Quote from debdeeps:
Dear Market Exception,
If you are really confident abt your system and also would like to share your system with us then kindly describe your system in detail viz how you calculate the different levels etc.
Thanks,
Dear dbdeeps,
I try to give a summary of how this system works. I start with the levels that you mentioned which is only a very small portion of this system. Most levels are standard support & resistance levels that are widely used. They are calculated as follows:
Pivot = Close + High + Low)
S1 = 2 * Pivot - High
S2 = Pivot - High + Low
S3 = Pivot - 2 * (High - Low)
R1 = 2 * Pivot - Low
R2 = Pivot + High - Low
R3 = Pivot + 2 * (High - Low)
Fibonocci numbers are calculated based of widely used extension coefficients of 1.272 and 1.618
Fib1272_H = Low + (High - Low) * 1.272
Fib1272_L = High - (High - Low) * 1.272
Fib1618_H = Low + (High - Low) * 1.618
Fib1618_L = High - (High - Low) * 1.618
Value areas and point of control are calculated based on market profile. In summary, you count the number of TPO's (Time price opportunities) in different prices and there is a simple algorithm that you can calculate those three values from the array of TPO's.
Market profiles of 5 and 30 minute charts are the most widely used. But I found single tick charts work better for me but there is more work to be done(for the computer of course!)
The levels are only axillary to my system. I use them when possible to adjust my stops and targets.
This system currently has three different types of trades. For each type of trade I have 3 different computer models of the market. SO I have 9 models. I use, VB, C, and python for the programs as appropriate for a particular functionality. I use over 13 years of ES (E-Mini S & P futures) data.
Each of the models generate some tables in excel that suggest the probability of success(along with some other probability related numbers) if the market opens in different areas next day. Up to this point, most of the work is computerized with about 20% manual work. From this point on most of the work is manual.
For each type of trade, I look at 3 sets of tables that its 3 models generated. I place most of the weight on these numbers but I also take into account some technical analysis such as divergences, ADX, raw momentum, relation to certain moving averages, whether the high or the low was made first, the type of the day that is expected to follow and ....... The final result is my manual judgment based on all this (giving about 80% of the weight to the calculated numbers and about 20% on everything else). I take a vote from the three models. Usually if the "YES" vote is on the border line then I look more at other things.
This was a summary of how I generate each trade signal. I see no points of describing the details of my computer models here not that I can not simplify it, but because it is lengthy to describe.
I hope this helped.