Frank

Did this quick vid for someone else and thought I would save someone out there a few steps by just posting it here. This is just a couple of simple tips on how to get started using Easylanguage in OEC... [ame=http://www.youtube.com/watch?v=LgalpIm6Fxk&feature=channel_page&fmt=18]YouTube - EasyLanguage in OEC[/ame]

this is a very complex question so I will answer it this way. The price pattern lined up with the statistical tendencies and this was confirmed by increased volume as price pushed away from the center of a coil at 911.50. The price pattern was a 'balance' made during mondays very narrow, low volume consolidation day. Market profile dictates that a 'break from balance' that is accompanied by volume is a 'go-with' -- at least in the very short-run. So I began the day ready for that. I then saw price headed for the previous days low and it was occuring on better volume so I entered during first 30 minutes. There is a statistical tendency that if the first 30-min bar close is below the midpoint of the first 30-min range, then this has strong odds of going lower during the 2nd 30-mins. This is kind of similar to a taylor principle applied to intraday market as in, first 30-mins/high made first leads to a violation of the low on the next bar. Also, there are pretty decent odds for the market to make its high or low for the DAY in the opening 30-mins, so you have somewhat of an advantage here if you can enter within 10-20 minutes of the high of day being made. Note, I don't use any one thing -- so what I am really trying to do is cross-reference various tendencies and concepts. If volume is no good and you close under the midpoint, I probably won't go short in most situations --- but I might in this situation because of the specific condition that the previous day was very narrow range 'balance'. So net net, I entered during first 30-mins and exited once it extended down into support and volume dried up. To me, this isn't a 'Taylor trade' --- but its somewhat consistent with Taylor principles -- that is, I am using 'highs and lows across time' to guide me, just as Taylor did at a conceptual level. In this case, the previous days low was the pivot --- short above that pivot and play directionally for that pivot. Once it takes it out (low violation), you have to be aware there might be 'low violation Taylor buyers' --- so you have to 'read the tape' and monitor the situation. In this case, lower prices attracted more selling (ever stronger volume), so I stayed with it until it reached a reasonable range objective (I have done a lot of statistical work with intraday range).

agree with elovemer, in my opinion, you just can't get too caught up in the names of the days --- its the underlying concepts that matter. if you are shorting on a buy day and buying on a sell day, that is fine if its consistent with general daily rhythm of high penetrations and low violations (or lower high/higher low). does is really matter what you called the day if that is the case? no, it only matters that the taylor daily rhythm 'favors your play'... today we made high of day in opening 30-minutes... call it buy day/high made first, call it a sell-short day or call it a cover day --- it doesn't matter what day I label it, its a sell-short structure off a morning high.

today volume was better and we got the range target as predicted by VIX

think this is nicely complementary analysis so will show it here... range is related to VIX --- but range is also highly correlated to volume (money flow). so while you might start out with idea that range should expand to XX pts, this is also dependent on volume... here is chart of todays volume and intraday 30-min bar range.... bottom line, be skeptical for range to get its target when there is no volume

just a screenshot

I happened to speak to a guy at a cocktail party who does this for a living. He was at Susquehanna for a long time in the derivatives group and left with a few others a few years ago to go their own --- they were using 75x leverage to do ADR arbitrage (currency hedging is a part of it). I would think this is very difficult to pull off unless you are very experienced at this type of thing and/or have some type of technology advantage.

I showed this in another thread which was critical today, imo. volume never supported the initial push below the previous days high (critical taylor level). btw, those are west coast times on the chart.

this volume indicator is really a nice complement and I really think its one thing (along with an analysis of range) that can be so much better viewed in a custom-created Excel dashboard than in a chart window.... note that the chart below is using west coast time (3 hours earlier than EST)

Bretts blog post today is on this intraday volume idea: TraderFeed: Using Relative Volume to Identify When Markets Slow Down "I mentioned yesterday how the trade was a difficult one. The above chart draws upon the relative volume concept to show, half-hour by half-hour, how participation in the market compared to 2009 norms. What we see is that, from 11 AM CT forward, the volume in the ES market (blue bars) fell well below their median values for that time period in 2009 (red bars). Recall that volume is closely correlated with volatility: that shift tells us that, unless relative volume picks up, the market is going to move much less as the day unfolds. This is a very helpful alert that can help traders avoid overtrading a narrow, slow, choppy market. Interestingly, the period of waning volume also corresponded to the drying up of selling pressure that I posted. Notice how correlating what is happening in volume with what is happening in NYSE TICK can give us some clues as to *who* is gaining and losing participation: buyers, sellers, or both. This was useful information as the day unfolded, as we were unable to sustain afternoon lows." his chart is clearly done in excel --- wonder if he has it linked in real-time???

