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Frank
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ok ant and/or anyone else that may be interested in helping -- I looked at this code more closely and now there is a framework I understand. that is cool, you have created an 2-dimensional array with all the 30-min prices indexed within an assigned bar number. so next step would then be to reference the cumulative bars up to that point in the day --- would you use an if/then statement such as: if currentbar = 4 then loop through all the elements within BarNums 1-3 and create a cumulative array from which we loop through that and use a counter such as y=y+1 to count when an element is = to the mode price of the cumulative array?? is that doable? open ecry is slightly different but it did compile with one adjustment (changing 'bars' to 'bars1') one other thing, with current structure, the array can run out of space unless we set a huge number up front. how do you deal with this elegantly? thanks for any help frank
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I saw discussion about TPO's --- and while I have never used Market Profile as a trading method (I use it for higher timeframe context) -- it seems to me that TPO's are in one way superior to volume. I am not discounting the importance of volume -- just stating that 'imbalance' is best observed in range -- and range is same thing as TPOs. Thus, high TPO count may be a sign of imbalance where high volume may not be. comments appreciated.
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HUD for mere mortals
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Urma has stated his HUD indicator is derived from things that are happening sub-second. You have to decide is this really an area you want to compete with machines on? The more important issue for me is the part about an indicator marking a good lasting high or low for a material amount of time, if not for the day. Now this is an area that is right from market profile --- finding good location vs intraday value --- I would argue that you should be thinking about where value WILL BE for the day, not where it currently is -- per the histogram -- but this is separate topic. To the extent a micro timeframe indicator helps see that -- hey, I am all for it -- but building an indicator like this as your main weapon of choice is only going to work for a select few. I would just say that if I were Goldman Sachs and I heard retail traders were trying to build sub-second indicators to compete with our raw compute power, I would be jumping up and down for joy.
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my first sad attempt -- already lost Here it is in Excel if it helps visualize it: thanks for any help
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I've seen his screenshots and while that is good, its not what I am looking for -- not to mention that it is too complex a script for my level.
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I am trying to understand arrays in programming and would like to learn through practice. I saw the arrays thread but thought I would start a fresh one for this indicator as it may be useful to many. I will try to outline the mechanics of how to do this very specifically. I know how to this in Excel easily so I think I can outline this pretty well -- but I don't know the syntax necessary in Easylanguage. If someone who understands arrays well in EL can help, then I can learn how to do arrays and I would be greatly appreciative. I would like to do an indicator that creates an array for each 30-min bar that places in the array all the prices that were traded during that bar. This can be done by taking the low price of the bar and adding 0.25 (1 tick) for each tick of range in that bar (H - L) / 0.25 obviously, this requires a dynamic array as there will be different amounts of items within each bar. then I would like to cross references those arrays in a new cumulative array (all bars since day started) and take that cumulative array and solve for the 'mode' (an easy keyword function in EL) -- mode is the most repeated price. In excel, it defaults such that if there is more than 1 price that occurs the most amount of times, Excel takes the lowest of these prices --- which is fine..... because I would then like to just count the number of times the mode price occured and put that in a histogram. any willing to help out --- if this isn't clear, I can surely make it more clear. thanks Frank
