...Trading the E-Minis with eSignal...

[Phoenix]

This discussion topic is devoted to sharing trading strategies, systems, indicators, charts, integrated trading ideas and code related to trading of the very popular E-Mini futures contracts using eSignal.

Linked File Sharing Group:
http://share.esignal.com/groupcontents.jsp?folder=&groupid=49

A number of other file sharing areas have already been set up that provide resources related to this topic, including the following:

http://share.esignal.com/groupcontents.jsp?folder=&groupid=11
http://share.esignal.com/groupcontents.jsp?folder=&groupid=40
http://share.esignal.com/groupcontents.jsp?groupid=47
http://share.esignal.com/groupcontents.jsp?folder=&groupid=48

Users of these file sharing groups, feel free to post discussion of your charts and files here if you do not already have a discussion thread going.

Edited by - Phoenix on 10/22/2002 18:19:53

[Phoenix]

<b>Other Resources</b>

Here are some links to some other great on-line resources for eSignal-based trading systems and indicators for the E-Minis:

http://groups.yahoo.com/group/eSignal/

http://www.tssupport.com/knowledgebase/?action=search&pid=21&string=&page=3

http://www.siliconinvestor.com/stocktalk/subject.gsp?subjectid=52314

Edited by - Phoenix on 10/22/2002 19:09:36

[Phoenix]

<b>The Basics</b>

E-Mini Contract symbols used in eSignal:

General format is: "CC MY"

where CC is the Contract Symbol, M is the contract month symbol, and Y is the contract year.

Contract Symbols:

S&P 500: ES
Nasdaq 100: NQ
Dow Industrials: YM

So, for example, the symbol for the December 2003 S&P E-Mini contract is:

ES Z3

[Phoenix]

<b>Spreads</b>

You can chart a contract spread, or a weighted spread in eSignal.

For a straight spread, let's say you want to chart the spread (in points) between the NQ and ES December 2002 contracts. Go to the chart window and just start typing:

NQ Z2 -ESZ2

It's also possible to weight the spreads. While you can't use numbers alone in a spread, you can weight a symbol. Some examples below.

ES Z2 -5NQ Z2
10ES Z2 -NQ Z2
1.43ES Z2 -17.465NQ Z2
.25ES Z2 -.94NQ Z2

The number must directly precede the symbol with no space and it can
be a whole number or a mixed number using a decimal. This only works
in a spread so you can't create a single symbol like 5NQ Z2
or .33ES Z2. If you do want something like that, you can however do
6NQ Z2 -NQ Z2 to get the 5NQ, etc.

You also have to keep in mind that when you start typing in an
advanced chart with a number, it reacts as if you're entering an
interval. If the beginning of the symbol you want to use is a
number, you need to type any letter to get the entry box open,
backspace off the letter, and then enter the symbol.

[dloomis]

<b>Spreads</b>

You can chart a contract spread, or a weighted spread in eSignal.

For a straight spread, let's say you want to chart the spread (in points) between the NQ and ES December 2002 contracts. Go to the chart window and just start typing:

NQ Z2 -ESZ2

It's also possible to weight the spreads. While you can't use numbers alone in a spread, you can weight a symbol. Some examples below.

ES Z2 -5NQ Z2
10ES Z2 -NQ Z2
1.43ES Z2 -17.465NQ Z2
.25ES Z2 -.94NQ Z2

The number must directly precede the symbol with no space and it can
be a whole number or a mixed number using a decimal. This only works
in a spread so you can't create a single symbol like 5NQ Z2
or .33ES Z2. If you do want something like that, you can however do
6NQ Z2 -NQ Z2 to get the 5NQ, etc.

You also have to keep in mind that when you start typing in an
advanced chart with a number, it reacts as if you're entering an
interval. If the beginning of the symbol you want to use is a
number, you need to type any letter to get the entry box open,
backspace off the letter, and then enter the symbol.

It is important to use proper formatting also -

there is a space after the first symbol
no space after the operand (-, +, *, /)
SYMBOLspaceOPERANDsymbol
NQ Z2 -ES Z2 is correct
NQ Z2- ES Z2 is not correct

[Phoenix]

<b>Tracking a Spread as an Indicator</b>

I haven't tested this, but this code supposedly allows you to chart the spread as an indicator, as opposed to in the main chart window. So if you are tracking the ES contract, you could have a spread of, say, the December 02 ES and December 02 NQ contracts as an indicator on that chart:

function preMain() {
setCursorLabelName("Spread");
setStudyTitle("Spread")
}

function main(L, S) {
var Long = "NQ Z2";
if (L == null) L = Long;
var Short = "ES Z2";
if (S == null) S = Short;
var vSymbol1 = getValue("Close", 0, -1, L);
var vSymbol2 = getValue("Close", 0, -1, S);
var vSpread = vSymbol1 - vSymbol2;

return vSpread;
}

[Phoenix]

It is important to use proper formatting also -

there is a space after the first symbol
no space after the operand (-, +, *, /)
SYMBOLspaceOPERANDsymbol
NQ Z2 -ES Z2 is correct
NQ Z2- ES Z2 is not correct

Good point, Dave. I think I typed them correctly in my examples, but did not point out the importance of the formatting. Thanks!