was thinking consolidation day but this was outlier in terms of range. it ended up a NR130 (narrowest range of past 130 sessions - excluding selected holidays) and was an inside day. high was made early and took out the morning low later on --- but could never get going to downside. market profile wise for tomorrow, the idea is to 'go with' a move outside first-hour range IF volume accompanies the attempted directional move.

wanted to add a thought which is based on statistical tendencies if you think about taylor from this perspective, I think it offers some insight. taylor system is really based on highs and lows in a nutshell. so you can calculate how often the market violates both the previous days high AND previous days low (outside day). turns out this is relatively rare situation, occuring about 10% of the time. what this means is that once it takes out the previous days high (penetration), it is unlikely to take out the previous days low. so for tomorrow, the previous days low is a long way down --- and very unlikely (though possible). well, if the market 'starts' below the previous high and then trades up through the previous high, we know odds are very very low that it will then turn around and crash through the previous days low. just as important, my previous data shows that the low or high for the day is most often made in the first 90 minutes (today was first 5 minutes). so if the market 'starts low' and trades up and through the previous high, you can kind of see that the odds are very very very low that price crashes down. net net, though it may be a sell-short day --- I would say that unless it 'starts high' with a large gap up, it seems unlikely to actually go down a ton. all of this is very consistent with Market Profile theory, which says that 'trend days' like today show one-sided market action that likely did not complete (there should be enough residual momentum to support price enough to at least go and take out todays high tomorrow). never say never, but I think most likely situation is for the market to put in a consolidation day before any significant downward price action ensues (ie, before it starts taking out the previous day lows).

example of this. today price was pushing up bullishly, closing above 24-hr vwap on opening 15-min bar and kept creeping up -- there were no sellers but volume was tracking average to down -- then at 6:55am (9:55am EST) buyers came in aggressively as price pushed up to the April high at 885.75...

Thought I would just post what I have been working on -- this is still early in exploring this Excel link feature but I think it has potential. This is a screenshot of an excel 'Dashboard' that summarizes some market information for me. Again, this is real-time linked and can sit on an adjacent monitor to help interpret price action in that chaotic time near the open. on left is a table and graph to show how volume is beginning vs the previous day. in the middle is some basic market information --- and on the right are some 30-min charts. this screenshot is from Friday -- you can see volume was low and selling dried up after violating the previous days low. more to come but this is really cool feature in OEC (though this is not exactly easy to set-up -- you need some good understanding of Excel -- ie, 'look-up functions etc...).

I began to look at NQ but didn't follow through. I have too much other stuff on my plate I am working on... my preliminary findings were that NQ was quite a bit MORE volatile than what VXN (the NQ vix) implied. Personally, my view is the S&P futures of the center of everything in the equity markets -- so I then began to look at the other contracts: NQ, RUS and EMD vs VIX... that could be a future avenue of study as the VIX is very well-known and followed barometer.

for basic info: http://www.openecry.com/software/softwarehighlights_exceldde.cfm I am just kind of learning how to do this and see where it goes but one cool thing that has potential is to link the DOM data into excel in real-time. First real use is to get a precise calculation of vwap since you can weight each price for its exact volume. Another feature is to conditionally format the DOM to change colors per any rule you want to create (there are tons of options in Excel 2007). the rules in this attachment are to highlight all volume bars that are in the top 30% and automatically attach a box to the highest volume of the day and make it bold. Ultimately, you could make a nice 'dashboard' in Excel to aggregate whatever you want -- ie, diff't markets etc...

