Jack Hershey's Equities Method

[Sprout]

No worries Sprout, I appreciate you having a look. If it's not too much bother I'd love to see the logic flow paper and sql.

I've coded some other market-analysis tools in the past and I found that I spent far more time on the grunt work of collecting data and rolling it up into various time-series than I did on actual trading logic. So I'm always keeping an eye out for more efficient ways of doing these things.

Here are some broad strokes. More detail to follow,...

 

[peaspipe]

Here are some broad strokes. More detail to follow,...

Thanks for the reminder Sprout, it's been years since I last read PtPT and it's time to re-visit it. What I spend my R&D time over the Christmas holidays is starting to narrow into focus.

 

[Spectre2007]

E mini's trade using Jack's Method, multiple timeframes are used to create regressions or lines/trendlines. Random orderflow or directed orderflow will throw the ES into one of the channels. ES respects those channels in terms of mean reversion or it doesn't and shifts to the next channel/trending. Its very versatile system. I do it manually but my resolution is not into the sub 240 tick timeframe. If anyone wants to code it/automate it, I'll give you guidance.

regards,
Chris

 

[Burly Wood]

Hey sprout. That was a great pdf you posted. Thanks. I have a few of questions if you don’t mind.

1. Would you be able to elaborate a bit more on how Jack came up with the percentages used in the unusual volume table? Where did he come up with that distribution of percentages as in 16% for the first 30mins, 28% for first hour etc?

2. I thought dry up, FRV and PV came from an eyeballing of volumes pre, during and post breakout versus using a percentage of the 65 day avg. or a Decimal value of the percentages from the table?

3. Are the values in the unusual volume table still valid?

 

[Burly Wood]

Question as I continue to study. Reading Spydertrader’s journal II and I’m wondering does one use the low band DryUp/DryUp average combo in conjunction with the unusual volume table? Seems like it would be redundant to use both?

Secondly, just thinking out loud but this all seems to me like it’s just a measure of volume pacing. Creating landmarks to judge the rate of volume. So my mind is thinking why use low volume measures? Why not use a higher volume measure? I do understand that using dry up volume is sort of a pro rata level for FRV but why not just use a percentage of FRV or some higher volume calculation?

My idea is why not calculate the average of the volume decreases from the prior day over let’s say 6 months then scan for stocks that are below that average with decreasing volume. Also calculate the average of the volume increases from the prior day over 6 months and use pro rata levels of that average to trigger the breakout. If price maintains a certain percentage of the average increase we would expect the average increase to be hit EOD.

Just some thoughts.

 

[Sprout]

Hey sprout. That was a great pdf you posted. Thanks. I have a few of questions if you don’t mind.

1. Would you be able to elaborate a bit more on how Jack came up with the percentages used in the unusual volume table? Where did he come up with that distribution of percentages as in 16% for the first 30mins, 28% for first hour etc?

By taking 1600ish bars and doing a distribution. The unusual volume one-pager tunes one into the daily catenary.
For PVT this is keyed off the 65day MA which is roughly a fiscal quarter.


2. I thought dry up, FRV and PV came from an eyeballing of volumes pre, during and post breakout versus using a percentage of the 65 day avg. or a Decimal value of the percentages from the table?

It’s all calculated per instrument for exact values. Depending on one’s level of differentiation, the change in the daily catenary is a signal that requires the understanding where one is in the current unfolding ‘pattern’ and current contextual OOE that is relevant.


3. Are the values in the unusual volume table still valid?

The values depend on current market volatility, and yes the catenary is valid.

Comments with quoted text.

 

[Sprout]

Question as I continue to study. Reading Spydertrader’s journal II and I’m wondering does one use the low band DryUp/DryUp average combo in conjunction with the unusual volume table? Seems like it would be redundant to use both?

These are calculated values per instrument.

Secondly, just thinking out loud but this all seems to me like it’s just a measure of volume pacing. Creating landmarks to judge the rate of volume. So my mind is thinking why use low volume measures?

Yes, volume pace is a foundational concept. Low volume measures reduce risk by keeping one out of the market when no money is to be made.


Why not use a higher volume measure?

One does. High volume needs a reference point by which to create relevance and generate context of where one is in the OOE.


I do understand that using dry up volume is sort of a pro rata level for FRV but why not just use a percentage of FRV or some higher volume calculation?

They are all relevant and an introduction into the concept the the market is orderly and flows through a repeating sequence also known as Order Of Events.

As Jack puts it, there are happenings in the markets, these ‘happenings’ (events) are chained together. The events come in an order. The order is locked-in through deduction.


My idea is why not calculate the average of the volume decreases from the prior day over let’s say 6 months then scan for stocks that are below that average with decreasing volume. Also calculate the average of the volume increases from the prior day over 6 months and use pro rata levels of that average to trigger the breakout. If price maintains a certain percentage of the average increase we would expect the average increase to be hit EOD.

In PVT one is building a universe of HQ stocks that go through ‘cycling’ and being in the market during the Dominant moves of those instruments and substituting other instruments with this applied capital when the first stream enters it’s non-Dominant move simultaneously as the second instrument enters it’s Dominant move via FRV.

Just some thoughts.

Good questions, your mind is thinking and will continue the process that increases your spectrum of differentiation.

Comments within quoted text.

 

[Burly Wood]

Thank you @Sprout for taking the time to reply.

Final question for the moment before I dive deeper into studying and observation when the market opens tomorrow.

Does one need to calculate the actual dry up value for each stock or could one just use the percentages of the 65 day average as per the unusual volume table? I’ve been playing with both and I think I like just using the unusual volume table.