ES Journal Archive (2006 - 2008)
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Hi Michael,
I have come across this thread http://www.elitetrader.com/vb/showthread.php?s=&threadid=67298&perpage=6&pagenumber=1 where views have been posted about TICK by people that use/have used it, as you will see the GENERAL consensus leads to believe that it is an unreliable stand alone indicator as to entry/exit points, though some traders manage to use it successfully. I personally did not see any positive relation between TICK and ES price action to follow, when it did work is at the time of extreme levels being reached in ES (@ 900-1000 levels in TICK), but to be honest with you THEN it becomes a matter of preference, personally I would rather use T&S in ES, rather than TICK, but that would be my opinion on the matter.
Romik
EDIT: I also have to mention that I agree with George on a point he raised previously that the more indicators you use the more complex decision making becomes, you look at one indicator and it says "great entry here", you check it against another one it says "not quite there yet", check the third one "nowhere near yet". Therefore, though all indicators are common, they are used in different financial instruments and different time frames, making them some what unreliable the shorter the time frame used, on the other hand longer time frames can put one in a trade too late. I am more and more interested in finding a system like Spike's, which can determine a great high probability entry at market open, but it looks like it would take a while. In the meantime I would still have my 1-3 points a day.
I have come across this thread http://www.elitetrader.com/vb/showthread.php?s=&threadid=67298&perpage=6&pagenumber=1 where views have been posted about TICK by people that use/have used it, as you will see the GENERAL consensus leads to believe that it is an unreliable stand alone indicator as to entry/exit points, though some traders manage to use it successfully. I personally did not see any positive relation between TICK and ES price action to follow, when it did work is at the time of extreme levels being reached in ES (@ 900-1000 levels in TICK), but to be honest with you THEN it becomes a matter of preference, personally I would rather use T&S in ES, rather than TICK, but that would be my opinion on the matter.
Romik
EDIT: I also have to mention that I agree with George on a point he raised previously that the more indicators you use the more complex decision making becomes, you look at one indicator and it says "great entry here", you check it against another one it says "not quite there yet", check the third one "nowhere near yet". Therefore, though all indicators are common, they are used in different financial instruments and different time frames, making them some what unreliable the shorter the time frame used, on the other hand longer time frames can put one in a trade too late. I am more and more interested in finding a system like Spike's, which can determine a great high probability entry at market open, but it looks like it would take a while. In the meantime I would still have my 1-3 points a day.
@Romik,
I would like to post such a chart, but I have some issues to include TICK in my datafeed for TS, I use metaserver and excel and for any reason the name is not supported, this construction worked fine for me and i have no costs for datafeed, but i have to change sometimes to better solutions..
Cause I don`t use timecharts for discrete this was no prob for me, cause you can not mix symbols by not using fixed timecharts...
And yes, just using this fixed levels of TICK is not always good, I think that there must be some caution in a strong, more linear trend, here it is a good idea to wait for divergence, i.e. lower peak in TICK, higher peak in price, for going short. In a more rangebound and back and forth trading environment you can often blindly go with the TICK-extremes. That`s my subjectiv observation so far, I still have to look deeper in TICK. I take it as confirmation for my other signals, if not used for entries it seems a good idea to take at least partial profits at extremes.
@xxxskiers, may be you have some more details for us how you are using TICK, TRIN I look at, but yesterday I found it useless, just don`t want to fight extrem bull and bear levels in TRIN, A/D is not part of my datafeed :-(
here are links I found interesting about...cause the TICK does display the thousands of titles on the NYSE, it does not fit always to trade the ES i.e. here a solution...
http://newsletter.neoticker.com/?p=112
some general info about using...
http://www.daytradingcoach.com/daytrading-free-educationticktrin.htm
I would like to post such a chart, but I have some issues to include TICK in my datafeed for TS, I use metaserver and excel and for any reason the name is not supported, this construction worked fine for me and i have no costs for datafeed, but i have to change sometimes to better solutions..
Cause I don`t use timecharts for discrete this was no prob for me, cause you can not mix symbols by not using fixed timecharts...
And yes, just using this fixed levels of TICK is not always good, I think that there must be some caution in a strong, more linear trend, here it is a good idea to wait for divergence, i.e. lower peak in TICK, higher peak in price, for going short. In a more rangebound and back and forth trading environment you can often blindly go with the TICK-extremes. That`s my subjectiv observation so far, I still have to look deeper in TICK. I take it as confirmation for my other signals, if not used for entries it seems a good idea to take at least partial profits at extremes.
@xxxskiers, may be you have some more details for us how you are using TICK, TRIN I look at, but yesterday I found it useless, just don`t want to fight extrem bull and bear levels in TRIN, A/D is not part of my datafeed :-(
here are links I found interesting about...cause the TICK does display the thousands of titles on the NYSE, it does not fit always to trade the ES i.e. here a solution...
http://newsletter.neoticker.com/?p=112
some general info about using...
http://www.daytradingcoach.com/daytrading-free-educationticktrin.htm
@Romik,
I get completely confused by many indicators, makes no sense using a lot, at least if all based on price...The TICK is different here, cause it gives you other not price based information.
