SCT High Velocity Profits Q and A Journal

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Quote from bigmoose:

Jack,

I don't think I have yet gotten the proper and complete understanding of "end effects" in your lexicon. Do you mean the unusual activitity of the market near the open and close? Like the 9:45-9:55am ish reversal period in equities. Or the end effects of your entry and exit on the market? (Only relevant for large position sizes.) I am probably missing the obvious, but thought we ought to tie this down early in the discussion.
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Through the day we take actions as a direct consequence of end effects that occur 20 to 40 times a day on the ES 5 minute price portion of the chart. All of these are lead by similar events on the YM price portion of the chart.

The P, V relation is where the concept of end effects comes from.

What compliments end effects is the activity between each end effect where continuing amounts of profits are building up. It is a repeating theme: end effects,making money, end effects, making money, end effects, making money.

Simply visualize every day as a set of sawtooth like price movements where there are from 20 to 40 teeth being transcibed a day. The tips of the teeth and the troughs of the teeth are where end effects take place.

We are focussed on a routine and mostly as we repeat it we HOLD each lap of the routine. Think of doing the routine many times for each five minute bar. The HOLDs are all inbetween tow endeffects; one before and one after.

To see the end effects you need bunches of bars. The 30 annotated (1 through 30) actions on the chart I attached are the 30 places where end effects occurred.

A person's effectivieness and efficiency sort of comes down to how he handles end effects.

The part of the PV realtion that deals with end effects says:

IF THE VOLUME IS DECREASING, THEN THE PRICE TREND WILL CHANGE.

End effects relate to decreasing volume and the change of the pricetrend movement. It is very convenient to have a way of focussing every once in a while on when to take profits and when to slip from one side of the market to the other side.

We do these two things when the "end effect" light comes on. Fortunately, we know ahead of time that it is coming on and we focus accordingly.

What you can do to get acquainted is print 50 charts or so and mark where price changes on each of them. That will give you between 1000 and 2000 marks and a dull pencil. If you look at each data set associated with them you will see that the indicators and volume and YM did something too. And these elements od data do similar things each time.
 
Thank's Jack! I didn't have "end effects" tied to the intraday disruptions of price movement. Sort of like places where d^2 (Price)/dt^2 is non zero. Got it now.
 
On this chart I am showing the annotation of the ES in terms of channels and end effects.

The first traverse of the day is shown in pink and all others are shown in green, all traverse lines being 1 weight.

Adjacent bars are used to make the traverse channels.

To begin any day there is a potential of carry over notwithstanding the premarket activity. There is also, daily the fact that the synchronization of the cash and the futures indexes is occurring.

The entry is on the BO of bar 4 from the prior bar 3.

I number the bars 1 through 81. I will post after laborday a scan of the "card" I use for bar numbers. It is on loan now.

I am going to do several posts to make separate sets of points.

This post got us in long on bar 4 and we will trade the traverse.
 

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Jack I have read quite a few of your posts and you keep saying that YM leads ES and is an important part of SCT. I have overlayed YM on ES all the way down to tick time frames and have not yet seen any noticibly consistent lead by YM. In fact it seems many times ES is leading YM. Why would smart money be trading futures with such small volume as YM? PLease do not interpret this as negativy on my part. I find many things you say interesting but I have a hard time understanding much of it, but I do have an open mind.
 
At the point of entry the routine is in full swing and we are doing the 4 steps in order lap after lap.

The log has a wide analysis column and it is completed ahead of time for many aspects of making money.

the repitition of day after day tells us what is ahead and it is there as an analysis in our minds.

The day begins and we have a lot of "knowns" about the day.

These include:


1. the market pace. It is fast and it is capable of giving us a rocket seen as a taping dominant traverse.

2. the direction of the market. It is long as shown by the BO which, in turn gives us the channel of the first dominant traverse of the day.

3. We now know how to go about filling in the log with the next near term events that are going to occur. these are:

a. Point 2 will arrive

b There will be a non-dominant traverse

c. There will be a point 3 at the end opf the non dominant traverse.

d. further along in time an FTT will occur.

4. At some point the daily range will be set and a retrace off the extreme will occur.

so we are set for a few bars ahead and we just settle in and make money as the market contues to deliver it. We project into the future the operating traverse and when we have points 1, 2, and 3 we project the long trend channle as channel 1 of the day.
 
Quote from Grob109:




snip.....

See the bold stuff for new comments.


3. We now know how to go about filling in the log with the next near term events that are going to occur. These are:

a. Point 2 will arrive we look for the ftt of the dominant traverse to find this. The ftt is a trading point for us as well.

b There will be a non-dominant traverse this is a short trade from point 2 to point 3.

c. There will be a point 3 at the end of the non dominant traverse. Here is the big deal of the day so far. It will be where we end the short and reverse into a long. There is a lot of housekeeping and annotations to do too because we want to project the long trend channel all the way out to the R of the day.

d. further along in time an FTT will occur.

