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BlowFish
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Everything posted by BlowFish
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How do you differentiate range extension from 'the market trading away from it (value)'. Thanks.
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Depending on what you are doing 'trading' is not really a heavy weight application. Of course if you are building the S&P index from constituent stocks in real time your mileage may vary. Things like VWAP's and SD's are processor heavy too. I happily trade on an apple macbook pro laptop running windows (bootcamp).
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Not an eld but psuedo code if time = 10:00am and last tick = up enter long else enter short. if long and last = entry price + 1 close if short and last = entry price - 1 close. >>>>Insert stop logic here but realise that anything you put in will alter your very close to but not quite 100% expected wins.
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A random entry has a high probability of catching one point as long as you are prepared to risk enough to get it - a 20 point stop should make it a pretty high probability. If you are prepared to do a bit of data mining you could hone in on an entry that has statistical significance. Certain stuff has a tendency to happen at certain times. Stuff happens at previous days highs lows closes mid points. Its not hard to come up with a reasonably robust strategy to catch a point while only risking a similar amount. The first suggestions was the easy option.
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As a timing tool it probably can't be beat. I would like to say that the reasons you give above are my chief motivation but it is actually more fundamental. Its simply a skill I would love to become proficient at. (I guess I shouldn't say 'master'). Nowadays I do find it physically difficult (especially on something like the ES) to actually take in the info. Last couple of months I have been watching the FTSE and every now and then pull up the T&S or the DoM and watch for an hour. After bumping the font size I can at least see whats going on its just a question of interpreting it! Guess I am way to old to go and trade in a prop shop but I guess thats would be the place to really learn. As an aside I used to use the DoM to enter trades but often found that I would be 'sucked in'. I found it hard not to scalp as your focus gets drawn into the wiggles and jiggles.
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Couple of interesting threads from *cough* another forum http://www.elitetrader.com/vb/showthread.php?s=&threadid=42947&perpage=40&pagenumber=1 http://www.elitetrader.com/vb/showthread.php?s=&threadid=62411 And a longer one so higerh signal to noise ratio http://www.elitetrader.com/vb/showthread.php?s=&threadid=26299
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[VSA] Volume Spread Analysis Part II
BlowFish replied to Soultrader's topic in Volume Spread Analysis
Thanks, for taking the time to reply in detail. I'm glad it was valuable to you. I must say I was a wee bit sceptical as any companies first loyalty is to the shareholders. Having said that you can can count on Tom and Sebastian to deliver. -
[VSA] Volume Spread Analysis Part II
BlowFish replied to Soultrader's topic in Volume Spread Analysis
Glad you enjoyed it Gary. If you have a moment I'd be interested to hear what you particularly liked or better still any really valuable lessons you might want to share! I presume you have a methodology based on VSA already? Are those trades you would have taken prior to the symposium did it just give you more confidence? EDIT: PS second trade you didn't have your stop under the test bar? Did you have it way back under the swing low before? Just wondered how you handled price moving against you a couple of bars later. -
As I say, I use a tick chart as a 'proxy' so am perhaps not best qualified to comment. But I will anyway. I think one of the big difficulties (at least I found it challenging) is the sheer volume crossing the 'tape' which is pretty massive compared to the days of Humphrey Neil & 'Rollo Tape', (or Livermore for that matter) wrote about the tape. That's why a proxy works for me. I would like to master o reading the raw data but as I get older and slower I guess that's less likely. I also switched to zenfire data feed recently man that has a lot of ticks (compared to some).
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Time and sales is a record of 'completed transactions' and pretty much akin to the tape of yore. I guess you meant that the DoM has little to do with tape reading. This is of course true in the strictest sense though many consider 'stock levels' (DoM) along with 'completed transactions' (T&S). Smwinc - I hope you mind me asking do you trade in a prop shop? Just curious.
