joshdance

Indeed -- and my point in replying initially was simply that with T&S alone, in times of high activity, you don't actually see the majority of the prints, which means another tool can be useful to determine what actually happened.

I have used footprint charts before and don't find them helpful to me personally. I have a VB showing me rolling volume per time on my volume charts along with the delta--so, it gives me what the tape does, except I like to have tape up for a quick momentum glance. Footprint is great if you want to see where the volume was concentrated, but I'm more concerned with how much in what period of time.

I am in a sim short right now, average is 58.75, I shorted 59 and scaled one off at 57.50, and re-added. Looks like a nice double top to me at the high, and though yesterday's high has held, delta is negative enough that I'm willing to give this a try. Stop is at 59.50 so loss would be minimal if stopped out. Targets are below at 55.25, 53.75 edit: to be useful, my entry criteria was basically that the high was retested without much fanfare or push, and honestly that little push right before the open seemed a bit fishy. Since we tested the overnight high and double topped, my guess is that we will test the overnight low, but I will take some off at yesterday's VPOC area along the way if we get there.

I also watch the tape unfiltered, but the problem with using ONLY the tape is that in a contract like ES, in a burst of activity you will literally never see it print; in fact, it simply won't render on the screen. So, to accurately see how much volume actually traded you need to look at a separate volume indicator. Watching the volume build on the indicator, and observing the speed of the tape, is very useful to me also. There are also times of relative inactivity during lunch, for example, where you may see buying or selling pick up for a few seconds as the tape gets very active, but then you look at how much traded and you will see it is very little. So, only having 100 or so lines of text tells a small piece of the story, because it is not representative of what actually happened, since it happens so fast these days. A two to five thousand contract burst in the millisecond time frame will never make it to your eye only looking at the tape, unfortunately. Back when Wyckoff was doing it, he got prints every few minutes... imagine the speed of that tape!

Yes indeed, sounds very plausible and logical, thank you for posting this.

It's the "triggering a trade" part that mostly concerns me. I've had conversations with traders who were looking to enter a trade, and heard them practically praying that the 5 or 3 minute bar would close at the price they wanted, so their R:R would be better -- in other words, they were looking to buy, but per their "rules" they could not enter before the close of the bar, and they were hoping that it wouldn't go up until the bar closed, so that they could get in, and so that the bar would be smaller, because they would place their stop on the other side of the bar. Many times we will wait to see if the market will support a price before buying before blindly jumping in, allowing others to engage in price discovery first so that we can piggyback. We can either wait a certain amount of time, until a certain number of shares or contracts have traded, or use some other criteria, to have a greater degree of confidence that we are with the side of the market that is stronger. But why should how long we wait, be it time, or activity, be predetermined by a bar periodicity? Why not say "I will buy if it stays above X for Y minutes," rather than the trigger always happening or not happening at 1:15, 1:30, and every other 15 minute interval, for example? What if the price trades that you want at 1:14 -- is 1 minute really enough to verify for you? Or what if it trades at 1:16? You then have to wait 14 minutes? I've attached 5 minute charts of ES for today, each starting at one minute offsets from each other. The beauty is that the market's intention and direction is very clear--up. Do you need to see where each bar opens and closes? The range of price movement continues up. What does each closing price of the bar, or opening price of the bar, tell you that you cannot see without them? Look at the other two charts. One is a 5 minute, the other is volume based for smoothness, but neither shows the open or close. When I look at these, my eye is drawn to the direction of the market, and particular areas. On the other charts, you see red and green (again, based on open/close), bodies and wicks, and more data to interpret. I might add, data that is NOT generated by the market, but imposed by the structure shown. We all must impose a structure on top of the market's free flowing, continuous nature. The question is, does the structure you impose help you? If the answer is yes, then that's all you need to know. If it is "maybe" or "no" then it may be good to reconsider how you view the market.

I started this thread to accomplish that very purpose, because you may "hope" all you want, but I'm sure you would doubt that this is the case for the general trading community. As with everything in trading and most things in life, there is no right or wrong, clear cut answer. The title of this thread itself challenges one of the many assumptions that most traders hold. If they are doing well, then I hope not too; but the "world" of many traders is a world that they might be okay with if it were 'shaken up' a bit. Just look at youtube videos of trading, and you will see what the average trader learns from. Realize that this is the food they are eating and the air they are breathing, and then it may not seem so bad to introduce some conflict into their minds, and jump start the engines of critical thought. My ideas are no better than anyone else's. But when we all exchange ideas in a relatively civil way, and when we stimulate each other's thought process, then we have accomplished the purpose of coming together in a forum format to begin with.

