Flojomojo

Ok ppl, my copy arrived today! I'm still in contact with the library though as I'm not sure whether they accidently sent me the 1937 version isntead of the 1931. Anyways from what I have, this is the list of contents: How to proceed 1M Foreword 2M Basic Law 3M Judging the market by its own action 4M Forms of charts 5M Buying and selling waves 6M Chart recors 7M Determining the trend of the market - Composite averages 8M Comparing strength and weakness - Group averages 9M How a campaign is conducted - individual chart studies part I 10M How the operators intentions may be detected - chart studies II 11M Figure charts - chart studies III 12M figure chart studies - chart studies IV 13M Figure charts - NY Times average - chart studies V 14M Market technique - volume studies 15M significance of trend lines 16M Vertical line charts - chart studies VI 17M Vertical line charts - chart studies VII 18M selecting the best stocks - Position sheet - Barometer 19M How to determine the position of an individual stock 20M Buying and selling tests 21M Refinements 22M The wave chart 23M Stop orders 24M General instructions - cautionary suggestions 25M Market philosophy . cautionary suggeststions cont. for those who have the course, is anything missing? Btw...the chats all seem to be in pretty good condition! long live the microfilm!

In the future you will be able to get a copy from me...and its even legal! Here's what Mararet wrote: "The Wyckoff item is in the public domain. If you know of other people who would like to have it, you or they are free to run it through a photocopy machine, which will surely be cheaper than getting it from me." If someone is interested, drop me a msg....have not thought about the price, but it will be somewhere close to the almost nothing range. [Ed: the pdf has now been uploaded to the thread here]

Good that you mention it. I will post an index of whats in the course when I recieve my copy so we can see whats missing. Even if a couple of pages are missing this seems like great value for the money.

Hey everyone, as I believe ppl here are interested in obtaining the original course without paying for the full SMI course I want to tell you how to get your sample: The Librarary of Congress has the 1931 as well as the 1937 typewritten, nonpublished The Richard D. Wyckoff Method of Trading and Investing in Stocks on microfilm and can pull it on paper for you. Pricing for one of them with shipping to Europe is: $ 14.00 set-up fee $100.00 $.25 x 400 pages = $100.00 $ 45.00 shipping ________________________________ $159.00 I am getting my copy via: Ms. Margaret Kieckhefer Mail: mkie@loc.gov Office of Business Enterprises Library of Congress +1 (202) 707-2590 (office phone) +1 (202) 707-1771 (office fax) Hope this is useful information for some of you. Best regards, Flojo

Now to get this straight: Maybe you've interpreted too much into my message. I think I have built my market understanding very well on my own, nevertheless Wyckoffs ideas play an important role. Illumination is something that I leave to ppl that have the need to follow gurus. I on the other hand simply enjoy to possess certain things...and the original course would be a great addition to my book shelf! ...there's nothing more to it...

wow...I'm so excited about the microfilm info! DB, please keep me posted about it or feel free to contact me if I can contribute somehow to organise it! I'd also contribute some cash to make this available to the Wyckoff followers over here. Regrads, Flojo

Thanks for the link. Thought so that it eventually leads to SMI. I think the "original" course by Wyckoff is not publically available and SMI sells a modified version. As far as I know DB has an original and gladly he posts some sections from time to time. Nevertheless I can understand and appreciate that the Wyckoff forum is kept clean. Although this seems to come across a bit harsh sometimes. It has its good sides not to mix the different beliefs on how to read the market, even if these beliefs have its root in the same teachings. I am not in a position to judge whether in the past 80 years the method was "developed" or "altered". Would be nice though to read an unbiased study about the issue someday.

Hi Eiger, could you post, or send me a link, to the Evans material? Sound very interesting...maybe the material should be included in the Wyckoff Resources thread in the Wyckoff forum. Regards, Flojo

Hi Davelansing, I suggest you check out these three threads: Multiple Timeframes Waves and Timeframes Riding the Wyckoff Wave Eventually it boils down to a process like this: On the higher timeframe 1) Determine the current trend 2) Determine in which stage the trend is 3) Determine proper entry timing On the lower timeframe 4) Confirm your macro view 5) Finetune your entry 6) Act

He there, maybe the term "fractal nature" was a bit misleading in my post. The final chart in my post can better be describes as the timeframes being "self similar". Yes, but this does not conclude self similarity of the different timeframes.

I can also recommend the IB datafeed you can get with Excel. With their datafeed you can also get historical data upto one year into the past. If you are looking for backtest data, GainCapital has a tick by tick database available here.

