Predictor

Urma.. it looks like the VOLUME is positive on the extreme flurry. Right, if you are a big trader you DON'T want to move price. You are entering based on some reason you think price will move. If you are the reason that price moves then you can't profit. The way I see it is that the locals and sometimes retailers are driving price to the other-time-frame-participant. If the locals are doing the market orders then this explains also why they are on the wrong side. The big trader has its limits there. He wants to get filled at his level. The locals are driving into him with markets. When the momentum goes out then they start to get scared/retreat. It is not just volume that drives price but confidence. Now I'm telling you something quite valuable. Today, the undecided debt issue was the confidence factor that turned the market. You show when your indicator works but most indicators only work about 50% of time. Do you have a system that auto trades on that and would yo be willing to share its stats? Also, I see 2 failed signals on that chart if I'm reading it right. Also what datafeed do I need to use this? I have tradestation.

Okay here is what I'm getting at.. if the OTP (other time frame participant) must have some predetermined method for entering the market and it seems sense to keep aware of what he may be using which may be trend lines, previous highs/lows, or mathematical probabilities that bounce price. Today he came in at the previous value/low of yesterday. So, it would make sense to watch for that. Also, I'm not convinced that this is OTP that is driving down prices or up prices. He doesn't have that motivation. In futures, we (traders) bull the prices up until we can't. This would explain why the highs are marked with buying and not selling delta. I'm starting to think it is not the OTP but the locals that are bulling price up to his LIMIT level. When they detect he starts to sell then they start run it in front of him. The locals drive price up/down to previous value and then when they detect resistance they exit.. with no more "big bullying" locals to drive price, it goes back to where started. Think about it, a big trader is at 1313 and wants to sell. Why would he flood the market with sell orders to drive price down? He wouldn't. He'd use his limits. The locals bull into his limits. If they can't bust through then they start to sell out and that starts to snowball as late comers also sell out.. now maybe the big trader at 1313 also sees this and starts to try to sell but he can't because the locals are drive price down. This seems to explain also the auction market process.. i.e the price is not mean reverting except as defined on certain time frames. But also this could be explained by the news today and loss of confidence.

Interesting application of RSI.. thanks

Let's think about the market maker.. do the bank generally "scalp" a position intraday and then get loaded on one side while making market? market is going down.. do they start to buy and load inventory.. If so then when price goes back to support (break even or profit for them) then they start to unload their inventory Or do they keep a constant order book? and take losses throughout day

UB, I've been reading all your posts and find them interesting. In one example, you said something like Point A "the big traders go to market they don't use limit and they have a certain PRICE RANGE where they want to get filled" And then from what I gather your approach is based mostly on trade volume and balance. There is an obvious paradox in this view. The first initial/biggest trader must be doing something other then watching for big trader volume. He must be coming into market with a preset PRICE range or some other idea. Point B The next question is, are the biggest traders any good? In general, the best traders are only able to do 30% year at a 1:1 risk reward. The next question is if you copied the big trader would you get a better, no difference, or worse trades? Argument 1: Worse The biggest traders is in first and will get the best fill. You will lose a haircut in every case. So you will perform worse. Argument 2: Better It is hard to argue that you can do better given your signals are always after the big traders. You can only hope to do better if you get filled before his order is completed. He thus pays you the haircut. Argument 3: A wash ----------- I am very interested in learning more about volume and what others think. I think this is a good paradox though because if all the big traders were just looking at volume then the very biggest trader must be looking at something else because he would have no volume to go by. You spoke of a price range and this makes sense that he might come in at a certain price level or based on a fundamental event. The "locals" just produce the trade between the levels. This seems to fit well with market profile theory. The question is, how does he know the price level?

The word I'm getting on the street is that its not possible. I guess if you could export/import 2 data streams with the main lagged by 1 then it might be possible to do it in a strategy.

