if you have a platform that can chart range bars, it solved all my problems. you will never find a solution until you eliminate time from the math in my experiences.
Put / Call Ratio influence on S&P 500
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if you have a platform that can chart range bars, it solved all my problems. you will never find a solution until you eliminate time from the math in my experiences.
yeah, I am aware of that style of thinking. I think that comes from the fact that an average indicator needs on average around x10 bars for calculations, which is about x1 hour and phases of they day don't even last that long.
I'm familiar with S&P 500, and there are x3 distinct phases during the day, opening phase roughly about x2 hours, mid-day about x3 hours, and x1 hour before the close. You bet that on the roughly about 80% of the days first x2 opening hours are going to be mostly hysterics, mid-day is going to be just a chop, and close can be either chop or hysterics. So, an indicator dragging say x10 bars will completely miss transition periods. And with a benefit of hindsight these two transitions, hysterics-chop and chop-hysterics are normally just 2 - 3 bars long at most. So, I mostly look at state of momentum, or lack of it and literally levels and clock.
But there are similar studies in Forex, which show that from 8 - 10am London time volatility is higher then average.
Some consistency is emerging on my '5m' bars discretionary paper trading so I'm looking to capture it with code so I don't need to sit in front of the screen whole day.
I'm familiar with S&P 500, and there are x3 distinct phases during the day, opening phase roughly about x2 hours, mid-day about x3 hours, and x1 hour before the close. You bet that on the roughly about 80% of the days first x2 opening hours are going to be mostly hysterics, mid-day is going to be just a chop, and close can be either chop or hysterics. So, an indicator dragging say x10 bars will completely miss transition periods. And with a benefit of hindsight these two transitions, hysterics-chop and chop-hysterics are normally just 2 - 3 bars long at most. So, I mostly look at state of momentum, or lack of it and literally levels and clock.
But there are similar studies in Forex, which show that from 8 - 10am London time volatility is higher then average.
Some consistency is emerging on my '5m' bars discretionary paper trading so I'm looking to capture it with code so I don't need to sit in front of the screen whole day.
Hmmm, that's interesting idea.
IMHO levels are dictated by options, because options are set at round numbers. Now its only questions of finding the function that is expressing that profitably. Again, from eyeballing, momentum has a life of its own, and momentum with volume would slice through option levels and vice versa.
I was toying with that idea of throwing time out a lot. Obviously time is pretty much irrelevant, because everybody only cares about price. But then time is mostly correlated with volatility, because certain times of the day are more attractive to participants.
So, how do you chose size of the range bars?
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Range bars end up having a time as well, essentially because you set up a price range that you want to display and the candle shows OHCL values until that price range is met. Time is variable until the range is met.
https://www.investopedia.com/articles/trading/10/range-bar-charts-different-view.asp
As well as time bars, range bars also are discretionary in the sense that you are the one that sets the range, very much like you would set the time in a traditional bar. It is simple a different way to display your data.
your execution practices will dictate the bar size.
it is possible to know chop from trend with two bars - the current bar and the past bar.
no other method of regime identification i know of exist.
ck pm
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