Thursday, 7 January 2010

Euro FX Day

The ES was such hard going yesterday and the day before that we decided to trade the Euro FX future today, 6E #F is the eSig code. It's a relatively thin market compared to the stock indices but the future is consistently arbed against the cash FX market so it's more liquid than it looks. But it moves like the road runner when it goes.

We used the same 5 tick range bars. I was not completely comfortable with the Profile yet as the Euro is a 24 hour market in the truest sense and has three "opens" every day - London, NY and Asia. I left the Profile as a 24 hour profile and looked for splits. The only thing that held in the morning was yesterday's POC and there was a nice bounce off that. We weren't there for the short trade just before 6.48am but caught the longs at 7.24 and 7.55. I got a bad fill on the short at 8.26 and had to be satisfied with a smaller profit as I used the target as if I had been filled at the price without slippage. We used 10 tick stops and 10 tick targets to get used to the Euro. Kiki had never traded it before or even watched it and my experience of it was probably 4 years ago.

Kiki was not fazed by the extra twitchiness of the Euro compared to the FX, which surprised me. She said she just watched the range bars rather than the DOM. I was watching the DOM. That's a lesson in itself.

The unemployment numbers due at 13.30 London time slowed things a little but had no real effect. Tomorrow's unemployment numbers are the biggies.

The afternoon brought some more trades. I had slippage again on another trade (see the chart where I marked it). It wasn't that we were trading large because we weren't, but because the futures arbs are electronic and sometimes price moves very fast in thinner markets.

All in all, it was a good day, 10 trades of which there was one loser and two with slippage. I think that the Euro FX is a viable market to trade with lots of opportunity. In fact, I am adding an extra screen to my setup to follow it and trade it.

We quit early as I wanted to walk the dog in the snow having taken care of business well enough. You can do the maths on the trades, the loser was 6 ticks.

Click to enlarge

Again, a reminder to register for the webinar. See the link at the KEY POSTS on the right hand side of the blog. On Monday there were over 150 people registered. Kiki and I are looking forward to seeing as many of you as can come along.


  1. What was average profit per trade for Kiki today? Looks like a change on the cvd...what changes did you make? Thanks

  2. Tom,

    my last question before I leave for some holidays :-)

    In terms of the entry apart from discretion, just the basic concept, the EMA is the "zone" where you look for an entry, which is the break of a bar breaking the EMA? Or do you enter with the EMA break before the candle itself breaks and "confirms" the EMA break?

    Many breaks, I take mine on Zanzibar. I deeply regret that I can not attend the webinar, but looking forward to watch the recording when I'm back.

    All the best & thanks again for the great blog!

  3. Anon, All the profitable trades were 10 ticks, all in, all out except the 2 with slippage and the loss was 6 ticks.
    timikrates, have a good holiday. The answer is that its not rule based. I want to see the whole picture. My trigger is the bar close when the picture is "right".

  4. Thanks Tom,

    based in Germany I will also test the FTSE future with your method. Maybe this is an option for you as well. Like Euro and DAX it's not that liquid I believe and for that can move very fast.

    Cu all, bye

  5. hey

    tom and kiki you got hello from the Electronic Local trading system 8 points at ESH0 today


    Electronic Local Trading system ESH0


  7. Anon, great to see your success. Give yourself a nickname so I can follow yr success when you comment.