BlowFish

Good point. Your probably more disciplined than me Jerry! As the old adage goes 'no position is a position'. I do find that sometimes I try and 'force' a trade particularly after missing a legitimate one (maybe just because I was doing something else) or for a variety of other reasons. When in doubt maybe it's wise to say 'what would newbie do' hehe.

Sorry to hear that Browns. I know what you are going through.

I don't know sierra but my guess its something to do with the muliplication factor. have you tried adding 2 bands one with mult x1 and one with mult x-1?

:beer::beer::beer:

I am not sure but I would guess there is a non iterative way of commuting PROBi. (i.e. not so processor intensive). I'm on vacation with friends and another glass of wine beckons so probably not the time (and in no fit state) to give it thought!

That sounds pretty reasonable to me however of course what is important is whether it works for you The thing with those sorts of time frames is that you are likely to get some nice moves of the levels (compared with say a 5 tick chart!)

Worth quoting I think - the lines provide a framework to observe price action within/against.

I think I would probably have to disagree with that. (with respect of course!) Horizontal lines can be challenging sometimes and sloping lines can sometimes be easy. I am not using sloping lines currently but have leaned heavily on them in the past. The art I guess is getting a good line with the minimum number of bars. Sometimes two is enough! Would always be happy to see any charts you like to post though Sometimes things line up and sometimes they need nudging into line.

Jerry do you pay much attention to the symmetry of the distribution? In particular I am thinking of taking a trade when the market is actually balanced but the distribution is still asymetric. Here is an example from today. To me long side seemed right even though the market was in balance. Interestingly the 2 minute chart showed +ve scue. The pvp seems quite sensitive to how the data is sampled. Funnily enough the slight smoothing you get by using say a 2 minute bar often seems to be helpful.

What do you find difficult? Seems kind of a straightforward way of looking at things to me. There are many ways of looking at the market base on fundamental structure. Aggressive vs Passive (those that will bid the price up vs those that are prepared to place limit orders and wait for the market to come to them). This seems close to anxious and patient. Liquidity supliers vs takers. Again this fits in with the original premise. Those that need to trade vs those those that don't. Those initiating and those closing. Informed vs uninformed. The list goes on. VSA as a technique has merit (imo) however some of the more marketing orientated claims are based on naive and fallacious assumptions. Of course its appealing when its sold as "follow the smart money" and "80% of the volume is the professionals" (which means a large number of professionals are not making profits btw). It's just rhetoric and no surprise that hucksters like <cough> 'professional trader GH' have jumped all over it). Let me be clear I'm not knocking VSA but if you really want to find out who trades, why, when & how, do yourself a favour and read Trading Exchanges & Market Microstructure for Practitioners by Harris. Not sure why its not a classic.

Welcome to TL. Interesting first post. I wonder if it is worth talking a little about patient and anxious participants. I have a fairly good idea but it seems an important concept behind your approach so worth making sure everyone is on the same page. Cheers.

Hi Jerry, This thread and the next one (Counter trend trades in a symmetrical distribution) are pretty important imo. Even Newbie could benefit by passing on trades that might find themselves back at the PVP. I attach a screen shot from your first video. It shows what I believe is a valid SD1 trade. Two questions. 1) Is there anything that might tip you off that price might be heading back to the PVP?? on this chart I think not, maybe the last few days or last weeks stats or other HUPs might have held clues. 2) If price finds it's way back to the VWAP and you already have a contract on from SD1 would you use the shapiro effect at the VWAP? I might be inclined just to pull the trigger. If price zooms through as it did here would you be inclined to think OK we are done with this trade lets close it out? There is another difficulty with averaging in (apart from accepting the risk) and that is psychological. If I already have a position and that is short I find that this can give a 'bias'. Actually the bias is justified probably as the scew is in our favour (VWAP<PVP) and the trend is in our favour (Price<VWAP) furthermore we have a plan to add 1 contract at the VWAP. I realise of course that how a trader deals with this situation is largely up to them but any words of wisdom would still be welcome Finally thanks for continuing to 'support' these threads. Cheers. Nick

I have to agree about Jerrys threads. Clear, concise, and statistically significant!

"If most traders fail or are failing, the standard figure seems to be 95%" That's probablly worth challenging. 95% of all statistics are made up on the spot you know Every now and then large brokerages will release figures on client churn, burnt out accounts etc. These would suggest its not quite so high. My guess is the figures probably follow the Pareto principle. Anyway that's as may be. There's quite few people worth listening to, there are fewer who are really worth listening to. The dichotomy for the less experienced reader is unless they have already developed a wealth of trading knowledge and used that to established strong beliefs based on 'facts' about trading, they are ill equipped to sift out wisdom and truth from well meaning rhetoric. Personally I try and judge the usefulness of the information based on it's inherent value rather than the success of the informant. The final thing is of course your motivation for reading (and participating) in forums. Whilst interesting titbits come along that might have an impact on ones trading, for me its more social. Anyway thanks for the links though the offsite ones don't work for me, I wonder if you need to be registered and logged on or something?

