Day trading S&P mini strategy

[Tater10]

Day trading the S$P 500 e-minis. Note that I am using the pit traded s&p 500 open and close for data, it should average out over time. Trading begins at 9:30am ET, trading ends at 4:15pm ET. Account size can be anything you like, but you need to have a $4,000 stop in place.

basic strategy: buy S&P mini on the open monday, exit on the close. Sell short S&P minis on the open Friday, exit on the close;

Strategy:
# contracts= 40000/((highest high of last 20 days-lowest low of last 20 days)*50)/2;

{as volatility goes up, you trade smaller & vise-versa. The trade is slightly better if you use standard deviations, but I didnt post it}

If today is monday, 9:30am ET:
buy X contracts today at the close of friday limit, with a $4,000 stop;
exit today on the close:

If today is friday 9:30am, sell short X contracts today at the close of thursday limit with a $4,000 stop;
exit today on the close;

example today (9/15/06): High-Low of last 20 days is 29.4 points = 14 contracts. Sell 14 contracts at 1329.4 or higher, since they opened higher, sell at the open of 1335.50, with a $4,000 stop of 5.75 higher (1343.25). Buy all contracts back on the close (1332.2). Net for today: +$2310

Stats since 1/1/03: Profit per day: $308.36. Avg per contract is $38.72, without commission. So, your commission and "slippage" should be less than $38.72 per contract. Total trades since 1/1/03: 323. 168 profitable, 153 losers, 2 pushes.

Check the end for notes.

trade history:
[DATE] [CARS] [P&L]

