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joshdance
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Everything posted by joshdance
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I don't think a conclusion can be reached regarding order flow, accumulation or distribution from the closing price of an intraday bar. If we are talking about a daily bar, or a weekly bar, then I am more inclined to accept that. For someone to accept that the close of an intraday bar, be it a 5m, a 30m, or whatever, has significance, then he must also accept that the market places significance on that time. I do feel that the first hour of trading, from 9:30 to 10:30, can be isolated and examined, in such a way that reasonable conclusions may be drawn about the state of the market that day. So, for me 10:30 is actually an important time to assess the first hour of trading. But say you are watching a 30 minute chart, and at 1:00pm you notice that the close of the bar is near the lows. You are looking to short, but you wanted to wait for the bar to close near the lows. This gives you some validation or confirmation. This implies that the market (meaning other traders) view this particular time (1:00pm, or generally, every half hour) as an important time. It also implies that the 12:30 to 1:00 "window" of the market is more important to you than the 12:25 to 12:55 window, even though they are both half an hour. Also implied is that you are not so concerned with what happens from 1:00 to 1:05, since a 30 minute bar starting at 12:35 will be closing then. Finally, it's implied that you do not care if the market rallies strongly from 12:50 to 12:55, as long as it closes low AT 1:00. Not a second before, not a second after. It follows then, that you are very concerned, ultimately, with one single quote: the last traded price at each half hour every day, or at least how it relates to the previous quote, and perhaps the high and low of that period. There's nothing wrong with that ultimately IMO, it's just the reality of accepting the closing price of an intraday bar as significant in some way. If a trader believes that the market's goal is to get price to a certain place at a certain exact time during the day, then it follows that the closing price of an intraday bar will be significant to that trader. If a trader does not believe that, then why does he care about a snapshot of a price at an arbitrary time?
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Yes, and then in the next 15 minutes the market can trade lower, forming a nice bearish 30 minute bar. And then in the next 30 minutes it can rally stronger, forming a nice bullish reversal bar with a big long tail on the 60m. But then you look over to your 240m chart and notice that, alas, it has closed much lower than it opened at the same time the 60m closed up. I suppose you will say that the answer is to stick with one timeframe, and go with that. I think that if you are paying attention to bar closes, that this is probably the best way. Hopefully my point is clear. If not, here are several different pictures of the same event on different periodicities.
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Absolutely mitsu, and I thought about addressing other points of interest in my initial post but decided not to, to keep it simple. I would conclude that the high and low of a particular bar is largely irrelevant as well. Although, boundaries can be formed if we group the market's flow together and we can observe areas that we term support and resistance, and these may be useful to some traders. With respect to the high and low of a day, or week, I think these can be seen as important for the same reason that the open or close for those periods are, namely that the day and week are clear delineations of trading activity. To briefly add to this: Highs and lows of groups of bars form boundaries, and we often use these boundaries to make decisions. We are taking highs and lows as extremes, and this differs from the close. The close is taken at an arbitrary point, whether it's when a certain time arrives, or when a certain number of ticks have gone by, or when a certain amount of price movement up or down has occurred. Highs and lows are not taken at an arbitrary point; rather, the market generates the transaction information, and we observe the boundaries by grouping transactions together. The market does not generate a "close", except at the end of the day or week. True, we only observe a "high" or "low" in the context of a period of time or activity. However, the "close" is an arbitrary definition of the end of something, which has no end except once per day and once per week.
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I took a sim trade long 45.50 earlier, and scaled out 3 for 2.75, 3.50, and 4.00 (posted in real time elsewhere if you need proof) -- it was a nice 50% pullback of the low to the prior high. ON low tested and held beautifully to the tick, and from then on delta has been nicely positive, so no reason not to buy.