I would emphasize that your strategy tested seems to be an interday strategy. Intraday, however, the S&P produces many good trends. In fact, I see only one or two days a month where there is complete confusion and no clear direction. Sure, the direction changes once or twice throughout the day, but if you are an intraday trader, there are many good opportunities by following intraday momentum. I appreciate your testing and thank you for posting your results; I agree that the days of "buy and hold" for investing and the 12% average annual expected returns may be gone, for now anyway.

Dare I ask: 1) Is the placement of the line arbitrary? 2) The premise of your idea is based only on price it seems: if price is moving up, we want to buy, and vice versa. So, why do you need a line at all? While your video is off topic here, I do appreciate the simplicity of the premise, and generally try to trade the same way: go with the intraday trend. If buying is strong, don't try to pick the top, and vice versa. So to relate this to the topic at hand, look at the 5 minute ES chart attached. Four consecutive bars close near their lows. Does this mean the market is weak? Not in my view of things; if we shifted phase to have the bars start at say :03 instead of :00, :05, etc., we would have different closes, perhaps near the highs.

I think it depends on how you define value. In relation to yesterday's value, I see your point. But I would consider the selling that occurred around 7:30-7:45 this morning to be responsive, as the market established a new area of value overnight. At the open the selling seemed to be moving away from overnight value and back to yesterday's, and then responsive buying at the 48. Would you disagree?

Why not initiative? ........

I use forexfactory's news calendar and it is bar none the best I've found. Only events marked in red really need to be paid attention to. Only FOMC minutes at 2pm are of any note today. All the other stuff is pretty much ignored by the market.

Thanks peter -- Does it also happen sometimes that you take a larger loss, or allow a winning trade to turn into a losing trade instead of closing it, because you held until the close of the bar? Certainly I'm sure there are. Depends on how you might define "significant" ... For the purposes of practicality, I'll assume that everyone in the trading universe starts a ten minute bar on the hour. Every 10 minute bar close will be accompanied by a 1 minute and 5 minute bars closing, though in the middle of your ten minute bar you will have 5 minute bar traders acting on their bar closes. One out of every three ten minute bars will align with a 15 minute bar close and a 30 minute bar close. And so on... So, at 10:20am, you will be seeing a bar complete, while 15 minute and 30 minute bar watchers have another 10 minutes to go, yet you will be on the same closing time as 5 minute bar watchers... except that of course you will be evaluating the close in respect to a whole different set of other values (different open, high, and low).

Kiwi, after reading your post, the only thing you say regarding the meaning of the closing price of a bar is that it means the bar is completed (and thus its range is defined and unalterable), and that it "sets the closing price." Well, these are not exactly revelations. Perhaps you can elaborate on why this value is important. You talk about "truth" and "wrong perceptions" ... Traders have created a structure around a market by grouping transactions together into "bars" and then determined many different ways of presenting that data and different ways of defining the completion of a "bar." These are all methods of data presentation, independent of the market itself. Yet, you call this "truth," and you say that not imposing this structure onto the market is a "wrong perception" ... is that about right?

What a market we are trading guys... 9 point range for 6 hours. New lows, all the way up to new highs, 10 points in 20 minutes. Then afterhours, 9 points up in 8 minutes. Is this why traders go crazy and want to kill themselves after a while sometimes? :doh::rofl:

This is a good point; I trade equity index futures, almost always ES. Whether I need to know the exact number or not, well surely we don't need a lot of things. But I feel more comfortable knowing that the data I get is accurate and centralized, unlike the spot forex market. I just don't want to trade a market where I can't even see things at the transaction level, such as spot forex. I used to trade forex and now could no longer do it due to this.

Just to be clear, I'm not offering proof to why the closing price of an intraday bar is unimportant, because it's just my opinion, thus can have no proof. Yet, I clearly explained why I hold this opinion, and was asking for the same as to your opinion of the opening price being unimportant. I am not a big statistical guy, but when people say things like "it's clear that the activity increases near the end of the hourly bar," and this is relatively easy to test, yet the person doesn't bother to test it, I tend to doubt the validity of the claim, if the person doesn't even believe enough in it to actually test it. An assertion stated as an observation is one thing, but to claim it as truth without offering any evidence is IMO at the root of why so many traders wander aimlessly--they accept as fact what is only in reality conjecture, and then perpetuate that information as truth, when in fact it has no real factual ground to stand on. Many here who use the closing price of a bar would probably disagree -- in fact, people will wait 20 seconds for a 5 minute bar to close before doing something, so ten minutes would probably be important to some. Can you link to a reference for this somewhere? I just searched and found some sites say 6pm, some say 4:15pm, some say 5pm. As there is no centralized exchange, it seems not quite right that all trading begins at one time--this is after all, an interbank market. Yes but unfortunately you don't get to see that liquidity; you only get to see what your broker shows you. Perhaps the tick volume is somewhat accurate, but you have no benchmark and no way of knowing real volume. I don't think the CME futures contracts are a good representation either, which is why I stay away from currencies altogether.

