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joshdance
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Everything posted by joshdance
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I was afraid you'd say that, but I wanted to give you an opportunity to clarify yourself first. So, you're saying that it's actually MORE accurate to ignore actual traded volume, and instead consider the number of trades or price changes? As I reread your statement, it sounds as if you're equating the number of price changes as something the market can't "hide," but that it can hide traded volume? Am I right? EDIT: I will work off the assumption that this is what you're saying. If that is the case... Price changes mean very little. Your bucket shop broker (or someone else's if you do business with the less crooked ECN's) has no obligation to report the same price to you that another broker reports to someone else, trading the same currency pair, much less changes in price. They determine the quotes, and that's what you get--what THEY decide. So forget the fact that price changes don't mean anything, ticks don't mean anything--even the quotes are what the bucket shop decides to quote you for goodness sakes...!! You should read ROSO if you want to learn more about the bucket shop business back in 1900 when Livermore got his start, it's quite entertaining and really not much different from today. At any rate, way back when MM made that post, he was talking about the equities futures market, something you clearly do not trade, or you wouldn't be saying the things you are saying. There is a general correlation between the volume of the issues in the cash index and the futures market, and associated derivatives. However, pull up a chart of the ES contract, and compare the volume with SPY. You will notice non-negligible differences in traded volume on some days, or some parts of the day. MM was simply saying, if I recall, that one volume source alone may not tell the whole story.
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lol, 30% range extension in 7 minutes AFTER the cash close ... you can't make this shit up
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What is "tick volume" compared to "contract volume"?
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Cool, glad that works for you steve -- it seems that we are pushing beyond that 2nd SD late in this day though... seems the market has other ideas about how far is too far.
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It appears this way because the daily bar is one trading day, and includes volume from, in some cases, 2 calendar days, whereas my 1440m bars are one calendar day; had I summed the volume from those two calendar days it would likely have equaled the daily bar volume. That is not really the point though; it's to notice the divergence around rollover / expiry time.
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So you're measuring the standard deviation of prices since then from that single price, not a changing value like a vwap, twap, or moving average -- am I understanding you correctly? I should add that I do not find these measures of volatility useful so won't be adding them, but I am interested in different ways traders calculate volatility.
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What are you measuring volatility FROM, with respect to? VWAP? TWAP? Moving average? ...
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I was only short 1 unit so due to what I perceived as the relatively high risk of a short, and thus no scales, so I closed it here at 03.50, for a couple of points. Would like to hold and see if she can make it to 02, but I'll take the sure thing due to small size on this one.
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N, off-topic note but relevant to the difference in volume we were seeing a while back. I did a little testing and I posted results here on the DTN forum, thought you might like to see what I found--last post made this morning. Telvent DTN Forums
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I have dumped my long here, and reversed short.. I could be trying to out-think myself and the market, but there's a lot of effort here, without much headway in the 05s.
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Tom, there's often more to the econ number than what you see on an econ calendar--pending home sales are down half a percent from January to February, yes. But if you read the whole report, year over year it's up -- 9.2% seasonally adjusted (13.9% not adjusted). So the macro picture is quite bullish, 9% higher than last February, despite a small slip from Jan to Feb.
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Nice job tom -- I held a long at 02.75 but bailed just after news for a tick. ON high is 03.75, and open is 01.75 -- is that not what you have? I am also long from the 04s here, but we are 62% relative volume, hmm...
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Perhaps you put undue value on your rather common and somewhat vague (and thus unhelpful to the matter at hand) opinion--I doubt as if many will fiercely debate it, but if they do and that makes you feel more important next March, then bully for you!
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N, weren't you asking for a "Dislike" button the other day? How about a "Severely off-topic, vague, and generally broken record" button?
