June 3, 2010

Trading the E-mini Dow Futures: New Direction for the Blog


I've been writing very few posts over the last few months. The reason has been that I've chosen to concentrate more on my trading and less on my writing. I started trading futures almost a year ago. I tried trading the S&P e-mini contract (ES) both in a discretionary and a systematic way without much success (understatement alert!). Having jettisoned both systematic trading and the ES contract, I gave the e-mini Dow contract (YM) a try and I've had some modest success (gross exaggeration) with it. Despite my more than a decade experience trading stocks, I still often feel like a clueless newbie trading futures. It's a totally different game.

The trading style I've grown most comfortable with takes account of the sad but very real fact that my decision making in fast-moving markets (of which the e-mini Dow is undoubtedly one) has been less than sound. It is a subjective, discretionary short-term oriented style and a succinct way to describe it would be as follows:

Combining a study of the daily pivot points, support and resistance levels with an analysis of the Average True Range over the last 5 and 20 days, I try to anticipate the path the e-mini Dow will take during the day and the general levels most likely to see a reversal. I then enter up to three limit orders (it could also - and will often - be 0, if I don't see anything with the right reward to risk equation), each one bracketed by a stop and a take-profit order. I will usually do this shortly after the 9:30 am NYSE open but it could also be at any other time. The orders are day orders, which means they expire at 4:15 pm if they haven't been hit. This style of trading generates more orders than trades so many days will see no trades at all. Obviously this is a work in progress so everything I just described could change.

I will be using this blog to keep a record of my orders, which I will be entering here right after I enter them on my order execution platform (I am currently using Tradestation and Interactive Brokers). I might still write non-trading related posts if and when inspiration hits but I will mainly post the orders, whether they were hit or not and the per contract P&L.

The first order is:

Buy YMM10 @10161 limit with 10144 stop and 10188 take-profit.

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