I also considered the mean, but statistically speaking the median is more robust for protection against outliers in the type of distributions we tend to have.

I can do that but it is easier to simply do this: SESST indicator, you want the sum of price, using Volume as price, all bars of the session, multi session statistic, median of bars at time, X = 20. You will want at least 21 days in your chart, I like to use 1 to 5 minute bars. Have it calculate every 1 or 2 minutes, as it's somewhat cpu intensive relatively speaking. I actually have this calculating in a separate chart, setting a V#, and then another indicator setting the V# of the sum of volume of RTH session, then another indicator computing the percentage as a simple division of the two. I can post a chart definition if you still need it, just let me know.

87% so far. Steadily climbing since an incredibly weak open. I am sim long from 42s, was not feeling it again with real money on this one, but have scaled some near the open, holding a couple for 46.50 and 50s. Just can't seem to pull the trigger with what I'm seeing lately, but it's good to be right and trade well even if on sim, rather than be flat and just watching. The shift to long was about as clear as can get at the lows, but the steady selling continued afterward so that scared me off a bit.

Most equities traders who use hourly bars start them at the half hour, for obvious reasons. Regarding 4 hour charts, I remember having this debate with myself when I used to trade currencies--when do I begin the 4 hour period? Do I start it at 6pm, as this is roughly when asian markets open? Or do I want it to start at 7pm so that a new bar can start when the london market opens around 3am? Or... And you go through all of these possibilities, because on one set of 4 hour bars the signals look great, and on another set starting an hour later they look not so great, and so on.... this is exactly the kind of stuff I hope people will take away from this thread--that it doesn't really matter: a market is a series of transactions, nothing more. How we choose to view it is up to us, and obsessing about an arbitrary placement of values (the close for example) can distract from what the market really is. I seriously doubt, not the accuracy of your number, but your method of determining that number (by your own admission earlier, you did not actually do a statistical analysis on something which is possible to determine, so I doubt you did statistical analysis on something which is impossible to determine in the first place, namely, the profitability of a group of traders dispersed throughout the world). I'd say most skilled traders using any method in particular probably have "pretty good" win rate, whatever you want to call that. I've been curious as to why I've been seeing so many VSA traders trading spot forex, a market which has no accurate volume information available whatsoever, but I suppose that's another can of worms for another thread. I use VSA concepts, but not in the traditional sense and certainly not to the degree that VSA traders do, and I use those principles on a market which has volume information available. And this is good to keep in mind -- I'm saying nothing on this thread about the effectiveness of using the closing value of an intraday bar-- if it works for you, and you are profitable, then use it and be happy. This is a thread to get people thinking, nothing more. I suspect that many people in trading do NOT think about what they are doing. They hear "if the bar closes on the highs, then ..." and I am simply presenting another way of viewing the market. This thread was started to get people to think about the markets and how they move, and to help me in my own journey through my understanding of them. It is not to convince people to change, only to help people become more interactive in their own thought process about the markets.

Most likely -- it works fine for me... these things happen from time to time in IRT.

What is the bug? With the data in the report or something else?

Here is an example of what's going on right now in the S&P. The prior overnight low (the line) has been tested once, and then broken, and is now trading above. I have a choice to make if I were to go long--has the market rejected the prior low (43.75) because it is now trading above it? Well, there are only two main ways to trigger this: time and activity. I can wait until X number of seconds or minutes pass without it trading below that line, OR I can wait until a certain amount of activity occurs without it trading below that line. This is essentially 'waiting for the bar close.' It is implicit in how we all trade -- there is some element of time, or activity, for example, in a level "holding" ... well, it can be sold for 5 seconds, or traded 100 contracts, and we will probably not say it has "held". But if it is sold for 2 minutes, or 15K contracts, then we may say it has "held" so far. So we are always imposing our interpretation of importance of time or activity onto the market. So back to the picture, WHEN do I close my "bar"? Most use time. But why? Is it really that important that it's 9:15 now and my 15 minute bar has closed because it happens to be 9:15? This is attached in the second picture. I agree that the general trend of closes of whatever bar you use obvious is important -- we have to take a snapshot somewhere, and this is one way to do it. But in letting time expire, or ticks expire, or anything else determine when we see the market as having reached a point of "close," then I think we are imposing our own notion of "conclusion" on the market, which has no conclusion, except once per day.

Which hourly bar, and why that one? When you say "price action picks up" are you referring to activity (volume), or range of price? Both are easy to test, and I'm hoping you've done some testing to back this up? Otherwise I will test it later at some point and likely show that it has no grounding in reality, but perhaps I'll be surprised. Why?