Spydertrader's Jack Hershey Futures Trading Journal

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Quote from dkm:

Having missed any opportunity to join the early short dominant between 09:30 and 10:00, I decided to take a long at the break of the sym pennant at 10:00 (entry 1550.00). I quickly realised that I had entered in the non-dom direction of a wider short channel (decreasing black vol) so prepared to reverse and did so on the 10:25 bar at the break of the fbp (entry 1550.00) with supporting prv. This seemed to confirm a pt3 short at 10:15. However, the 10:30 bar formed what appeared to be a new pt3 long (and ftt) so the trade was exited at 1551.00 on the break of the RTL. I am not yet utilising finer tools such as str/squ, DOM etc. Is this the best that can be expected if using only coarse tools (ES, YM and prv) at the tree level or was there something that I missed or misinterpreted?
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Kind of interesting. Our trades were pretty close. I bailed when we got the double bottom at 1030 and came back through my entry for a wash. A one point loss is no big deal.
 

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Reviewing our trades at cold, we learn ...

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Quote from dkm:

Having missed any opportunity to join the early short dominant between 09:30 and 10:00, I decided to take a long at the break of the sym pennant at 10:00 (entry 1550.00). I quickly realised that I had entered in the non-dom direction of a wider short channel (decreasing black vol) so prepared to reverse and did so on the 10:25 bar at the break of the fbp (entry 1550.00) with supporting prv. This seemed to confirm a pt3 short at 10:15. However, the 10:30 bar formed what appeared to be a new pt3 long (and ftt) so the trade was exited at 1551.00 on the break of the RTL. I am not yet utilising finer tools such as str/squ, DOM etc. Is this the best that can be expected if using only coarse tools (ES, YM and prv) at the tree level or was there something that I missed or misinterpreted?
More...
 

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Hey Edge,

Not really sure what you mean by this. Could you explain?

Quote from EdgeHunter:

Steve,
When was the last time the PRV tool was updated for the latest volume / price moves... :confused:

thanks...


<img src="http://www.enflow.com/p.gif">
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Quote from Spydertrader:

Are you sure you were trading at the tree level? It looks to me like you traded at Limb level.

- Spydertrader
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No I'm not sure. The boundaries seem to get somewhat blurred at times. I guess the sym pennant bo and ftp bo are considered limb level?
 
Quote from Steve Tvardek:

Hey Edge,

Not really sure what you mean by this. Could you explain?
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Right...

I think the inputs for the PRV have the number of points potential move in a 5 minute bar depending on volume of reading of that bar as it unfolds

if i have stated that correctly - wouldn't the PRV need to be adjusted weekly or monthly depending on the average point increase over x days per each range of volume... (say 20 day moving average or shorter depending on how the market has changed)

it would change with the Volatility of the market from week to week... month to month... etc.

its hard to do this updating manually since there are 81 data points...

but i was thinking a cross tab query created in T-Sql or access could allow any user to input into a software form each week the numbers from last week or month and bingo out would come the new adjusted PRV potential price moves possible for each unfolding volume range (range, etc.)...

this would allow for a constantly adapting PRV rather than a static one which assumes the same volatility from one month to the next...

hope i am clear...

<img src="http://www.enflow.com/p.gif">
 
I thought it's much simpler:

if at time "t" the volume is "v"
then at time "T" (i.e. 5 min) the forecasted volume is "V"

so V = v*T/t

the solid part of the bar is "v"
the laced part of the bar is "V-v"
Quote from EdgeHunter:

Right...

I think the inputs for the PRV ...
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Whoa, you got me nervous here. I dont do anything but open my QT every morning and then it takes care of the rest. The only thing I've had to do was to make sure to roll over the contract when necessary. So far, I havent done anything else and its been working fine.

I use Esignal for charting and have the QT PRV tool as a seperate entity operating below my chart. So far, no issue with ES 5 min PRV.

Quote from EdgeHunter:

Right...

I think the inputs for the PRV have the number of points potential move in a 5 minute bar depending on volume of reading of that bar as it unfolds

if i have stated that correctly - wouldn't the PRV need to be adjusted weekly or monthly depending on the average point increase over x days per each range of volume... (say 20 day moving average or shorter depending on how the market has changed)

it would change with the Volatility of the market from week to week... month to month... etc.

its hard to do this updating manually since there are 81 data points...

but i was thinking a cross tab query created in T-Sql or access could allow any user to input into a software form each week the numbers from last week or month and bingo out would come the new adjusted PRV potential price moves possible for each unfolding volume range (range, etc.)...

this would allow for a constantly adapting PRV rather than a static one which assumes the same volatility from one month to the next...

hope i am clear...

<img src="http://www.enflow.com/p.gif">
More...
 
Quote from Steve Tvardek:

Whoa, you got me nervous here. I dont do anything but open my QT every morning and then it takes care of the rest. The only thing I've had to do was to make sure to roll over the contract when necessary. So far, I havent done anything else and its been working fine.

I use Esignal for charting and have the QT PRV tool as a seperate entity operating below my chart. So far, no issue with ES 5 min PRV.
More...

Ok... if its working fine without any input adjustment from the time it was created a year or more ago then no worries mate... :)

thanks...


<img src="http://www.enflow.com/p.gif">
 
Edge you got me all paranoid now. I dont think I can trust PRV anymore :D (j/k)

Quote from EdgeHunter:

Ok... if its working fine without any input adjustment from the time it was created a year or more ago then no worries mate... :)

thanks...


<img src="http://www.enflow.com/p.gif">
More...
 
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