Emini SP500 Scalping Strategy

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Emini SP500 Scalping Strategy

! August 23, 2017
Emini SP500 Scalping: Use the VIX
Statistically Valid ⋆⋆⋆⋆⋆ (5)
Ease Of Use ⋆⋆⋆⋆⋆ (4)
Simple To Master ⋆⋆⋆⋆⋆ (3)
Robustness ⋆⋆⋆⋆⋆ (4)

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Durability ⋆⋆⋆⋆⋆ (5) Search the site
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Summary Shop Related Products
Day trading the Emini SP500
is not easy. But it can be 4.2
done profitably.
⋆⋆⋆⋆⋆
For those looking to ‘scalp’
trade for daily profits, you
need to have a fully verifiable, and easily How to Day Trade for a Living: A
Beginner’s Guide to Trading Tools…
understandable statistical advantage.
$9.99
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Emini SP500 Scalping Strategy - Trading Schools.Org 29.05.2019, 15)47
A simple indicator, combined with a sophisticated (1225)

volatility measurement tool can make all the
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difference between profits and losses.
The following strategy will always keep you on the Highly Ranked Trading
dominant side of the market, and present Rooms
opportunities that are incredibly compelling. Steven Dux of
StevenDuxi.Com
Comments Rating 0 (0 reviews) ⋆⋆⋆⋆⋆ May 13, 2019 •
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2019 Update
April 26, 2019 •
7 Comments
Thanks for reading! Today, we are going to Thanks for reading
talk about a day trading strategy for the today’s 2019 …
Emini SP500 futures contract. Axia Futures

*Update*
Included in this strategy will be a complete description,
July 31, 2018 •
which includes exact code and statistical output. 43 Comments
Thanks for reading
Before I jump into this, I want the audience to know that I today’s updated …
am not a big fan of ‘day trading’, typically the only people
that make money are the brokers. Update: Follow Me
Trades
Yet day trading is extremely seductive. The idea that a August 3, 2017 •
38 Comments
person can get up every morning, scalp a few trades for
Thanks for reading
several hundred dollars and then enjoy the rest of the day today’s update …
with no risk or exposure is a delightful fantasy. Yes, it can be
done. But it’s not easy. Nearly everyone fails. Dekmar Trades
*Update*
August 2, 2017 •
Why do most people fail at day trading? 81 Comments
This part is going to be controversial. I am going to give you Thanks for reading
today’s update …
my honest opinion, in order of importance.
1. Inability to execute limit orders.

2. Patternicity
3. Failing to take a loss.

4. Failing to take a winner.
5. Assigning emotional rewards.
(1) In my opinion, you cannot ‘scalp’ trade successfully,

unless you can execute at least 85% of your entry and exits
on a limit order. You must be able to capture the bid/ask
spread. Make the counterparty pay for the privilege of
executing a market order.
Hardly anyone ever talks about the importance of limit

order execution. I am putting it front and center. You must
use limit orders.
There is a reason why Virtue Financial went 6 years with

only 1 losing day–they execute thousands of limit order
trades each day, with little regard to predicting price
direction.
(2) Don’t believe what the chart is telling you. You may
believe that you are looking at a classic consolidation
pattern coupled with a diamond formation. Yet another
person may look at the exact same price chart and see a ham
sandwich.
Our minds are wired to search for meaning, to search for an

opportunity within a noisy surface. This is the fallacy of
patternicity. When we think we are seeing something of
importance, but what is actually occurring is just random
noise.
Patternicity worked great for the ancient caveman or the

modern homeless person that rummages through a
dumpster in search of scraps of food. But Patternicity DOES
NOT WORK with financial markets.
Instead, rely on hard data. A clearly defined framework of

variables that can be tested and scrutinized with some
modicum of statistical inference. In short, believe nothing
that ‘experts’ tell you, instead you must test everything. You
must verify the authenticity of everything–especially trading

