Today's Action

Quote from Petsamo:

Your original post is the evening of the 29th. If the action is for the 30th, then write it as tomorrow's action, or the 30th's action, not today's action. The date and time of your posts appear above the rest of your writings.

You did not forecast the action of the 29th.
More...

I've been starting new threads each day, which may be the wrong thing to do. Possibly I should simply be building on the same post every time. I just checked the post prior to this to see the time stamp when I attached the forecast prices for Th the 29th and it has 5:38 a.m. 4/29. I know I posted just prior to hitting the sack on Wed eve. For now I'm just going to keep building the same post and mention the date references.

Right now we're just short of 10 min into the open of toay, 30th, my internals are decent. There are days when I will tell you that I'm doubtful of direction, and this is one of them. My valuation algo tells me that we're getting overvalued, to the extent that my first upper number of 1214.83 doesn't seem likely to get hit today. However, this market just keeps shaking everything off and keeps grinding, so I'm leaving that number on the board.

Unless the internals take a drastic change today, only the inside numbers seem relevant, 1201.35 to the downside and the 14.83 to the up. That's quite a spread, so I've got no real help for you today. I've only been playing the the long side when my valuation standard deviations hit the bottom.

I'm attaching a chart of that study. No time right now for an explanation of it, but you've seen enough reversion to the mean studies, I'm sure, to get the idea. As a swing/position trader, I use this study in combination with my price targets to set my trades. As you can see, my st dev on this is hitting the upper standard. Consequently, if the market does continue to move higher from here over the next few trading days, it should be more of a grind that any abrupt moves. I've only been playing the long side when I get below 1 standard, as it has the most potential for good moves within the next 24 hrs from that point. Unexpected news announcents, like the downgrades on Wed sete up opportunities, but you have to be patient.

All for now. I'm gone for the day but will check periodically.

All for now.
 

Attachments

Alright..here's a good example of what I'm trying to get across. This is not a day trading approach. It is definitely more for swing/position traders such as myself, but that's not to say that a day trader can't use the info for context.

Last night I posted that my valuation told me we were getting into the upper standard and that, on the overnight last night, Th, going into the open of today, Fr, that we had a chance at the first downside cash number of 1198.27, which comes out to approx 1195.25 on the June contract. That didn't happen, and the opening range internals were decent.

What happens? The market takes a quick drop right through my 1st down target of 1201.35 cash and smacks the 1198.27, only to bounce, as of this moment, to the 01.35. The internals, while weakening, still aren't terrible, so I'm expecting these lower target levels to hold today. If I'm a day trader, which I'm not, at least I have a context of decent price levels in which to play whatever other studies I'm using.

Current pic attached.
 

Attachments

My strength numbers, while negative, should still see the day hanging no less than where the market is currently trading. My stats are consistent. The only thing I've noticed is that the range between the absolute high for a good day vs the absolute low for a negative day is historically around 40 pts. In other words, each day I calc what the next upcoming max high should be should that day be aggressively good and the max low should it be aggressively negative. Right now that range is only 25 pts, a historic low for my studies. In volatile markets that can widen to as much as 60 pts on average. I will not include the crash where the number was, while accurate, way too volatile.

Consequently, it doesn't surprise me that my extreme low is getting punched, but I don't anticipate it wandering too far and should see the market closing at or above the low level. If I'm wrong, so be it, but I'm willing to make my statement ahead of time.
 
“…Consequently, it doesn't surprise me that my extreme low is getting punched, but I don't anticipate it wandering too far and should see the market closing at or above the low level. If I'm wrong, so be it, but I'm willing to make my statement ahead of time….”

How do you account for the missed forecast? Is it a change in volatility?
 
Quote from Petsamo:

Oops, bad forecast !! :O
More...

You bet. That's what I get for bucking my own valuation. I don't get days too often where the internals get worse than what develops during the opening range; today not so. I cashed out yesterday, but that's not to say I wouldn't have given it a go today. I mentioned earlier I've only been playing the long side, not to say I won't change my position on that, but not quite yet. Strength weakened shortly after I made that bet and walked out the door, but there was a sufficient rally afterward to get out with either minimal damage or a profit. Have a good weekend.
 
