Frank

in poker, luck is really the same thing as 'variance'. but this is what the concept of 'an overlay' is --- do the odds justify a bet/raise/call, given your estimate of the final pot size and your players propensity to fold etc..? you have to factor many things in beyond just the mathematics of the cards. in trading, people get confused and mistake 'variance' for skill. but fact is, no matter if you call it variance or luck -- it exists. I have found that thinking about reward/risk is the way to go in trading (and poker). Will I be paid off if I get this trade right? If there isn't much profit available, then its ok to just not play -- the 'ante' in trading is opportunity cost of working at a 'real job'. But the pot sizes in trading are very large in some environments -- as is the risk. So to me, I spend a lot of time thinking about and analyzing whether the environment supports 'entering the pot' -- or just sitting out and waiting for a better spot. frank

ok, 1 more chart: you do not really need to 'guess' -- you can just watch the morning session -- if its high TPO count -- that generally begets high afternoon count. conversely, 'crap begets crap' (no range in morning means day is probably a dud)... I find this concept very very useful for thinking about profit targets. keep them low if range is low -- but expand them a bit if range expands:

Here were the 'good ole days' of volatility -- End of 2008 and first half of 2009 TPO counts:

chart of TPO counts picking up as would be expected on seasonal basis (January usually up vs December)

Trading is something that requires continual learning. Phil Ivey, considered the best poker player in the world, says that every time he plays he learns something new. So this thread is just to discuss things that you have learned or come to more fully appreciate over the past __ months (you choose or just discuss in general without specific dates). In a few more months from now, hopefully I will have learned more and can share something from that. One thing I have come to appreciate more over the past 12 months is this: It doesn't take very many trades to make good money at trading. A MAJOR side benefit of this 'don't overtrade' mentality is that you are quite unlikely to go 'on tilt' --- ie, make mental errors due to series of losses -- if you control your trading to only the very best set-ups per day.

I did that chart to show someone that doesn't trade futures -- and they would probably have noticed that those returns are not the same as the S&P 500 so I just stated that up front (in the title of the chart). You can see in this data table to the right that SPY dividends add a few percentage points a year. (it takes less money up front to buy same amount of futures exposure, so its assumed you invest the extra money in treasury securities to make up for lack of dividend).

I think this is self-explanatory. interesting comparison of where net return really comes from:

well, October did a small seasonal uptick and that was it --- then a ski slope down... January usually better than December but so far not the case - thinking this seasonal should kick in soon -- but we'll see.

yah, I guess that was kind of random start.... volatility is the daily standard deviation of returns, expressed as an annual percentage. this is at the very core of how options market makers think about risk. so I thought I would scan the ETF marketplace to get a sense of the range across different kinds of ETFs. ETF's are very interesting products in that they are based on indexes, just like futures -- and they cover a vast array of market segments. ie, there are no futures contract for many of these markets --- but there are liquid ETF's. a quick rule of thumb on 'volatility' -- the annual percentage can be converted to a daily percentage by dividing it by 16. so a 'vol' of 32 implies that price is moving about 2% per day. and a vol of 8 would be 0.50% per day. (the true calculation for conversion is to divide vol by the square root of 252 -- this is because there are generally 252 trading days in a year. sqrt(252) = 15.87, or about 16)

I ran this scan on the 100+ largest ETF's to check relative daily volatility. Interesting that of these, there are 7 unlevered products that are MORE volatile than the 2x Leveraged ProShares S&P 500 Index. Obviously, the least risky are the short-term fixed-income ETF's. But note that the currency ETF's (like UUP, the dollar index)are just slightly higher volatility than some bond ETF's.

your points are all valid -- but you are making a bunch of blanket statements about your interpretation of market profiles 'trading rules'.... I think they are off the mark in that regard.

fwiw, I hooked up MultiCharts to OEC for a while --- and then disconnected it --- I like OEC's DOM for trading and felt it was seamless transition when staying on OEC from chart to the DOM to execute trades. And all my EL indicators run fine straight in OEC.

