BlowFish

You need something like :- Input: iStartTime (0800), ResetMinutes (60); var: ll(0),hh,(0); if mod( (TimeToMinutes(time)-TimeToMinutes(iStartTime)), TimeToMinutes(ResetMinutes) ) = 0 then begin // reset highest high lowest low hh = high; ll = low; end; if high > hh then hh = high; if low < ll then ll = low; plot hh & ll here typed straight into the forum so may have errors but the principle is sound. Be aware that hh & ll are unstable right at the start of the chart until a 60 min boundary or 8.00 comes round, easily fixed by checking for the first bar and running the 'reset' portion of code. (or just load a few days data and you wont even notice).

I don't think Brookes is that great (unfashionable I know). Don't get me wrong I like the book and it has a couple of interesting insights but his book is 'difficult'. It has several errata and is not clearly presented. I wonder whether anyone that could not read price action already would be able to decipher it? There are far clearer, better organised and more complete treatments of price action imho. The grand daddy (and still a good read) is William Dunnigan: Gains in Grains; New Blueprints For Gains In Stocks and Grains and The One-Way Formula For Trading In Stocks and Commodities are available as a pair in an anthology.

I'm not sure giving the thread starter the power to delete posts is a goof idea (actually I am sure it is not). Blogs (when they work correctly) are the mechanism for someone to post 'in peace'. Threads are for discussion and giving the thread starter the power of censorship is a recipe for disaster. Common sense posting with firm but fair moderation is all that is required.

There is a thread somewhere titled something like "why trade the emini ES" or something similar. Several opinions including Phantoms are expressed there. Liquidity is about the only thing it has got going for it but I can't see that will be a big factor except for the largest traders? It lacks volatility, granularity and a whole bunch of other minuses (mentioned in the aforementioned thread). You can almost certainly get more bang for your buck elsewhere.

One of the nice things about Jerry's stuff is they make no assumption about the distribution. They calculate the actual standard deviations around the VWAP. Perhaps not that big of a deal but it adds a warm fuzzy feeling that they give actual statistically significant values regardless of the type of distribution. To be honest it is not really necessary to fully understand the maths and a careful reading (particularly Jerry's posts of course) reveal a remarkable set of fairly simple tools that are robust, versatile and just plain 'elegant'. Of course tools alone don't make a trader but Jerry does a good job of describing how he uses them.

Take a look at JPerls excellent threads 'trading with market statistics' (located here) A great starting point.

Interesting. Perhaps another fundamental difference between trading and investing? If you approach trading with that in mind it will certainly end in tears.

VMAP? Is that a typo for VWAP?

Does he explain exactly how large? As I said before few people can afford to multiply there size by 1024 times if price moves 10 'units' of rpice against them. And of course if price continues to move unfavourably you must double again and again and again.

Ha funny indeed especially since you mentioned Taleb. I was going to say that you don't even need a 'back swan' for it all to result in tears, chances are there will be a 'correction' that is bigger than the account being traded before very long. I can't see many starting out being able to swing 1024 contracts if price goes 10 'units' against you. I'm loath to ask (as I am not that interested) but he/they are not advocating others trade like that are they? If not then why even present it?

And when he does loose it will be a wipe out of course. Did you actually see him enter orders into a live platform. Martingale betting systems you really need an infinite account to trade with him as the bets grow exponentially and 4 ticks is certainly not gonna be enough. I have never understood why TTM are seen as 'straight shooters' anyone that takes public domain indicators from the tradestation forums or the old omega list and sells them for $450 a pop (or whatever they cost now) is certainly not a 'straight shooter' in my book. Not only that they are just as likely to practice similar dubious tactics in other parts of their business. Maybe I am overly sceptical...I think its more likely others are gullible. Jack I just saw this He trades a real account - you can see his orders appear in the DOM when he starts putting in size.. Are you sure? I presume he obscures his account number or does he? Are you sure it is not sim? If he uses a Martingale betting strategy he will blow up spectacularly. It's not a question of if its a question of when.

