Iterative Refinement

[Ezzy]

Quote from Spydertrader:

<img src=http://www.elitetrader.com/vb/attachment.php?s=&postid=1823251>

Data feed went south around the big break time, so on my chart it looked like the YM ran up but ES stayed put for about 10 minutes. That could ruin someones day if on the wrong side.

On a better note, 7 bars earlier in the YM's symmetrical pennant, it broke out higher what seemed like a full minute before the ES moved. ES actually hung on the low of it's bar while the YM broke out higher. - EZ

 

[Mr_Black]

This is my sym result whit 1 contract for 03/07/08 ES....

 

[R/R]

Quote from Tums:

March Exercise (Part 3)

WMCN... If it is this, then it is that...

another way to say "What isn't it?"

Tums: hopefully I can redeem myself for previous lame posts.
<img src=http://www.elitetrader.com/vb/attachment.php?s=&postid=1824060>

 

[ericta]

Quote from Tums:

March Exercise (Part 3)

WMCN... If it is this, then it is that...

another way to say "What isn't it?"

<img src="http://www.elitetrader.com/vb/attachment.php?s=&postid=1824154">

This is my take.

 

[TIKITRADER]

 

[TIKITRADER]

Looking at the ES daily chart as if it were a 5 minute chart. . .

What must come next ?- for Monday, March 10,2008.

 

[TIKITRADER]

Looking at the daily bars on the ES chart. Compare the past, down dominant traverse bars and see what similarities exist. . . what differences exist. . .

On past dominant traverse bars that were down, what happens EOD to the close of the bar compared to other like bars. . . similarites ? differences?

Did most of them close AT their lows?

Close off the lows showing EOD non dominant retraces, or possibly a new intraday up channel forming ?

Does this give any information as to when an intraday trend may change?

I have no answer to give here, this is just for discussion.

 

[tobbe]

A while back MAK posted a volatility vs pace chart (it's found here, scroll down a bit). Here's a recent update with a slightly different format. The bars are ES 5 min for february 2008, 09:30 to 16:00 EST. Unlike MAK I have kept the 3 first bars of the trading day since I believe sync to take place "pre market" (whatever that is in this round the clock global market).

7.50+ contains the bars that moved 7.5 or more points in 5 minutes (the max bar was actually 12.5 points).

<img src=http://www.elitetrader.com/vb/attachment.php?s=&postid=1825283>

This chart would suggest using 8000, 12500, 17000, 24500 and 30000 as pace lines. Any comments? If you have any problems reading this let me know and I'll post an unscaled version (this one is scaled to fit the journal width).

cheers,
tobbe

 

[TIKITRADER]

Quote from tobbe:

Any comments?
cheers,
tobbe

Thanks, good stuff tobbe.

 

[tobbe]

Mostly for fun - here's another way of viewing the pace data for ES posted previously. Imagine you need at least 3 point bars to trade profitably - check the table, you need at least 25700 PRV to trade. The point numbers are up to the following number, i.e. 1 is for 1-1.75 points, 2 is for 2-2.75 etc.

<img src=http://www.elitetrader.com/vb/attachment.php?s=&postid=1825411>

Please, don't forget there are ... lies ... lies ... and statistics ... The above table is based on far too little data (february only). If I post it again I'll do it for more bars and with relevant confidence intervals etc.

cheers,
tobbe