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AK1 ES strategy


Some time back a member of our forum,AK1, posited a strategy for trading the emini S&P, ES, which I followed on and off for awhile. About a month ago I started to actually trade the strategy with reasonably good results ,in my opinion. I share the strategy with you at the request of our administrator, Bruce, who was kind enough to try and locate AK1, since I had a few questions about the strategy.

Find the closing price of ES at 8:29AM EST on the day before you intend to trade.
Find the closing price of ES at 8:29 EST on the next day. If the price is higher you are in buy mode and conversely if the price is lower.
Take a Fib retrace reading from the overnight trading. If in buy mode enter a buy at the first fib bar above the 9:30 AM EST market opening. Use a 4 point sell stop and a 4 point sell limit.
If neither of the sells is taken out at the close of the regular trading session close the position.
Reverse the procedure for sells. If the closing price at 8:29 AM EST is below the previous day's 8:29 AM close enter a sell order with a 4 point buy stop and 4 point buy limit. Here are the results of a months trading.

DATE AK1

		Buy	Sell	Stop	Tgt	Gain	Loss		   
1/18/2011 1289 1285 1293 4
1/20/2011 1275 1279 1271 4
1/21/2011 1283.75 1279.75 1287.75 4
1/24/2011 1279.75 1283.75 4
1/25/2011 1284.25 1280.25 1284.25 4
1/27/2011 1291.5 1287.5 1295.5 4
1/28/2011 1298.5 NO TRD
1/31/2011 1275.5 1279.5 1271.5 2
2/1/2011 1292.5 1288.5 1296.5 4
2/2/2011 FISHING
2/3/2011 1295.75 1299.75 1291.75 4
2/4/2011 NO TRD 
2/7/2011 1311 1307 1315 4
2/8/2011 1317.75 1313.75 1321.75 4
2/9/2011 1317.75 1313.75 1321.75 4
2/10/2011 1307.75 1311.75 1303.75 4
2/11/2011 1315.75 1311.75 1319.75 4
2/14/2011 1327.25 1323.25 1331.25 4
2/15/2011 NO TRD 
2/16/2011 1330.75 1326.75 1334.75 4
2/17/2011 1331.5 1327.5 1335.5 4
2/18/2011 1340.5 1336.5 1344.5 2
2/22/2011 1329 1333 4
2/23/2011 1312.75 1316.75 1308.75 4
2/24/2011 1302.75 1306.75 1298.75 4
2/25/2011 1315.25 1311.25 1320.25 4
2/28/2011 1329.25 1325.25 1333.25 NO TRD
3/1/2011 1333.25 1329.25 1337.25 NO TRD
3/2/2011 1302.25 1306.25 1298.25 4
3/3/2011 1323.75 1319.75 1327.75 4


I think this is essentially how AK1 presented it. Please feel free to comment. I also have some code for TOS which places the fib numbers on your screen if anyone is interested.
Personally, I'd need to see some refinement as 1:1 will not work long term IMO. Good luck.
so in the last two months it hasnt lost a single trade and has made 92 points? is that right?
Thanks for posting this Gus. Can you elaborate on the fib portion of this as that seems most subjective ? Perhaps a chart would help with the specific fib level you use. Very impressive so far.
Originally posted by Big Mike

Personally, I'd need to see some refinement as 1:1 will not work long term IMO. Good luck.

What do you mean Big Mike? Risk 1 point for gain of 1 point will not work? If so, why would that not work?
It is possible to succeed 1:1 but you need a very good winning %. 100 trades @ 60/40 does not produce a very positive expectancy, around .70 per trade net. Slip from 60/40 would hurt. 55/45 would = .30 net expectancy.

It is positive with a good winning %, but I would be surprised if it's 60/40 long term. Maybe I'm wrong.
No Feng, that's not correct. If you look closely the extreme right hand number 4 is the loss column. Gus
FEng, I apologize. There were losses . After I checked the above schematic I noticed they were missing. I'll repost with a new list and a fib chart. Sorry for the confusion. Gus
AK1
Here's the corrected
DATE AK1

		Buy	Sell	Stop	Tgt	Gain   Loss
1/18/2011 1289 1285 1293 4
1/20/2011 1275 1279 1271 4
1/21/2011 1283.75 1279.75 1287.75 4
1/24/2011 1279.75 1283.75 4
1/25/2011 1284.25 1280.25 1284.25 4
1/27/2011 1291.5 1287.5 1295.5 4
1/28/2011 1298.5 NO TRD
1/31/2011 1275.5 1279.5 1271.5 2
2/1/2011 1292.5 1288.5 1296.5 4
2/2/2011 FISHING
2/3/2011 1295.75 1299.75 1291.75 4
2/4/2011 NO TRD
2/7/2011 1311 1307 1315 4
2/8/2011 1317.75 1313.75 1321.75 4
2/9/2011 1317.75 1313.75 1321.75 4
2/10/2011 1307.75 1311.75 1303.75 4
2/11/2011 1315.75 1311.75 1319.75 4
2/14/2011 1327.25 1323.25 1331.25 4
2/15/2011 NO TRD
2/16/2011 1330.75 1326.75 1334.75 4
2/17/2011 1331.5 1327.5 1335.5 4
2/18/2011 1340.5 1336.5 1344.5 2
2/22/2011 1329 1333 4
2/23/2011 1312.75 1316.75 1308.75 4
2/24/2011 1302.75 1306.75 1298.75 4
2/25/2011 1315.25 1311.25 1320.25 4
2/28/2011 1329.25 1325.25 1333.25 NO TRD
3/1/2011 1333.25 1329.25 1337.25 NO TRD
3/2/2011 1302.25 1306.25 1298.25 4
3/3/2011 1323.75 1319.75 1327.75 4
3/4/2011 NFP NO TRD
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Originally posted by Big Mike

It is possible to succeed 1:1 but you need a very good winning %. 100 trades @ 60/40 does not produce a very positive expectancy, around .70 per trade net. Slip from 60/40 would hurt. 55/45 would = .30 net expectancy.

It is positive with a good winning %, but I would be surprised if it's 60/40 long term. Maybe I'm wrong.

Do you look for a strategy that wins 50% or less but has a much bigger wins and smaller losses?

At the end of the day I think that it's much of a muchness. On average you have to have net winners and either approach works (or a combination of the two).

I think that a lot of traders don't measure this at the outset.
I'd still like to see what Fib you are using on each trade ...Is it a 24 % retrace, a 38 retrace a 50 % etc.....I'm assuming u use the same fib on each trade otherwise it is too subjective ..thanks Gus