Xuanxue

I keep a daily spreadsheet of a 5 period VWAP with StDev bands based on the rate of return during those 5 periods. Before knowing bog standard was to start data anew every five periods I measured nearly 15,000 data points of $SPX going back to Jan. 1950. Taking into account the natural slope without price action (square root of time, in this case five periods) multiplied to average squared returns, yielded .02236 variance from close-to-VWAP every week. That's a scale by one hundred of 2.236, or nearly 2 1/4 cycles. While interesting to note, the bands didn't serve me well save in rare outliers, which is to say action save in those instances always centered around VWAP. Refreshing the data more frequently coincidentally enough didn't change the ratio, but rather the extreme over and under VWAP itself. It's tough if not impossible to say which or by what degree what you ask is more true, whether seasoned traders by instinct or eye intuit moves overextended or a sort of will-interference by virtue of natural government of terrestrial mathematical precision itself. However it's fair to say from my experience, and I don't care how it sounds, it's certainly a combination of both. Consciously we're just not that precise of a species. Subconsciously, unconsciously, perhaps.

You only need two charts and three indicators to do what you want to do. Forget market profile. The first indicator and chart, really, is a 5 minute of $TICK. If you're not aware of $TICK it's a market internal that you'll have to add to your software as a symbol manually. When TICK is trading above the mean (0), more stocks are trading at their offer price than their bid. That means the market can't find enough buyers. In other words a train. The opposite is true if below the mean. It's a mess to look at, though, and even more challenging to interpret, especially when concentrating on set-ups. That's why you put a 10 period or higher volume weighted moving average orover it and bold the line so all you have to do is glance at it. Next you need a 30 minute chart with only a 20 period exponential moving average on it. When TICK is trading above the mean consistently, buy the pullbacks to the 20 ema on the 30 minute chart, but only when the moving average's move confirms other signals. If below the mean in TICK, fade the rallies. If you're ever unsure in sideways action or think you could be had in a fade, only buy or sell after action moves 4% above the prior session's close to the upside or below the low in a bear. To minimalize risk even further, enter after a 2% retrace testing the validity of the breakout. What you're doing then is using people's money who are stuck on the wrong side of the market fueling a thrust. That right there took me years. You should appreciate it and use it.

A few things I want to mention is that before breaking down from the high twenties in ES we were working on completing the fifth cycle of 54.75 points from 665.75. 4.82% completed as a matter of fact. So we know it's a fourth wave motive ABC. We completed half of the bear's covering cycle to the tick from before close at 53 points. But where it gets interesting is how investors are acting around these range pivots. I know many here use RTH, so our numbers don't exactly match but relate. I like looking at 24 hours data timing swings. Anyway, I'll reference RTH numbers. 916.50 turned the bull obviously. Sellers really liked 895, and 889 (884) where the fourth cycle completed, is I fear losing ground to maintain completing its fifth. There was a lot of money lost trying to buy this pullback at every range and implied range. I maintain that if buyers don't fight hard and win 884/9, there's more chance of making a new low and finding a bottom than there is of bulls completing five cycles. Here's why I think so: The nastiest bear market since the Great Depression is running on a cycle of 310.75 points, is 2.96% completed trying to complete its third cycle, and a third would finish at 654.50. As far as the most recent high of 929.50, a full cycle would complete at 823. VWAP in my 240 minute is as of close today 825. No coincidence I don't think. Also, my VIX 5 minute looks like it found a bottom and re-gained its volatility before the breakdown. I'm using VIX contrarian and saved me an aweful lot of money this week. Any observations, additions or corrections as always welcomed.

So I said max 18.50 points from 896 ES. Where did conservatives short-cover the weekend? 76.75, three ticks oversold. lol Gotta love it. Better than Crable or Fisher, with respect to Crable.