\I wasn't trying to be cryptic. What I meant was to think about how you want to trade. What size swings do you want to capture? How long do you want to hold a position. What sort of risk are you prepared to take. This dictates suitable time frame charts to see the information you need to reach those objectives. I would pick 3 principle charts to start with. As a rule of thumb each should be roughly 4-7 times greater time frame than the next. (A couple of your charts are essentially showing quite similar information). Charts are like maps, an atlas wont help you fond a street in your city and a city map wont be any help getting to Peru. Have a large time frame 'context' chart this show the major trend S/R levels etc. Next one down is a 'focus' time frame. This would be the chart you actually trade (i.e. look for 'setups') the lowest time frame chart is a 'trigger' chart that you can use to actually trigger a position once things set up. Just some ideas.

Personally I would approach things from another direction. I would ask what I wanted to achieve and then select suitable charts to help do that.

Hi Jerry, Do you always deploy the Shapiro effect (excepting break outs)? My thinking is this:- if the bar that touches your your entry 'line' is long you might add 1/2 SD risk and reduce your potential profit by 1/2SD risk or even more. It's the old traders dichotomy trade location or confirmation. I guess one option is to use slightly smaller bars maybe 1 minute. Any thoughts? I think I may have mentioned this before but going through the videos it struck me again that the extra risk and lesser reward can be quite costly to buy some conformation. Edit: With the recent volatility we have seen this maybe less of an issue. It is noticeable in the videos though.

TwMS V (any good approach needs an acronym) has some nuggets bured within it Jerry I am fairly confident that I understand your view on risk tolerance however have you tried 'tuning' or does that just produce poorer results. For example putting the stop at the PVP have you tried more than a tick beyond? Maybe 2 or 3 maybe more? How about a stop at the 1 SD beyond the PvP? I know thats even further but if it really boosts your % winners maybe worth it? I know you have talked about the 'never letting a winner turn into a loser' philosophy. As price makes swing highs swing lows does trailing a stop a tick or two behind these pivots hurt profitability much? I think most would sacrifice profit for a smoother equity curve. I gues the question should be does it reduce drawdowns significantly! I know risk and money management are very individual but guess over the years you must have researched various approaches and wondered if you have made observations on the effect of some of these popular methods? Thanks again. Edit: oops maybe this should have gone in the next thread.

Jerry how is ER2 nowadays since it changed to ICE? All of the equity indexes seem to be enjoying a lot of volatility nowadays. Do things work 'better' for you when volatility is slightly less or is it solely about risk tolerance? Risk is simply a function of the width of the bands and the PVP right? Assuming you are well enough capitalised the best markets to trade are those that trade heaviest as there is more statistical data? Do some markets just tend to behave "better" due to other factors (persistence, more consistant volatility etc.)? Cheers.

Recently I decided to understand MP better and immediately thought I should review Jerrys work to see where that fitted and where it didn't. I am gald I did. If I understand this statement correctly taking a daily sample and computing its closing VWAP and SD bands is far more statistically valid for next days trading than using VAH & VAL? Using Chebysev's inequality I wonder what would be a better % to use for MP VAH & VAL to give "no less than xx% gives of the data falls within one standard deviation". VAH & VAL seem to be self fulfilling as S/R however taking into account Chebysev's inequality using MP to detect balance vs imbalance might account for less cases of 'range extension' and more genuine break outs / imbalances? Just a thought

Thanks for the pic. Thats what I figured you meant. So you would enter on the close of the last blue bar or the break of the pivot high if it is the last bar thrusts through it?

I found this an interesting variation on an opening range break out though got a little lost at the end. 1) Wait for pivot high outside range - check. 2) Wait for retrace and pivot low to form - check. 3) Wait for market to trade completely outside range of pivot low bar. Do you mean wait for a whole "non overlapping" bar with this bar? Ok that confirms the pivot low. Do you go long the next bar open? Just seems a simple but quite elegant way to trigger so I though it worth understanding properly. Thanks for sharing. Cheers.

MC data is a problem when you are making yearly lows. You could always use the index rather than the future for longer term levels the patterns match but the levels are off of course. Still it gives an idea that you are coming up on multi year support fro example. Bootstrap interesting point. Of course if you use a break out of some sort (e.g. break out of previous bar H/L on a low time frame chart) you will be sure of an entry. If you use a limit against the level you might miss the boat (of course the latter will often give better trade location). No reason not to use both.

Hi James, I seem to remember you saying you don't use MP with the MSI is that still the case? Did you ever try dividing the profile into am and pm sessions? I just wondered as I am currently 'learning MP' in my spare time and am intrested in potential shortcomings.

You reminded me of the other point I was going to make! Start with the big picture maybe the daily a 240minute hourly whatever to determine the major areas, it's easy to get drawn into the minor vibrations if not careful. Of course when you are in a major area then drill down to a faster chart to get a bit more fitness or to actually trigger entries. I do it myself far too often...get drawn into the smaller undulations and essentially scalping back and forth smaller swings.