‘truisms’.
(3) Exits must be built into the strategy. Failing to take a

loss may work ‘here and there’ but eventually the inability to
Worst Trading Systems
take a loss will result in the inevitable evil runner. That one
trade that runs against you. And it keeps on running. Until ETF Tipping Point
it grinds your account down to pocket change. with Kirt
Christensen. A …
Automate your exit. Build it into the strategy. Let the May 1, 2019 •
4 Comments
machine save you from yourself. Let it be the uncomfortable
parachute that rips you from the perilous downward plunge. Is Petra Picks a
SCAM?
(4) Take comfort in exiting a winning trade. There is April 30, 2019 •
nothing more wonderful than basking in the ego inflating 3 Comments
experience of sitting on a winning trade. But the comfort is
NaviTrader
all too fleeting. And it is just a just a mirage of emotions that
have no meaning.
Let the machine execute the profitable exit. Don’t succumb

January 26, 2018 •
to the temptation of “trailing a stop.” Know the exact exit
7 Comments
point, before the entry.
Chris Terry: FX
(5) Too often we assign an emotional score to winning or Signals Live and
losing. We win a trade and add to the score, we lose a trade iMarkets …
and we subtract from the score. But this is just a fallacy, a July 7, 2017 •
147 Comments
fantasy within our mind. The market could care less about
the score. Certainly not about your feelings or emotions. Trading123:
Automated
Instead, assign a high emotional value to your ability to Trading Systems
execute with cold and remorseless precision, regardless of June 12, 2017 •
whether the trade is a winner or a loser. Execution of the 16 Comments
rules is all that matters.
Wow, that was quite the rant. Before I started this post, I
swore to myself that I would not rant. And rant I did!
Anyway, let’s talk about this strategy.
Step One: Emini SP500 Futures

Ok, step one. Create a chart of the Emini SP500 (day
session), using only 5-minute bar charts. The following is an

example of August 14, 2017.
Step Two: Calculate and plot the Midpoint

The midpoint of the trading session is simply the middle
price of the trading day. The Midpoint of the trading day
contains a significant statistical edge, which I have written
about here.
As prices make new highs and new lows throughout the

trading day, the midpoint will continuously readjust. It is a
dynamic indicator that simply divides the day into two
sections. An upper section, and a lower section. Example
below:
The Midpoint is an extremely simple concept to learn. The

key takeaway is that if prices are above the Midpoint, then
we only want to take Long trades. We want to be a buyer,
hoping for higher prices. We want to stay on the side of the
dominant trend. We don’t want to fight the tide, we want to
align ourselves with the tide. Nothing fancy here. If prices
are higher than the Midpoint, then look to be a buyer.
Step Three: Define and calculate an entry

point and exit point
The market ebbs and flows. We want to be a buyer when the
market ebbs. We want to enter our trade as it pulls back.
However, the pullback must remain above the Midpoint.

How do we calculate a pullback? Truth be told, there are
hundreds of indicators that work just fine. Whether it be a
moving average, an oscillator, Bollinger band, or a
Fibonacci point…it really does not matter.
Many a charlatan will attempt to sell you some sort of

magical indicator that supposedly can predict short term
support zones. Ridiculous nonsense, with silly names like
Volume Delta, Order Flow Divergence, Moonbeam
Oscillation Fan Sequence, Hyper-convergent Alpha Tooth
Fairy. You get the point.
One of my favorites is the Keltner Channel. Which is

nothing more than a moving average that plots the standard
deviation of the moving average. No, there is nothing
predictive of the Keltner Channel. However, it serves the
simple purpose of displaying areas just outside of the
current price.
For this strategy, we will plot the Keltner Channel of 6,1.

What does this mean? We are only using a 6-period moving
average, and plotting the upper and lower band of 1
standard deviation. Don’t let this be confusing or scare you
away. It’s really simple, and available on all modern trading
platforms. Example below:
Looking at the above visual sample, we can see the Midpoint

of the day’s range as plotted by the solid blue line. And we
can see a simple Keltner Channel. Notice how the price ebbs
and flows between Keltner Channel.
Once again, there is nothing predictive about the Keltner