4. At some point the daily range will be set and a retrace off the extreme will occur.

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We write in on the analysis column all of this and the first page of the log is more or leass analyzed for the first channel of the day. This is a very calming process in the way that as we write we are using our senses and we also are setting up huge boundaries that act as containers of the price. They project out into the futre and as time passes the bars form inside theseboundaries and we feel comfortable about all of this. It is just another day for us. We will be reversing to take profits when the market tells us and we annotate the current "value" range that the trader's trading feel are what is possible. We see their psychology at work within a framwork that is bounded as usual.

This is just the surface, however.

We also have seven leading indicators that we are using by sweeping them. This is how we work to be able to annotate the ES well after we have annotated our leading indicators. We are logging these ahead of the logging of what is happeneing to ES.

As bitstream said recently I am confusing everything and it wouldn't allow him to do what is important to make the 4% a day he makes. $5 on an ES contract is 1 point and three ticks for a day. Lets see when we bag 2 points during this day.
 
Quote from Bearbelly:

Jack I have read quite a few of your posts and you keep saying that YM leads ES and is an important part of SCT. I have overlayed YM on ES all the way down to tick time frames and have not yet seen any noticibly consistent lead by YM. In fact it seems many times ES is leading YM. Why would smart money be trading futures with such small volume as YM? PLease do not interpret this as negativy on my part. I find many things you say interesting but I have a hard time understanding much of it, but I do have an open mind.
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I'm sure you see what you see. I do not do the overlaying since I am using differing fractals for each.

I display pairs of items for YM and ES.

Why it works for me (my goal is to use things that help me make money) and why it does not work for you is fairly easy to express. It is not because we use different way of checking things out, it is because of the differing fractals.

ES is a 5 minute fractal and YM is a 2 minute fractal. what I seen is the charts and as I look the YM leads the ES. ES actually mimics YM it turns out.

So that brings us to why don't I just use two ES charts one on 2 min and the other on 5 min. If we were talking about the FX, then I would be and the pair would make up for lack of volume on the FX. I would need to get the degree of freedom volume can't supply with another source of a degree of freedom.

The punch line on this conversation we are having is best explained historically. I traded DJXX before the minis. There I learned to have a leading indicator of the DJXX in a backhanded way. It was obtained by comparing the DJXX to the INDU (the cash data version of the DIA.)

This , long ago , is where the stretch/ squeeze came from.

Historically I also made sure to get away from scalor quantities as well. I try to only use vectors, if possible since they contain magnitude as well as direction.

So I am combining three things to beable to have confidence in using YM as a leading indicator of ES.

1. I compare different fractals.

2. I monitor YM and INDU where YM stands in for DJ these days. They are not too arbitrageable so I feel one can stand for the other.

3. The stretch/ squeeze visual is a killer indicator and the offset which I use to normalize it is announced premarket evey day and I improve it four ways during the day in ways that the quants have not started to do as yet. this small block of space on my computer shows the 1 minute YM and the INDU and below it is the instantaneous display above and below neutral (the offest axis). coded to the instantaneous value is a persistence bar as well that weights the occurances; it is thick and the extreme values are thin. Everything is further color coded for statistical significance. It weighs weavily when it comes to taking all the ticks available when I am carving a reversal; it takes the "immediacy of things" right out of the picture.

Naturally, this is not good enough for others and secondly, they feel it is too much in terms of effort, etc.

So I go a little further to make things fit together better.

I find that having the tick charts of the two differing fractals displayed with thier sespective volumes another window that tends to zoom in on the leading lagging character of things. As with bars, tick charts do display gaussians. The difference in the display is that tick value movement dictates the volume aggregation.

My goal is to display the minimum of things and be able to effectively and efficiently take out of the market what is offered as time passes.

It may be that the difference between the basket size of the YM and ES cash underlying is what makes the YM more able to lead the ES. there is a big difference between 30 and 500.

As it turns out we are coding all of this up to give it away. we are also in conversations with the platform providers regarding making available stuff that enhances monitoring to make money. It looks like geberating specific coding to deal with specific logging supports is an easy thing to do. fro the stock loggging we have added about 10 code bunches so far. Stocks are a template for commodiites at the money velocities on the table.

Here you see several small displays that work together to allow a trader to exact what is offered over time by carving out as much as is possible.

It may not be perfect but it is very codable as a way to make money well. So I agree with you that what is being viewed by you and I may turn out to give your conclusion and my conclusion from the different things we are looking at.
 
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