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Ahh Thanks, I have no issue with IB's there are some pretty well though of ones in some trading 'communities'. It all makes sense now...I thought they might be but generally its unwise to assume
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Beeker, Thats a really great book. Its the only trading book that I must have read a dozen or more times. It sounds like it has given you a great grounding. There are really solid principles behind the anecdotes. btw I can confirm it is a fact (for futures markets at least) for every sell order there must always be one buy order. A buyer and seller trade to form a single contract. That is how it is 'by definition'. Personally my difficulties are not with the 'theory' its with recognising the gyration twists and turns of the live tape as they happen. Thing happen pretty quickly at that level and it is sometime difficult to remain right side up. Currently I use a very fast tick chart instead of the tape which is a bit more visual. It also has the advantage that you dn have to remember the levels as you have a graphic representation. I would still love to be able to read the tape consistently though. Of course rolling the DoM in gives a complete new layer of information. EDIT: Smwinc been through your example a couple a couple of times and am now with the program both of the types of behaviour you mentioned their are certainly recognisable. However there are all sorts of other similar but different behaviours to confuse the confusable. As you mention this all happens in seconds often enough. Anyway thanks again for going to the trouble to map it all out.
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Does anyone know Amps relationship with OEC? Are they an introducing broker or something? They have some pretty aggressive rates.
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It was a carefully considered word. You have to be very careful of perceptional bias, but thats true of any aproach. If you are rigorous in your definitions you can test some of these things to see if there is statistical significance. For example some of Morge's pitchfork behaviour has 80% or so probability after years of extensive testing. I seem to remember you saying mid points of your rectangles often significant, mid points of swings often seem to be too. Why I wonder? I guess you could argue that being a half way point its a place that both bulls and bears are likely to draw a line in the sand. A bit more abstract are measured moves A-B = C-D. The market does appear to have a tendency to move in similar size segments. And the list goes on. I remain more open minded to some of these sorts of things that to other even though, as you point out, these lines dont represent anything in and of themselves.
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AH Ok Ithought that might be your view. Having said that it seems that there is all sort of 'geometry' in the markets that, while there is no directly attributal 'reason', certainly seem to exist and repeats often enough to be more than random. This can certainly be exploted if that is the traders desire.
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Smwinc- Thanks for taking the time tor try and explain. To be frank I still struggling to get my head around it but I'll stick with it. Over the years I have spent hours and hours watching T&S and the DOM. To be honest I have never really got it. I have a rough idea of what I think I should be looking for but it never seems to completely click. Sometimes I seem to manage to get into the flow often not. For example sometimes a level will be supported with the bid being replenished and price will eventually lift. Other times, on what appears to be similar action (to my untrained eyes), price will appeart to be supported and then bang the bids disapear either eaten up or pulled and price falls. It's still a skill I'm keen on adding to my repotoire.
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Brookwood. Be aware also that in futures markets there is always a buyer and seller for every tansaction. Thinking in terms of more buyers than sellers is likely to confuse your thinking. Delta measures volume @ bid against volume @ ask. Agressive buying selling against agressive selling if you like, nothing more. (essentialy which side are using the most market orders) There are many misconceptions about how the 'big player / smart money / whatever you want to call them" move there inventory. It is my contention they do not buy buy/sell aggresively most of the time. Certainly not all the time. If you had 20,000 YM to accumulate would you keep hitting the ask as price advanced or wait paitently on the bid when price pulled back?
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Well well, DB posting charts with a left hand/outside lines on (channel line). What is the world coming to :o Seriously I had been under the impression that you did not pay much attention to left hand lines. Is this something you have changed in your trading or is it more likely something I have mis remembered? Personally I rather like channel lines and will take a trade from the outside one (despite most people recommending against it as it is counter trend). Of course context and confluence help. (need to think of another C)
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Januson you might want to check the link provided in this thread http://www.traderslaboratory.com/forums/f34/trading-action-reaction-lines-a-presentation-3804.html this might persuade you there is some merit in the methods. The presentation is long but worth every minute imho.