Channel. Nothing magical is happening. The market is not
“looking” at the Keltner Channel, or any other trading
indicator and taking its cue from these indicators. Instead,

the Keltner Channel is simply plotting a single standard
deviation of a 6 period moving average.
However, by simple observation, we can see that price tends

to bounce back and forth between the channel. But this is
just an observation, and we must remember the fallacy of
patternicity. That the human mind is uniquely flawed into
believing that something is real when it fact it’s just noise.
So what should we do? We have to test the theory. We have

to build a fully automated strategy based upon clearly
defined variables. In this case, we want to test the theory
that we should buy the emini SP500 futures contract at the
bottom of the Keltner Channel. And we should exit the trade
for a profit at the upper portion of the channel. The graphic
below is visual representation:
Ok, so let’s define the market condition for this system in its
entirety:
1. The price of the emini SP500 must be above the

Midpoint
2. The low of the Keltner Channel must be above the
Midpoint
If this is true, then we need to define the point of entry, and

point of profitable exit:
1. Enter a long trade at the low of the Keltner Channel

2. Exit the trade at the high of the Keltner Channel
3. Exit any open trade at the end of the day
The graphic below is what a series of successful trades look

like:
But what about losing trades? When do we take a loss?
1. If the HIGH of any 5-minute bar crosses below the

Midpoint, immediately exit for a loss. The following
graphic is what a losing trade looks like:
So now we know the exact rules, let’s test the theory. The
following is the equity curve for this ‘scalping system’ going
back January 2002.
As we take a quick glance at this equity curve, this tells us
only one thing–that the concept is robust.
However, what about the individual trade metrics? Is this

currently a tradable system? What about slippage and
commission costs? Let’s look deeper into the numbers:
The key metrics that you need to focus on:
Total Trades: with 7,300+ trades, this is a huge sample

size which negates the possibility of randomness.
Average Trade Size: $16 per trade is too small.
Max Intra-trade Drawdown: Too large at -$9,000.
The conclusion is that this ‘scalping system’ is not a viable

trading system. However, we currently have a massive
sample size of 7,300 trades. And we have a robust concept.
How can improve this system?
In the following section, we are going to add an additional

filter.
The Secret Sauce: Adding a VIX volatility

filter
Many readers are probably looking at this concept and
thinking to themselves, “Hey, it ain’t too bad. I can trade
this for a few ticks and make a profit.” Yes, you can.
However, we are not in this to make only a few dollars profit
each trade. We are in this to make actual money that we can
spend on food and diapers.
In a prior post, I talked about a scalping strategy for the

crude oil market that uses a volatility filter to day trade the
Crude Oil Futures market. You can read about that strategy
here.
In that strategy, we used an obscure volatility indicator

named the OVX. Which essentially measures options prices
for crude oil stocks.
With our current strategy, we are going to use the VIX index
as a filter. What is the VIX index? Essentially, when the VIX
is rising, then options prices for stocks within the SP500 are
becoming unstable and fear is entering the market.
When the VIX is rising, we need to be cautious about

entering long trades. The VIX is a warning us that a sell-off
could happen at any moment or is currently happening.
For our following test, we are going to test our Keltner

Channel system with a VIX overlay.
Instead of taking each and every trade, we only want to take

trades if the VIX is decreasing. So, let’s ask our data the
following question:
What happens to performance if the VIX is DOWN intraday,

in increments of 1% to 20%? The following is the
performance graphic:
$ LIVE TRADING ROOMS » % SOFTWARE & MENTORS ' SYSTEMS
Ok, so what are we looking at? This is a graphical display of

only taking trades if the VIX is below 0 for the trading day.
Additionally, we tested if the VIX is down 1%, 2%, 3%…all
the way to 20%.
As you can see, the lower the VIX, the higher our average
trade and profit factor. As a rule of thumb, you only want to
consider a day trading system that has a minimum of 1000
trades. The larger the sample size, the lower the chance of a
random outcome.
Which would I choose? For myself, I would select the

parameters from test #13. In other words, I would only
trade this system if the VIX were down a minimum of 8%
intraday. The market is clearly stating that fear is rapidly
leaving the market, and higher Emini SP500 prices are a
near certainty.
Once again, if the VIX is down 8% intraday, the market is

clearly stating that fear is rapidly leaving the market, and
higher Emini SP500 prices are a near certainty into the
close. The following graphic is the performance metric and
equity curve for only trading our Keltner Channel system if
the VIX is down a minimum of 8% intraday:
Ok, so looking at the performance metrics we can see that

with a stupid simple filter…we have created something
actually tradeable, and made the following improvements:
1. Average trade size has jumped from $17 to $42.

