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Attachments: Intraday Trading the US Index Futures
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Intraday Trading the US Index Futures

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  • First Post: Jul 30, 2019 10:35am Jul 30, 2019 10:35am
This thread will be to discuss active intraday trading of the US index futures (S&P, Dow, Nasdaq). I am getting back into the game after some time off and trying to focus on aggressively building size in a small account which means accurate entries with reasonable stops and reward that is at least 2x the risk, and most importantly, remaining disciplined to only take my setups and respect my stops.

I'll share components of my system as I go along, feel free to do the same, but I primarily trade 5 minute charts for the first 2.5 hours after the US open. Occasionally, I will drop down to a 1 minute chart during the first half hour after open. Brooks' work has the dominant influence on my system most evident in my division of market actions into two legs. I'm not looking to persuade anyone about my trading ideas, nor be persuaded by others, but all systems/analysis are welcome.

I was keeping a blog for myself to monitor my quest, but its lonely and hopefully we can get some interaction here. I also figure posting here will keep me from doing anything too-boneheaded (like adding incessantly to losing trades).
Small disciplines repeated with consistency lead to great achievements.
First trade today, what I call the 1a2. Its the second time a bar ticks higher (or lower) than the prior bar during a trend move. Its a 2 leg pullback, but I designate it differently as the first one of the day is one of the higher probability trades. On the 1M chart today, Bar 2 ticked here than the opening bar, and so the double inside bar at the low, once the second bar's high had been exceeded, was the 1a2 entry. The next bar closed as an outside bar, so it was an outside-inside-inside-outside reversal pattern which made me feel good about the entry, first exit was the other side of the opening range. Second exit trails by swing lows, although this one trailed too tight behind a minor swing low.

Given that I started with small account, trading the MYM currently so I can split the trades into two pieces, which I prefer.
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Small disciplines repeated with consistency lead to great achievements.
Quoting jmflukeiii
This thread will be to discuss active intraday trading of the US index futures (S&P, Dow, Nasdaq)...
I'm in.

While I do feel that the Spot Forex Market "charts" better than the Futures Indices, I still believe that the new Micro Index Futures contracts are a game-changer for the US retail trader.

Looking at your chart above, I already see a topic for discussion: overnight data. to chart or not to chart?
Wyckoff VSA: (1) Supply vs Demand (2) Effort vs Result (3) Cause vs Effect
Wedge (w) on a short leash as there's lots of up momentum.
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Small disciplines repeated with consistency lead to great achievements.
Quoting HiddenGap
{quote} I'm in. While I do feel that the Spot Forex Market "charts" better than the Futures Indices, I still believe that the new Micro Index Futures contracts are a game-changer for the US retail trader. Looking at your chart above, I already see a topic for discussion: overnight data. to chart or not to chart?
Hey! Welcome. I've gone back and forth on overnight data and if I used tick charts I would maybe include as it would compensate for the lack of volume. But the gaps (or lack of gaps) play into part of my strategy and so I find them useful. It seems most 'setups' have a basis either on the RTH or the ETH chart.
Small disciplines repeated with consistency lead to great achievements.
Quoting jmflukeiii
Wedge (w) on a short leash as there's lots of up momentum. {image}
Took the first piece off and at BE on second. Short target given very counter-short-trend, although with long term trend so thought perhaps this would the two leg top on the HTF charts to reallign with the downtrend.
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Small disciplines repeated with consistency lead to great achievements.
Not sure how deep we should get into Methodologies and Analysis......

First trade taken today:

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A wide spread DOWN interval that closes off its lows on Ultra High Volume with the next Interval UP is strength. I'm all about, "WHAT you want to see, WHERE you want to see it". Accordingly, the fact that this Professional Buying (Climatic Action) was occurring in a Supply/Demand Delta Zone matters.

Edit: Trade was taken in the Micro E-mini Futures Contract, but the Set up was in the E-mini (chart shown).
Wyckoff VSA: (1) Supply vs Demand (2) Effort vs Result (3) Cause vs Effect
Quoting HiddenGap
Not sure how deep we should get into Methodologies and Analysis...... First trade taken today: {image} A wide spread DOWN interval that closes off its lows on Ultra High Volume with the next Interval UP is strength. I'm all about, "WHAT you want to see, WHERE you want to see it". Accordingly, the fact that this Professional Buying (Climatic Action) was occurring in a Supply/Demand Delta Zone matters.
Very nice! Certainly was a lot of strength out of that low. What is the redzone up top?
Small disciplines repeated with consistency lead to great achievements.
Quoting jmflukeiii
What is the redzone up top?
A misplaced Supply/Demand Delta Zone.