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How to trade on the FOMC announcement
Frank replied to nicknextmove's topic in Market News & Analysis
past FOMC days Fed Days -
Very Strong Coordinated Technical Commercial Selling in ES, YM & NQ
Frank replied to UrmaBlume's topic in Technical Analysis
thanks yes, I remember the House of Shields, I worked within 2 blocks of there from 1993 - 2003 and went to many conferences at the Sheraton Palace. Ate at Henry Hunans many times too -- best chinese food ever -- New Montgomer and Natoma St. So you are in Vegas, you play any World Series events this year? -
Very Strong Coordinated Technical Commercial Selling in ES, YM & NQ
Frank replied to UrmaBlume's topic in Technical Analysis
ok, thanks - that is what I was wondering. but one thing still remains unclear. the indicator exists on a sub 1 minute level --- but it is unclear on the timeframe for how long an extreme reading remains relevant. I ask because this is central --- while the INDICATOR exists on this timeframe --- is it only the high-speed execution of this signal what accounts for profits or losses? if you are saying that it often marks the time of the 'day session extreme' -- then certainly this is a signal that is good on a higher level --- something that does not require an application written in machine language and a server within 10 feet of a major internet backbone for sub-second execution. -
Very Strong Coordinated Technical Commercial Selling in ES, YM & NQ
Frank replied to UrmaBlume's topic in Technical Analysis
ok --- I point this out for others and for my own reminder. there are all these threads like 'trade intensity' and this one is ' Very Strong Coordinated Technical Commercial Selling in ES, YM & NQ' --- but the indicator in the charts is actually an index of indicators measuring a number of things on different timeframes. so the size of the bar in the indicator pane --- the one in the histogram --- is building up when the INDEX adds up. There is likely a perception here that the histogram is a summation of some kind of filtered volume for large block orders --- because of the title of these threads makes it sound like this is a volume indicator -- like figuring out if that last 2k contract trade was a buy or a sell. but the histogram in the indicator pane is actually an index that is stacking up biases in combination and just because there are large block orders passing doesn't mean the index will build. for example, (this is structure of the indicator only, done intentionally in oversimplified 'if/then' branching programming statements for structure only) 1) if trade is strong given this time of day then +1 2) if the velocity of trade on X timeframe has DECREASED then +1 3) if the velocity of trade on Y timeframe has DECREASED then +1 so the index would be +3 in this example. if block orders ARE passing without the above conditions, then it is possible that the index may be 0 or whatever, big block orders without a signal I was not implying that the MA crossover was a part of the indicator -- I was just suggesting that action just after a signal would confirm the signal and this is quite easily seen in the MA crossover. edited -
Very Strong Coordinated Technical Commercial Selling in ES, YM & NQ
Frank replied to UrmaBlume's topic in Technical Analysis
have a question, in most of these screen shots you post there is a simple pattern -- a ton of block orders after a swing in one direction followed by a moving average crossover in the other direction, which seems to confirm it was buying or selling. (I am not talking trade set-up here, just recognizing commercial activity). if you see a situation that doesn't qualify for this, large block orders with a MA crossover against last swing -- can you discuss perhaps why that would not be a good way to track commercial activity? if there is no edge past the opening 2 minutes of this occurence, then I would say its just a short-term scalp and so there is nothing in these screenshots that will ever be useful to anyone here. If that is the answer, then so be it -- just curious. -
these days you can download data into excel for free and manipulate data so easily -- I would start there. if you need a guide, start with a basic book and move your way up --- there are countless books written on excel for statistics. flip through some in the book store and read the reviews on amazon.
