Search results

Thanks for following up on this. As I understood it so far, the time stop should also be applied after a confirmed A up ("if the market doesn't move from where you bought it, get out") but I guess it also depends on the situation - and as you write - what the other markets are doing. In such...

Actually I didn't go out where I marked time stop in the chart but once the 5min bar closed below the A up (second blue circle, LX 138.12). Idea was that the market didn't move after I initiated the position (Fisher's bus people analogy), so I exited it.

Attached a bund future (FGBL) trade from today morning. I got the direction right, but was stopped out nevertheless. Market advanced through the pivot range (shaded in gray) and through the A up (green line), long entry @ 138.21. Price went up a bit further and paused afterwards. According...

I'm not quite sure whether margin is the proper denominator when evaluating stuff like that, as with futures the margin typically isn't (or shouldn't be) the limiting factor anyway. Further he uses ATR which includes overnight gaps, but for pure intraday trading, only the intraday range and...

Thanks for the detailed explanation, makes it much clearer now!

Mav, what do you actually mean by "price action trading"? Something a la Al Brooks (e.g. http://www.amazon.com/Trading-Price-Action-Trends-Technical/dp/1118066510/ref=sr_1_1?ie=UTF8&qid=1323957444&sr=8-1), hence chart reading, or something more specific? I often read the term "price action"...

ES touched the support zone of weekly and monthly A down levels at 1166.50 - 1167.50 already a few times so far today.

Hi Shan, a few comments on your project from my side: 1) Edge There are a myriads of hedge funds out there that have erased any possible edge with such simplistic approaches as described by Ernie Chan. He also emphasizes in his book that they are only a starting-point for further research...

ES approaching my daily A down which is 1180 (that's also the area of yesterdays low)

okay thanks!

Hi Mav, I've attached an intraday chart of the ES with the daily A up / down levels you mentioned yesterday.Would you say that ES had a confirmed A down at any point in time, as it traded 15-20min below the A down level?

I guess you have to do the 2nd shift too ;-)

Is there a specific reason why you multiply XLF by 10? The spread looks similar no matter if it's SPY/XLF or SPY/(XLF*10). Or is it just to reflect the relative position size you would trade? Btw, my weekly A down for ES is indeed right in the middle of the range of 1165-1175 you mentioned before

no official link, sent you a pm

Regarding "MF related": CME is liquidating all remaining open positions of MF Global accounts today (and started yesterday)

I don't use thinkorswim so I can't help you on this, but just out of curiosity: Do you calculate the levels in excel and then draw them manually in TOS? That would indeed be very cumbersome, I don't know which scripting language TOS uses but I guess it can't be much harder than e.g...

just to give a follow-up on yesterdays Bund future examples (and also show examples where it didn't work), here's todays action up to now The market again bounced at the A down level, but then broke below it an hour later. Exit point of a possible mean-rev trade should have been after the...

mfbreakout, thanks for providing the MF recommendations which I find quite interesting and honestly a bit surprising. When I'm using my values as outlined above (5 day ATR, multiplier 0.2) the values in 2011 fluctuate between 12 and 48 ticks, average is ~18 ticks. So this means he uses a far...

Yes that's definitely the temptation, looking at a few charts, picking the days where it worked and forgetting about the rest... Bund has had a few nice trend days, also in the charts I posted there were definitely some good trend trading opportunities (A up/down breakouts, 2011/10/05...

Well, yes and no - mean reversion yes, but only within equity indices where I think there's quite a strong mean reversion behavior (intraday and daily up to a few days). On the systematic side FGBL is typically a traditional trend following market for me, both on an intraday as well as daily...