I have a code now that will plot an indicator. However, i wanted to use the strategy reports to see what the optimal strategy would look like, i.e compute the metrics. Will that method work for a strategy? Here is what I have. I'm getting a "floating point invalid" error though .. If (Close[1] > Open[1] ) then begin Value1 = Value1 + (close[1]-open[1] ); Value2 = Value2 + 1; End; If isMax then plot1( Value1,"MaxProfit"); If isMax = False then plot2( Value1/Value2,"AvgProfit"); ah I fixed it.. If isMax = False and value2 > 0 then plot2( value1/value2,"AvgProfit"); So, you are saying I can delay the data and use that in a strategy? But when I say "buy on bar" will that use the delayed bar?

I'm trying to reference future bar data in one of my strategies to perform a testing (on purpose). Tradestation throws an error. Any help in circumventing this is appreciated. I'm just trying to build a theoretical perfect strategy to determine maximal profit potential in a market.

I understand that tradestation doesn't provide the historical bid/ask stream. But, does it provide me the information I would see in time & sales historically? I.e will it show me up and down ticks by price level and by size. Can I see if a 100 lot traded at a given price using historical data stream? Using real-time data stream?

Figured it out. Must use a function.

In many other programs, I could always apply an indicator to any other indicator. I.e lets say I want to apply bollinger band to RSI instead of the Close. I could just use the RSI indicator as the input. Is this basic functionality not offered in tradestation?

Making money and losing money is rather fuzzy in the markets, actually. Fx, today I placed a limit to short and market moved very hard to my limit: I pulled my limit. Market went down very hard. I shorted it at a worse price. Market retraced and went hard against me. Looked like I might lose. A few moments later my target was hit. There were several times today when I thought I could be wrong. Several times when the outcome was uncertain. Actually, the desire for certainty in the markets is probably one of the greatest reasons for failure. Last week, I had a day trading position that was up a huge amount. I took half of it off at the highs for the day. It looked very certain I'd make money. The market reversed hard against me and even with a half position: the net result was my barely eek out a gain. It looked very certain I'd make a huge amount that day. It wasn't and I very nearly had a loss. I can't think of anything more uncertain then the market, actually. There are some methods like martingale that make money most of the time but lose more then they make. Of course, most traders know not to martingale but if one weren't introduced to these concepts then it is conceivable they could be led to believe they had a profitable method when they didn't. The desire for unrealistic certainty is the primary reason that rainbow merchants and unskilled vendors rake in huge amounts of money every year.

Good point. Sometimes fear can be useful. Sometimes ego can be useful. They aren't inherently bad or good. more important is to listen to your emotions and monitor results.. does your fears help you avoid losses more then they cost in profits? Does ego/confidence help in placing trades and taking action? Listen to yourself and monitor your results. Most things aren't black and white.

Fear is quite worse then ego. Ego can lead to large losses. Fear can stop one from even taking the first action. One can learn from losses. One can't learn from inaction. Fear leads to irrationality, as well.

Traduk: The concept is rather simple. Let's say I anticipate a 10 point rally or maybe just a big up day, i.e I'm bullish.. If by say 2 PM the market is down 5 points then the probability we will get a 10 point rally is a much lower probability then at the start of the day. So, what I will do is change strategies. I change my expectation based on the probability. We can see that this true by looking at option pricing models or just by imagining it at the extreme, i.e at 4:14 PM if the market is down 5 points there is about a 100% probability that I'm wrong. It is observable the market has a wave-like structure, if I knew say at 3:00 PM that I would be wrong then I could try to exit on the swing peaks and start to limit my risk. A good example is at RIGHT NOW we can estimate the price with a very high probability about 100% within 1 or 2 ticks. The concept is about using time and current price to consider reasonable future developments. It helps to keep our expectations in check. It is very true that I learned this importance due to the NADEX contracts. The ones I trade expire at 4:15 PM. But, the concept equally applies someone trading E-mini futures who only has day trading margin. Last Friday, the concept didn't work out too well because we had a rare price jump in the last few minutes of the day (jump characteristics).

