Spydertrader's Jack Hershey Futures Trading Journal
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guavaman - as Avi 8 suggested, try doing a search for PRV - you will find many links to earlier posts in this journal discussing PRV.
Pro Rated Volume is a simple method of anticipating what the total volume for a completed 5 min ES vol bar will be, as calculated DURING this 5 min period.
Consider: a five min bar begins now:
- after 30 secs, obtain the current volume reading from your charting pkg and multiply by ten. (10 X 30 sec. = 5 min, so 10 X current volume = total volume at end of 5 min) This number is an 'estimate' of what the volume for this bar WILL BE at the END of its period.
- after 1 min., multiply vol by five (5 X 1 min = 5 min)
-after 2 min, multiply vol by 2.5 (2.5 X 2 min = 5 min)
- and so on: 2.5 min vol X 2, 3 min vol X 5/3, 4 min vol X 5/4
This procedure tells you a couple things:
1. by continually comparing the latest calc. volume number against the total volume of the prev. 5 min bar, one is able to determine if the gaussian is forming as anticipated (for ex., in an upchannel, you would expect increasing black vol as price increases (think continuation)
2. one is able to detect a possible change in sentiment, if the volume of the bar is deviating from that anticipated (for ex. in an upchannel, price has reached a new high, but PRV is telling you that volume is decreasing, as compared to the prev bar - it may be a flaw, or it could be signaling a possible FTT)
Not sure where you are at in your studies, but it's imperative to start at the beginning of this journal. and slowly build your comprehension by reading, and then reading some more
Good luck ...
Pro Rated Volume is a simple method of anticipating what the total volume for a completed 5 min ES vol bar will be, as calculated DURING this 5 min period.
Consider: a five min bar begins now:
- after 30 secs, obtain the current volume reading from your charting pkg and multiply by ten. (10 X 30 sec. = 5 min, so 10 X current volume = total volume at end of 5 min) This number is an 'estimate' of what the volume for this bar WILL BE at the END of its period.
- after 1 min., multiply vol by five (5 X 1 min = 5 min)
-after 2 min, multiply vol by 2.5 (2.5 X 2 min = 5 min)
- and so on: 2.5 min vol X 2, 3 min vol X 5/3, 4 min vol X 5/4
This procedure tells you a couple things:
1. by continually comparing the latest calc. volume number against the total volume of the prev. 5 min bar, one is able to determine if the gaussian is forming as anticipated (for ex., in an upchannel, you would expect increasing black vol as price increases (think continuation)
2. one is able to detect a possible change in sentiment, if the volume of the bar is deviating from that anticipated (for ex. in an upchannel, price has reached a new high, but PRV is telling you that volume is decreasing, as compared to the prev bar - it may be a flaw, or it could be signaling a possible FTT)
Not sure where you are at in your studies, but it's imperative to start at the beginning of this journal. and slowly build your comprehension by reading, and then reading some more
Good luck ...05-14-2007 ES Chart
- Spydertrader
- Spydertrader
05-14-2007 YM Chart
- Spydertrader
- Spydertrader
ES chart for today, mostly realtime. I was monitoring YM during conditions I interpreted as CHANGE, which seemed to be almost all the time. More on that later.
Spyder - I still often become confused when annotating the Gaussians. When comparing our charts for today, I found a couple of instances where I varied, and sure enough, that was at times of my losing the trail 
I wish I knew how to include a snip of your chart within this text, but I don't, so will just have to 'word' it out:
14:00 bar - termination of /R (I have that also)
14:10 bar - termination of \B (me too)
Here's where I lost it.
14:15 bar - price reaches LOD here, so I draw a /R to the top of this vol bar, and this leads me to think that we're still in dominant down channel.
Price then starts heading up, but on decreasing black, so I still think we're dominant down. Hmm, I now see the problem. You're 14:20 and 14:25 bars both exhibit black volume greater than the 14:15 bar, whereas on my chart, both of these bars show lower volume.
I guess there is nothing one can do about such anomalies, other than change data providers, huh?
For the record, my IB volume is as follows:
14:15 - 27,016
14:20 - 23,923
14:25 - 16,529
Sorry for all this thinking out loud - argh! As if things aren't difficult enough. When did ya say that charting pkg would be ready ?
I wish I knew how to include a snip of your chart within this text, but I don't, so will just have to 'word' it out:
14:00 bar - termination of /R (I have that also)
14:10 bar - termination of \B (me too)
Here's where I lost it.
14:15 bar - price reaches LOD here, so I draw a /R to the top of this vol bar, and this leads me to think that we're still in dominant down channel.
Price then starts heading up, but on decreasing black, so I still think we're dominant down. Hmm, I now see the problem. You're 14:20 and 14:25 bars both exhibit black volume greater than the 14:15 bar, whereas on my chart, both of these bars show lower volume.
I guess there is nothing one can do about such anomalies, other than change data providers, huh?
