PRESENT
1
Materials in this presentation are covered under current United States and
international copyright laws. NO PORTION OF THIS PRESENTATION MAY BE
REPRODUCED WITHOUT THE WRITTEN PERMISSION OF THE AUTHOR.
You can be notified when these books are available by contacting Daniel Gramza.
CME, the globe logo and E-mini are trademarks of Chicago Mercantile Exchange, Inc.
All other marks are the property of their respective owners.
2
Building Your E-mini Trading Strategy
F e b -0 5
0
50,000
100,000
150,000
200,000
250,000
300,000
350,000
400,000
Aug
- 99
Oc t -
99
Dec
-9 9
Fe b
-0 0
A pr
-00
Jun
-00
Aug
- 00
Oc t -
00
Dec
-0 0
Fe b
-0 1
A pr
-01
Jun
-01
Aug
- 01
Oc t -
01
Dec
-0 1
Fe b
-0 2
A pr
-02
Jun
-02
Aug
- 02
Oc t -
02
Dec
-0 2
Fe b
-0 3
A pr
-03
Jun
-03
Aug
- 03
Oc t -
03
Dec
-0 3
Fe b
-0 4
A pr
-04
Jun
-04
Aug
- 04
Oc t -
04
Dec
-0 4
Fe b
Increasing Volume = Increasing Product Acceptance
-0 5
CME E-mini NASDAQ-100® Futures Average Daily Volume
A pr
-05
OPTIONS on CME E-mini™ S&P 500® Futures Average Daily Volume
14000
12000
10000
8000
6000
4000
2000
0
Apr-03
Aug-03
Apr-04
Aug-04
Feb-03
Jun-03
Oct-03
Feb-04
Jun-04
Dec-03
Oct-04
Feb-05
Dec-04
4/30/2005
7
0
20000
40000
60000
80000
100000
120000
140000
160000
Ja n -0 3
Fe b -0 3
M a r-0 3
Ap r-0 3
M a y-0 3
Ju n -0 3
Ju l-0 3
Au g -0 3
Se p -0 3
Oct-0 3
N o v-0 3
D e c-0 3
Ja n -0 4
Fe b -0 4
M a r-0 4
Ap r-0 4
M a y-0 4
Ju n -0 4
Ju l-0 4
Au g -0 4
Se p -0 4
Oct-0 4
N o v-0 4
D e c-0 4
Ja n -0 5
Fe b -0 5
3 /3 1 /2 0 0 5
4 /3 0 /2 0 0 5
Increasing Open Interest = Increasing Product Commitment
8
OPTIONS on CME E-mini™ S&P 500® Futures Month End Open Interest:
CME and Growth of Electronic Trading
Increasing Volume = Increasing Product Acceptance
Average Daily Volume by Year
1,500,000
1,400,000
1,300,000
1,200,000
1,100,000
1,000,000
900,000
800,000
700,000
600,000
500,000
400,000
300,000
200,000
100,000
0
1992
1993
1994
1995
1996
1997
1998
1999
2000
2001
2002
2003
2004
9
Why Trade CME E-mini™ Futures?
• Easy access
• Highly liquid
• Leverage
12
How are E-Mini S&P 500 profits and losses calculated?
1301.00
$12.50
1300.75
$12.50
1300.50 $50.00
$12.50
1300.25
$12.50
1300.00
1401.00
$10.00
1400.50 $20.00
$10.00
1400.00
0
50,000
100,000
150,000
200,000
250,000
300,000
Ap
r- 0
0
Ju
l- 0
0
Oc
t- 0
0
Ja
n -0
1
Ap
r- 0
1
Ju
l- 0
1
Oc
t- 0
1
Ja
n -0
2
Ap
r- 0
2
Ju
l- 0
2
Oc
t- 0
2
Ja
n -0
3
Ap
r- 0
3
Ju
l- 0
3
Oc
t- 0
3
Ja
n -0
4
Ap
r- 0
4
Ju
l- 0
4
CME eFX Futures Average Daily Volume
Oc
t- 0
4
Ja
n -0
5
Increasing Volume = Increasing Product Acceptance
Ap
r- 0
17
5
TRADING CME FX FUTURES
Easy access
Highly liquid
Segregated accounts
1.3400
$12.50
1.3399
1.3302 $1,250.00
$12.50
1.3301
$12.50
1.3300
1.3400
$6.25
1.3399
1.3302 $625.00
$6.25
1.3301
$6.25
1.3300
• Scalping
• Swing trading
• Position trading
Available to trade
Trading approach
Trading technology
• Fundamental
• Technical
Technical traders trade the reaction to
fundamentals.
• Trend Analysis
swing high
swing low
Close
Close
Buy
swing low
swing high
swing low
Close
swing high
Sell
Close
Close
Buy
swing low
Buying Body
Selling Body
High
Selling Shadow
Close Open
Buying Body
Selling Body
Open Close
Buying Shadow
Low
Gramza Capital Management, Inc. 40
Japanese Candle Shadow Development
45 min Candle
High
Selling Shadow
Close
Buying Body
Open
Buying Shadow
Low
Selling Body
Last Last
Buying Shadow Buying Body
Low
Low
Open
Buying
Selling Body
Body
Buying Shadow
Low
Open
Selling Body Buying Body
Buying Shadow
Low
Gramza Capital Management, Inc. 46
Japanese Candle Shadow Development (Cont’d)
45 min Candle 15 min Candle
High
Open
Selling Body Buying Body
Buying Shadow
Low
Gramza Capital Management, Inc. 47
Candle Pattern Development
5. Confirmation
1. Lead up
4. Follow Through
3. Trigger Price
2. Set Up
• Other sectors
Could result in or
or or
5. Confirmation
1. Lead up
4. Follow Through
3. Trigger Price
2. Set Up
For example:
is typical magnitude of
confirmation?
A. Trade entry
B. Sell 1st
Lower Low
greater
B. Trade exit than 2 ticks
Sell 1214.00
Buy 1206.00
Profit = 8.00
Heat = 1.50
No Heat
Heat Level = 1282.50
Sell 1214.00
Profit = 8.00
Buy 1206.00
Heat .50
Profit = 7.25
Buy 1172.75
Profit = 4.25
Buy 1201.00
Heat .50
Heat = 1.50
No Heat
Heat Level = 1282.50
For example: Lowest value to the highest value of heat is 0.25 to 1.75.
What is the frequency of the heat values?
Are there distribution ?
.25 .50 .75 1.00 1.25 1.50 1.75
IIIII IIIII IIIII IIIII IIIII I II
IIIII IIIII IIIII IIIII III
IIIII IIIII IIIII IIIII
IIIII
1. Trade
2. Trade
3. Trade
4. Trade
• Profit and Loss
• Yourself
5. Monitor above categories:
Where am I the ?
Where am I the ?
• Is this on target?
• Is this on target?
• What type of trade were you doing when you felt the
“best” trading?
• What type of trade were you doing when you felt the
“worst” trading?
• What storm?
Storm = Markets
= Trading
= Others
= Yourself
You consciously recognize that you have done all you can,
and it is now up to the situation to complete itself.
The situation is not under your control and you are not
going to waste your energy on unproductive thoughts.
You have
identified a trade,
executed your order to enter the trade,
You will either make money or lose money, and what you
do control is how you react to the outcome.
Gramza Capital Management, Inc. 116
Remember, it is always within
your power to change.
Visualization exercises.
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