I have been through this already so if you want daily and or 30-min S&P Futures (ES) data, I can just post it for you. no charge . Have it back through 12/31/01 --- which is about when the e-mini really started to get liquid.

open a small account at Tradestation and do min trades. if just want a timeframe or 2 -- download data to excel and then drop tradestation.

this has been quite annoying. Depth of market is simply not reliable as is....

have used a simple product from IOGear KVM switch that switches keyboard/mouse control when you doubletap/type the Scroll Lock bar, works just fine. IOGEAR - GCS632U - MiniView Micro USB PLUS KVM Switch with audio and cables

thanks Dutch, I looked over your code and saw how you did that with the dummyarray as something of a 'holding tank' for the array, seems obvious now but didn't know that is how you do it. I didn't understand the use of 'condition1' -- there is just a resetting of the array there -- can you explain that a bit? why can't you just leave out the condition1= and instead just make the statement: Array_SetMaxIndex( MyArray, Array_GetMaxIndex( MyArray ) - Value1 ); { decrease in size } thx edited 5:20pm EST

the one thing that is nice about showing the P+L is that occassionally you can foul up your orders and you think you are out when somehow you are still in... ie you oversold or overbought your positions, or price moved quickly while you were moving your order with the drag feature -- in these cases, you will see the P&L changing and you can then hit the 'Exit at Market & Cancel' button to get flat ASAP

opend(0) is the current day open. EL processes bars at the close by default so you can't back up. by definition, there won't be any trades at open of tomorrow so you can just say buy next bar at market to buy the open price; or say you want to buy above the open+ 1pt or -1pt: buy next bar at open of tomorrow+1 stop; buy next bar at open of tomorrow-1 limit;

I started with VBA for excel, not VB, because I thought I could start to understand programming concepts in an environment I am familiar with and therefore make it easier. This was a good move that I would recommend as you can really see what is going on with the code clearly in that environment. The statement structures are near identical to VB. You can also apply basic Excel functions within the code editor when that is more efficient. These built-in functions are incredibly fast, even with large data sets -- much faster than writing loops longhand. Basic Programming Comes Down to a Combination of: Branching Statements: ie if/then Looping Statements: ie, For x = 0 to 100 Array Manipulation Variable combinations These are all things you can learn to do in excel VBA and then once you 'get the concepts' -- move on. I struggled through some poorly written books on VBA and then this video showed what a good teacher can do.... Amazon.com: Excel VBA and Macros with MrExcel (Video Training) (9780789739384): Bill Jelen: Books

personally, what I would find most helpful is some kind of example that walks through all the intricacies of arrays. 1) how to clear out an array for a given bar or new day 2) conversely, how to preserve the values in a current array and then expand on that array 3) how to set up a 'watch' for a loop counter 4) debugging array loops -- 'stepping into' the code just kind of a tutorial on arrays in EL -- learning some tricks, some extra keywords and useful nuances along the way. I know this is a general question --- but giving it a try anyway. I will do one for others once I am beyond 'EL-ignoramus' myself...

I was struggling to learn Visual Basic (VBA) by myself (from books and written online turtorials) and then I got a DVD and suddenly it was easy --- watching someone else navigate the code editor and give pointers is the best way to learn, imo. and with youtube, its free -- Google is just eating losses to provide this service.

I just did quick search on Amazon -- these dummies books get great reviews cause the publisher can lure the best writers to the very successful brand. This one goes from the very simple to the intermediate and makes everything simple ---- and then there is a second book on intermediate statistics. I find it pretty ironic to be discussing 'LINEST array functions' in a 'for dummies' book --- don't let the title fool you. This books materials starts very easy and then takes off with useful topics. I was flipping through a C#.net programming book for dummies --- I am way below dummy I guess cause C# is dense stuff. I mean seriously, how many dummies can program in C#? Amazon.com: Statistical Analysis with Excel For Dummies (For Dummies (Computer/Tech)) (9780470454060): Joseph Schmuller Ph.D.: Books For a good overall reference book on excel, I recommend this one: http://www.amazon.com/Special-Using-Microsoft-Office-Excel/dp/B000OZ0NF8/ref=ntt_at_ep_dpt_4

Personally, I find visual learning the easiest. I am just throwing out an idea --- what about creating a general traderslab coding forum channel on youtube with tutorials on various topics? I set up an account on youtube so there can be no excuses-- you can log in as traderslab1 password is: donkey00 (those are zeros) just throwing it out there --- thoughts?? http://www.youtube.com/my_videos