For the record, my IB volume is as follows:
14:15 - 27,016
14:20 - 23,923
14:25 - 16,529
Sorry for all this thinking out loud - argh! As if things aren't difficult enough. When did ya say that charting pkg would be ready ?
I was monitoring ES 5min today with emphasis on when a CHANGE condition was manifest, meaning I should consult finer tools, which for me means YM 2min. After a few hours, I came to the conclusion that CHANGE is the rule, not the exception, contrary to my idea of monitoring for change/continuation.
Here's what I observed.
1. Dominant traverses of trends are obvious candidates for continuation, but PRV must be increasing along with price moving in the direction of the dominant, which limits this condition to only a few bars a day. I found 3 instances for a total of 4 bars when this condition was in effect today, and enclosed them in black ellipses in the attached chart.
2. Non-dominant traverses, following FTTs (or not). Continuation with decreasing prv and price moving in direction of retrace. However if one is looking for a point 3, decreasing prv could mean CHANGE back to dominant, so I don't know if this even qualifies as a CONTINUATION situation. I guess it does as long as price trending with the retrace. But each bar usually has intra-bar periods where it is not trending, and CHANGE is surely called for during those times. I marked the 3 instances of this condition in pink.
3. Flaws and laterals. Continuation on continued low PRV and price continuing to move laterally. If one waits for both these conditions to end before considering CHANGE, then one is using the finer tools for confirmation rather than anticipation. Price boundaries are not easy to define. It felt like these areas were more changelike than continuationlike, so I didn't mark these on the chart.
THE GOOD: Watching YM kept my entries and exits during the choppy sections from losing much.
THE BAD: It felt like I was trading ES almost exclusively from YM 2min chart, which was faster paced than I prefer, and not what I thought we should be doing.
Is my perspective wrong? Were you able to watch ES 5min most of the time, with only occasional forays into the finer resolutions?
Here's what I observed.
1. Dominant traverses of trends are obvious candidates for continuation, but PRV must be increasing along with price moving in the direction of the dominant, which limits this condition to only a few bars a day. I found 3 instances for a total of 4 bars when this condition was in effect today, and enclosed them in black ellipses in the attached chart.
2. Non-dominant traverses, following FTTs (or not). Continuation with decreasing prv and price moving in direction of retrace. However if one is looking for a point 3, decreasing prv could mean CHANGE back to dominant, so I don't know if this even qualifies as a CONTINUATION situation. I guess it does as long as price trending with the retrace. But each bar usually has intra-bar periods where it is not trending, and CHANGE is surely called for during those times. I marked the 3 instances of this condition in pink.
3. Flaws and laterals. Continuation on continued low PRV and price continuing to move laterally. If one waits for both these conditions to end before considering CHANGE, then one is using the finer tools for confirmation rather than anticipation. Price boundaries are not easy to define. It felt like these areas were more changelike than continuationlike, so I didn't mark these on the chart.
THE GOOD: Watching YM kept my entries and exits during the choppy sections from losing much.
THE BAD: It felt like I was trading ES almost exclusively from YM 2min chart, which was faster paced than I prefer, and not what I thought we should be doing.
Is my perspective wrong? Were you able to watch ES 5min most of the time, with only occasional forays into the finer resolutions?
Just a quick comment Esteban before I go back to sleep
You mention bars where you feel continuation was in force. Also you mention candidates for continuation and I don't know if this even qualifies as a CONTINUATION situation.
All this makes me think you are looking for continuation and this is the wrong point of view.
Using this method there is always continuation unless there is change. Continuation or "hold" is always in force. If a bar is not clear, you have continuation and we just continue to monitor. We look for change.
We started with last day's carryover channel and where price opens today. Today the market opened at the same price as where it ended yesterday and nothing happened overnight = continuation. My carryover channel was an up channel so the bias was up until we got this FTT about 15 minutes into the opening = change (Spyder marked it as point 1). After that -> HVS = hold assuming you were short. etc.
If you think you missed an FTT get out at RTL or at pt3 (reverse)
Anyway. Anyone pls correct me if I'm wrong but the point is we don't look for confirmation of continuation. We look for change. If there is no clear signal of change then there is continuation.
regards,
Ivo
You mention bars where you feel continuation was in force. Also you mention candidates for continuation and I don't know if this even qualifies as a CONTINUATION situation.
All this makes me think you are looking for continuation
and this is the wrong point of view.Using this method there is always continuation unless there is change. Continuation or "hold" is always in force. If a bar is not clear, you have continuation and we just continue to monitor. We look for change.
We started with last day's carryover channel and where price opens today. Today the market opened at the same price as where it ended yesterday and nothing happened overnight = continuation. My carryover channel was an up channel so the bias was up until we got this FTT about 15 minutes into the opening = change (Spyder marked it as point 1). After that -> HVS = hold assuming you were short. etc.
If you think you missed an FTT get out at RTL or at pt3 (reverse)
Anyway. Anyone pls correct me if I'm wrong but the point is we don't look for confirmation of continuation. We look for change. If there is no clear signal of change then there is continuation.
regards,
Ivo
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