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Trading Action Reaction Lines - A Presentation
BlowFish replied to BlowFish's topic in Technical Analysis
His approach (at its core) is actually quite similar to some discussed in well established threads here. Draws 'lines' where price may reverse (or congest). Use price action to see if that is in fact happening. Enter and manage the trade (based on PA) until another 'line' is hit. He uses an energy metaphor (rather than supply demand for example). How he conducts business is really not so different. -
Trading Action Reaction Lines - A Presentation
BlowFish replied to BlowFish's topic in Technical Analysis
Yeah he has traded for 35 years trades billions (apparently) but still spends the odd couple of hours here and there on the simulator! There is a ton of good material on the medianline.com site look for the archives section. For anyone who is struggling with trade management its worth checking out, regardless of your methodology. It's nothing really new (using market structure/price action to manage trades) but there are many concrete examples of managing a trade from begining to end. The only thing I'd like to see is more failed trades. -
Trading Action Reaction Lines - A Presentation
BlowFish replied to BlowFish's topic in Technical Analysis
They are usually good however this one has stuff that he has not talked about before. (though has written of) whilst the core bits are always the same there are always interesting new twists. As I said before I like how he talks about managing trades, not many speak specifically about this. There's a new series on medianline.com entitled "The Fed has got no Clothes" its from when he ran a currency desk and sometimes performed 'manoeuvres' for the Fed. Its only up to part 2 but a fun read so far. I think I can guess where its going. Part I is at the bottom. I admire the guys energy and dedication to trading. Runs a fund, trades his own account, manages a prop shop, and helps floor traders make the transition off the floor to the screen. Still manages to find time to post freebies and do webinars while writing his second book and a fairly extensive speaking schedule. Apparently he has recently suffered poor health but seems to be back with a vengeance. Worth checking out even if you have seen other presentations. As I said I am a bit of a fan so caveat emptor. -
Well it was mainly idle curiosity (they say curiosity killed the cat). Actually I don't even follow the currencies (yet) though I have now at least set up a couple of workspaces to be able to watch the FX futures. I only started following the FTSE a couple of months ago and have kind of been seduced by her. As an aside, I hear anecdotally (so it may well be BS) that the currencies can be more 'technical' and trend better than index futures. I wonder if there is any truth in that? Of course the only way of really knowing for sure is to spend the screen time with the currencies but don't want to cheat on the FTSE just yet. Markets are odd while broadly the same they do seem to have different characteristic quirks.
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First off I should say I am a big fan of Tim Morge, I think his work is exemplary. There is little doubt (in my mind) that he is the real deal and possibly I would go as far as saying a 'trading great'. He has just done a presentation on trading action reaction lines. It starts of with a history of how they came about then moves into drawing them and actually trading from them. Morge is one of these people that is not timid to talk about actually trading. Even if you don't have much interest in these lines I would still recommend a look. For example I always like to see how he talks through a trade from beginning to end and how he uses price action to manage his position. How to trade rather than just how to analyse. It weighs in at an 1hour 40 minutes or more and I thought was pretty excellent. I should point out I am not affiliated in anyway shape or form, I just enjoy the stuff he presents and hope you might too. http://rs6.net/tn.jsp?e=001cNIv73zlV9mznKIUYdfOA4iK8Jx8zVE7HrAamL7PEPqq6POEQOTfgNp7Ds78RwXScPBD8-qMzq9stfE-owltdHw-J1us9jy52CzlKQMzBwk87FD1rtB_EQbjRM5BomRV1QbfqtAnOyuM3V5MWSC8uQTj6BdF06CeD91i-VW4h7dNzcf9REvxx4Xx1WnT7RhkojW7KxSLyrZGht97shGrEdp0YXp6CsSfJ8G0ZywL4yM4usaBw7Wiz5s72WL9CmFj You need to fill in a couple of details for the CME and it will download the WebEx player but they don't spam you in fact you can put any junk in if you so desire.
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A whole bunch of good information thanks. You don't think a retail trader can make money bracketing news releases? Clearly not with a 'bookie' but with a proper broker with multiple interbank connections maybe feasible? Of course it becomes a bit more like an arcade game and you have to be able to deal with the fact the first spike is just as likely to be a shake out. Just wondered as there are strategies that work on index futures at FOMC time but they do require good execution. Just curious.