Hey ppl...as there seem to be some controvertial viewpoints here I suggest to open up a new thread to discuss the relevance of the concept of "time" in trading. Best regards, Flojo

Hi Anton, Now that you mention it you are right about the sigmoid, but I'm not sure whether I'd call it a "transfer function" as I'm not directly sure what it should transfer. I know its application only from neural nets, but I don't see a connection here...enlighten me! That's right, I was anticipating a normal distribution. Thats why I have tested with a normal probability plot: The normal probability plot (Chambers 1983) is a graphical technique for assessing whether or not a data set is approximately normally distributed. The data are plotted against a theoretical normal distribution in such a way that the points should form an approximate straight line. Departures from this straight line indicate departures from normality. (found here) But this has nothing to do with a transfer function. A gaussian transfer function still looks like a bell curve, whereas in the normal probability plot it is the straight red line. Come on...you can't just make a statement like this and leave us in the dark by not stating any implications! Regards, Flojo

Thats true. I was hoping for some of the big boys in this forum to comment a bit on my work. But to be honest there already has been research in this field, especially from Fama, a former doctoral student of Mandelbrot. Their work is a lot more detailed than my, in scientific terms "sloppy" analysis. So the study is not that new, but as far as I am aware of, the academic literature does not touch the practical implications for traders. Since this post I have taken the results a lot further with explaining the fat tail problem and implications for risk management. Not sure yet whether I make a post out of it though. Feel free to post your ideas here and I'll see how I can comment on them.

Hi James, I have attached a picture of what I mean. The main idea is that there might be arbitrage opportunities between platforms that are available to institutional investors and the ones available for retail investors. As I said it is only an idea and I have no clue whether this is the case since I don't have access to institutional data. Best regards and happy easter, Flojo

Hi James, when I look at the two tick volume comparisons I get the visual impression that they almost perfectly correlate with each other. This of course needs to be checked mathematically. But if this is the case there might not be any additional information advantage. Could you post a comparison chart of a lower timeframe? When observing the chart I want to see what it looks like when EBS has a bar with 750 ticks and the ECN bar has 20000 ticks...thats quite some difference! Is this large number only due to small bid/ask bounce around the spread or are there larger deviations from the EBS quote? The first question that comes to my mind when seeing such a large tick difference is: If EBS can be used as a leading indicator...can arbitrage opportunities be identified in the ECN market? (The simplest form: If ECN drifts above EBS value, short in ECN / If ECN drifts below EBS value, go long at the ECN) Regards, Flojo

Anxiousness (of putting on a trade)?

Don't really understand what exactly you mean. How about letting Excel do the job? Here you find how: http://www.gifted.uconn.edu/siegle/research/Normal/stdexcel.htm Is this what you have been looking for?