It is BF. It's taken verbatim from Fisher's Logical Trader. I'ld call it a stretch..to compare what he wrote concerning pivot ranges having anything to do with volatility or even ranges but more as sentiment confirmation working with the ORB A ^s or downs. Without either Crabel or Fisher's ATR formulas, basing trading decisions alone on the only range formula I know that could be deviated that small, accounts will be blown in no time. Any given movement is going to have, a) a mean pivot (high + low/2), a range, (high-low), and what I and most swing or position traders call a range pivot, meaning, a play from a mean pivot to the square of the range accounting for the angle the number resides in relation to 360 degrees, versus where that angle projects 360 degrees.. E.G., and bear with me.. Take the square root of the range, rounding to the thousandth; multiply it by 180, half of a circle; subtract 60% of the circle from that number, 225; divide the result by 360, it'll give a whole number plus decimals. You only want to work with the decimals, so you eliminate entirely the whole number -- not subtracted, eliminated. Multiply the decimal by 360. That's the degree of the range or mean pivot. What you want to do from there is find out how many points it'll take for an angle to exhaust a full circle. To do that you take the degree, multiply it by 2 and divide by 360; that's your angle qualifer. Add it to itself, then square the sum. 896 is a mean pivot from the range in ES 1586.75 & 665.75 (+ /2 ) using a recent example. Its range pivot intraday would be max 18.50 points for a first 3 waves before a decent pullback, and a minimum of 9.25 points -- scale this by 50% and you can pretty much tell not only sentiment at any given time, but have ready-made targets before you pull the trigger. Backtest it. If you don't love life trading whatever trend chart you use and an 8 second chart for unbelievable fills on the right side of the market trading with quants.. Get back to me. Let me know.

Hey there, fivev. The mean pivot is high+low+session close/3 The pivot range is found by adding and subtracting to and from the mean pivot the differential of calculating high+low/2 and subtracting the number from the mean pivot. My personal preference is to use data from regular trading hours - a glance at my chart should indicate why. Tommorow's RTH pivot range that's already under attack overnight: Mean pivot: 904.33 H+L/2 = 903.12 Differential: 1.21 Pivot range: 905.54 - 903.12 Best to you;

I think you'll find if you account for the square root of the initial balance and weight average the variance as volatility expands and then couple the data by squaring the variance, VIX compared to the market is as precise as mathmatically possible spanning the spectrum. There's found some practicality with concern to trading in the above also.

My movement projection from Gann's 1X1 tops at 961 and this last pull back gells with your 42.50, only because you didn't account for the angle from zero and you use either a base 15 minute or peak .618. It's losing momentum, velocity and sloping angles. 942.50 I'll note is a 67% retracement from 1067. We're off to find a bottom Monday. Nice chart though. Really appealing looking.

Not to beat a dead horse, and I'm feeling particulary winded today so I'll take a stab at this. I like many trying to devise entry and exits using Fisher's ACD compared to systems related (e.g. Crable intraday, Connor's Double 7s and redacted intermediate &c.) came up short, until I was going through my notes unrelated and marked an undocumented general rule I jotted down after reading a discussion elsewhere that states ranges (mean pivot high-low) are four times the standard deviation of historical volatility (session close to session close), and that based on this rule the majority of data is found within 2 standard deviations of the mean. Since ATRs are a range smoothing coefficient I'm led to assume that the exclusion of a factor of 5% with concern to Fisher's 20% of ATR generalization verses the 2 standard deviation curve accounts for both the elimination of noise and gaps in prices. All very exciting to be sure, if you've been as interested as I've been trying to crack Fisher, but I'ld like to know precisely how he derived a 5% loss in data generally and/or finding a mean within variance day to day discretionary being prudent, and that variable can't be known unless heavily backtested comparing the standard deviation of historical volatility versus his assumption. I'm almost certain the conclusion would be very interesting, and probably would end up being the crux of his and his company's whole philosophy, though in short I'm simply just not that interested. A logical adaptation to Fisher's entries and exits would be to either multiply four to an ema of session close standard deviation percentages, or divide the ATR by 4 or 5 and experiment. Either way, Fisher bases his formula on historical volatility and that because his rule for fluctuating percentages are both unkown and not a constant, affixing constants if interested in trading pure Fisher and noting differences in trade conditions seems ideal. I don't know how anyone trading 10% in futures isn't like another person here alluded getting eaten alive by slippage on stop-outs.