Spydertrader's Jack Hershey Futures Trading Journal

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Quote from WGTrader:

Spooz,

I have a general question about the Str/Squ values used in your calculations. You show 2-minute bars, but what values did you use within those two minutes? Did you use the high, low, or the last value at the time the 2-minute point was recorded. I'm having to do this in Excel since my charting program does not allow these type of custom calculations and I'm not sure which values I should be using. Thanks.
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WGTrader,

I display 2 min bars because it is currently convenient for me to do so in my app. That said, my calculations are done at the tick level, nothing to do with time or bar intervals. If I remember correctly, Mak's sheets does this stuff at the tick (last trade) level as well.

Edit: My bars display the High and Low of the bar interval. The green dash is the Close.

spooz
 
Thanks Spooz,

I'm "harvesting" the YM and DJI values on a 1-minute basis, so I'm going to use the last value that is recorded at the 1-min increment. I suppose that collecting data on 1-min (or 2-min increments for that matter), there is not much difference between the high or low anyhow. Do you agree?

MAK's worksheet is very good, but I want to see a histogram so I can observe where the SS has been.
 
Quote from WGTrader:

Thanks Spooz,

I'm "harvesting" the YM and DJI values on a 1-minute basis, so I'm going to use the last value that is recorded at the 1-min increment. I suppose that collecting data on 1-min (or 2-min increments for that matter), there is not much difference between the high or low anyhow. Do you agree?

MAK's worksheet is very good, but I want to see a histogram so I can observe where the SS has been.
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WGTrader,

If I understand what you're trying to do, then no, I don't agree.

IMO, you need to "harvest" str/squ at the tick level, on every YM last trade. Then, during every bar interval, keep the high and low values for display purposes. If you have a FV (Offset), then you can color the bars like I do or generate a histogram.

Hope this helps,

spooz
 
Quote from spooz_trader1:

WGTrader,

If I understand what you're trying to do, then no, I don't agree.

IMO, you need to "harvest" str/squ at the tick level, on every YM last trade. Then, during every bar interval, keep the high and low values for display purposes. If you have a FV (Offset), then you can color the bars like I do or generate a histogram.

Hope this helps,

spooz
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the problem with the histogram display is that it only shows the value happened at the closing of the bar. If the value on that bar at the final second happens to be high, you have a high histogram reading, if the final value of that bar was low, you have a low histogram reading.

Audkid1's rendition partially overcame that deficiency -- if at anytime the bar traded over 2 (or below -2), the bar colour will be changed, even if it subsequently traded within the threshold.

http://www.elitetrader.com/vb/showthread.php?s=&postid=1422019#post1422019
 
Quote from spooz_trader1:

WGTrader,

If I understand what you're trying to do, then no, I don't agree.

IMO, you need to "harvest" str/squ at the tick level, on every YM last trade. Then, during every bar interval, keep the high and low values for display purposes. If you have a FV (Offset), then you can color the bars like I do or generate a histogram.

Hope this helps,

spooz
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Spooz,

I may be a little confused here... I can harvest the values at the tick level, but then this goes back to my original question, within a 1-minute period for example, I will have a high value and a low value. Which one do I use in my calculations?

For example this morning within my 10:37 bar (the period from 10:37 to 10:38), I recorded a YM high of 12,647 and a YM low of 12,643. And for the same 10:37 bar, I recorded a DJI high of 12,578 and a DJI low of 12,576. So which values do I use for the formula of SS=(YM-DJI)-offset? This probably has a simple answer... please forgive my thickness today. :confused:
 
using spooz value give a better look at market, at 11:42 it looked like the sell off was over but the histogram was all red, give you some clue there :).
35he3vb.gif
 
Quote from bucherwin:

nkhoi:

Pls teach me how to reflect ((ym07m-indu)-offset) it on 1-min histogram chart. So far today, the premium is around 69.

Thank you.
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I use qchart and the offset value was from Spooz post 2 pages back. Do you mean how to make the histogram chart?
 
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