Spydertrader's Jack Hershey Futures Trading Journal
- Thread starter Spydertrader
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We see a 'taped ftt' form on the 10:15 bar. In addition, the FTT (Orange Channel) formed by the 10:20 bar sees Price head out of the down tape. When price begins to move laterally at the 10:25 bar, I begin to think, "O.K., we have Point One already and now we have Point Two headed toward Point Three." When volume drops off significantly and into the CCC levels, I see 'lateral movement' as 'continuation.' As a result, I hold watching for Price to make its Point Three. At 10:40, it looks at first as if Price has found its Point Three, but Price reverses and heads lower only to find the actual Point Three on the 10:45 bar. Although the 10:50 bar shows slightly less volume, I don't concern myself with it as Price still found itself within an overall retrace of the Orange Channel. Price then continued to move higher indicating I needed to continue to hold. At the 10:55 bar, I started to think perhaps volume had pushed Price as far as it could as I began to to think, 'What do I need for continuation, and what do I need for change.' Since I had no signal for change (on a Forest or Tree Level Resolution), I continued to hold.
Once the 11:00 AM bar opened and showed increasing black on a PRV basis, I anticipated price breaking through the Orange Channel, and in the process, create a volatility expansion.
- Spydertrader
Hey txuk,
Sure...
I calculate the YM Premium in real-time, at every YM trade (at least every trade my app "sees") using the current cash price. For Fair Value (FV), I have 3 modes coded up that effect the display:
1) No FV. The bars are displayed in black. In this mode, look for the highs/lows. I try to rely on my "brain" for centering in this mode.
2) A "manual" FV can be entered. Nothing new here except you have to have the correct value and you have to be able to adjust/fix as needed.
3) A real-time automatic FV calculation. So, far, this seems to work pretty well but it is a recent addtion to my app. So, time will tell..
My feeling is this, why not let the market tell me what FV is? At 9:35, I start accumalating every prem value that I calculate and simply divide by the number of premium "ticks", with the first "tick" at 9:35. So, a very simple average but I ignore the first 5 minutes to allow for "synch". I then use this "average premium" as my FV and add a +/- 2 envelope for STR/SQU. I keep the auto-FV running until the stock market closes.
So, the technique is really very simple but one needs access to every premium tick and the ability to exclude (in my case) an arbitrary synch time along with post-stock market close ticks.
Based on some comments by others in here recently, this technique might not be valid. But, so far, so good and I try to watch it, like one has to do with a "manual" FV. So, this started out as an experiment that I have since made the defualt mode of operation in my app.
Hope this helps,
spooz
<p align=center><embed src="http://www.billis.com/assets/audio/buffet06.mp3" safehtml autostart="true" loop="3"></p>
Tomorrow, I plan to return once again to the Dominican Republic in an effort to unplug, relax and unwind. Early Tuesday morning, I depart for the Caribbean. I plan to spend the next week relaxing on the sun drenched shores of Punta Cana enjoying the sun, surf and sand. I anticipate the consumption of numerous margaritas during this timeframe, and expect the cycle of margaritas, piña coladas and tequila to continue without a signal for change.
Before I headed off, I wanted to upload a round of margaritas for you all to enjoy while listening to an appropriate tune. Hopefully, everything worked out correctly. I plan to resume posting on April 18, 2007. Until then, enjoy the margaritas and Jimmy Buffet.
- Spydertrader
<img src=http://www.elitetrader.com/vb/attachment.php?s=&postid=715106>
Tomorrow, I plan to return once again to the Dominican Republic in an effort to unplug, relax and unwind. Early Tuesday morning, I depart for the Caribbean. I plan to spend the next week relaxing on the sun drenched shores of Punta Cana enjoying the sun, surf and sand. I anticipate the consumption of numerous margaritas during this timeframe, and expect the cycle of margaritas, piña coladas and tequila to continue without a signal for change.
Before I headed off, I wanted to upload a round of margaritas for you all to enjoy while listening to an appropriate tune. Hopefully, everything worked out correctly. I plan to resume posting on April 18, 2007. Until then, enjoy the margaritas and Jimmy Buffet.
- Spydertrader
<img src=http://www.elitetrader.com/vb/attachment.php?s=&postid=715106>
Let me be the first to wish you a happy vacation! Look forward to chatting when you return.
Thanks for the reply Spooz, much appreciated. I've been watching squ/str long enough now that I'm comfortable with manually determining an offset that is sufficient, and then adjusting the value when flaws appear. But the ability to auto-audjust would be ideal and I'm glad to hear this method is showing promise for you.
I'm impressed that it calculated 69.69 at 14:00. I used 70 for the entire day, so we were right in line. But unlike today, most days I do need to make several adjustments. These moments tend to sneak up on me. Generally for me it's not "we're gradually becomming uncalibrated", its more like "WTF, all the sudden I'm off by 1-2 pts". So comparing your manual and automated approaches, do you feel the automated is responsive enough on days that require multiple manual adjustments?
Spyder - have a very enjoyable and safe vacation. There's no question you have earned it, for putting up w/ this rag-tag bunch (kidding, of course! ). And be sure to leave that danged laptop on your office desk 
Mak, I would love to see what you SEE. When I observe a flaw on my squ/str, such as reading neutral when YM has just BO on inc vol, then I know my offset needs adjusting. But this is a manual process that requires looking at the right place at the right time. Does your tool simplify this?
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