The Normality Assumption and Fractal Nature of Asset Prices Hi everyone, I’ve recently read the book “The (mis-)Behavior of Markets” by Benoit Mandelbrot. I found that some of his ideas matched the experience I have made so far. The key message of the book is that he basically says that all financial theory built so far on the assumption of a normal distribution are for the trash bin and we need a different approach. Especially his idea of “trading time” instead of “normal time” rang a bell in my head. Inspired by his 1963 study on cotton “The variation of certain speculative prices” I decided to test two assumptions myself on EUR/USD Forex rates: 1) Are Forex returns normally distributed? 2) Is there a fractal nature in Forex data? In the next couple of paragraphs I want to share my findings and thoughts with you. Comments and corrections are always welcome! As I am a ‘hobby quant’ I do not claim the results to be set in concrete. If you have made a study on your own I’d be happy to hear from you. The data I have used for this study is 47 weeks of IB minute OHLC data from the year 2007. I made a test on the following time intervals: 1, 5, 15, 30 minutes For that I analyzed the open to close movement of each bar for the respective time intervals. That are 334012 data points for one minute and 11111 for the thirty minute bars…so don’t complain about too little data! Let’s get started: 1) Are Forex returns normally distributed? Are absolute changes [P(t+1)-P(t)] normally distributed? I was always a bit irritated why academic literature always works with returns (absolute or logarithmic) instead of absolute changes. Sure, there are advantages to using them, but when sitting in front of the screen I look for absolute changes. To analyze whether the normality assumption holds I chose to plot the return data in a probability plot. The red line shows the points of the fitted normal distribution. If the return distribution is normal, all points would lie on or close to the red line. As you can see this is clearly not the case for any of the four time horizons! In fact the S shape of the blue data shows that the distribution is a lot more fat tailed than the normal distribution suggests. Are logarithmic returns [ln(P(t+1)/P(t))] normally distributed? When looking at logarithmic returns the same picture arises as seen on the probability plot for logarithmic one minute returns. Therefore, however the returns are calculated, the normal distribution assumption is pretty far off reality. Beware if you are using it! 2) Is there a fractal nature in Forex data? So if changes are not normal, do they follow a power law of the form a*x^n? In Mandelbrot’s book he states on page 151: “Such power laws are common in physics and are a form of what I call fractal scaling”. To check the power law assumption one needs to create a histogram and plot its data in a loglog plot. As the absolute return distribution is of interest, the amount of occurrences in the negative histogram half were added to the positive side giving a distribution of absolute changes. Since the number of observations varies from timeframe to timeframe, the frequency was normalized in each case by dividing it by the total number of observations. If the data in the loglog plot follows a power law, the data points should form a straight line. Before showing any pictures, there is one open question: Histograms count the number of occurrences in specific intervals (bins). How big should these bins be? When trading, the first moves are critical as the position should show a profit as soon as possible. The first move that really matters is the move that overcomes the initial spread plus payable commissions. So assuming a one pip spread and two pip cost for opening and closing, then a short term trader is only interested in moves >3 pips in his direction. Traders using larger timeframes aim to catch larger moves and don’t watch every pip move. To them moves of for e.g. 10, 20, 30,… pips are more important. Due to this reasoning it makes sense to use larger bins for the histogram of larger timeframe data. Here are the loglog plots of the different time frames for the 2007 data: To the human eye they all look fairly similar. When fitting a power law into the tails one can see that in the tails they all follow approximately the same power law. This shows by all lines having approximately the same slope n. (I want to point out here that such a visual test is scientifically not sufficient to prove that there truly is a power law at work!) Now you might say “Well, all results were calculated on the same sample data! The picture might look different if the different bar intervals were taken from different data sets!” To test his, I split up the 2007 data set into three parts that had the same length for bar intervals of 1, 5 and 15 minutes. In addition the bin size was chosen so that the number of data points in the histogram is equal. Here is the result with the data points being offset from one another to display them in one graph: If I wouldn’t have labeled which data points belong to which timeframe, I bet neither you nor I would have been able to determine the timeframes correctly other than by luck!!! With this finding I conclude that Forex data indeed shows fractal characteristics over different timeframes. Now the really relevant question is: What are the implications? Here are some points that come to my mind: - Due to the self similarity, a good trading approach should work on multiple timeframes - If a trend can be pinned down in one timeframe, entries can be timed in a lower timeframe - If trading speeds up, change to a lower timeframe - Accumulation, mark up, distribution, mark down cycles are present in all timeframes If you actually managed to read until this line in this monster post…what comes to your mind? Best regards and good trading, Flojomojo

I had a thread about a similar topic a while ago over here: http://www.traderslaboratory.com/forums/f24/thoughts-on-forex-volume-4227.html?highlight=thoughts+forex+volume Regards, Flojo

This nicely supports the "movie" view of the market. If the majority of market participants don't change their view of the current market involvement, why should there be a "break" of the wave? Just like a large herd of animals can't/won't change direction instantly, the large market herd will rarely change their view over night, eventually leading to the formation of a (over night) V-top or bottom on the chart. Usually there are prior signs of a potential change building up as the movie passes by. The Cajas Famosas Thread is a great place to dive deeper into this thought. Regards & always open for corrections, Flojo

Thx Blowfish for the hint, sounds interesting...the person here http://de.youtube.com/user/MoOnL1ght123 seems to have uploaded all parts on youtube. Enjoy watching, Flojo

Btw...you can use this link: http://keepvid.com/ to download the youtube videos. I recommend the VLC player to watch the files: http://www.vlc.de/vlc_download.php For me its really interesting to take a look at these ppl and their group dynamics...amazing how fear and the psychological battle gets impregnated in their faces! All I could do upto now is take a look in the mirror!

One point apart all the rechnical stuff I oversaw when I decided to go for Forex daytrading was: The 24 hour market puts A LOT of psychological stress on you! Things like 'you go out for dinner, come back and see the move you've been waiting for all week has started without you' will happen frequently. And this is only one example of the mental challenges you will face. I hope you can cope with them. Regular market hours, like exchanges deliver, give you peace of mind before and after the bell...Forex will occupy your mind around the clock. If you are an end of day trader all this might not be relevant to you though. All the best for your decision, Flojo

So true! EUR/USD action kept me on the sidelines first week of december. The fear of continuing sideway action made me miss the entire last weeks rally. I hope taking action will become easier as experience grows.