That's alright. I was expecting an up day too.

I got lucky. I was itching to get rid of my Chinese etf (FXI). I pressed the sell button one minute into the opening. It turned out that the hasty, ignorant move was the correct move because I sold 3 cents below the day's high. Whew!
 
Quote from Petsamo:

That's alright. I was expecting an up day too.

I got lucky. I was itching to get rid of my Chinese etf (FXI). I pressed the sell button one minute into the opening. It turned out that the hasty, ignorant move was the correct move because I sold 3 cents below the day's high. Whew!
More...

Petsamo...I'm attaching 3 pics. It looks like I can only attach one at a time, so I'll follow this message with two more containing those pics; would appreciate your feedback.

The first is a combined target bracketing with the valuation model below. It's fairly basic stuff. The valuation study has the red parallels which are 1 standard above & below the mean, the dashed green. The red oscillator has two smoothed averages, yellow is 1 hr & blue is 1 day. The oscillator itself is just a composite of the calcs I run on the components of the index. In the end, it's just a reversion to the mean study, but it's running the underlying valuations of the components rather than pure price, as I think it's a more reliable number.

For years I ran trades just on that study alone; started off in bonds & currencies back in the 80's and started looking at applying it to stocks in the 90's. That's when I came up with the idea of refining the valuation calc to come up with the next day's price in order to better pinpoint entries. I tried it on several individual stocks, and while the results were a little wild, they were pretty consistent. That's when I started stacking the stats of the components of the indexes to get composite results.

The point is that it keeps me in the ballpark so I don't get my head handed to me. When the valuations are below 1 standard and my smoothed averages begin to converge, I look to see if the market is trading around my low target. Finally, I concocted an internal strength calc which usually remains within certain boundaries on any given day. Once in a while it changes its stripes intraday, as it did twice (worsened in two stages) this Friday, but for the most part it's fairly consistent.

The second chart is off an excel spreadsheet I compiled today; haven't done this for a while. I wanted to see the results of those days in which the market exceeds my low target. I ran it from 12/27/07 thru this Friday; approximately 586 trading days.

I haven't broken the stats down completely yet, but a quick run showed that, had I simply bought the close every day that my low target was exceeded, I'd have seen the next day's price above that previous day's close. I was measuring the rally high of that next day.

There were 101 days from the beginning of the run to the bottom on 3/6/09 in which the low targets were exceeded to the downside. Of those, 12 days saw the next day's rally high fail to exceed the close of the previous day. The worse one was 10/23/08, coming back only -12 points at best on the 24th. But when I checked out the 23rd, the close had rallied 34 points above my low target. Had you bot the close, it would have finally recovered 3 days later, but that would have been a mess to live through. I spent almost all of '08 simply selling put premiums on the dives and closing out as soon as possible; covered a lot with either futures or net credit bull spreads.

Anyroad, I hope you can see the spreadsheet bar chart. From left to right it ranks from worst to best the number of points above the previous day's close. The first run up from the left margin to the spike on the one day showing better than 100 pts is the run from Dec 07 thru the bottom of 3/6/09, and then it starts again from low to high from that March through this Friday.

The last chart is/are the targets for tomorrow Monday. Again, I calc the upside and downside, then eliminate in the morning at the opening range. The thing I'm not sure of right now is the nature of the price action this past week. The Greece/Portugal/Spain downgrades and then the Goldman deal...they muddy the water in being able to interpret what's going on regarding my valuation calcs. I'm likely to stand aside for a little while to see what goes. The vix is starting to kick up.

We could see a sell off, but that doesn't mean we're at a major directional shift. I'd have to wait on that. We all know the historical stats on the summer doldrums, but you can't always count on that either.

I'm still assessing my shift in career right now; currently helping a couple individuals in setting up their own CTA and working on some prop trading. Doing this with ET has been good for me. Have enjoyed some of the shots and some of the comments.

Again, appreciate any of your insights. Hope you kick it hard tomorrow.
 

Attachments

You must log in or register to reply here.
Back
Top