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Momentum Scalping Strategies in Trending Forex Pairs
joshdance replied to RichardCox's topic in Forex
As this seems to be a pretty specific strategy and well suited for testing, have you done tests to find out: 1) the median MAE on winning trades? -- This would either justify the 50 pip stop loss, or provide the basis for reducing the 50 pip risk if you find that the MAE is typically much smaller than 50. 2) the win %? -- Given that your inverted R:R requires a 67% to break even, and realistically 85%, to even begin to think about really making money, particularly since you are averaging down, this would be good to know. My initial reaction with these numbers is that since you will only have half a position on when a "normal" win occurs, and that you will have always a full position on when a loss occurs, and given that the target is half that of the risk, this strategy is destined to fail over the long term. Scalping with an inverted R:R can work, but the trader better be damned good and have a very high win rate. A bit more finesse may be required than simply a breakout of round numbers. I do not trade currencies any more (it's been a few years), but my guess would be that trading around round numbers are manipulated as often as they are in any instrument to trap traders. Given that the math is severely skewed against you, I'd need to see some serious data before I considered trading something so simplistic, starting at such a mathematical disadvantage. I would never trade something like this so these are just my hypothetical thoughts; I do not know with what level of discretion you trade this, but I would personally have to use a lot of discretion, as the risk math does not add up for me. Lastly, a friendly request: why not upload your image to TL's servers? Imageshack is the worst, and the ad popups are a killer.. very "ghetto" if you will. -
A little background first. There are two main ways that most traders display a futures contract: (1) they "glue" the spliced months together, and then back-adjust each month to eliminate the rollover gaps (NT, for example, does this) (2) they use the continuous contract Neither is correct or incorrect. It's simply different ways to display the data. Only a spot cash market chart which has no rollovers will be free of this question. So the answer to your question is: there is no correct method. The answer for what I, personally, would do, is: use the prior day as it appears on your chart, whether it's back-adjusted or the continuous contract. For example: Imagine rollover occurs from April to May on Thursday the 8th. If you are back-adjusting prior contracts (method 1 above), then Wednesday the 7th will be "shifted," and these "shifted" values (that actually traded on the April contract ) as it appears on the rolled May contract should be used. In other words, don't use the data from the 7th as it traded on the May contract, but rather the shifted values from the April contract. If you have a continuous contract, you will want to use whatever values are given for the HLC on the 7th that your data provider sends to you. If you understand that: (1) futures contracts can be viewed differently depending on (a) data provider and (b) method of contruction (2) pivot points are not rocket science Then you will realize it's not worth it to obsess over the precision of one or two days every month/quarter on rollover. Another variable is the closing value used... some traders use the settlement price, and some use the last trade price. I use settlement because it represents the actual closing value at the exchange used for margin calculations and other things. Unfortunately many traders do not even know the difference, and do not know how settlement is calculated for their contract. It can make a difference on an instrument like ES, but on a contract like CL it often varies a lot, as settlement is around 2:30 (though not the last trade at 2:30), but the session ends at 5:15. So, with the myriad of different ways to calculate the pivot and display the contract in the first place, the precision you seek on rollover day will not be relevant as the underlying data are not the same on everyone's computers.
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You did better than me, at least you were on the right side--though it was pretty clear that we would not see a BIG selloff, even a small rotation down can usually be expected, particularly on a Friday as bulls take some profits, and you were just hedging against that I suppose. Nothing wrong with that in my mind... buying right into the 4:15 close is not something you want to bank on, though on a day like today it's more likely than normal.
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Today I was very pig-headed. I shorted, but wound up down 2 points on a couple of contracts because I refused to hit the "reverse" button. We talked about that hindsight bias, but in REAL TIME, I had an opportunity to get out at BE, and reverse long... it was so clear that what I thought was just a rotation at the time was not over, and that we were going higher.. how far, I did not know, but going up--that was clear. What caused me to be stubborn is that little inkling of doubt that MAYBE, just maybe, I'm right, and then I would have exited just before the resumption down occurred. Despite the fact that I was 90% sure I was on the wrong side, that 10% of hope caused me to lose, and even worse, miss the rest of the uptrend for the day.
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Today felt like the mother of all squeezes... it just would not let any shorts get back to breakeven much less make money!
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No fear in this market guys...
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lol... why are you guys so down on Bernanke?
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N, you talked about squeezing the shorts. Perhaps you could discuss the psychology of such a strategy. I'm curious, who is doing the squeezing, and what is their intention or goal? They want higher prices to re-short? So they buy, buy, buy, create a panic of buying and then they are waiting to offer higher than they are buying on the way up? What if their inventory is so large (long) that they cannot attract enough buyers at the now much higher prices? Maybe I'm thinking about it all wrong. MightyMouse, I know you are into market psychology and this kind of thing; perhaps you can comment as well?
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Out for a point loss ... signing off for now guys, need to get back in sync.
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reshorted one more try here... unsustainable delta here IMO
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I added here at 85, but will bail soon on this... against my better judgement, and should have simply exited around BE when I had the chance and even reversed long. Perhaps I'm trying to outsmart the market here -- at some point, the market will actually have a continuation in the direction it started -- this week has been open drive down, reverse back up... isn't it getting too easy to predict this? sigh.. Exited here for -2.5 per contract...