1/3/2003 [7] [-875]
1/6/2003 [8] [+7200]
1/10/2003 [6] [-540]
1/13/2003 [6] [-30]
1/21/2003 [6] [-4020]
1/27/2003 [5] [-1550]
1/31/2003 [4] [-2940]
2/7/2003 [4] [+2900]
2/10/2003 [4] [+1200]
2/14/2003 [3] [-2625]
2/21/2003 [5] [-2100]
2/24/2003 [5] [-2850]
2/28/2003 [7] [-315]
3/3/2003 [7] [-1925]
3/7/2003 [8] [-2720]
3/10/2003 [8] [-4000]
3/14/2003 [6] [+570]
3/17/2003 [6] [+9900]
3/21/2003 [4] [-1540]
3/24/2003 [4] [-2800]
3/28/2003 [4] [+900]
3/31/2003 [4] [-600]
4/4/2003 [4] [+600]
4/7/2003 [4] [-320]
4/11/2003 [5] [+2325]
4/21/2003 [6] [+450]
4/25/2003 [5] [+2800]
5/2/2003 [6] [-4020]
5/5/2003 [6] [-330]
5/9/2003 [5] [-2175]
5/12/2003 [5] [+3425]
5/16/2003 [6] [+600]
5/19/2003 [6] [-4020]
5/23/2003 [8] [-600]
5/27/2003 [8] [+8600]
5/30/2003 [6] [-2790]
6/6/2003 [5] [+2800]
6/9/2003 [4] [-980]
6/13/2003 [4] [+2200]
6/20/2003 [4] [+1700]
6/23/2003 [4] [-2020]
6/27/2003 [6] [+3210]
6/30/2003 [8] [+0]
7/7/2003 [7] [-4025]
7/11/2003 [7] [-2730]
7/18/2003 [7] [-1750]
7/21/2003 [7] [-4025]
7/25/2003 [7] [-4025]
7/28/2003 [7] [-1015]
8/4/2003 [10] [-4000]
8/8/2003 [7] [-70]
8/11/2003 [7] [+1400]
8/15/2003 [9] [-900]
8/22/2003 [8] [+7880]
8/25/2003 [7] [+945]
8/29/2003 [7] [-2275]
9/2/2003 [7] [+5040]
9/5/2003 [6] [+1770]
9/12/2003 [8] [-480]
9/15/2003 [8] [-1520]
9/19/2003 [7] [+1890]
9/22/2003 [7] [-1050]
9/26/2003 [8] [+2320]
9/29/2003 [9] [+4365]
10/3/2003 [8] [+1400]
10/6/2003 [8] [+1960]
10/10/2003 [7] [-735]
10/13/2003 [7] [+1365]
10/17/2003 [6] [+3570]
10/20/2003 [6] [+2250]
10/24/2003 [6] [-420]
10/27/2003 [6] [+240]
10/31/2003 [11] [-275]
11/7/2003 [9] [+4680]
11/10/2003 [9] [-1890]
11/14/2003 [9] [+4230]
11/17/2003 [9] [+180]
11/21/2003 [9] [+180]
12/8/2003 [9] [+3870]
12/12/2003 [9] [-495]
12/15/2003 [9] [-2340]
12/19/2003 [7] [+1435]
12/22/2003 [7] [+2800]
1/9/2004 [5] [+2375]
1/12/2004 [6] [+2520]
1/16/2004 [6] [-570]
1/20/2004 [6] [-180]
1/23/2004 [7] [+1855]
1/26/2004 [7] [+5180]
1/30/2004 [8] [+160]
2/2/2004 [8] [+1880]
2/6/2004 [10] [-4000]
2/9/2004 [10] [+450]
2/13/2004 [11] [+4015]
2/20/2004 [11] [+3190]
2/23/2004 [11] [-4015]
2/27/2004 [11] [+935]
3/5/2004 [11] [-4015]
3/8/2004 [11] [-4015]
3/12/2004 [7] [-3010]
3/15/2004 [7] [-4025]
3/22/2004 [7] [-4025]
3/26/2004 [5] [-25]
4/2/2004 [5] [+475]
4/5/2004 [5] [+1925]
4/12/2004 [6] [-810]
4/16/2004 [6] [-1230]
4/19/2004 [6] [+870]
4/23/2004 [7] [-140]
4/26/2004 [9] [-720]
4/30/2004 [9] [+4770]
5/7/2004 [9] [+7875]
5/10/2004 [7] [-1960]
5/14/2004 [6] [-240]
5/17/2004 [6] [+630]
5/21/2004 [6] [+450]
5/24/2004 [6] [+1230]
5/28/2004 [8] [+960]
6/1/2004 [8] [+1200]
6/4/2004 [8] [+120]
6/18/2004 [7] [-840]
6/21/2004 [7] [-1680]
6/25/2004 [11] [+3355]
6/28/2004 [12] [-2040]
7/2/2004 [13] [+1430]
7/6/2004 [15] [-4050]
7/9/2004 [10] [+100]
7/12/2004 [10] [+950]
7/16/2004 [9] [+4050]
7/19/2004 [9] [-1845]
7/26/2004 [6] [-780]
7/30/2004 [6] [-270]
8/2/2004 [8] [+3400]
8/9/2004 [7] [+245]
8/13/2004 [7] [-175]
8/16/2004 [7] [+4165]
8/20/2004 [8] [-2960]
8/23/2004 [8] [-1000]
8/27/2004 [8] [-960]
8/30/2004 [8] [-2600]
9/3/2004 [7] [+1820]
9/10/2004 [6] [-1470]
9/13/2004 [6] [+1320]
9/17/2004 [9] [-675]
9/20/2004 [10] [-1200]
9/24/2004 [11] [-1210]
9/27/2004 [11] [-1705]
10/1/2004 [13] [-4030]
10/8/2004 [10] [+4650]
10/15/2004 [10] [-1000]
10/18/2004 [10] [+3950]
10/22/2004 [8] [+4720]
10/25/2004 [8] [+800]
10/29/2004 [7] [-945]
11/1/2004 [7] [+175]
11/5/2004 [6] [-660]
11/8/2004 [5] [+350]
11/12/2004 [5] [-2025]
11/15/2004 [4] [+640]
11/19/2004 [4] [+2540]
11/22/2004 [4] [+1680]
11/29/2004 [6] [-1440]
12/3/2004 [7] [+455]
12/6/2004 [11] [+0]
12/10/2004 [12] [-660]
12/20/2004 [10] [+200]
12/27/2004 [10] [+3750]
12/31/2004 [9] [+1260]
1/3/2005 [9] [-4005]
1/7/2005 [9] [+2655]
1/10/2005 [11] [+3410]
1/14/2005 [9] [-1395]
1/18/2005 [9] [+6165]
1/21/2005 [9] [+4590]
1/24/2005 [8] [-960]
1/28/2005 [7] [+210]
2/4/2005 [12] [-4020]
2/7/2005 [10] [-600]
2/11/2005 [10] [-4000]
2/14/2005 [9] [+135]
2/18/2005 [8] [-520]
2/22/2005 [8] [-4000]
2/25/2005 [8] [-4000]
2/28/2005 [8] [-4000]
3/4/2005 [12] [-4020]
3/7/2005 [10] [+800]
3/11/2005 [9] [+3960]
3/14/2005 [9] [+3015]
3/18/2005 [9] [+2340]
3/21/2005 [8] [-1800]
3/28/2005 [6] [+240]