2. Maximum Intra-trade drawdown has decreased from
$9,200 to $1,825.
3. Profit factor increased from 1.34 to 2.10.
4. Average trade lasts only 34 minutes.
Wrapping things up
Wow, that was a long post. A whopping 2200 words!
Congratulations for making it this far.
So what is the key takeaway? The most obvious are that if

you are going to ‘scalp’ trade for small profits…you need to
find an exploitable edge. And work the edge.
You need to test everything. If someone tells you, “my

magical software plots institutional money flow,” then OK…
lets test the theory, let’s define it and test it. Usually, they
slink back under the rock from which they came. Don’t
believe anybody in this business. Especially someone selling
a magical trading indicator. You must take control of your
trading and you must test everything.
The system that I have written about is something you can

use tomorrow. Hopefully, you won’t. My sincere hope is that
you will take the concept and improve upon it. And believe
me when I tell you…it can be improved to something so
compelling that the money will practically beg to jump into
your trading account.
The ‘holy grail’ of trading is not contained within a singular

trading system or trading indicator. Instead, the holy grail is
having a large stable of trading systems. Only take trades
where you know beforehand…that you have a statistical
advantage. Treat your trading like a casino. Like you own
the casino. Not a patron.
Thanks for reading. I love to read those comments.

Especially the curmudgeonly trolls.
21 Comments
R.G. AUGUST 24, 2017
Do the reported results of your scalping

strategy uphold your number one
admonition for day traders: “You must use
limit orders”? Most readily available
historical data sets are based on “last trade”
prices and do not include the bid/ask prices
that were existent when that last trade

occurred. You can only simulate a limit-order
strategy (when using last-trade data) by
assuming a buy order was never executed
unless price moved one tick below your buy-
entry price and a sell order was never
executed unless price moved one tick above
your sell-exit price. These assumptions are
“worst case” in that sometimes your buys
would have been filled at the exact low of the
price bar and your sells would have been
filled at the exact high. If you re-run your
simulation using the above assumptions, I
predict your system will be break-even or
show a loss. If I’m right, the takeaway is that
you cannot reasonably test strategies that
produce a modest profit per trade if all you
have available is last-trade historical data.
Reply
Emmett Moore AUGUST 24, 2017
Hi RG,
I didn’t want to get too ‘deep in the
weeds’ with the audience. Most of my
readers are new to systematic trading.
With that being said, in my opinion,
the minimum trade size for an intraday
system trading that trades the Emini
SP500 with a limit order should be
$30.
A limit order system for the Emini
SP500 is typically going to lose $8 per
trade because of the limit order
handicap. No way around it.
Yes, we can do market order entry and
exit…but those types of systems need a
‘trend day’ type component.
Reply
Cyn AUGUST 24, 2017
Nice write-up, but you have the wrong

description for the Keltner Channels. what
you have described is, in fact, the Bollinger
Bands indicator.
“Keltner Channels are volatility-based
envelopes set above and below an
exponential moving average. This indicator
is similar to Bollinger Bands, which use the
standard deviation to set the bands. Instead
of using the standard deviation, Keltner
Channels use the Average True Range (ATR)
to set channel distance.”
Reply
Emmett Moore AUGUST 24, 2017
Correct! I confused that.

Truth be told, for this system…you can
use pretty much anything that displays
a pullback. Heck, you can buy the low
of the past three bars and get pretty
much the same result! Lol.
Really, its the concept that matters.
Reply
BottomStepTrader AUGUST 25, 2017
“Hyper-convergent Alpha Tooth Fairy” LOL!

hahha…Okay, time to get serious. This was a
great article, unfortunately so many people
try to build systems that are two dimensional
and never factor in data from other
correlated markets. People think correlation
is just for stat arb pairs trading, you don’t
need to be a pairs trader or spreader to use
correlation. Retail do-it-yourself-at-home
trading system builders always ignore

correlation and market context! My question
to you would be what was the 30 Year Bond
or Dow or Russell doing each time you got a
trading signal for this ES scalping system? If
you got a Long signal on the ES did the
Dow’s Long signal just fail or was it
successful? Markets take turns leading and
lagging on a day to day basis. When you
enter a signal NEVER BE FIRST TO THE
PARTY!
Reply
Tom AUGUST 29, 2017
“Don’t Trust anything this guy says” !!