You could simply buy call options too. A spread is when you are long one strike and short another strike. This is known as a vertical spread or bull or bear spread. It caps your risk and reward. You would buy a call and sell a higher call (I believe) for a bull call spread, the call/put is interchangeable via call/put parity. Exactly, Out-Of-The money means that the options you buy are above/below the current market but only slightly. As an example only, Intel is trading at 22.37. Let's say you were very bullish, you might buy the 23 call option outright x10. This cost for the strike/month I chose at random was $400. You reduce your risk/reward by selling the 25 strike which reduces your cost to around $300 and caps your reward at 25. As an aside, many traders sell spreads to generate an income, as well (with the hope they expire worthless). You might put the position on initially as an in-the-money spread or have an outright position open. The reason you go slightly out-of-the-money is because you don't have as much dollar risk if the position were to reverse against. For example, for the $300 you have the leverage of 1,000 shares with the 23/25 spread your max loss would be the $300 and max return is $1690. One other benefit is that that if an option expires in-the-money then you get the value for it. This means you can stay in the trade even if it goes against you temporarily -- unlike with a stop.

@Tradewinds My system is not as able to accurately read the market. But, "he" makes up for it by being tough. The thing is he never loses when he's right and he never over estimates his abilities. Imagine the savvy flashy fighter, which is my discretionary market read, versus just a really dumb knucklehead of a brawler. The brawler isn't flashy or showy, he gets beat up pretty bad, but in the end he wins more often then he loses (hopefully). In a word, he's tough which is a highly beneficial and not often sought after trait for the winning trader. While being tough is admired in others, it is not something most of us aspire too because it implies we will have to weather considerable hardship and pain.

Adding more size, taking more risk, when one has a greater advantage is one reasonable way to increase profits and the ability to do successfully is thought to differentiate the great from the good. Livermore popularized the concept of adding to winners and this approach has been used successfully by many traders. Unfortunately, there is always a great deal of uncertainty in the market and traders tend to get the most bullish (bearish) at the worst times. And, it is very likely that the day trader who tries this approach risks outsize profit turning into loss and this will happen more frequently then one would expect. Larger and faster profit and loss swings are more likely to elicit stronger emotions and may make it more difficult to trade optimally. I've experimented with many ways to add to my winners on the day trading time frame. I've found that Warren Buffet surprisingly offers some great lessons in this regard. His primary concern is what his risk is. He focuses on making deals where he can't lose (or is very unlikely) and he lets the profits come to him. It may seem contrary but focusing on risk is the first step in successfully sizing up winning trades. But, first I should share what hasn't worked for me which is adding at new intraday highs. Even if prices only comes off a little then it cuts into my profits and puts me at risk and when price reverses then it can be devastating. One way I've found to add size is to buy slightly OTM spreads. First I should mention, I trade at NADEX which offers both options and futures-like products (spreads) for the small retail trader. Even so, the concepts should apply equally well to options offered via traditional brokers such as ThinkOrSwim or OptionsExpress. When I buy a slightly OTM option then I'm able to increase my leverage with relatively little dollar risk. Additionally, I am selective in buying the OTM position and will typically buy on a pullback because I'm typically already in the move and am only trying to increase my return with limited risk. While I haven't tried it, I imagine this approach might work equally with longer time frame trades. If you are in a trade that you feel very confident about then you may want to look to buy slightly OTM options or spreads to juice your returns. The advantage is you can do this for very little dollar risk. The disadvantage is that options expire and the move may not play out in time. One other note, I will scale out the higher cost spreads when they reach 2nd or 3rd targets when possible before the close so that I don't lose the premium. The other approach I will use intraday is to put on larger size for relatively short periods of time and constantly take the risk off at high probability targets. The goal with this approach is to manage the extra risk by limiting my time in the market. Unfortunately, it still leaves one vulnerable to market reversals and, also, tends to increase the number of trades and associated costs. I'm interested to hear how others seek to maximize their best trades while managing to keep the associated risks in-check. Hope this helps, Curtis The Market Predictor

