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Modifié le 10/9/2007 00:34
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artes
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Membre depuis: 15/12/2006
- Voici un graphe en Tick By Tick, -
Chaque ligne de canal oblique représente 4 ticks d'écart sur le SP 500
L'ampliture totale ,ici, représentée sur la période (20 à 25 min) représente 19 ticks
Dans ce cas de figure stratégie possible sur 3 LOTS
Scale 1 = 5 ticks / target
Scale 2 = 7 ticks / target
Scale 3 = 9 ticks / TRAIL (à 3 tick last)
dans notre exemple, un trade toutes le 82 secondes (moyenne)
-
Gains estimés : 48 ticks,
frais $: 52,00 soit 9%,
slippage possible à/v:$: 162.50- soit 28%
[Tot -37%]
(ATTENTION CECI EST THEORIQUE, en pratique l'on doit compter avec les stops loss un certain % du nbre de trades!!!!)
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2 de 8
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Modifié le 10/9/2007 01:07
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artes
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Membre depuis: 15/12/2006
- Voici un graphe en "Tick By Tick", -
L'ampliture totale ,ici, représentée sur la période (environ 220 secondes) représente 8 ticks, soit 2 points sur le SP500
Dans ce cas de figure stratégie possible sur 1 LOT
Scale 1 = 4 ticks / TARGET TRAIL & REVERSE on TARGET (à 1 tick last)
(avec un réglage en paper* sur 3 ticks, same strategy)
dans notre exemple, un trade toutes les 55 secondes
paper, un trade toutes les 32 secondes
Gains estimés :
16 ticks,
frais d'opérations $: 18,00 soit 10%,
slippage possible à/v:$: 50.50- soit 25%
[TOT -35%]
../..
paper, Gains estimés :
21 ticks,
frais d'opérations $: 30,00 soit 12%,
slippage possible à/v:$: 87.50- soit 34%
[TOT -46%]
( ATTENTION CECI EST THEORIQUE, en pratique l'on doit compter avec les stops loss un certain % du nbre de trades !!!! )
*valable uniquement avec NINJA TRADER s/plateforme de futures
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3 de 8
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Modifié le 10/9/2007 00:50
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http://www.strategybot.com/docs/passportv9-6.pdf
.../...
Page 10
9• Free Intraday and Historical Charting of all Worldwide FuturesExchanges 24*5. Users gets Charting of all worldwide Futures Exchangesfor free. This is an extremely valuable feature that most trading programs donot include. Moreover, other charting softwares usually come with amonthly fee.• Technical Analysis Indicators. Along with the free Charting mentioned above,many Technical Indicators are also available for free to help traders placecalculated orders. The list includes MACD, Moving average(s), RSI, Stochastic,Momentum, Bollinger, Volume, and many more being added.• Fast Trade Execution since using dedicated servers at the Clearing Houses.This ensures that all commands are executed swiftly, that all market movesare reported immediately as they occur and that all orders – in particular thoseinvolving trailing stops – can be successful.•
Up to 3 Scale Out orders with or without Auto Trailing Stop.This feature is for expert traders who wish to maximize large wins withexpanded market trends. Each Scale Out order includes a Profit and a numberof lots, with all orders benefiting from a Stop Loss with Auto Trailing Stop ifselected.
There are many variances available on the setting of parametersinvolved with the Stop Order definition.• One click Reverse positions.With this feature, traders can change long positions to short or vice versa withjust one click of the mouse. This saves traders money due to no time wasted.The closing of all open orders for the relevant Contract and opening of neworders is done automatically.• One click Trade Out. This is the best way to exit both long or short positionsupon realizing that the market is moving in the opposite direction of the trade,or when MACD is crossed. All open orders for the relevant Contract will beclosed. This feature save traders money due to no time wasted.• Account Limits Set-up.A user can set “How much MaximumProfit” and “How much Maximum Loss”he or she wishes to secure for the day.Upon reaching the value defined by eitherone, profit is secured or loss is capped.Simultaneously, Open Positions in allContracts are closed for the day. This isthe best way to secure profit and minimiselosses on a daily basis for the wholeportfolio account.
