UrmaBlume

If your version of the harmonic is only good after the fact then maybe it is missing something. This version usually leads, as shown.

James, How about a free and open market place where anybody seeking to buy, sell or trade any product or service that is market related can post. Products and services could prosper or fail based on replies and reviews. Members would quickly learn to avoid super spammers, we could all learn about new products and services plus reviews by our learned members would be excellent due diligence for us all.

The efficacy of time of day normalization depends on the input - for some it adds value and others not. As to the weighting of systems within a family of systems all trading the same market we consider that to be just another parameter along with those mentioned. What you said, well DUH ZDO

You are right again Tams and so was Darwin. We have seen a lot of systems and this lack of adaptive parameter settings is a VERY common weakness. Adaptive - not optimized.

What is present in many commercial automated systems and missing from almost all "retail" developed and operated automated systems is that the retail systems are not adaptive. So many retail traders have done the tremendous amount of work to develop, backtest and optimzie a profitable trading system only to see if work for a while and then fail. This failure is oftentimes not a failure of concept but a failure to make the parameters of the system adaptive/responsive to current/changing market conditions. For us this is basically a 2 step process - first we take our measure of the maket from the most appropriate of many inputs and then the software makes the appropriate adjustments to system parameters. Different inputs from different time frames adjust different paramters. Our read of current market conditions is just about the only place where we use time charts. The chart below is our measure of the percentage of average commercial commitment to the market in 6 different time frames ranging from 2 minutes to 405 minutes. All of our inputs are normalized for time of day. We divide the day into 405 (the length of the day session in minutes) segments for EACH time frame. For example we take a reading of commercial commitment for 60 minutes at 1130 that reading is compared to the average of the 60 minute value at 1130 for the previous 62 trading days. At ll31 we do it again and we do it for each of 12 time frames in at least six different indicators. We display some of these measure of market condition in the HUD. We consider the percentage of commercial commitment shown below as well as total volume, price ranges and certain internals from different exchanges. All of these inputs/measures of current market conditions are normalized for time of day and scaled to percentages of average to facilitate their inputs to certain predictive technologies such as genetically optimized neural networks and MARS (Multivariate Adaptive Regression Splines) from Salford Systems in San Diego. Of note is that after training and development an easily constructed script can auto convert the MARS function to Easy Language for quick and easy deployment and real-time predictions. Different levels of these indicators make adjustments to parameters such as speed and phase adjustments to different data smoothers such as the JMA as well as stop losses, price and volume targets and take profits. If you want it to last - that is, if you want it to Live Long and Prosper then make it adaptive.

Today's Market Report - ES - 10/21/2009 Archive of Daily Market Reorts Most recent update is on top. Please Scroll Down to See Today's Entire Report ** Follow Updates to this Report on Twitter and on StockTwits.com *** Today's Numbers 1030 EST Crude Inventories 1400 Fed's Beige Book ***** Day Summary For the past several days we have noted a negative divergence between price and money flow. That divergence manifested itself today. At an hour and fifteen minutes into the session strong commercial selling put in the session high. This selling continued throughout the session on above average volume with a decided sell bias. From the top this selling drove prices down more than 25 points to close well below nite and recent local support. Net New Trade by Commercials was -55,148 contracts. The first chart down shows the longer term and the negative divergence between price and Net Money Flow which broke down two days ago. The Second Chart down shows today's price action At 2 hours into the session price has rallied to test recent highs. Strong selling was encountered at 1,098.50 and there was a pullback Volume is 117% of average with a notable buy bias Net Commercial Trade is +50,332 contracts and at this moment Trade Velocity is 2,745 contracts per minute At 4 hours before the open price is making new session lows at 1,083.75 No support yet and selling above 1,092

Day Summary While the market did indeed make new highs today, at 1035 PST Intense, Coordinated Commercial Selling in ES, YM & NQ formed a top that held thoughout the session. The second chart down shows the continuing divergence between price and net money flow in ES. Trade was on less than average volume and a very slight net buy bias by commercials.

At halftime with price on session highs the market has found some selling. The shot of HUD shows that selling Below the HUD a graph of money flow and price so far this session shows the strength of the move thus far

Today's Market Report - ES - 10/19/2009 Archive of Daily Market Reorts Most recent update is on top. Please Scroll Down to See Today's Entire Report ** Follow Updates to this Report on Twitter and on StockTwits.com *** Today's Numbers No Numbers Today Tomorrow Building Permits, PPI, Core PPI, Housing Starts ***** At 30 minutes before the open the first pic below shows the HUD which reflects overnight volume at 82% of normal with a slight sell bias. The second pic shows overnight price action with support at 1,077 and resistance at 1,089.