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You prompted me to start a new thread "Uncle Mike." Here it is: http://www.traderslaboratory.com/forums/technical-analysis/12081-close-bar-meaningless.html
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Someone posted in another thread that he uses a 6000 tick bar chart, and that he waits for the bar to close before entering the trade. That prompted me to write this, which is something I have been wanting to do a mini rant about but just haven't yet. As always, this is solely my opinion as there is little "truth" in the markets but rather we merely have opinions and our own view of things. Bar closes are not "important" in the sense that they mean anything significant to any significant number of people, except in one major case: the close of the day. The day itself may be structured such that we subdivide it into periods which allow us to function more effectively (for example, we may define the first half hour as the opening range, the first hour as the initial balance, and we may refer to the morning, midday, and afternoon, and so on); however, the only instance in which the market really has the notion of a "close" is the close of the day, and given the global nature of markets, the true close of the market comes at the end of the week, when there is a true break from trading for 48 hours. Maybe that ruffles your feathers, if you are a fan of VSA or some other strategy which pays attention to the bar close, but the logic should be clear. We are all watching the same market, but one trader uses a 5 minute bar, one uses a 1 minute bar, another a 30 minute bar, another a 10K vol bar, another a 5K tick bar, another an 8 range bar, and so on. These are just data presentation mechanisms, and the market does not have a concept of any of them; they are purely our creation. The close of a bar is a snapshot of a price traded in the flow of market activity. What are your thoughts? If you use the closing of a bar as a part of your trading, or if you feel that a bar's closing price is important, can you explain and convince me (or others)?
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I pointed out the VA issue and Chad has fixed this for beta 10 when it is released, FYI.
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"Uncle Mike," You are a vendor, and have not registered as one here with TL. I'm not a moderator but just giving you a heads up. The setting is under your user profile.
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Have you tried a different instrument?
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I don't see what you're referring to. Are you talking about volume per bar, or volume at price? Either way it will be pretty useless or at least inaccurate for spot forex, which has no reliable volume information available.
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I think this is the healthy attitude to have. Opportunities are more abundant some days, but as long as there are markets, there are opportunities. Thanks for reminding me of that heading into the weekend, hope yours is great as well.
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98% for RTH ... good call on the 41... I simmed a long at 35.50 for 40, stupid for not taking a real long a little higher up as it started to push. gosu, glad you had a good day. To me, a 6.50 range after 14.00 range ON, then a 5 point push in 15 minutes is not my cup of tea.
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Just don't take her to Greece! :rofl:
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Yes it's a little easier said than done, at this moment anyway. IRT does not do median of day specific, only mean, and mean is statistically not as robust so I prefer median for these calculations. Either way, the exact number not that important, bottom line is it's a slow afternoon
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65% of median since about 11:45am. It was at this point that the volume went from being ahead of pace to behind pace. This does not take into account day of the week, however, so for a Friday we might be only 85% or so of median, just a guess there though.
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lol Tom ... yes 6.50 RTH range so far... back to 86% of 20d median volume. Ouch. But the median 20 day RTH range is only 10.25, so not a very exciting market this year so far. On a current note, delta is still way down on the day ... not the kind of day you generally want to try to be long, though that can all change. On the other hand, that move down to 35 took delta to new lows on the day by far, but we only got about 70% pullback in price. So, bids are strong enough at least to hold it above low.
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Since you didn't know about it, and don't need anything, I'd wait to be honest. I just like to try new software features. The best one so far for me personally, and maybe this was even in the 10.4 series but I don't know, is that I can put TICK on top of my 500V ES and have them line up.
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These values are for beta 6?
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As of this moment 2:24 EST, volume based RTH profile, I have 1336 VPOC, 37.50 VAH, 34.50 VAL
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You mean install older version? I dare not do that, it scares me I've found several bugs in the 10.5s that the guys have been nice enough to fix very quickly, so I trust that any issues will get sorted out. I'm already using new features of 10.5 so I will stick with it.
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Wow interesting -- I will send Chad an email on this.
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Who is your data provider? And this is RTH right? I'm also using 10.5 b 8 and have the same values as N ...
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Interestingly regarding the 41s, that roughly corresponds to the opening SPX price for the week, and we could not quite make it (about a point shy) there.
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Right now on RTH profile I have a vpoc of 38.25, VAH 38.25, VAL 35.75 ... is that matching what you guys have?
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For the day? I have both but was referring to RTH profile. Yes I noticed 41 being a key number for several reasons this week, thanks for reminding me about this level.. I have it highlighted on one of my charts but have not been really looking at it much today.
