Friday, December 22, 2006

Learning More About the Russell 2000 Futures

I the better part of today on identifying more "virtual" trades on the Russell 2000 futures (ER2H7). I did not make any of the following trades. The low(er) risk entries, circled in red, and higher risk entries (circled in pink) were identified after it had happened, although in some cases, I identified it within seconds after it occurred.

I used the following techniques to highlight the low(er) risk entries:
a) TICK extremes
b) S/R (support & resistance) lines
c) trendlines - 9d EMA and manually drawn
d) hammer reversal pattern
e) YM, ES, NQ, & ER2H7 charts in the 15-min timeframe.

I think what makes trading ER2 so difficult is that any one of the above techniques can, and did stop working at any time. The afternoon session seemed pretty random to me at one point. In my opinion, this also prevents many from getting into the game, because people in general like to stick with the "bread and butter", "tried and true", and that which is "reliable."

That said however, ER2 still intrigues me. There's a couple more things that I want to try out. Next step in the exercise is to see how many of these entries I can identify in real-time, or just seconds before it happens.

Does anyone know where I can find historical intraday charts of ER2?


Tyro said...

What charting program are you using? QCharts and eSignal offer 120 days of full intraday data of all symbols. I've been able to get intraday data through IB, though as you go farther and farther back, you have to use increasingly wide bars.

Phileo said...

Hi Tyro,

I am just using the charting features provided by IB. They do not provide historical intraday data in the sense that I cannot see a 1day/5min chart of say ER2 from 1 year ago. eSignal sounds good, but I don't think I want to shell out $115/month at this point in time.

I might go and request this feature on their features poll.

boogster said...

Hey man, how'd you get those Trading Performance reports? Is there a program for IB users?

BTW...nice blog.


Tyro said...

If you find that the $115/mo is too much, you can get a 30 day trial of QCharts or eSignal. You'll have to pay the exchange fees, but this will be about $30/mo which isn't too bad. It might give you the opportunity to go back and test your strategies this holiday.

I've been looking at eSignal for a bit and am thinking of switching. They have a cool feature where they will to a tick-by-tick or bar-by-bar replay of the day at normal speed up to 200x. They only offer the tick-by-tick for the past 10 days, but you can save each trading day to a file and then replay it later. I think you can do bar-by-bar replay for much longer (try the 1-min bars, if you like).

That could be a more realistic means of testing a system.


W to the P said...

this is eBoring.

Phileo said...

Thanks for the suggestions, I will check it out.

Thanks for taking the time to visit my trading journal, glad you like it (although I am curious what specifically do you like about it ?). My Trading Performance reports came from a script written by TraderZBS - check out the Nov20/06 and Nov22 posts on his blog.

W to the P said...:
My apologies if the content of my trading journal has not lived up to your expectations. Perhaps you can tell me what kinds of posts you wish to see more of.