I want to talk about how I'm working to optimize my trade returns by changing my tactics based on the time left until the expiry or the time left in the trade. I trade primarily the SP 500 (and other futures markets) at NADEX, and the contracts expire at 4:15. I've came to a new appreciation in the importance of properly timing trades. This concept equally applies to many E-mini day traders who don't have the capital to hold overnight and the option traders, in general. My trading consist of a mix of about 60% discretionary and 40% trading systems. It is not uncommon for my "market read" to conflict with my trading system. I trust my market read because it has proven reliable over a long time. However, my trading system has also shown strong profits over time. When we are not in agreement then it creates a conflict: what should I do? The most conservative approach would be to only take signals when we are both in agreement. But, this doesn't take into account when I'm already in a system trade. I've thus came up with a quite different approach. I always take every signal. However, I will allow myself discretion in exiting the trade if its not working. At one time, I would find myself always exiting and the market would invariably go higher (and the system would profit more). But later, I found that on some cases the system was right (or completely wrong) and that the market nature changed, and I ended up with a large loss that my discretion would have avoided. I knew that I needed to be more discriminating in order to understand under what conditions it made sense for me to take action, and when it made sense for me to leave the system on autopilot. I found my answer in a concept that has a great power for refining and honing the powers of discrimination. I call this concept "case based reasoning" which simply means that I will change rule sets, that is change tactics, based on a certain variable. In this case the variable is the time left in trade or TLIT. As an aside, I often find thinking in matrice form helpful in illuminating the solutions to problems. I divide the day up into 3 time periods: early game, mid game, and late game. Early game is from 8 AM until 11 AM, mid game 11 AM to 1 PM, and late game is 1 PM until the close. I combine these concepts with a view on how well the trading is working out. In early game, I'm very passive in terms of actions and very aggressive in seeking out risk. I give the trade a lot of room to work out in my favor. Typically, I am seeking to add risk in early game unless the trade just bombs out completely. In the mid game phase then I'm monitoring the trade. If the trade is working out generally in my favor then I will leave the position on. If the position is hugely in my favor such that it represents significant profits then I may seek to reduce total risk by setting targets. But, if the trade isn't working out in my favor then I will be looking to reduce risk or take it off completely. During the late game phase, I am seeking to protect profit profits and limit my downside risk. If the trade hasn't produced a profit then this is a good indication that whatever it called didn't pan out. Again, in early game I'm very reluctant to limit profits because sometimes we do get some huge runs. Yet, when there is limited time left in a trade then using reasonable targets makes sense. Hope this helps, Curtis http://themarketpredictor.com

Seller can not drop the price below the bid. So, no I don't think it makes sense.

greg.. just scanned your posts. Not sure what scenario you are referring too but remember there are always 2 prices for any market, "the price" is really just the price last traded. If you go to market, you will be filled at the best price offered. >What is really interesting me is that during a breakout, someone has >to be selling at every single tick that is traded at during the breakout. No, this is false. Not every price must be traded. If you go to market, you get the best price offered. It is possible that a "tick" is slipped, this is slippage >So really, a breakout fails (or any upmove) not just when you run out >of buyers, but also can happen when you run out of people selling >higher than the current price. For instance, if the price is 1000 and No, this is false. Makes no sense. There are always limit orders in the book. The "price" is the price last traded. If sellers pull their orders then price will move up more rapidly because there won't be as much supply at lower prices. You misunderstand the last price traded and the available price. The available price is whatever is best the bid/ask. The last price traded was just what was shown. If there is no one willing to cross then you don't have a trade. Someone will always sell/buy at some price though. What causes the market to move is very simple, supply & demand Example, I want to fill 1000 orders. I anticipate the market to go higher. I put them in as a limit order and take out 100. I have 900 to fill. Another trader jumps in front of me and offers a better offer (if possible) or else he will join the queue. Orders start to pile up at a level. Speculators become confident and jump in and cross market. Sellers see that price is rising and sell less which creates less supply. I see that price is rising. I become more aggressive and go to market. I take 2-3 levels of sellers and get an average price of the 3 levels. If I was the only buyer then the speculators will sell out.. etc market goes back to where it was, likely. It is very simple. There are limit orders on the book all the way up and down. i.e demand to buy AAPL is infinite at zero (provided aapl is not zero) and supply is infinite at infinity. The spread represents the liquidity and uncertainty in the market. A small stock that is very volatile may have a wide bid/ask spread whereas a highly liquid etf may only have a penny or less spread. Futures spreads are fixed. The one thing that makes stock different then most other items is that demand can increase even as price goes up. We have some items such as oil where demand is higher when prices are higher. The explanation is that expectations of future price are better. Also supply can increase as the market goes down for any number of reasons. One of which is that traders have stop loss orders which triggers temporary over supply to the market. Likewise, when prices moves fast to downside then buyers may step back and leave the market.. ie flash crash