Welcome to the group!

[Phoenix]

Just posted a couple charts from today showing some of the patterns that I was watching on the E-Minis today:

Cup with Handle on ES:

http://share.esignal.com/groupcontents.jsp?folder=&picture=CwH.gif&groupid= 49

"Bearish Three Drives" or "Three Drives to a Top" on NQ:

http://share.esignal.com/groupcontents.jsp?folder=&picture=NQ%2060%20Min%20 All%20Sessions.gif&groupid=49

[Phoenix]

<b>MoVo Indicator</b>

Here is a new momentum indicator developed by Walt Houston, called the MoVo. The MoVo is calculated as the close minus the open times the volume. This raw indicator is then smoothed by a three period moving average. The indicator seems to work very well as a short-term trend indicator.

Picture of MoVo on ES 5 minute chart:

http://share.esignal.com/groupcontents.jsp?folder=&picture=snapshot-1.png&groupid=49

EFS file: MoVo.efs in file sharing area

[Phoenix]

Excellent Work with Futures Trading Signals

Anyone interested in this thread should check out all the great work that Vlad has been doing with indicators for trading the E-Minis. He posts his charts here:



Discussion of his work is usually found here:

[vladar]

New esignal Toys: Blau candlestick

excellent results coming from the Blau Candlestick/Demand Index indicators:

http://share.esignal.com/groupcontents.jsp?folder=&picture=ES%2011-18.png&groupid=48

[Phoenix]

End of Day Trading System for NQ

Here is an end-of-day trading system for trading the NQ based on the NDX daily chart. I have been paper trading this system for nine months now and plan to begin trading it with real money at the beginning of the year. The system is call NDX MAX58. It is a trend-following system built around a simple MA crossover concept, but with a few additional filters for trade entries (in addition to the MA crossover) and strict rules for managing the trade after entry. Here are the system rules:

MAX5/8 Daily Trading System – Trading Rules


Chart Settings:
Moving Averages: 5ema / 8sma / 20ema
Indicators:
Efficiency Ratio 10 Period
Moving Average Delta
7 Period DMI

Sample Chart:

http://share.esignal.com/groupcontents.jsp?folder=&picture=NDX%20MAX58Tracker.png&groupid=49

Entry Setup:
5 day ema crosses over 8 day sma. Enter on close of day of crossover.

Required Entry Filters:
1. Efficiency Ratio above .15
2. D+ is crossed over D- in direction of entry signal
3. 5 ema is trending in direction of entry signal
4. Candlestick color confirms direction of entry signal
5. Moving Averages must not be hugging tightly
6. For trades that are counter to a long, prevailing trend, do not take a trade until price closes across the 20ema.

Position Size: 5 contracts

Stops:
2% Initial Stop Loss, from entry to 2% open profit
From 2%-3% open profit, hold stop at Breakeven
At 3%+ profit, use a 3% trailing stop loss for 60% of position, with a breakeven stop on 40%.
At 7% favorable excursion, use a 5% trailing stop on remaining position.

Exits:
Take partials (60% of initial position) when MA Delta shows a sharp directional change.
Otherwise, exit full position on a close to opposite side of both MAs, or
Exit on trailing stops

Re-entry Criteria:
After a stop out, if a valid MA signal is still in place, may re-enter on a close back across both MAs in direction of original trade.


Here are monthly results since I started paper-trading this system, based on trading 5 NQs:

Monthly Summary (Dollars)

March (14th-31st) -3280
April 3460
May -50
June 15200
July 7100
August 5330
September 3370
October 3550
November 2660
December (todate) 2820

Total is $40K in 9 months, which annualizes to $53K. If one uses a -25% factor for slippage, commissions, and screwups, then the projected annual results would be about $40K. I would suggest a minimum account size of $20K to trade this system, for a projected annual ROI of 200%.

Phoenix

[whizz]

An example of how much cleaner indicator signals are on a Renko chart vs a standard chart:

http://share.esignal.com/groupcontents.jsp?folder=&picture=Dow%20mini%2012-13.png&groupid=48

shows the YM on a three minute standard chart, and on a Renko chart.......set to 4 box size.

I use the 21 weighted MA on the Renko chart, slippage is either 0 to 1 box... two boxes over the line usually means change of trend (and occasionally a false break).....I found that 21ema on standard chart gave too many false xovers and don't use it there anymore. The light green line on the Renko is the 55 simple MA on a closing basis. Backtesting showed this to be a good compliment to the 21 on the Renko.

Currently using both screens to take trades, and am nearing a point where I may just trade off the Renko exclusively....will see how things go over the next few weeks of watching both....still looking for the potential downside of Renko.

[dloomis]

Phoenix

One question, how many trades and what is the avg pts gained per trade?

thx

[Phoenix]

How Many Trades

Dave: There have been 27 trades in the nine months since I have been following this (so an average of 3 per month). So an average of just under 15 points gain per contract per trade. (Because some trades are exited in pieces, the points will vary within the trades, as well as across trades.)

There have been eight losing trades and 19 winners or breakeven trades. Biggest winner was 120 points. Losses are limited to 2%, which in the current market is about 20 points.

Phoenix