It's not a question of 'better'. They all have different characteristics that can hide (filter) or emphasise certain information. They all have a different 'look and feel'. For example if I look at a plain price chart with hand drawn horizontal support/resistance I like plain old fashioned constant time charts. I like to instantly see if price spent a long time at a level (a little boxy range) or was quickly rejected (a long tail or an up bar followed by a down bar). If I am looking at something that has anything that remotely resembles an indicator (cumulative delta, trade intensity or similar) I will almost certainly go for constant volume, it's just smoother. Just a couple of examples. Really its only a data sampling issue. Sample the data to best show what you want to see.

Can't really compare CMC with real markets. They can move the market at will without expending a single dime. It's just a completely different game and in those days it was particularly wild and woolly. Edit: I actually had the satisfaction of taking quite a lot of money from CMC. They started in the UK as Deal4Free guess that was 15+ years ago. How is a story for another time but it was extremely satisfying:beer:. Eventually they widened the spreads on me to $'s rather than cents effectively shutting me down

To jump into trading and make it your primary source of income right out of the gate is terribly hard (well I imagine it is). One think is for sure is you will need a lot more capital than someone that has an alternate revenue stream too. The primary reason starting businesses fail is under capitalisation. That's assuming you have a workable business model (trading plan).

I can remember the first time I experienced similar. I traded stocks at the time and had a couple of different quote grids that monitored a decent number of stocks. Well I am sitting there enjoying a coffee and bang everything went green....I mean absolutely everything. And not just a little bit green full on green green. I did actually guess the cause (more luck than judgement) it was a completely unscheduled rate cut (a quarter point if memory serves). Anything 'fundamental' that affects peoples perception of 'value' can cause massive amounts of money to be moved between asset classes. If it is fairly unexpectedly this can happen extremely suddenly and quite violently. Whilst fairly rare it's all part of trading.

Input: StartTime( 930 ), StartMonth( 5 ), StartDay( 1 ), StartYear( 2011 )); if CurrentBar = 1 then StartCalcDate = ELDate( StartMonth, StartDay, StartYear ) ; if (Date >= StartCalcDate and Time >= StartTime) or Date > StartCalcDate then This fragment shows you how to do a start date. I'd have to modify it a bit to do end date and don't really have time now. It's pretty easy you would need to to do 'and not' date <= EndCalcDate etc.

Array Arraylist tom ay tow tom ahhh tow.

Using IB as an example they aggregate a bunch of trades (ticks) if they all occur within xxx milliseconds of each other into one single tick. You have a variable amount of ticks that are essentially 'lost'. i.e. you can not reconstruct how many trades there where. They do however still report all the volume that occurred from the aggregated trades in there single trade/tick update. So a constant volume chart with their data looks pretty much like a constant volume chart with an un aggregated feed.

perhaps a 10x4 array 10 for the 10 bars, 4 for the OHLC. AS you get 5 second 'ticks', update OHLC as necessary. After 5 minutes shift all the elements down 1 place (or index the next element). Tams wrote about arrays somewhere (though I think that was for easylanguage) still applicable.

<doh> I feel rather

Quite so. I thought that as you where talking about Gaussian distributions and standard deviations (which are tools of the statistician) that you thought otherwise As I said before if you find utility in the tools that's all that really matters, I have nothing against heuristic methods in general or MP in particular.

Ahh I just looked at his last post date time, my bad. I guess he decided just to become a lurker. Still hope he is doing well.

I just wondered what happened to the report post button? What's the best way to bring posts that might be 'questionable' to the moderators attention.

The term GIGO springs to mind Volume charts are indeed more 'resilient' to aggregating, that in and of itself does not make them 'better'.

What territory is that? I guess you are being deliberately obtuse? Let me spell it out for you, unless you are a sponsor it is frowned upon to use the forums to solicit business. Referencing people to your paid for product (whether you buy the product outright or it's part of some sort of 'education') is soliciting. Vendors are made very welcome here if they contribute. 'Check out my site chock full of dubious products and services' is not contributing. Oh and before you take umbrage at 'dubious' I have always held a low regard for people that sell indicators and studies that are available in the public domain. Some of yours fall into that category.