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david, part of what you are talking about is very simple --- the other part I don't think is doable in OEC, though I am not an expert so I couldn't say for sure. plotting an alert to tell you that 4 emas are near each is very easy. here is a first pass (skeleton code). Easylanguage is very simple. there is an application in tradestation called Radarscreen that would work for scanning multiple contracts for the same custom indicator set-up. when you ask for help, you need to come up with a specific rule for what constitutes a set-up. I have given an example here just as an idea -- start with the longest ema +/- 0.5 ATR(10) and whenever the other emas close within that range, plot a 1 in a histogram on the bottom. I spent about 2 seconds thinking about this so you will want to think about what rule would work better: # of ticks or Average true range are some typical ways to do this (ATR better if using contracts with widely varying absolute price levels). vars: uboundEMA(0), lboundEMA(0), ema20(0), ema40(0), ema80(0), ema160(0); lboundEMA=xaverage(close, 160) - 0.5*avgtruerange(10); uboundEMA=xaverage(close, 160) + 0.5*avgtruerange(10); ema20 = xaverage(c, 20); ema40 = xaverage(c, 40); ema80 = xaverage(c, 80); ema160 = xaverage(c, 160); condition1 = ema20>lboundEMA AND ema20<uboundEMA; condition2 = ema40>lboundEMA AND ema40<uboundEMA; condition3 = ema80>lboundEMA AND ema80<uboundEMA; condition4 = ema160>lboundEMA AND ema160<uboundEMA; if condition1 and condition2 and condition3 and condition4 then plot1(1,"set-up");
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hi Daniel, Market profile is actually very simple stuff --- I like the customization offered by doing it yourself -- as you can customize a dashboard exactly as you like it. for example, I have added an overlapping bar indicator below my chart - then I put Rotation factor and range indicators in --- and I can then conditionally format any data to be bold or change colors or make a sound or whatever --- when they meet a criteria. I am using Open Ecry for things other than market profile --- and then just as a data source for my own customized dashboards. Since I am not a programmer, I do it in Excel. This takes some effort but its surprisingly simple once you have a feel for how to visually structure the incoming data, these are all simple cell calculations. Keep It Simple principle at work. fwiw, I also like replaying the market day in my customized dashboard --- you can easily go back and see what a profile and its associated statistics were at a given time and day and imprint that on your brain for the future. For example, here is a snapshot of today. Given this limited information in this screenshot you could say, while range is weak here at just 7pts, market is above the previous days high after testing into that range and there is no sellling. the lack of selling above previous days high is consistent with a day that has not made its final high yet. even assuming the likely 'P' formation occurs when buying is not sustained -- the lack of daily overlap combined with buying tail in B and lack of much selling in C or D --- all suggests market will auction higher from here. Now its up to you to find an entry off that top-down structure.
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Market had serious issue at 1025.00 today -- this was major center of gravity of Aug 21 - Sep 1 Volume distribution:
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so both of you guys would not discourage me from C# ?
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I am in process of learning some programming -- starting with VBA to get feel for object oriented programming and then thinking about moving on. I have settled on going with Microsoft technologies but trying to understand C#'s role in the world. Is C# a good place to focus or should I try to continue by extending VBA into Visual Basic? I am uneducated on this but it seems to me that C# may be the future general programming language and perhaps I should just learn that. (Microsoft positioned C# as less complex C++ and as better structured than Java). FWIW, I am an Open Ecry user and they are offering support for Easylanguage and C#. I already know some decent level of Easylanguage so I am covered for indicators etc... but long-term, I may want to dabble also with web applications and if C# works for both -- hey, why not just go that direction?? comments?
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Recommendation for Trading Systems for Use in My Thesis Paper
Frank replied to Celticaces's topic in Automated Trading
In terms of an idea to explore --- I would suggest defining and studying days where there is an 'imablance' in the pre-market (globex) session. The thesis could be that when the 24-hour market is imbalanced, it leads to some kind of tendency in the cash market. -
it looks to me like there was a price anomaly early in the ETF's life that caused Opening Prices to be 'off' relative to each other. Note that the return in your chart is highly influenced by Nov-Jan 2009. The anomaly was likely the result of a low-volume ETF. These ETF's, once liquid, track benchmarks quite well on a 'closing price to closing price' basis --- so this anomaly is really about 'are open prices of these ETF's consistently mis-stated'. If you plot the volume of these ETF's --- you can see that once volume reached high levels (and pricing therefore more accurate) --- the anomaly of the opening price mis-stating became very marginal at best. Perhaps there is an anomaly with new ETF's before they gain critical mass to be exploited in the future for small nimble accounts -- but more likely, there are just likely a lot of single prints on the opening price which you wouldn't be able to short at that price in a real-time practical example (ie, price opens at $25.00 on 100 share lot and next print is $24.86 and you fill $24.84 and lock in nothing but transaction costs).
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This has kind of evolved into a journal --- will post todays final distribution so I can look back at the result in future.
