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TheNegotiator
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Everything posted by TheNegotiator
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Randomness is definitely about perception in my eyes. The probabilities involved in trading are more about how likely you are to be right and not how likely the market might do something. There are just too many parameters which can't be known in trading at any given time that it's essential to plan for what you don't know about, happening. This is my idea of randomness. It's perception and lack of perception.
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Given that it's roll over for us today, I am going to be taking it easy trading-wise. I prefer for the roll business to clear myself before trading it. So I won't suggest what I think it may do. If anyone has any comments about trading roll days, post them. I know some do like trading "the roll" and do well.
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Sometimes in the likes of ES it's difficult to not want to fade a move at a given level. I think it's difficult for many and the nature of the ES is such that often it will return to previous prices once certain targets have been achieved. So the question is how to protect yourself from trend-like days. Yesterday, even though I had a plan that above Friday RTH high 1185, I would be looking towards a gap close around 1200 mark, I had in mind a couple of hurdles which may have given me some good short opportunities. I actually hate these 'grinder' days but after taking a couple of shorts pre-1189 and not faring so well- which was a level at which it became apparent we had interest, I felt it was be becoming quite clear that we had a grinder potentially with a number of factors and importantly the way it 'felt'. Not much out eco-wise either. So I looked for an opportunity to get long. I did at a price area which I had thought may have been a possible short as the action here gave me confidence. That went much better than the other trades. Anyway, the point of telling you this was that it's good to have a flexible plan and be aware of how the market is behaving, otherwise you'll likely just get steam rolled when the ES is in this kind of mood.
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I did a per bar volume study in the attachment. Although the volume doesn't vary that much, there are 3 of things which should be taken into account explaining this. 1- I only randomised the tick volume between 1-100. 2- The randomisation is not weighted at all. Most ticks in say ES are small(below 10) so when a couple of bigger clips come in in will change the volume seen in a small tick chart(144 in this case) considerably. 3- The bar sample is small given it is only 23 in length. Anyway, here it is.
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Here is my broad view for the day for the up side.
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There are many. Just do a search for futures brokers. Most of them will give you a month free without opening an account I am sure.
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Here's what happened on Tuesday. There were some nice trades you could have picked off at key price areas.
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Just to be clear on the picture, the volume distribution and the price chart are not the same scale. I have tried to highlight the areas though which the volume distribution covers.
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Exactly the sort of thing I am really trying to get at- how should the idea be viewed and is there anything which proves/disproves it and therefore is essential for us to consider? Or does it not matter at all?? Anyway, I totally agree about the idea of volume adding a level of context. Remember that a randomiser is just adding price/volume data based on possibilities. Not like traders who are specifically looking at areas of high previous 'value' as a lead to which they may trade off in the future. That being said, I did a quick report in excel with the random data and added random volume at every tick between 1 and 100 and then summed volume at price. I know this isn't necessarily accurate to any particular product but that isn't the point. Just take a look.
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I used a starting price to calculate each sequential tick - either 1 higher, 1 lower or unchanged. Then I grouped the 'ticks' into 144 and took the open, the close, the max and the min values from each range.
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To start with, I don't know how this data was generated. It certainly makes a difference. Secondly, you were obviously intrigued enough to look further into it, which then gives rise to working out if there are any important ideas to draw from it. I have said already I don't believe markets are random. Yes I know 20 bars is too short and no I won't post one with more than 100 unless someone can do it in excel for us as I did the exercise manually!!
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Okay so here are three(non-cherry picked) 20 bar samples of a 144 tick chart of the random data. Just remember this is a very simple exercise. Each 'tick' which is randomly generated here can give rise to a change in price which is clearly not going to be as likely in a real product. But it does give a nice illustration.
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I'm not so sure about whether it'd be easy to tell the difference. I'd like to do a test of this but I'm afraid I don't know how to easily group my random tick data into large groups for OHLC candles or bars in my Excel spreadsheet.
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First off, I hope everyone had a great holiday weekend. Here's a first look at the ES post Labor Day declines. The two things to bear in mind here are that I have done this chart earlier than normal so the rest of the electronic session needs to play out and I am looking at what we did on a holiday meaning the importance attached to it may not be as great. What ES did do though, was test an important high volume area and fail. It also was playing again with the low volume between 1153-1149 area after having gapped through the 1163 high volume area. If we are above the 1138 level, I would want to see whether we get and stay above the 1153-49 area for a potential test of 1163 and the gap to 1169.75. Fall much below it and I'd be looking for us to test 1132.50 and 1118 ish to begin with.