LOL, Back to your same old rants, eh Kiwi. Where's the love you once showed? Just because you can't tell the difference or know what to do with it if you could doesn't make the information less valuable to those that can. cheers

LOL, No we just added it last year. cheers

Day Summary Today's price action never recovered from the strong overnight selling. Trade was on slightly less than average volume with a notable sell bias. Net New Trade by Commercials was -44,975 contracts. The caveat to the recent positive price action is the continuing negative divergence between price and net money flow as shown in the chart below. Bon Weekend

At 2 hours before the close on an Options Expiration Friday price remains in a narrow range with trading on slightly above average volume and a Sell Bias. Possible action in the last hour today.

Its not about different feed for different purposes its about different feeds for different input values.

Naturally it all comes from the same source but different things happen to it from different vendors before it gets to you. The difference is called latency. The problems with the TS platform is that their time stamp only has granularity down to 1 minute. As to the second data feed, its not so much about second data feed as it is about a different input value.

Today's WildCard is that it is an options expiration Friday - Action.

We have never seen the HUD soooo RED 0520 PST

Today's Market Report - ES - 10/16/2009 Archive of Daily Market Reorts Most recent update is on top. Please Scroll Down to See Today's Entire Report ** Follow Updates to this Report on Twitter and on StockTwits.com *** Today's Numbers 0900 EST Net Long-Term TIC Flows 0915 Capacity Utilization, Industrial Production 0955 Mich Sentiment-Preliminary TGIF ************ At just before 0100 PST at 1,095 there was strong commercial selling At an hour and a half before the open price is making new lows on 162% of normal volume with a very strong sell bias and Net New Commercial Trade so far this session of -12,425 contracts

Dave, No, we don't wait to see which way the market moves after a spike to see whether it was buying or selling. If you will notice on ALL of the graphs of these intisity spikes the sell spikes are blue and the buy spikes are red. There is a certain dynamic inside that trade that gives it away and it is not about trade on the bid or asked. I have posted a description of the calculation of this indicator and it is more than volume and time. That description is "When taken in combination, the acceleration and deceleration of buying and selling volumes, total volume and the velocity/rate of change in the balance of trade reveal a certain dynamic that we find present at many, if not most, intra-session extremes." Another clue is that there is more than one data feed involved. Also you have misunderstood the change in CME reporting - They are not breaking down large trades it is that they are no longer combining smaller trades.

You have it wrong Dave, they are NOT breaking down large trades. The old way was to combine trades. The new way is much more useful. See this post

The changes in CME reporting more accurately reflect what is really being traded. They are NOT breaking down large trades. What happened in the past is that some trades were combined. These combinations mislead those that track size as a means of tracking commercial activity. Even with the changes - size is not the best way to track the commercial trade that matters. There is speculative commercial trade and there is commercial premium arbitrage. Arbitrage trade involves more contracts traded in bigger size than the kind of commercial speculative trade that defines local extremes. Being able to tell the difference between commercial speculative trade and commercial arbitrage as it happens is very important to the successful speculator. It is very true that commercial spec traders go to great lengths to disguise their trade and one method is to auto fire very fast small orders another is to make trades on both sides. One should note that well over half of the stock volume that is traded on the NYSE is about program trading or premium arbitrage. When those programs are executed is when you see the commercial trade size and it is of little value to the speculator. They do huge lots of stocks and then a size futures trade to complete the basket. That is NOT the way local extremes are formed. The trade that is done by commercials that IS of value to the speculator is the machine executed, high intensity, small sized trades that mark most local extremes. A verfification that this action is happening is that you can see it across all 3 major equity futures. The new way is more accurate and more useful to those that track commercials as it represent true trades and not combined trades. Note the pics below - they are both at local extremes and you can easily see very intense commercial trading in all 3 markets that is coordinated down to the sub 1-minute time frame. This shows how extremes are formed by commercial trading and it is more easily detected with the NEW data than the old.

Day Summary Another day, Another New High Trade was on just under average volume with a medium buy bias. Net New Trade by Commercials was significant at +69, 198 contracts.

At 3 hours into the day session trade remains confined to a very narrow range on slightly less than average volume a slight buy bias and net commercial trade of only +2,700 Contracts

This is a shot of overnight commercial commitment. It is based on a 1 minute chart so it can be normalized for time of day. The right axis is percentage of normal. Time frames range from 4 minutes to 405 minutes.

Today's Market Report - ES - 10/15/2009 Archive of Daily Market Reorts Most recent update is on top. Please Scroll Down to See Today's Entire Report ** Follow Updates to this Report on Twitter and on StockTwits.com *** Today's Numbers 0830 EST Initial and Continuing Jobless Claims, Core CPI, CPI, Empire Manufacturing 1000 Philadelphia Fed 1300 Crude Inventories ************ At just past 0400 PST as the price bested yesterday's high by 1 tick the seller appeared. This shot of the HUD shows his strength. At 2 hours before the open trade is at 144% of average volume with a strong sell bias and net new commercial trade of -16,733 contracts