You guys are making this way more complicated then it needs to be. What you need to understand is that there is a sell for every buy order but as point out a large buy/seller may offset to several smaller participants. So then what moves price? Supply and demand. But lets look at this, there are 2 prices for everyone market, bid & ask Example: 1325.50 1325.25 Imagine 2 market participants, 1 wants to sell at 1325.50 and the other wants to buy at 1325.25. The orders wont cross and the price wont move. Real simple. What happens if the sell at 1325.50 gets nervous (or he is really confident price will go down). He will cross the order on 1325.25 and the market, the last price printed will be 1325.25. If he's the only seller willing to cross then the actual "market" will still be 1325.50/1325.25 When we talk about supply/demand then you need to understand there is a supply/demand curve. Buyers are willing to buy more at lower prices and sellers are willing to sell more at higher prices generally speaking. For example, there is no inventory for sell under the market. The market is only slightly different in that there are many speculators who are forecasting price. Inventory is not unlimited. Most shares are held by long term investors who do not participate in either sells or buys. Sometimes a market going up leads to more buying (when expectations of future price change) and sometimes it leads to more selling and reversals. This can be understood by an example on EBAY. You see the price of a widget going up in price over time, maybe Christmas is coming up. You decide to step in and buy some inventory based on the trend. If you are right then you may resell the item you bought for a profit. If wrong then you may take a loss.

I just wanted to give an update. I've spoke with a few people privately who I've no reason to doubt who are making good money scalping. It seems I'm hearing from a few sources: they are trading CL and 6E. However, I haven't been given any evidence to believe this vendor's claims. I've one good report about the market profile room and several negative reports about the scalping room. I'm glad people replied who had real experience with this vendor. Thanks.

This is all based on my own trading. Yes, I trade at NADEX and have $1,000 in it now. I'm trading a $3,000 model account though. It was me who had the $250-$260 today and ended losing $260! It was not a good feeling. You can for sure open a 1k account (or a 3k account) and trade with good leverage. All risk is predefined unlike futures. Everything is based on my experience. I tend to trade the open because I lose more in the evening. One thing is that the NADEX contracts expire. A lot of people who trade futures also don't have margin for overnight exposure. If you enter a trade at 2:00 PM then you only have 1 hour for it to work. If it goes immediately against you then there isn't time for it to recover. Futures market is @ 1315 right now. If my contract had not expired, I'd be break even. I can tell you learning to trade the morning session is the most profitable period for me. Trading the open is how professionals make their living, see Bella. The morning session is NOT the same as just any other time in the market. To make a meaningful return from a tiny account, you can't use the same rules that would be used in a larger account. 2% of 3000 is $60. That's a trivial amount. Risking about 8% to 10% per trade is required and reasonable (it was 8% loss of my account but 25% of the margin I have in the account). Of course, this is very difficult. Only trade with capital you can afford to lose.

@Tim I've only read a few of your posts but I can see you've learned a great deal about this game. Detaching from the money is important but only relevant if one knows the "proper action" and even then too much detachment is not a good thing because one needs to consider "global" factors, i.e max amount at risk.