Ideas for struggling traders

Here is the next chart. I didn't trade it but I hope you can see what the setup is

On the re-test, we see a doji and entry on the next candle open at 1256.50 would have been profitable. Price moved up to a high at 1261.75. If I had entered here I would have taken 5 of the possible 5.25 points.

I hope this helps Fifo

Good luck
Steve
 

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Steve,

It would be very interesting to know what type of analysis you perform with distributions of price changes ("jumps").

Here's what I did: I took 1 min intraday data of 02/28/2002 ES and processed it with Excel so that I have rolling price "jump" distribution of past 40 minutes. To see how it looks like, take a look at the attachment.

Distribution changes over time (i.e. non-stationarity). As can be seen in the second attachment, where distributions at 8:30 and 9:30 were taken (session opens at 7:30 in this data).

Now the next important thing is to figure out what to do with this information. I am thinking of writing some software so I can track statistically significant changes in distribution comparing new distribution with previous one every minute. It could be done, for example, with chi-square goodness of fit test. Do you do anything similar? If you're not willing to answer, I will understand.
 

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Indrionas

What you have there is what I (and many others) call a "detrended" data series. When you translate from absolute numbers to "jumps" what you are doing is detrending a series.

What you do with is actually pretty simple. Using Excel, you can test the distribution of "jumps" to determine whether the series is "stationary" or not. Also if you have the skills to do so, you can further process the data to find temporal "windows" where price displays non-random and (possibly) predictable behavior.

A pretty good discription of the techniques for this is found in the textbook by Clifford Sherry titled "The Mathematics of Technical Analysis"....It is not aimed at struggling traders, and to get much out of it you will need to have some advanced math background. It does however deal with the question you asked in great detail.

Also in my own previous posts I give detailed instructions for detrending and processing intraday data (taken from Sherry's work)..

I hope this helps.

Steve

P.S. just by visual examination I can tell you that the 2nd example you posted is not random. If there is interest I may start another thread for those with some background in processing intraday data.
 
Quote from steve46:

Indrionas

What you have there is what I (and many others) call a "detrended" data series. When you translate from absolute numbers to "jumps" what you are doing is detrending a series.

What you do with is actually pretty simple. Using Excel, you can test the distribution of "jumps" to determine whether the series is "stationary" or not. Also if you have the skills to do so, you can further process the data to find temporal "windows" where price displays non-random and (possibly) predictable behavior.

A pretty good discription of the techniques for this is found in the textbook by Clifford Sherry titled "The Mathematics of Technical Analysis"....It is not aimed at struggling traders, and to get much out of it you will need to have some advanced math background. It does however deal with the question you asked in great detail.

Also in my own previous posts I give detailed instructions for detrending and processing intraday data (taken from Sherry's work)..

I hope this helps.

Steve
More...

Steve, thanks for response.

I have read all S&C magazine articles by Sherry that were written before he released the book. I believe the book material is largely based on these articles http://search.traders.com/Tanalysis....SearchText=sherry&.SearchArea=All&.andor=all

But probably articles only is not enough...



P.S. just by visual examination I can tell you that the 2nd example you posted is not random. If there is interest I may start another thread for those with some background in processing intraday data.
More...

That would be greatly appreciated. I'm sure me and other folks who are interested in objective analysis would be interested in such discussion.
 
That would be greatly appreciated. I'm sure me and other folks who are interested in objective analysis would be interested in such discussion. [/B][/QUOTE]

I too would be interested in such a discussion.
 
Hi Steve,

Can you explain what setting you use to create the blue and white line and do you use them for overall trend analysis?

Thanks,

Quote from steve46:

Here is the next chart. I didn't trade it but I hope you can see what the setup is

On the re-test, we see a doji and entry on the next candle open at 1256.50 would have been profitable. Price moved up to a high at 1261.75. If I had entered here I would have taken 5 of the possible 5.25 points.

I hope this helps Fifo

Good luck
Steve
More...
 
Quote from oraclewizard77:

Hi Steve,

Can you explain what setting you use to create the blue and white line and do you use them for overall trend analysis?

Thanks,
More...

Yes, those are moving averages. The charts are Esignal and the blue is an 80 period weighted moving average, the white is a 200 period weighted moving average. Notice also that the charts are 24 hour charts set to EST (local time in New York). This is important in order to get an accurate read on the data.

As far as determining trend, the message I want you to get is that you have to find a way that works for you...I have used daily charts (Go back to my first post and see that daily chart) and I have also used charts with "unusual" time frames with great success.

As regards trend, frankly most folks have no clue as to how to define and make use of the concept of "trend". Take a look at the comments by Marketsurfer..... :D

Simply put, "trend is sustained directional movement". You (the trader) get to define the time frame for this sustained movement. If you are looking for small moves to trade, "trend" could be a little as a few ticks. If you are looking for 10 points (as I am) then you want to develop a way to find trends on a daily (or longer) time frame.

Finally if there is any "secret" (hah) to working with trends it is learning to spot changes in momentum that signal turning points which are the beginnings and endings of trends (or what some call "swings"). This is the origin of the term "swing trader", a person who trades "swings high" and "swings low"...meaning from an established high to an established low and vice versa. I know of a couple of ways of doing this. One is to setup a chart as I have mentioned and then add an envelope, sizing it to current volatility, and the other frankly I prefer to keep to myself as it took me quite a long time to find (I hope you will understand).

Let me know if you have more questions.

Good luck
Steve
 
Okay, I don't want to leave you stranded as regards the subject of trend.

You may or may not understand what I mean by "envelope". If you have Esignal, you can put an envelope around a moving average. On the attached chart notice the black lines. They are an example of an envelope around an 80 period weighted moving average. The time frame is 85 minutes as I suggested in the previous post. The chart is a 24 hour chart. Look at how nicely price moves within the envelope. This market is in essence bouncing from one side to the other (swinging). Looking at it this way you can more easily see the cyclic nature of the market.

I hope this helps you
 

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Do you mean that the envelope is between the 2 moving averages, or are you talking about creating squares?

Anyway, if you ever want to share some stuff, I am willing to share with other real traders but not on messages in a public forum, and I don't want my stuff given out to anyone except who I personally talk to.

Quote from steve46:

Yes, those are moving averages. The charts are Esignal and the blue is an 80 period weighted moving average, the white is a 200 period weighted moving average. Notice also that the charts are 24 hour charts set to EST (local time in New York). This is important in order to get an accurate read on the data.

As far as determining trend, the message I want you to get is that you have to find a way that works for you...I have used daily charts (Go back to my first post and see that daily chart) and I have also used charts with "unusual" time frames with great success.

As regards trend, frankly most folks have no clue as to how to define and make use of the concept of "trend". Take a look at the comments by Marketsurfer..... :D

Simply put, "trend is sustained directional movement". You (the trader) get to define the time frame for this sustained movement. If you are looking for small moves to trade, "trend" could be a little as a few ticks. If you are looking for 10 points (as I am) then you want to develop a way to find trends on a daily (or longer) time frame.

Finally if there is any "secret" (hah) to working with trends it is learning to spot changes in momentum that signal turning points which are the beginnings and endings of trends (or what some call "swings"). This is the origin of the term "swing trader", a person who trades "swings high" and "swings low"...meaning from an established high to an established low and vice versa. I know of a couple of ways of doing this. One is to setup a chart as I have mentioned and then add an envelope, sizing it to current volatility, and the other frankly I prefer to keep to myself as it took me quite a long time to find (I hope you will understand).

Let me know if you have more questions.

Good luck
Steve
More...
 
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