go over every trade each day and calculate the stops and targets using the ATR. I had to make a few changes these last few months because of the increased volatility in the market.

I've put in some trailing stops to protect myself from the rapid reversals we are seeing during the day.

The strategy itself is taken out of a book, so it is nothing special.

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Used some tips from @Ryan W to create a pretty clear chart for trading futures and must say its legit. Even more so now  that  i can trade my tradovate account directly from my trading view chart. Thought i would share the layout here  with the community  in case anyone wanted a good starting point for trend based futures chart. This was today after the feds spoke. 
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Trading View just gave us a early christmas present and added the second chart  timeframes of 1,5,15,30 for traders who prefer to trade candlesticks etc over ticks.. this definitely levels the playing field a bit so to take advantage of it i modifed the layout a bit to show key market levels such as open range high/low, session high/low, midpoint, VWAP etc and still have the trend showing clearly in the candles and supertrend indicator. . This layout has been extremely smooth (and profitable) to trade.. heres a example of a classic VWAP bounce on crude today with the 15 second and 1 minute chart to show its still a tradeable layout (if your not a premium trading view member you cant access second charts) ..The sell off leading to the bounce or the bounce itself would be more than enough to hit the daily goal of your average trader 
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I use a 4 tick renko bar which is a range based bar (not time based) It only paints a bar every time the market moves 1 Nasdaq point. For futures I also use a daily and 60m chart to see larger trends and levels in the market. I find that it's a lot faster and easier to see the trends using range based bars instead of time based. In the ES/MES I would use a 2 tick range or renko bar since that market doesn't move as much as the NQ/MNQ. The below shows the MNQ with a pretty big range of over 125 ticks. Happened very fast, about 8 minutes, as the market moved to the VWAP and through it (orange line) and re-tested it before moving higher again. It presented some nice opportunity with low risk.

MNQ.thumb.PNG.2474432ca21d5b6c1ed1d56e7ff0241e.PNG

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