What is your way of identifying trend reversals?

[SunTrader]

MES 144 tick chart with ROC (solid) ROCAvg (dotted) and histo below with the difference - yellow dots are 21 bar highs/lows:-

 

[ironchef]

Yes, a long time, like write trades on paper tickets and submit them to clearing house days. The problem imo with calculating derivatives and using those values is that you have to smooth the data first, correct? And anytime you smooth the data, you have lag between that and the realtime price movement that could at times be significantly different, sometimes relevant and sometimes not, and incorporating that relationship.

Another problem is that imo all time frames are important, just that some are relevant for reversals at certain times but not others, and the one or ones that are chosen will go in and out of relevancy (at least how I'm thinking of it.) So I don't calculate them to view, I just use others to predict where their oscillations will reverse.

Here is a chart that reflects a portion of the approach. For example the yellow is raw short term and when it is inside a smoothed oscillation like light green (higher than it when light green is negative, lower it when light green is positive), the green will restrict how far yellow can go and determine when the futures will reverse if they go that far.

There is a lot going on here that would take a long time to explain, but you might be able to figure some things out by just looking at it, including how crossovers of the smoothed indicators can affect predictions. Rate of change is imo not just a calculation of movement over time, but actually a driver of volatility in very complex ways that creates and constrains it at different times.

Thanks. I will chew on this.

Most of my analysis were done over a decade ago when I first started day trading. Tried most of the published indicators, least square regressions, Kalman filtering, FFT, small signal analysis, perturbations.... I was clueless and the trading results showed: Not profitable.

So, I moved on to trade options.

Today, I am taking a very different approach on day trading, will restart after I conclude my paper trading tests.

Best regards.

 

[Aisone]

MES 144 tick chart with ROC (solid) ROCAvg (dotted) and histo below with the difference - yellow dots are 21 bar highs/lows:-

View attachment 323055

Tick charts are a different animal because the verticle axis varies based on amount of trades instead of a constant amount of time. So because it's the oscillations of different time frames that I look at, I can't use them. The roc patterns on your chart look very normal and insightful though, and that's fascinating (and I've explored and seen this many years ago too), but ultimately it's harder to build on in the same way that can be done with using many different static time frames together.

 

[SunTrader]

Tick charts are a different animal because the verticle axis varies based on amount of trades instead of a constant amount of time. So because it's the oscillations of different time frames that I look at, I can't use them. The roc patterns on your chart look very normal and insightful though, and that's fascinating (and I've explored and seen this many years ago too), but ultimately it's harder to build on in the same way that can be done with using many different static time frames together.

That chart was handy but I use them on 1 and 5 minute timeframe mainly, as well as bigger picture 1 hour and above.

Also with a combo of shorter and longer periodicity without much further insight - my experience anyway.

 

[Aisone]

Thanks. I will chew on this.

Most of my analysis were done over a decade ago when I first started day trading. Tried most of the published indicators, least square regressions, Kalman filtering, FFT, small signal analysis, perturbations.... I was clueless and the trading results showed: Not profitable.

So, I moved on to trade options.

Today, I am taking a very different approach on day trading, will restart after I conclude my paper trading tests.

Best regards.

Nice, good luck in that. Follow your instincts. I traded options many years ago as well (index options for a firm) but left the greeks buried in the past with no intentions of ever visiting them again.