|
E-Mini Index Futures:
Trading with the SBV Indicator. An Example for the Russell 2000 E-mini.
July 18, 2006We applied the
following 4-rule trading system which is based on our SBV indicator:
- Once
the SBV indicator declines below minus 33% (the indicator will now show
green), we will enter a short position (if we are not already short);
- Once
the SBV indicator advances above minus 33% (after having been below that
level), we will enter a long position (the indicator still shows green);
- Once
the SBV indicator rallies above plus 33% (the indicator will now show
red), we will enter a long position (if we are not already long);
- Once
the SBV indicator declines below plus 33% (after having been above that
level), we will enter a short position (the indicator still shows red).
To protect profits and reduce losses, the following rules were added:
- Use an
eight-point gain as the pre-determined, satisfactory profit target;
- Adhere
to a three-point stop-loss level;
- Exit
all positions by the end of the session.
An additional rule for the first trade of a session:
- Because
the previous night’s futures session can exert a strong influence on the
market’s opening level, we do not initiate our first trade of the
session using rules #1 and #3.
An additional rule for a session’s last trade:
- If less
than an hour remains in a session, refrain from opening any new
positions.
Any number of additional rules may be added to this
system – it all depends on your personal trading style and risk tolerance.
We strongly believe any trading system should be fine-tuned to fit a
trader's personal style, needs, and risk tolerance.
Chart 1: Trading the SBV
indicator using a 4-rule system.
Russell 2000 E-mini. 1-day view. VMA1 = 15-minutes.

|
Date |
Trade
Motivations |
Index |
Decision |
Date |
Trade Motivations |
Decision |
Index |
Profit
(points) |
07/18/06
09:44 |
Rule #4 |
686.80 |
Sell Short |
07/18/06
11:20 |
Rule #2 |
Buy to Cover |
678.90 |
+7.9 |
07/18/06
11:20 |
Rule #2 |
678.90 |
Buy |
07/18/06
11:35 |
Rule #4 |
Sell |
779.10 |
+0.2 |
07/18/06
11:25 |
Rule #4 |
779.10 |
Sell Short |
07/18/06
11:51 |
Rule #3 |
Buy to Cover |
681.20 |
-2.1 |
07/18/06
11:51 |
Rule #3 |
681.20 |
Buy |
07/18/06
11:56 |
Rule #4 |
Sell |
680.50 |
-0.7 |
07/18/06
11:56 |
Rule #4 |
680.50 |
Sell Short |
07/18/06
12:13 |
Rule #2 |
Buy to Cover |
678.80 |
+1.7 |
07/18/06
12:13 |
Rule #2 |
678.80 |
Buy |
07/18/06
12:55 |
Rule #4 |
Sell |
679.10 |
+0.3 |
07/18/06
12:55 |
Rule #4 |
679.10 |
Sell Short |
07/18/06
13:27 |
Rule #2 |
Buy to Cover |
676.40 |
+2.7 |
07/18/06
13:27 |
Rule #2 |
676.40 |
Buy |
07/18/06
14:50 |
Rule #4 |
Sell |
681.70 |
+5.4 |
07/18/06
14:50 |
Rule #4 |
681.70 |
Sell Short |
07/18/06
15:13 |
Rule #2 |
Buy to Cover |
680.00 |
+1.7 |
07/18/06
15:13 |
Rule #2 |
680.00 |
Buy |
07/18/06
15:59 |
Rule #4 |
Sell |
685.40 |
+5.4 |
07/18/06
15:59 |
Rule #4 |
685.40 |
Sell Short |
07/18/06
16:14 |
Rule #7 |
Buy to Cover |
686.20 |
-0.8 |
|
Total:
|
+27.2 |
Important: A trigger level of 33% for
the SBV indicator, a 6-point profit target, as well as a 2-point stop-loss
were determined in relation to the prevailing market conditions at the time
the above examples were selected.
In order to establish the optimal critical levels for
the SBV indicator, as well as to set appropriate profit targets and
stop-loss levels, traders should first review their personal trading style
and risk tolerance. They would also do well to review the current market
situation, and to scroll through a chart history to study prior volume
surges including their magnitude (i.e., the level the SBV indicator
reached).
More Examples:
| Date |
E-mini |
Number of Trades |
|
April 23, 2007 |
Russell 2000 E-mini |
1 "Short" trade |
|
April 17, 2007 |
S&P 500 E-mini |
3 "Long" and 3 "Short" trades |
|
February 17, 2007 |
S&P 500 E-mini |
3 "Long" and 3 "Short" trades |
|
February 2, 2007 |
S&P 500 E-mini |
4 "Long" and 4 "Short" trades |
|
January 23, 2007 |
Russell 2000 E-mini |
3 "Long" and 4 "Short" trades |
|
December 19, 2006 |
S&P 500 E-mini |
3 "Long" and 2 "Short" trades |
|
December 11, 2006 |
Russell 2000 E-mini |
2 "Long" and 2 "Short" trades |
|
November 29, 2006 |
Russell 2000 E-mini |
4 "Long" and 4 "Short" trades |
|
August 11, 2006 |
S&P 500 E-mini |
2 "Long" and 1 "Short" trades |
| July
19, 2006 |
Russell 2000 E-mini |
4 "Long" and 5 "Short" trades |
| July
18, 2006 |
Russell 2000 E-mini |
5 "Long" and 6 "Short" trades |
| July
17, 2006 |
Russell 2000 E-mini |
2 "Long" and 3 "Short" trades |
| July
11, 2006 |
Russell 2000 E-mini |
5 "Long" and 3 "Short" trades |
| July
10, 2006 |
Russell 2000 E-mini |
4 "Long" and 5 "Short" trades |
| July
7, 2006 |
S&P 500 E-mini |
3 "Long" and 3 "Short" trades |
| June
28, 2006 |
S&P 500 E-mini |
1 "Short" trade |
| June
26, 2006 |
NASDAQ 100 E-mini |
1 "Short" and 1 "Long" trade |
| June
23, 2006 |
S&P 500 E-mini |
1 "Short" trade |
| June
22, 2006 |
S&P 500 E-mini |
1 "Long" trade |
| June
21, 2006 |
S&P 500 E-mini |
1 "Short" trade |
| June
20, 2006 |
S&P 500 E-mini |
1 "Short" trade |
| June
19, 2006 |
S&P 500 E-mini |
1 "Long" trade |
| June
14, 2006 |
Russell 2000 E-mini |
1 "Long" and 1 "Short" trade |
| June
13, 2006 |
S&P 500 E-mini |
1 "Short" trade |
| June 9, 2006 |
Russell 2000 E-mini |
1 "Long" trade |
| June 8, 2006 |
S&P 500 E-mini |
1 "Long" trade |
| June 7, 2006 |
S&P 500 E-mini |
1 "Short" trade |
| June 6, 2006 |
S&P 500 E-mini |
1 "Long" and 1 "Short" trade |
| June 2, 2006 |
S&P 500 E-mini |
2 "Long" trades |
| May 17, 2006 |
Russell 2000 E-mini |
2 "Long" and 3 "Short" trades |
| May 5, 2006 |
S&P 500 E-mini |
2 "Short" trades |
| April 26, 2006 |
Dow E-mini |
1 "Long" and 1 "Short" trade |
| March 30, 2006 |
NASDAQ 100 E-mini |
2 "Long" trades |
|