Scalping Euro Futures

Discussion in 'Journals' started by Lobster, Nov 23, 2005.

  1. Since the NYMEX has all but annihilated the fun in QM, I'm now considering scalping Globex Euro FX futures. I just did about a dozen roundtrips, and I just about break even after commissions.

    Here's what I plan to do (and have been doing, except for one little SNAFU when I was fiddling around with the interface and accidentally set my stop 2 ticks too low; cost me about a hundred bucks... made me look at the cost of Button Trader in a new light hehe).

    I look at a 5 min bar chart to determine at which levels (+/-a few ticks) I am interested in going long and at which levels i am interested in going short. I tend to trade ranges rather than breakouts. When I see a breakout on high volume I usually take it as a signal to stay out for the moment.

    Whenever the market approaches one of the aforementioned levels of interest, I watch for (mini-)capitulation and submit a limit order if I see an opportunity. If I don't get an immediate execution, I give the order some time to work, depending on general market conditions, usually between 30 seconds and 15 minutes.

    Initially my "worst case" stop is sitting at the exchange as a stop limit with trigger at 8 ticks and limit 4 ticks from the trigger. This is supposed to be hit only rarely; it happened once today.

    I usually take a profit of about 4 or 5 ticks if everything goes well. If the position starts moving against me, I lower my mental profit target; if, on the other hand, it moves very strongly in my direction, I shoot for more (this has not happened yet).

    In any case (except the worst case stop, obviously), I enter my limit order to exit in a similar fashion as the entry, except I am naturally a little more aggressive than with the entry.

    As some of you may have guessed, I only do one lot for now. Eventually I would like to scale out (and possibly also in) in two steps.

    So what do you guys think?

    1. Any input is appreciated. I realize the description of my strategy is vague. That's due to my articulatory ineptitude; it's not an attempt to keep you in the dark. Feel free to ask questions.

    2. Should I even bother posting here, in other words, is anyone interested in this kind of journal?

    3. Would you like to see a daily list containing every single trade, or will the bottom line do?
  2. I am interested, continue posting :)

    What symbol you trading?

    EUR "6Ez5" ?
  3. Yes, 6EZ5 until the March contract becomes the most actively traded one. By the way, I have no idea when that will happen. Does anyone know?
  4. Surdo


  5. just21


    Gas on the ipe is the fun market at the momemt. Went up 40% yesterday. NGF on IB. Sign up for UK futures and no exchange fee for data.
  6. Wow... I just looked at the charts. It's not a section 1256 contract though, is it?
  7. FredBloggs

    FredBloggs Guest

    what are you paying r/t?

    may find that 10 or 15min may help setting your levels. less opportunity, but more accuracy
  8. just21


    IPE contracts are approved for us traders I think.
  9. IB unbundeled commissions, currently $5.34 including all taxes and fees, if I am not mistaken.

    Thanks for the suggestion! I just checked, and indeed, on a 15 min bar chart, the one big loser I had today doesn't look like a good entry at all. I think I'll start looking at 15 min for confirmation.
    #10     Nov 23, 2005