Holy crap .. Dr .Dean sounds like he’s all
sauced up …
Thought you might get a kick out of this ..
https://www.youtube.com/watch?
v=hEUBDJCx7vA&t=321s
Reply
Tiago AUGUST 29, 2017
Excellent article.
I have a question about the VIX filter. Do you
assume that the VIX is down intraday before
entering the trades or do you consider at the
end of the day? If you consider the VIX filter
being down 20% by the end of the day, you
cannot enter on Emini SP500 trades before
this assumption being valid.
How do you deal with this look-ahead bias?
Reply
ImDone SEPTEMBER 12, 2017
Emmett,
I really like your usual content of reviewing
and shaming fraudsters. That’s what you’re
good at and that’s what I’d like to read.
But your trading systems articles have so
many facepalm – moments, which just
expose that you have no idea what you are
doing when it comes to trading. Please stop
that.
First of all, Virtu is doing so well because
they pay for orderflow and are allowed to
execute subpenny trades. If you buy at
10.0001 $ in front of a resting customer
order that sits at 10.00 $ and sell at 10.01 $,
you have a Risk/Reward of 1:99 (not even
factoring in the rebates)
Do that 250.000 times a day and it makes
me wonder why they have a losing day.
This has nothing to do with limit orders!
Second, you are testing a strategy that uses
passive execution, which – if you don’t use
historical data with market by order
resolution – is a huge red flag, since you have
no idea if you actually would have received a
fill in a live market.
If you take this strategy to the live market,
you’d get filled on the losing trades 100%,
but probably only 60-85% of your winning
trades…which you don’t know right now,
because the backtest is flawed.
Third, from 2002 to today, the markets went
through dozens of regimes. From post
DotCom through 2008’s explosion of the
dispersion trade to fully computerised
market making. Can you correlate your
results to those regimes?
I hope you don’t see this post as an insult,

but please stick to what you’re excell and
stop posting bullshit.
Reply
Emmett Moore SEPTEMBER 12, 2017
Facepalming is what I do best. Lol.
Reply
Mike M SEPTEMBER 13, 2017
Emmett,
I appreciate your material and
your willingness to expand
content on this site. I believed you
saved new traders from predators
more times than we can even
fathom.
As far as your trading strategies, I
don’t believe you ever said it was a
plug n play system. I look forward
to reading content that will help
expand the realm of my
knowledge base. As you you stated
before, most of your readers are
not aware of automated strategies.
Any exposure, even if slightly
flawed, will help increase
awareness into back testing
strategies.
Reply
Rob B SEPTEMBER 14, 2017
ImDone,
You are right on the money. As I have
repeatedly stated back testing results
and forward testing in a live market
with real fills is not the same thing.

They have created ETF and other
methods of trading various strategies
and they usually fail when forward
testing. There is a reason for that. I
wish it was so easy to just back test a
strategy and make money by playing it
forward in a Real Market. We would all
be rich. Just something to keep in mind
if one were to chose to trade actual
money using one of these strategies.
Reply
Cyn SEPTEMBER 14, 2017
Here is my friend’s take on that

matter. I agree.
http://ninjatrader.com/support/forum/showthread.php?
p=460318#post460318
Reply
Longshot SEPTEMBER 28, 2018
Exactly. If you want to day trade

profitably, join a high-frequency
trading firm (which is much easier said
than done). While you can mine data
and find simple technical analysis
systems that appear profitable, they
won’t hold up in real time. Executions
are a big problem, but beyond that
systems just won’t hold up over time. If
there’s anything worthwhile about
them, the big firms will figure them
out, optimize them and trade them
with much less cost and friction than
retail traders. Remember, they have the
best minds and algos working 24/7 to
discover and exploit every possible
edge.
Reply
Luiz Carlos OCTOBER 15, 2017
Is there any replacement for VIX, if the asset

or platform does not have it?
Reply
Emmett Moore OCTOBER 16, 2017
You probably have it. But not aware.

Anyway, the VXX works just fine.
Reply
MB B JANUARY 17, 2018
Are you trading this live yourself?
Reply
Kev FEBRUARY 14, 2018
I am struggling to replicate similar results.