I need it very clear and very often I switch off all indicators, I can not trade by watching 3-4 indicators, the more easy the chart is readable, the better and faster you can do your tradingdecisions. I work more and more on some kind of digital indicators, just red or green, trade or not to trade, no guessing about the meaning of shapes and curves of anything, just right or wrong condition.
I get completely confused by many indicators, makes no sense using a lot, at least if all based on price...The TICK is different here, cause it gives you other not price based information.
I need it very clear and very often I switch off all indicators, I can not trade by watching 3-4 indicators, the more easy the chart is readable, the better and faster you can do your tradingdecisions. I work more and more on some kind of digital indicators, just red or green, trade or not to trade, no guessing about the meaning of shapes and curves of anything, just right or wrong condition.
Michael, couldn't do me (maybe will be useful to others as well) a BIG favour by testing MACD pre-open in relation to market direction after market opens using standard settings 12,26,9 with stops of 3 points. I have manually checked the last 2 months charts on ES and when during pre-market hours there is a cross-over between MACD and 9 day EMA that seems to indicate the direction the market would take during the first 3 hours after opening. Entry point @ 9.45 EST.
Maybe you could post the equity chart, like you did previously and perhaps it would show better results with wider stops. If you have time, I would appreciate it.
Romik
Maybe you could post the equity chart, like you did previously and perhaps it would show better results with wider stops. If you have time, I would appreciate it.
Romik
Here i meet a problem, I normally collect only open market data, but start my application often earlier, i just switched the sessiontime of the ES 3 hours earlier in Globalserver and found I have often data much earlier but not very constant, so the results would not be too meaningfull cause i miss the premarket data in ~30%, on what timeframe should that be? 5 Min?
Interesting in every case, I have not yet good ideas around opening or trading gaps. If I find out something i will post it.
I can give you 24 hours data for the ES for the last 6 or 9 months in 1 minute bars.
Let me know the format if interested.
OK....I found some probs using the MACD, cause from which degree of crossover/distance of the 2 lines is this meaningful? A somewhat easier to code solution was the use of rateofchange, I want to have the rateofchange some minimum triggeramount in the positive or negative 5 min prior open to define a positive or negative premarket action. So far my data are useable, I found out the following: Yes, this seems to be tradeable, I used simply a marketorder at 0945, simply a fixed stopsize the same as the fixed profittarget or exit at 1130.
It seems to be a marketbehavior not working all the time cause negative results in 2004, i expect this working more better in calm times, not so good in high vola, but that`s just opinion. Next it`s not good having a gap in tradingdirection, a gap under for long is ok, but a gap up for long is bad.
So this is not yet a strategy, cause the simple exits.
Best results were with 6 points Stop/target, but this could be different with other exits.
First here an equitychart
@spike, i post the code later, so you can test it yourself with your data and give us your results, you are using TS or?
It seems to be a marketbehavior not working all the time cause negative results in 2004, i expect this working more better in calm times, not so good in high vola, but that`s just opinion. Next it`s not good having a gap in tradingdirection, a gap under for long is ok, but a gap up for long is bad.
So this is not yet a strategy, cause the simple exits.
Best results were with 6 points Stop/target, but this could be different with other exits.
First here an equitychart
@spike, i post the code later, so you can test it yourself with your data and give us your results, you are using TS or?
Input:Length(10), N(0.1), Stopsize(3), EXtime(1130), Gap(2);
Vars:todaysopen(0);
If time = 0925 then begin
condition1 = RateofChange(close, Length)> N;
condition2 = RateofChange(close, Length)< -N;
end;
if time = 0930 then begin
todaysopen = open;
end;
condition3 = todaysopen- closed(1) < Gap;
condition4 = closed(1) - todaysopen < Gap;
if time = 0940 and condition1 and condition3 then buy at market;
if time = 0940 and condition2 and condition4 then sell at market;
if time = EXtime then exitlong;
if time = EXtime then exitshort;
if barssinceentry > 1 then begin
exitlong at entryprice - Stopsize stop;
exitshort at entryprice + Stopsize stop;
exitlong at entryprice + Stopsize limit;
exitshort at entryprice - Stopsize limit;
end;
Vars:todaysopen(0);
If time = 0925 then begin
condition1 = RateofChange(close, Length)> N;
condition2 = RateofChange(close, Length)< -N;
end;
if time = 0930 then begin
todaysopen = open;
end;
condition3 = todaysopen- closed(1) < Gap;
condition4 = closed(1) - todaysopen < Gap;
if time = 0940 and condition1 and condition3 then buy at market;
if time = 0940 and condition2 and condition4 then sell at market;
if time = EXtime then exitlong;
if time = EXtime then exitshort;
if barssinceentry > 1 then begin
exitlong at entryprice - Stopsize stop;
exitshort at entryprice + Stopsize stop;
exitlong at entryprice + Stopsize limit;
exitshort at entryprice - Stopsize limit;
end;
Quote from tradingclueles:
hey guys i m just a beginner this is my first week and i have no idea on what to be doing while trading. cant tell when to go long or short i m absolutely clueless.any opinions what is it gonna do tomorrow.
Tradingclue;
Can take years, but get some helpful clues from weekly[5 day chart.] Its downtrending, even with gap up this mourning.
And like Spike 500 says, dont fight unbelievers.
So while ES may go up past 1313, ,longer trends favor that;
well researched plan is more important than an opinion. Weekly ES trend is still down.
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