SiMSCI
Introduction to SiMSCI Futures
With Singapore stock index futures, investors can trade the world’s stock market without buying a single stock. How? By simply buying a Stock Index Futures Contract instead.
What is Stock Index Futures?
A stock index is a performance benchmark of a stock market. It measures the performance of a selected basket of stocks which represents the performance of the whole stock market.
For instance, the MSCI (Morgan Stanley Capital International) Singapore Index or SiMSCI comprises of 32 Singapore stocks (Mostly are so-called Blue-chip).
So when you buy one Singapore Index Futures Contract, you are buying a contract with its value and price movements linked to the price movements of a basket of 32 stocks represented in the Singapore Index.
The value of the Singapore Index Futures Contract is calculated by using the index price traded at SGX-DT multiplied by S$200, that is, 1 index point is equivalent to S$200 in value.
If the index price traded is 150 index points, then the value or size of the Singapore Index Futures Contract bought or sold is S$30,000.
When you buy a Singapore Index Futures Contract you make a profit of S$200 for every point that the index moves in your favour (index rises) and you lose S$200 for every point the index move against you (index falls).
The reverse occurs when you sell a Singapore Index Futures Contract.
Traded Record for SiMSCI Futures
Today onward, we will post on methods we set up for SIMSCI Futures trading. This shall including risk measurement, position entry, stop order & etc.
*Please always remember that our post is for personal trading record only. We shall hold no responsibility for any profits or losses occurred if readers are trading base on our post.
Example for Trade Set-Up
1) Assume SiMSCI (May 2011 contract) close at 371.9 point (on 29 Apr 2011).
2) Identify sell signal (position opening).
- To identify which exact point is the sell point to enter position, we need a “try & error” method by entering tomorrow simulated data into graph creation. When 6 out of 11 indicators (refer indicators table list) shown down signal from positive region, that point shall considered as selling point. Once entry point is defined (370.4 in this case), we can put a sell stop order at 370.4 before market open to initiate a short position.
3) Identify cut loss point.
- After identify the entry point we take 0.1 point higher than recent high (or low for long position) as cut loss point. In this case, 377.1 is recent high, so we put a buy stop at 377.2. If 377.2 triggered after we opened short position, then the short position shall be closed.
4) Identify position sizes.
- Let say 377.2 is the cut loss point in this case. The different between entry & cut-loss point are 10.8. It is equal to 10.8 x $200 = $2,160. Assume we have 50k as starting capital. 5% risk taken is about $2,500. Since $2,160 are close to $2,500 therefore, only 1 contract to be initiated.
5) There are 2 scenarios after a position was initiated.
- CASE A
- Taking above set up as example. When short position opened at 370.4, we will first take recent high+0.1point as cut loss point. If let say the cut loss point is triggered at the time where profits are not yet cross beyond 5 points (in this case is 365.4), then this short position shall considered closed. Since this is a trend trading system then we must immediately initiate a counter-position (long in this case) with position size defined as above mentioned.
- CASE B
- Taking above set up as example again. This time we will consider 5 points as reference point for start using indicators filtering system. Assume after short position opened at 370.4 and cut loss point never triggered. When profits start to cross over 5 points (in this case is 365.4), then it is time to use 11 indicators filtering system to replace initial cut loss point. In another word, when index reach 365.4, we will use “try & error” method to find out 6 out 11indicators whereby when shown up signal from negative region, that point shall considered as cut loss point (or sometime profit taking point). Since this is a trend trading system then we must immediately initiate a counter-position (long in this case) with position size defined as above mentioned.
Indicators and Parameters
| 1) 2 & 9 days EMA | : | Buy when 2day EMA line cross up 9day EMA & vice versa. |
| 2) CCI (7) | : | 0 as reference point. Buy when cross above 0 & vice versa. |
| 3) Chande Momentum Osc (6) | : | 0 as reference point. Buy when line cross above 0 & vice versa. |
| 4) Directional Movement +DI & -DI (3) | : | Buy when +ve line cross up -ve line & vice versa. |
| 5) Ease of Movement Exponential (6) | : | 0 as reference point. Buy when line cross above 0 & vice versa. |
| 6) Linear Regression Slope (6) | : | 0 as reference point. Buy when line cross above 0 & vice versa. |
| 7) MACD (signal time 8) | : | Buy when fast line cross above slow line & vice versa. |
| 8) Stochastic (5,3,3) | : | Buy when fast line cross above slow line & vice versa. |
| 9) RSI (4) | : | 50 as reference point. Buy when line cross above 50 & vice versa. |
| 10) 3 & 5 day EMA | : | Buy when 3day EMA line cross up 5day EMA & vice versa. |
| 11) William %R (8) | : | Take -50 as reference point. Buy when line cross above -50(>-50) & vice versa. |
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