very nice hakuna, Low made first 30-minutes and traded up 18.75 pts to High made during 11th bar. Standard type of structure although fell a little short of primary objectives (will more normally make another new HOD into last hour)-- though understandable given it was a pre-FOMC tuesday. I started this thread on range if you haven't checked it out yet -- gives some ideas on range: http://www.traderslaboratory.com/forums/f34/s-and-p-intraday-range-and-5416.html Price today did about 91% of the range that was predicted by the level of VIX. From many different angles, 'time of day' and 'range' -- it was a pretty 'normal' day, though on the low end of the range of 'normal'.

here are a few power buy examples that have shown up lately. the idea is that if the market doesn't gap in the direction of the previous days high to low/low to high move --- there is a strong tendency to continue early the next morning in same direction. if the market gaps, then the location is not good and instead the overnight hold was the right play so don't chase the trade.

today traded to high in middle of day, attempted down and petered out. this is rare occurence -- but how rare? (btw, today was also narrow range day at 15.25 pts -- equaling the lowest range in past 7 days) elovemer, don't want you to be the only guy keeping this thread alive so I will show some data. 1) this shows how often a high of day and low of day is made using data for ES up to today (starting 12/31/97) http://4.bp.blogspot.com/_5h-SWVGx6Ms/SfZqrfdC-hI/AAAAAAAABA0/qYjxxPvs568/s1600-h/April+2009+30-Min+Bars+2.png (today was just 12th time in last 329 trading days that the high was made during that 30-min 'time slot') 2) this breaks out just when the 'made first' part occurs (if low first day, when was low made -- if high first day, when is high made). coming into today, this month had seen the key pivot 'made first' in opening 30-mins 9 times and during the next 2 30-min bars 7 times --- for a combined 16 of 18. today made it 16-3. http://3.bp.blogspot.com/_5h-SWVGx6Ms/SfZqxKI6IKI/AAAAAAAABA8/Ib6p_0VoSbU/s1600-h/April+2009+30-Min+Bars.png So although we've had a few days that didn't make hight first in first 90 minutes this month (ie, today high was made during 6th bar), the number of days that do this is running 'normal' this month --- usually get about 5 or 6 of those a month, currently running at 3.

Just updating this for recent data points as of April 21, 2009... Note that the horizontal line drawn at 0.80x on the chart is to represent a 80% confidence interval for the minimum range expected on the subsequent day --- ie, a 1-tailed test that statistically implies that any given day has a 80% chance to achieve this range at a MINIMUM (long term average minus 0.84 standard deviations for a 1-tailed test = 80%). 80% is a strong probability over time. though we had a 4 day run where range fell short of this estimate (which is highly unusual), the trailing 30 & 60-day periods are still running at 80%+... also, you can see the inherent problems of using a trailing average to try to predict the next day --- as this is very spikey on a day-to-day basis (so any trailing average is inferior to a forward looking estimate, which is what VIX represents).

OEC - Futures and Forex Electronic Trading System Video Tutorials

rickek, your question is a good one. based on my experience, here is my 2 cents --- take the @US contract and run your strategy for the past year--- then go back and run the same strategy using the 4 individual contracts that correspond to the same time period of the continuous contract strategy results (find the rollover dates and sum the individual results into a total) --- align the dates so its comparable and see how, when and why there are differences. I found that doing this was hugely informative. in reality, you are going to be trading the individual contracts, not the continuous contract, so you might as well figure out the nuances now anyway. fwiw, when I did this for the S&P and Russell -- I found large differences in the tested results (on Tradestation). there are just some assumptions that have to be made in back-testing that you will learn if you go through this process on a 'bottom-up' basis. Personally, I would use the continuous contract to 'ballpark results' of a new idea I wanted to test -- but I would never trust the continuous contract when it comes time to really and truly analyzing the strategy results.

thanks brownsfan, if they figure out how to do Interactive Brokers 'universal account' (futures and equities/etf's in a single account) -- with their existing software/trading platform -- they can own the world. Open Ecry does really need to figure out how to get NYSE ticks to traders ASAP, among a few other things -- ie, VIX, breadth, up/down volume etc...

thx ant, that works. by the way, there wasn't a single +2 RF reading today

thx tams, it compiles without an error -- it just gives the wrong indicator -- (small problem huh)... note how mine is wrong (look at the 4th bar in the indicator pane today) and yours is right using the same code.... this is why was just hoping for the same type of code but just re-worded in a diff't way --- I just don't know how to do it another way.... thanks for any help: