ES Journal - 2012
- Thread starter Buy1Sell2
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Okay, so the criteria is this, correct me if I'm wrong-- I'm assuming we're above value at the open:
OPEN > Y-VAH
BAR1.LOW < Y-VAH AND BAR2.LOW < Y-VAH
I am not clear on the criteria for market opening inside value, and then trading outside value, and then trading back in. If it opens inside value, and then trades below the VAL, and then comes back up and trades outside the VAH, and then trades inside for two consecutive 30 minute bars, is this a valid case? Perhaps for simplicity I'll ignore this case, as the criteria are not well defined.
Just to be clear, you are NOT talking about two consecutive ROLLING 30 minute periods, right? Two "normal" (aligned with the clock) 30 minute bars--yes?
Regarding context: when statistics, a very well-defined and exact science, is introduced, then context shouldn't matter. I am a big believer in context, but when you introduce statistics to the equation, you take the context out. In other words, this is a very quantifiable, easy to test hypothesis. It can be coded and defined. When I run the test, the answer will be clear. It will be some percentage, and that will be either less than or greater than 80%. If I find out that based on the last 3 years, it's 60%, then you can't say "well, with context it's 80%" -- it then becomes simply a rule of thumb, and can't be given a percentage. You can say that "in a reasonable context, I feel it is likely that the market will rotate to the opposite side of yesterday's value" but you can't say that it's 80%, if it's not 80%. Just to be clear.
Thanks for the clarification, and I'll try to code this sometime this weekend, probably Sunday evening. I'm sure my girlfriend will just love that.
Yes that was my analysis
A well known vendor made similar claims to what is posted here, thus I am more familiar than I want to be with this concept.One thing I dislike about time-bar based concepts like this (can't really call this a strategy can we?) is that at 10:29 the market could break below yesterday's VAH, trade three ticks below it at 10:30, and then at 10:31 it could shoot right back up, and this is fits the definition given.
The real intention is of course that the market spend time inside yesterday's value, but it uses bar-aligned time periods instead of rolling time periods. I believe in the market's acceptance of price and value based on volume and time both, however, using a time bar for this particular case seems a bit numb brained to me.
Granted, this idea came from some of the old days of MP, I think, back when the 30 minute period was king, and when the market was quite a different animal. My intention, by the way, is not to trash this method as it is conceptually sound and given the right context, as Max mentioned, it is probably a good little tool to have. But enough with claims of X% if it's not testable with specific rules. If you ever hear me saying "XYZ will happen A% of the time" without providing a data set, please call me on it.
I think Larry Levin talks about it as well. Been awhile since i read his rules but sounds pretty similar.
Quote from JoshDance:
Yes that was my analysis
One thing I dislike about time-bar based concepts like this (can't really call this a strategy can we?) is that at 10:29 the market could break below yesterday's VAH, trade three ticks below it at 10:30, and then at 10:31 it could shoot right back up, and this is fits the definition given.
The real intention is of course that the market spend time inside yesterday's value, but it uses bar-aligned time periods instead of rolling time periods. I believe in the market's acceptance of price and value based on volume and time both, however, using a time bar for this particular case seems a bit numb brained to me.
Haha - great work there Josh in debunking the myth. Yes your logic is correct. Btw, I will name the vendor - Larry is one of the classic scamsters - and he also manages to get time on TV - thats amazing. Guys running bloomberg and cnbc are not ignorant that they don't see the garbage that Larry throws around everyday. But they realize that masses - looking at stock market or novice trades trading ESs will be very pleased to hear someone directly from pits reporting. Capitalism at its worst.
Back in the day when I was in grad school, I had subscribed to his free daily newsletter and it was pure garbage - nothing of use there at all. His operation is just selling courses and fooling public. I think he charges 5k per person, 100 persons per year, means 500k income and 500 persons per year means 2.5 mm income. He has hired a guy for maybe 2 grands a month to just call people and take them through their software (which he recommends and gets a piece from its subscription also) and smooth talk people into subscribing with him.
I normally don't write bad things about anyone - but about mf Larry - I wasted at least 10 hours of my life looking at those useless emails he sends everyday morning. I really want to give it back to the guy. At least my basic intelligence and ability to smell BS helped me that I didn't paid him even one dollar of my money.
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