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View Full Version : How to use the Breakout Calculator with the e-mini



Pascal
02-03-2015, 08:59 AM
I have been asked how to combine the futures to the Breakout Calculator.

The response is simple: you cannot! The futures have their own way of reacting to daily moves, mostly because of leverage and the time decay.

However, it is possible to use the BC to analyse an index and depending on the level of the index, to take positions on the futures.

For example, for the S&P500, the ticker on Yahoo is "^GSPC".
Let's study trades that consist into buying oversold conditions!

We can see below that for the past three years, the S&P500 has been in a strong uptrend. Hence, buying oversold conditions have led to a positive R/R ratio.

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However, the past 3 years are not representative of the current choppy conditions.
Hence, we should limit ourselves at studying the past 130 days.

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We can see that in the past 130 days, buying oversold situations carried a positive R/R ratio.

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The most interesting for futures traders is to look at the cash levels at which it is interesting to buy the S&P500.
We can see below that stats of the past 130 days tell us that buying the S&P500 above 1983.55 would not have been a good idea (equivalent of 1.5% below the 5MA)

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The analysis of the number of holding days tell us that such an oversold trade should be kept for maximum three days.

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What about shorting Overbought Conditions?

We can see that shorting 2% above the 5MA does not generate a R/R higher than 1.

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Moreover, we can see that the best shorting area is a bounce not higher than 0.5% above the 5MA

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With this information, we can set the Buy/Short zone areas for today.

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