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Recommendation for Trading Systems for Use in My Thesis Paper
Frank replied to Celticaces's topic in Automated Trading
Art Collins wrote a book on trading systems "Beating the Financial Futures Market" While the ideas in there are marginal in my opinion, the use of an 'indexed approach' is a powerful framework from which to launch, imo.... good luck -
concept 1 -- market shows little overlap to previous day, testing into the previous days range in B and then every other closing 30-min bar was outside of it. this is bullish concept 2 -- expect the market to print 4 overlapping bars by F majority of days, by 'i' every day -- it achieved this objective in E. concept 3 -- I haven't talked about this but if you look at the european cash session - the US session basically NEVER does an inside day to that session. I won't post the stats but they are compelling that as an objective, the S&P's should take out either the globex high or low and then the other side most of time holds for rest of day. so putting these concepts together and combining with previous days --- where we saw much overlap (balance) -- given that price was being 'accepted' outside of the previous days range -- the odds favored taking out the globex HIGH. Once momentum devleops up -- you can see clear set-up for 'double distribution trend day' -- one distribution representing the 'high odds overlap tendency' (the morning session overlap) and the second distribution forming after 'big bar momentum' outside and away from the previous days range while in 'breakout mode'. the complex part --- as price overlapped on intraday basis-- it got tough to figure where to enter. It became clear as price pushed up in F then shot up in G --- only play was to go to market or buy stop. I managed to miss this entry and then it didn't pull back quite enough to get a long scalp on in H. Once it extends past the G high --- you are now likely ABOVE the projected second distribution -- so now in tough spot -- buying ABOVE projected value (at time, current value is obviously MUCH lower, but this is not important info -- as you should be using a 'projection of value' given the structure).
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hey ant, I understand this concept but can you give an example or 2? also, with that in mind, what is your thinking on position sizing -- however you want to discuss that -- just the process of how to position size given sometimes wide stops?
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That is really what this thread is all about -- taking concepts and putting them into context of the current day. The statistics I have presented relate to just one concept of many. It is the combination of all these concepts that will determine trend vs bracket, not any single statsistical set. Those statistics I presented are not meant to say 'always fade the market' --- they are presented as historical fact. The bottom line is, the market overlaps a lot. That is NOT saying to fade the market every day as you may (or may not) have interpreted that to be what I was implying. That is not what I was saying when I presented those stats -- I was just trying to say -- ok, here is a statistical analysis of the past -- lets apply it to this particular situation and see how we do against that benchmark from THIS particular angle (one of many) and then lets take that and create an overall 'mosaic' out of these concepts. Thus, trend days are when there is NOT overlap and RF shows higher confidence. I have stats on RF as another guide. Believe me, I learned the hard way years ago --- I did what so many others have done --- you learn about oscillator divergences and make some money fading the market -- and think you've discovered gold -- and then a trend day comes along and you lose 2 weeks of profits, go on tilt, and give away more. But 'going with' the market has its own hazards of getting chopped up, as you know. For me, I am constantly trying to think about where value WILL BE... If the concepts point to trending action, then value is migrating and current price might be advantageous as to were value IS GOING. Gretzky had some line about skating to where the puck will be, not where it is --- its a cliche but its also right. If the market is NOT trending, then gauging value is not actually that hard, the price will be determined relatively early in the day and you can narrow your choices down as the day develops.. Bottom line, I want to make money on days that AREN'T trend days but still very often play IN THE DIRECTION of that first impulse because if it IS a trend day (or if its just a bigger F.U. than you were thinking) -- you are on the right side of this. And if you do get in well, you do have that chance that you are in a 'big bar' momentum move and that while you should exit MOST of the time, you always have that option if the tape just completely ignites with extreme ticks, large orders etc... can stick a stop in and lock in the gain and still participate in a trend day. But once the market shows signs that its NOT a trend day -- which it will do on majority of days -- now you know that you will be cannon fodder if you try to play for trend. Doesn't mean there is a fade set-up necessarily --- maybe there just isn't a set-up either way as you chop in a tight range towards that high odds 9+ overlap -- like yesterday.