Trading System. Emini charts. Futures trading. Russell 2000. Technical analysis. S&P 500. Futures. Emini futures. Quotes. Day trading. .
E-Mini Index Futures:
SBV Indicator Example for the S&P 500 E-mini.
February 2, 2007
We used the
following simple four-rule trading system based on our SBV indicator:
Once
the SBV indicator has advanced above plus 33% (the SBV indicator will
show red), wait for it to decline below that level, then enter a short
position;
Once the SBV indicator has dropped below minus 33% (the SBV
indicator will now show green), wait for it to rally above that level,
then enter a long position;
It is very important to use a stop-loss strategy – particularly for
intraday trades. In our system, we applied the following rules to
recognize when a false signal occurred (and thus to cut our losses
short):
If we are presently in a long position and prices start to decline,
we will take a loss once the SBV indicator has dropped below minus 33%.
This rule may also be used to open initiate a new short position;
If we are currently in a short position and prices start to advance,
we will take a loss once the SBV indicator has advanced above plus 33%.
This rule may also be used to initiate a new long position.
We have added the following rules to protect profits and
cut losses:
Exit
positions by the end of the session;
Additional rule we use for the first trade in session:
Since
the price trend could be under the influence of the night futures
trading after the market opens, we do not open a first trade for the
session by #3 and #4 rules;
Chart 1: Trading with the SBV
indicator using a four-rule system.
S&P 500 E-mini. 1-day view. VMA1 = 30-minutes.
Time
Trade
Motivations
Index
Decision
Time
Trade Motivations
Decision
Index
Profit
(points)
10:08
Rule #2
1451.75
Buy
10:43
Rule #1
1453.50
Sell Short
+1.75
10:43
Rule #1
1453.50
Sell Short
11:13
Rule #2
1452.25
Buy
+1.25
11:13
Rule #2
1452.25
Buy
11:24
Rule #3
1451.75
Sell Short
-0.50
11:24
Rule #3
1451.75
Sell Short
11:55
Rule #2
1451.75
Buy
0
11:55
Rule #2
1451.75
Buy
12:22
Rule #1
1453.25
Sell Short
+1.5
12:22
Rule #1
1453.25
Sell Short
13:09
Rule #4
1453.50
Buy
-0.25
13:09
Rule #4
1453.50
Buy
13:29
Rule #1
1453.25
Sell Short
-0.25
13:29
Rule #1
1453.25
Sell Short
14:52
Rule #2
Buy to Cover
1552.00
+1.25
Total:
+4.75
Important:A 33% trigger level for
the SBV indicator was determined in relation to the prevailing market conditions at the
time the examples above were selected. In order to establish the optimal
critical levels for the SBV indicator, profit targets and stop-loss levels,
traders should consider their personal trading style and risk tolerance.
They should also review the current market situation and review a chart
history of prior volume surges, including their magnitude (i.e., the level
the SBV indicator reached).