Wide Range Body (WRB) Zones are not predictive and do not work 100% of the time, but this one was never a Zone to begin with.
Wyckoff VSA: (1) Supply vs Demand (2) Effort vs Result (3) Cause vs Effect
Quoting HiddenGap
{quote} A misplaced Supply/Demand Delta Zone. Wide Range Body (WRB) Zones are not predictive and do not work 100% of the time, but this one was never a Zone to begin with.
Red zone seemed to provide a good reaction. I had a similar zone, but unfortunately didn't find an entry yet (the high was yesterdays RTH low relative to our RTH/ETH discussion).
Small disciplines repeated with consistency lead to great achievements.
Short again, obviously trailed the first short too close as that had a lot more legs than I expected. The retest came much later than I thought.
Could be a lower high major trend reversal (MTR), although perhaps not. A 60/40 trade, but with good R:R so we'll see if lunchtime has enough legs to go down.

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Small disciplines repeated with consistency lead to great achievements.
Quoting jmflukeiii
Short again, obviously trailed the first short too close as that had a lot more legs than I expected. The retest came much later than I thought. Could be a lower high major trend reversal (MTR), although perhaps not. A 60/40 trade, but with good R:R so we'll see if lunchtime has enough legs to go down. {image}
Modifying target for the second leg projection and moved to BE. Not sure this has the juice to get there. Would exit early on a high 2 against the position, or at BE if it just single legs back to the entry.
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Small disciplines repeated with consistency lead to great achievements.
Quoting jmflukeiii
{quote} Modifying target for the second leg projection and moved to BE. Not sure this has the juice to get there. Would exit early on a high 2 against the position, or at BE if it just single legs back to the entry. {image}
Half off at +25 at a trend termination doji. A bit torn about the second part, but up on the day and the premise of the trade is still valid, so going to leave it at BE and see if we can get one more push to one of the targets.
Small disciplines repeated with consistency lead to great achievements.
A few things working in this trade; its a 1a2 on the 5min chart, micro-wedge on the 1-minute chart, and then we do have confirmation of a turn on the 1-min chart as well with the last reaction high having been broken. Not sure we get a big run back up with everyone waiting for FOMC, but breakeven at this point.
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Small disciplines repeated with consistency lead to great achievements.
Quoting jmflukeiii
A few things working in this trade; its a 1a2 on the 5min chart, micro-wedge on the 1-minute chart, and then we do have confirmation of a turn on the 1-min chart as well with the last reaction high having been broken. Not sure we get a big run back up with everyone waiting for FOMC, but breakeven at this point. {image} {image}
Locking in a little more. huge exhaustive 1m bar there.
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Small disciplines repeated with consistency lead to great achievements.
Quoting jmflukeiii
{quote} Locking in a little more. huge exhaustive 1m bar there. {image}
In hindsight, should have recognized the 000 as a target and taken it, ended up with +22, although we only have 1 leg really in this up move, it should go for 2 (one of the challenges for me of trading just one contract on the real YM). Will probably wait for after FOMC unless something very compelling comes up.
Small disciplines repeated with consistency lead to great achievements.
Now the last swing low has been taken out, so potential for a short and trend continuation. However, a major trendline was broken, so alternatively a higher low or lower low MTR might occur. I was expecting more of a range prior to FOMC which makes me feel like the MTR is more likely. Would buy a two leg pullback on the 5M to get long, or potentially sell a 2 leg pullback short on the 1M.

Then again, the trendline break was weak and not sustained with huge rejection, so perhaps the better play is the short with an expectation of new low. If that new low occurred in a 2 leg fashion, it would be a low probability but huge R:R long (positive expectancy overall).

Then again, anything could happen so we'll see! Perhaps the initial move from the low continues and completes the expected 2 leg pullback, which would also create a short opportunity much higher.
Small disciplines repeated with consistency lead to great achievements.
No short opportunity so far, and the 2nd leg up from the bottom appears more likely at this point which could setup a short opportunity. or may break out. Nothing to do so far for me although it was a nice single leg pullback long after the trendline break. I just don't really like single leg entries.

Probably going to run out time here as lunch as started, so that might be it.
Small disciplines repeated with consistency lead to great achievements.
I did take the L2 short, but there was immediate buying afterward so that was a bad sign, and then it moved back down and stalled and I exited for +2. So +24 and that's it, I have to leave.
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Small disciplines repeated with consistency lead to great achievements.
Quoting HiddenGap
{quote} I'm in. While I do feel that the Spot Forex Market "charts" better than the Futures Indices, I still believe that the new Micro Index Futures contracts are a game-changer for the US retail trader. Looking at your chart above, I already see a topic for discussion: overnight data. to chart or not to chart?
Yeah, after a long time waffling between overseas FX brokers, I ditched FX altogether and got into micro index futures. They are nice. Love the centralized volume.

This morning's trades so far. The up/down arrows are just heiken ashi.
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