4/1/2005 [6] [+3690]
4/4/2005 [6] [+990]
4/11/2005 [8] [+40]
4/15/2005 [11] [+9350]
4/18/2005 [8] [+1320]
4/29/2005 [7] [-2520]
5/2/2005 [7] [+1785]
5/6/2005 [7] [+2905]
5/9/2005 [7] [+2485]
5/13/2005 [9] [+2250]
5/16/2005 [9] [+4995]
5/20/2005 [8] [+600]
5/27/2005 [7] [-595]
5/31/2005 [8] [-2560]
6/3/2005 [7] [+2380]
6/6/2005 [7] [+280]
6/10/2005 [6] [+1050]
6/13/2005 [6] [+1860]
6/17/2005 [15] [+825]
6/20/2005 [12] [+1860]
6/24/2005 [14] [+5950]
6/27/2005 [13] [+910]
7/1/2005 [12] [-660]
7/5/2005 [12] [+7500]
7/8/2005 [10] [-4000]
7/15/2005 [8] [+200]
7/18/2005 [8] [-640]
7/22/2005 [8] [-2280]
7/25/2005 [8] [-960]
7/29/2005 [7] [+3570]
8/1/2005 [7] [+280]
8/8/2005 [13] [-1625]
8/15/2005 [16] [+5200]
8/19/2005 [13] [+910]
8/22/2005 [13] [+130]
8/29/2005 [9] [+5355]
9/2/2005 [9] [+2610]
9/9/2005 [10] [-4000]
9/12/2005 [9] [-360]
9/16/2005 [9] [-1170]
9/19/2005 [9] [-1665]
9/23/2005 [9] [-315]
9/26/2005 [9] [+450]
9/30/2005 [10] [-1250]
10/3/2005 [10] [-1250]
10/7/2005 [6] [+360]
10/10/2005 [6] [-3000]
10/14/2005 [6] [-1830]
10/17/2005 [6] [+1290]
10/21/2005 [6] [+360]
10/28/2005 [6] [-4020]
11/4/2005 [7] [+1015]
11/7/2005 [7] [+280]
11/11/2005 [7] [-1505]
11/14/2005 [6] [-150]
11/18/2005 [6] [-150]
11/21/2005 [6] [+2040]
11/28/2005 [4] [-1840]
12/2/2005 [7] [-245]
12/5/2005 [7] [-210]
12/9/2005 [7] [-315]
12/12/2005 [9] [+810]
12/16/2005 [10] [+4200]
12/19/2005 [12] [-4020]
12/23/2005 [15] [+525]
12/27/2005 [15] [-4050]
1/3/2006 [12] [+11940]
1/6/2006 [12] [-2580]
1/9/2006 [10] [+1800]
1/13/2006 [8] [+360]
1/17/2006 [8] [+680]
1/20/2006 [8] [+9400]
1/27/2006 [8] [-4000]
1/30/2006 [8] [+120]
2/3/2006 [10] [+3200]
2/6/2006 [10] [+1600]
2/10/2006 [9] [-1125]
2/13/2006 [10] [-650]
2/17/2006 [11] [+1540]
2/21/2006 [11] [-2035]
2/24/2006 [10] [-1250]
2/27/2006 [10] [+500]
3/3/2006 [9] [+2340]
3/6/2006 [9] [-4005]
3/10/2006 [9] [-4005]
3/13/2006 [9] [+1215]
3/17/2006 [10] [+550]
3/20/2006 [10] [-1000]
3/24/2006 [10] [-500]
3/27/2006 [10] [+100]
3/31/2006 [10] [+2950]
4/7/2006 [10] [+7400]
4/10/2006 [14] [+1050]
4/17/2006 [12] [+960]
4/21/2006 [11] [+3520]
4/24/2006 [11] [-165]
4/28/2006 [11] [-440]
5/1/2006 [11] [-4015]
5/5/2006 [11] [-4015]
5/8/2006 [9] [-360]
5/15/2006 [9] [+3330]
5/19/2006 [6] [-480]
5/22/2006 [6] [-240]
5/26/2006 [5] [-875]
5/30/2006 [5] [-4000]
6/2/2006 [5] [+500]
6/5/2006 [5] [-4000]
6/9/2006 [4] [+1860]
6/12/2006 [5] [-4000]
6/19/2006 [5] [-2900]
6/23/2006 [5] [+100]
6/26/2006 [5] [+1175]
6/30/2006 [5] [+1275]
7/7/2006 [7] [+2730]
7/10/2006 [7] [+700]
7/14/2006 [9] [+2925]
7/17/2006 [7] [-420]
7/21/2006 [7] [+4550]
7/28/2006 [7] [-3360]
7/31/2006 [7] [+105]
8/4/2006 [7] [+2520]
8/7/2006 [6] [+60]
8/14/2006 [6] [+270]
8/18/2006 [7] [-1505]
8/21/2006 [7] [-70]
8/25/2006 [9] [-630]
8/28/2006 [9] [+3645]
9/1/2006 [9] [-1395]
9/5/2006 [8] [+800]
9/8/2006 [8] [-600]
9/11/2006 [8] [+2200]
9/15/2006 [14] [+2310]


Notes:
If e-mini's existed since contract opened (they didnt), avg profit per trade would be $311.36 per day, pretty close to the $308.36 per day since 2003.

Technically, the trade isnt "buy monday", but rather "buy the day after friday", and "sell the day after thursday". There are some holiday problems.

yearly stats:
2006 (so far): +$27,660
2005: +$29,625
2004: +$19,870
2003: +$22,445

[eastbay]

$38 per contract is kind of low IMO. I generally don't consider a daily ES system viable unless it is making about twice that per contract.

Have you been trading this since 2003 or you just optimized your parameters from 2003 to present?

eastbay

[Tater10]

I did trade this strategy from 1994-1998 ($500 pit S&P's), and made money, pretty much $300 per contract as advertised. I quit when I bought a seat on the chicago board of trade in 1998 to trade the new dow futures. Now that I'm back off the floor, I find it surprising my strategy still works. So - no, i havnt used it since 2003, but I did actually trade it back in the mid 90's.

I agree, the profitablility is kind of low, I dont trade things like this anymore. But, maybe someone can use it as a basis for a better strategy.

[SteveOMS]

Were you trading the e-minis (or full contract) online? Which broker did you use?

Steve