First section without the VIX filter is close so
I guess my code for the filter must be
incorrect.
Has anybody on this forum managed to get
similar results?
Reply
Robert McMillan SEPTEMBER 27, 2018
Why could you not trade the original non Vix

system? It’s about 2 trades a day, which for
daytrading is pretty reasonable (maybe even
low).
Reply
Emmett Moore SEPTEMBER 27, 2018
You can. But the key is to trade less,

not more. Put the odds heavily in your
favor, not lightly in your favor.

If you want more trades, then develop
more ‘high quality’ systems. Would you
like to see another short-term strategy,
similar to this blog post?
I try and post research and reviews that
my readers might find interesting.
Reply
Philip SEPTEMBER 29, 2018
“Would you like to see another

short-term strategy, similar to this
blog post?” – yes ofcourse
Emmett. I find your strategy
reviews more interesting than
trading room operators reviews &
I am sure many would agree with
me here as we already know
operators are all scam artists.
Reply
randy JANUARY 31, 2019
Wow that was a loss of 15 minutes of my life.
Reply
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Emini SP500 Scalping Strategy - Trading Schools.Org 29.05.

1 Futures Options Trading

2 Oil Futures Trading

Emini SP500 Scalping: Use the VIX

Statistically Valid ⋆⋆⋆⋆⋆ (5)

Ease Of Use ⋆⋆⋆⋆⋆ (4)

Simple To Master ⋆⋆⋆⋆⋆ (3)

Robustness ⋆⋆⋆⋆⋆ (4)

A simple indicator, combined with a sophisticated (1225)

Emini SP500 futures contract. Axia Futures

1. Inability to execute limit orders.

3. Failing to take a loss.

(1) In my opinion, you cannot ‘scalp’ trade successfully,

Hardly anyone ever talks about the importance of limit

There is a reason why Virtue Financial went 6 years with

Our minds are wired to search for meaning, to search for an

Patternicity worked great for the ancient caveman or the

Instead, rely on hard data. A clearly defined framework of

must verify the authenticity of everything–especially trading

(3) Exits must be built into the strategy. Failing to take a

Let the machine execute the profitable exit. Don’t succumb

Step One: Emini SP500 Futures

session), using only 5-minute bar charts. The following is an

Step Two: Calculate and plot the Midpoint

As prices make new highs and new lows throughout the

The Midpoint is an extremely simple concept to learn. The

Step Three: Define and calculate an entry

However, the pullback must remain above the Midpoint.

Many a charlatan will attempt to sell you some sort of

One of my favorites is the Keltner Channel. Which is

For this strategy, we will plot the Keltner Channel of 6,1.

Looking at the above visual sample, we can see the Midpoint

Once again, there is nothing predictive about the Keltner

indicator and taking its cue from these indicators. Instead,

However, by simple observation, we can see that price tends

So what should we do? We have to test the theory. We have

1. The price of the emini SP500 must be above the

If this is true, then we need to define the point of entry, and

1. Enter a long trade at the low of the Keltner Channel

3. Exit any open trade at the end of the day

The graphic below is what a series of successful trades look

But what about losing trades? When do we take a loss?

1. If the HIGH of any 5-minute bar crosses below the

As we take a quick glance at this equity curve, this tells us

only one thing–that the concept is robust.

However, what about the individual trade metrics? Is this

The key metrics that you need to focus on:

Total Trades: with 7,300+ trades, this is a huge sample

The conclusion is that this ‘scalping system’ is not a viable

In the following section, we are going to add an additional

The Secret Sauce: Adding a VIX volatility

In a prior post, I talked about a scalping strategy for the

In that strategy, we used an obscure volatility indicator

When the VIX is rising, we need to be cautious about

For our following test, we are going to test our Keltner

Instead of taking each and every trade, we only want to take

What happens to performance if the VIX is DOWN intraday,

$ LIVE TRADING ROOMS » % SOFTWARE & MENTORS ' SYSTEMS

Ok, so what are we looking at? This is a graphical display of

Which would I choose? For myself, I would select the

Once again, if the VIX is down 8% intraday, the market is

Ok, so looking at the performance metrics we can see that