--------------------------------------------------------------------------------
../.. each day, maximising your chances of profit.• Uses alternative strategies, trading both swing and trend market moves•
Smart synthetic order•
Audio confirmation• Cursor display• Set up the Session Hours• Interval selectable (1mn, 2mn,3mn, 4mn, 5mn, 10mn, 15mn,20mn, 30mn, 60mn)• Period watching from 10mnto 24 hours• Price Scale selectable from 10%to 300%• Zooming• Bar selectable (Bar, Candlestick or Tick)Additional Features• Real time Gross profit andloss display• Details of each Strategy10
--------------------------------------------------------------------------------
Page 12
11• Line Settings with Custom Lines• Snapshot Caption of OHLC (Open, High, Low, Previous Close) availableon screen• Screen sizeableMany of our users do require changes, we listen and implement on further versions.Features for Manual Traders• Modify and cancel orders.• Use Smart Orders.• Advanced exit styles:
scale-out of profits,
moving stops to break-even, useof indicators• Automate your exits: personalize StrategyBot for your trading style• Automate your entries (fully automated trading)How to minimize losses? e.g. Place a Bracket Order."Exit Styles"1. In “Market Pane“, click on “Exit Style“ and select among the choices listedexcept “None“.2. When to set your exit function:• Upon placing your initial order, or• Later, to cover your Open position(s), (see point 4)3. Define the parameters of the "Exit Style(s)". The program memorizes theseparameters for each contract such that any further orders placed (long orshort) will use the same parameters. That contributes to 1 to 2 clicks order.It saves time and money to the trader.4. For covering Open positions you may make a choice from the price from theaverage, current or specified price. To cover an existing open position, clickon "Detach from Entry Order on Left" in the "Market Pane".
If you hadselected "Scale Out", ensure that you specify the right number of lots in"Cover # of Lots".
Example: If it was 3 Scale Outs with one lot each, youenter the value of 3.5. You can specify Limit and Stop order settings (e.g. set Stop orders to StopLimit orders)
--------------------------------------------------------------------------------
.//... http://www.strategybot.com/docs/passportv9-6.pdf
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4 de 8
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10/9/2007 01:59
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ptikap
Messages postés: 423 -
Membre depuis: 19/8/2007
bien joué Philippe, au moins un qui bosse pendant que je suis en train de distraire Milk et Schiet au golf....a demain.
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5 de 8
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Modifié le 13/9/2007 01:36
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Futures http://en.wikipedia.org/wiki/Futures_contract
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Futures contract
------------------------
From Wikipedia, the free encyclopedia
In finance, a futures contract is a standardized contract, traded on a futures exchange, to buy or sell a certain underlying instrument at a certain date in the future, at a specified price. The future date is called the delivery date or final settlement date. The pre-set price is called the futures price. The price of the underlying asset on the delivery date is called the settlement price.
A futures contract gives the holder the obligation to buy or sell, which differs from an options contract, which gives the holder the right, but not the obligation. In other words, the owner of an options contract may exercise the contract. Both parties of a "futures contract" must fulfill the contract on the settlement date. The seller delivers the commodity to the buyer, or, if it is a cash-settled future, then cash is transferred from the futures trader who sustained a loss to the one who made a profit. To exit the commitment prior to the settlement date, the holder of a futures position has to offset his position by either selling a long position or buying back a short position, effectively closing out the futures position and its contract obligations.
Futures contracts, or simply futures, are exchange traded derivatives. The exchange's clearinghouse acts as counterparty on all contracts, sets margin requirements, etc.
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Modifié le 13/9/2007 01:32
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HEDGE:
http://www.extension.iastate.edu/agdm/crops/html/a2-60.html
../..
Hedging involves taking opposite but equal positions in the cash and futures markets. If you own 10,000 bushels of corn as discussed above, you are long cash corn. If you sell 10,000 bushels of corn on the futures market you are short corn futures.
If the price increases as shown in Figure 2, the value of the cash corn increases. However, the futures contract incurs a loss because you sold (short) corn futures and now have to buy corn futures at the higher price to close out the futures position. If both the cash and futures prices increase by the same amount, the increase in the value of the corn will exactly offset the loss in the futures market. The net price received from the hedge is exactly the same as the cash price when the hedge was initiated (not including trading cost, interest on margin money, or storage costs).
../..
http://www.extension.iastate.edu/agdm/crops/html/a2-60.html
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7 de 8
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Modifié le 13/9/2007 01:41
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FUTURES GLOSSARY
----------------
- http://www.trading-futures-markets.com/glossary.htm
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8 de 8
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13/9/2007 01:52
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to PitKap : http://www.teachmefutures.com/ninja_trader.asp (and me)
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Chaque ligne de canal oblique représente 4 ticks d'écart sur le SP 500
L'ampliture totale ,ici, représentée sur la période (20 à 25 min) représente 19 ticks
Dans ce cas de figure stratégie possible sur 3 LOTS
Scale 1 = 5 ticks / target
Scale 2 = 7 ticks / target
Scale 3 = 9 ticks / TRAIL (à 3 tick last)
dans notre exemple, un trade toutes le 82 secondes (moyenne)
-
Gains estimés : 48 ticks,
frais $: 52,00 soit 9%,
slippage possible à/v:$: 162.50- soit 28%
[Tot -37%]
(ATTENTION CECI EST THEORIQUE, en pratique l'on doit compter avec les stops loss un certain % du nbre de trades!!!!)