ES Volatility Study
- Thread starter aphexcoil
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Aphexcoil,
Good questions!!
Looking forward to your qqq/nq study.
Maybe you could split your study in + and - moves
for the 2 minutes.
Im particulary interested in the expectation of the pricerange
2,4,6,8 minutes after an (more then) average + or -
2 minutes move.
Good questions!!
Looking forward to your qqq/nq study.
Maybe you could split your study in + and - moves
for the 2 minutes.
Im particulary interested in the expectation of the pricerange
2,4,6,8 minutes after an (more then) average + or -
2 minutes move.
dottom,
This isn't an attempt on my part to come up with a trading system. I am just interested in seeing the distribution patterns of volatility for various trading instruments. I was inspired when I noticed what I can only call a "discrepancy" in option prices by running some models on certain stocks over the past 30, 90, 120, 180, etc days.
What I'd like to determine is how volatility can trend like price action and if volatility studies can help with a better way to program trailing stops.
I noticed from my own trading that taking profits too early (or limiting them) and being liberal with losers was bad (that and going against the trend!).
I now am going to follow a system that puts me in the market with a set stop-loss and trails it as price action goes my way. Perhaps studying volatility will help me come up with a better model for programming a computer controlled stop-loss.
This isn't an attempt on my part to come up with a trading system. I am just interested in seeing the distribution patterns of volatility for various trading instruments. I was inspired when I noticed what I can only call a "discrepancy" in option prices by running some models on certain stocks over the past 30, 90, 120, 180, etc days.
What I'd like to determine is how volatility can trend like price action and if volatility studies can help with a better way to program trailing stops.
I noticed from my own trading that taking profits too early (or limiting them) and being liberal with losers was bad (that and going against the trend!).
I now am going to follow a system that puts me in the market with a set stop-loss and trails it as price action goes my way. Perhaps studying volatility will help me come up with a better model for programming a computer controlled stop-loss.
For all tradable market hours for ES, the following apply. The sample was taken from September 23'rd until around noon today.
There were 31,949 1 minute candle bars in the study.
(range) = (number of candles with that range)
0 = 7943
0.25 = 6696
0.5 = 4747
0.75 = 3900
1 = 3235
1.25 = 2276
1.5 = 1478
1.75 = 787
2 = 418
2.25 = 217
2.5 = 124
2.75 = 47
3 = 21
3.25 = 14
3.5 = 9
3.75 = 5
4 = 10
4.25 = 4
4.5 = 0
4.75 = 3
5 = 1
5.25 = 0
5.5 = 1
5.75 = 4
6 = 1
6.25 = 1
6.5 = 0
6.75 = 1
7 = 3
7.25 = 0
7.5 = 1
7.75 = 2
8 = 0
8.25 = 0
8.5 = 0
8.75 = 0
9 = 0
9.25 = 0
9.5 = 0
9.75 = 0
10 = 0
There were 31,949 1 minute candle bars in the study.
(range) = (number of candles with that range)
0 = 7943
0.25 = 6696
0.5 = 4747
0.75 = 3900
1 = 3235
1.25 = 2276
1.5 = 1478
1.75 = 787
2 = 418
2.25 = 217
2.5 = 124
2.75 = 47
3 = 21
3.25 = 14
3.5 = 9
3.75 = 5
4 = 10
4.25 = 4
4.5 = 0
4.75 = 3
5 = 1
5.25 = 0
5.5 = 1
5.75 = 4
6 = 1
6.25 = 1
6.5 = 0
6.75 = 1
7 = 3
7.25 = 0
7.5 = 1
7.75 = 2
8 = 0
8.25 = 0
8.5 = 0
8.75 = 0
9 = 0
9.25 = 0
9.5 = 0
9.75 = 0
10 = 0
Maybe you should calculate the volatility not for 1 or 2 minute bars but 5's so you can see when the most volatile times of the trading day are. Anything can happen in 1 or 2 minutes. It'll probably look like a suspension bridge, with the pillars at the open and close of RTH, similar to volume, and discount the 830 and 10am data release times
Aphie -
Can I make a suggestion? Don't take this as a negative:
Forget all the data collection /analyzation / graphing and just trade your f*cken plan!
You're making a mountain of epic proportions out of an anthill. Moses would have been impressed.
Can I make a suggestion? Don't take this as a negative:
Forget all the data collection /analyzation / graphing and just trade your f*cken plan!
You're making a mountain of epic proportions out of an anthill. Moses would have been impressed.
Aphie, a suggestion:
Take the paper you printed your studies out on and wipe your ass with it, because it's worth shit.
Dude, wake up, how many people have to tell you to stop studying and trade. Seriously, just watch the market, get a feel for it. Shit, I can tell by 9:45 if we're in the chop or not, and I'm pretty new at this. Doing a volitility study is NOT going to make you more profitable.
I think you want the unattainble, you want a system that makes you millions of dollars on 5 grand, and you want to not have to baby ist it, just press the button and walk away. Trust me, it can't be done, the market will evolve and blow you up even if you do get something that works.
I tried doing shit like you're doing, market aribtrage spreads, blah blah blah, the results were worse than my normal trading, which was pretty bad when I was doing that shit. A computer CAN NOT replace me at trading, just get off your ass and trade.
MUChris
P.S. If you're going to quit for three weeks and jerk off to "volitility studies" every time you lose a couple on the ES, this is not for you bro.
Take the paper you printed your studies out on and wipe your ass with it, because it's worth shit.
Dude, wake up, how many people have to tell you to stop studying and trade. Seriously, just watch the market, get a feel for it. Shit, I can tell by 9:45 if we're in the chop or not, and I'm pretty new at this. Doing a volitility study is NOT going to make you more profitable.
I think you want the unattainble, you want a system that makes you millions of dollars on 5 grand, and you want to not have to baby ist it, just press the button and walk away. Trust me, it can't be done, the market will evolve and blow you up even if you do get something that works.
I tried doing shit like you're doing, market aribtrage spreads, blah blah blah, the results were worse than my normal trading, which was pretty bad when I was doing that shit. A computer CAN NOT replace me at trading, just get off your ass and trade.
MUChris
P.S. If you're going to quit for three weeks and jerk off to "volitility studies" every time you lose a couple on the ES, this is not for you bro.
Another useless study. Get over it! There is no magic system. Trading + losing money = learning curve. Once you get through the learning curve and know a little you might make some dough. Forget the egghead approach or better yet, put it on a CD or write a book and sell it to the trader wannabees.
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