ES Journal - 2019/2020

[speedo]

Can somebody take a screenshot of the page where it was mentioned?
That would end the discussion.

trove. Perhaps breaking the day up into finer segments might enable the
team to dissect intraday pricing information and unearth new, undetected
patterns. Laufer began splitting the day in half, then into quarters,
eventually deciding five-minute bars were the ideal way to carve things up.
Crucially, Straus now had access to improved computer-processing power,
making it easier for Laufer to compare small slices of historic data. Did the
188th five-minute bar in the cocoa-futures market regularly fall on days
investors got nervous, while bar 199 usually rebounded? Perhaps bar 50 in
the gold market saw strong buying on days investors worried about inflation
but bar 63 often showed weakness?
Laufer’s five-minute bars gave the team the ability to identify new
trends, oddities, and other phenomena, or, in their parlance, nonrandom
trading effects. Straus and others conducted tests to ensure they hadn’t
mined so deeply into their data that they had arrived at bogus trading
strategies, but many of the new signals seemed to hold up.
It was as if the Medallion team had donned glasses for the first time,
seeing the market anew. One early discovery: Certain trading bands from
Friday morning’s action had the uncanny ability to predict bands later that
same afternoon, nearer to the close of trading. Laufer’s work also showed
that, if markets moved higher late in a day, it often paid to buy futures....page 135

 

[virtusa]

trove. Perhaps breaking the day up into finer segments might enable the
team to dissect intraday pricing information and unearth new, undetected
patterns. Laufer began splitting the day in half, then into quarters,
eventually deciding five-minute bars were the ideal way to carve things up.
Crucially, Straus now had access to improved computer-processing power,
making it easier for Laufer to compare small slices of historic data. Did the
188th five-minute bar in the cocoa-futures market regularly fall on days
investors got nervous, while bar 199 usually rebounded? Perhaps bar 50 in
the gold market saw strong buying on days investors worried about inflation
but bar 63 often showed weakness?
Laufer’s five-minute bars gave the team the ability to identify new
trends, oddities, and other phenomena, or, in their parlance, nonrandom
trading effects. Straus and others conducted tests to ensure they hadn’t
mined so deeply into their data that they had arrived at bogus trading
strategies, but many of the new signals seemed to hold up.
It was as if the Medallion team had donned glasses for the first time,
seeing the market anew. One early discovery: Certain trading bands from
Friday morning’s action had the uncanny ability to predict bands later that
same afternoon, nearer to the close of trading. Laufer’s work also showed
that, if markets moved higher late in a day, it often paid to buy futures....page 135

...eventually deciding five-minute bars were the ideal way to carve things up....

...
Laufer’s five-minute bars gave the team the ability to identify new
trends, oddities, and other phenomena, or, in their parlance, nonrandom
trading effects.
Laufer’s five-minute bars gave the team the ability to identify new
trends, oddities, and other phenomena, or, in their parlance, nonrandom
trading effects....

 

[speedo]

...eventually deciding five-minute bars were the ideal way to carve things up....

...
Laufer’s five-minute bars gave the team the ability to identify new
trends, oddities, and other phenomena, or, in their parlance, nonrandom
trading effects.
Laufer’s five-minute bars gave the team the ability to identify new
trends, oddities, and other phenomena, or, in their parlance, nonrandom
trading effects....

And that was a group of mathematicians and scientists with no prior technical biases. They simply ran and analyzed the data and that was their conclusion. They of course went on to become the largest and most successful hedge fund of all time.

 

[Huyang]

I did plan to buy the book, but have not done it yet. After reading you guys' thoughts, i just purchased it, one of examples to demonstrate the value of all of you who have taken your precious time to share your insight and experience. Thank you.

 

[themickey]

This place is a fucking idiotfest.

I had to go into stealth mode to see who you were replying to, incase it truly was an idiot whom was on my block list, but alas, no idiot to be seen.
Speedo, who or what are you talking about?

 

[Laissez Faire]

Since it seems to be a hard point to grasp for some let me once again state that quants generally do not concern themselves with charts.

The breakthrough described in the book was simply the result of increased granularity going from splitting the day into 30-minute intervals and going down to the 5-minute interval. This was in the late 80s/early 90s and data and platforms were NOT as readily available as today. Far from it. I'm sure they moved beyond the 5-minute interval since then as from what I've learned they do high frequency stuff, too.

A 5-minute bar is nothing more than the Open/High/Low/Close over a 5 minute interval. A chart is merely the visualization of this data. That's all there is to it.

When data is put in tables that's when the real analysis can start. Not to mention that there's many other numbers to derive than mere OHLC numbers for proper context and analysis.

Speedo seems to want to take the mystery out of algorithms and claim they're mostly based on simple price action observations - then references the most successful (and secretive) quantitative fund in history where the founder was a brilliant mathematician who went on to build a team of scientists and great minds to solve the markets.

I don't think Al Brooks was hired. LOL.

 

[snowman80]

so jim simons’ secret was the 5 min chart?

i knew it!!!

 

[tiddlywinks]

A 5-minute bar is nothing more than the Open/High/Low/Close over a 5 minute interval. A chart is merely the visualization of this data. That's all there is to it.

That is correct. Technically however, market data is a continuous stream. The choice to "bundle" the data is just that, a choice. Time is one form of data bundle interval. It is up to the trader to give meaning and purpose to the data bundle if used, in relation to the continuous data stream of bid, ask, last, and volume. OHLC does not exist without use of a data bundle.

 

[vanzandt]

I had to go into stealth mode to see who you were replying to, incase it truly was an idiot whom was on my block list, but alas, no idiot to be seen.
Speedo, who or what are you talking about?
View attachment 239432

I always (jokingly) call you a Kangaroo.... but I forgot about the Dingo's.
You got a bunch of weird animals down there.
Are these things mean?
We have wolves and coyotes... coyotes will take out a domestic dog (they attack in packs) if they're so inclined.
I mean for real, coyotes can be a problem.

From now on... depending on your bias as I see it.... you will be designated a Dingo or a Kangaroo.

VZ knows all.


Cute little things...

 

[vanzandt]

I'm going full Dingo on any ath's.....
... for the record.