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Here's another. Btw, just to be clear - I didn't cherry pick either chart.
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When I first came across this ages ago it made me sit up and it did the same when I came across it again recently. Take a look at the chart I have attached. What is it you ask? Oil, gold, S&P 500. Nope, it's nothing. It's a chart which I had excel generate simply by getting it to choose a tick higher, a tick lower or unchanged from the last price. But it looks very familiar doesn't it? Now we all know the markets aren't random , but really when you look at an example like this it makes you wonder. What are the implications of such an exercise? Here are some thoughts: There is an element of perceived randomness to the market at times which may or may not perpetuate further 'random' activity. Markets are not random at all as conditions present at any given moment, caused the subsequent price movement. However, when you look at historical charts, they have the appearance of being randomly generated as there is no context when viewing historical prices. Unless we assign useful context to market movements, any analysis which is done is never going to be much better than random. Would you trade the product in my chart if you knew it were completely random??? What do you guys reckon?
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It's very easy to get started with Ninjatrader. I think you should be able to take a 1 month free trial with a broker which will give you live data.
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Many, many intraday discretionary traders do use TT. Obviously given the number of different depth-of-market products available on the market, there are a good number who use other systems too. But TT is widely used because it is fast, stable and well designed.
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Here's a little snippet for those who like price action. It's easier to see the movement on a DOM but can also be seen on small volume chart - this one's a 2500v.
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Could be that markets start to get crazy again, but also they might not. NFP just surprised to the downside and really that was worse than many were thinking. Some poor fellas look to have been done at 1198 just before the release - let's hope they were closing their positions. Greece is again on the radar and talk of US banks being sued over MBS is not great. Looks like we'll open around the 1180 mark (although plenty of time to move in between now and open). So the first test of strength will be the current electronic low 1179.75 which is also Friday's RTH high, then high volume/Friday's close at around 1175. If it holds here, we'd need a test of the current RTH week low at 1189.00 and preferably get above 1190.25, then yesterday's low/close 1200.75/1201.25 - also psychological 1200 mark. If not we could well see moves down to 1163 area and beyond(and possibly anyway). One thing to note is we have moved down somewhat already in the ETH.
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You mean the daily chart that I posted the trend channel on?
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Here's a look at the overnight action.
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What might we be able to garner from the activity so far this week? Well, we started at the top of the range (and formed a channel yesterday). Monday we were happy to close on the high but both Tuesday and Wednesday, although we did test higher in both sessions, range was small compared to recent activity and the close was near the open - forming doji candles if you like. Now there are a couple of mechanical type influences to consider before drawing a conclusion that we are potentially running out of steam on this move up. Firstly, this is non-farm payroll week. I think that people will be watching closely before committing to more bullish positions. Secondly, from a point of view of range, we could be settling back into a more normal magnitude although a couple of weeks ago this happened too so that remains to be seen. Any views?
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Depth Market: is It Useful Information?
TheNegotiator replied to stasbz's topic in Day Trading and Scalping
In my experience, most depth of market products are designed so poorly that they offer very little use to me as a trader other than order entry. I have hassled companies in the past such as Ninja to see if they might implement some changes, but to no avail. In my opinion currently the only product which allows you to properly 'read' the DOM is Trading Technologies X-Trader. Btw you will need a pretty decent connection if you wish to trade in this way. An alternative method for reading the information the DOM should provide is by using bid x ask style charting which was made popular by Market Delta (I believe). It is available via other platforms now. Sierra I think have it. You can pay for Ninja add-on indicators which use it. I'm sure there are others too. I don't really use the market order book depth much in the sizes queuing, although it can be useful if you watch it a lot to see when the 'game playing' is about to begin. -
Okay so looking again at a wider view of the ES to find some important reference points, this is what I have for you. Just a note that the prices/areas I have selected are not exclusively what may or may not be references or indeed reversal points for the market. There are others in there but I wanted to note down some points which may or may not have been obviously important from the long term profile.