BlowFish

Ahh, thanks. Learnt something new there:) Actually the two charts where pretty interesting too from the point of view of how someone might manage the meanderings of price between 'R' and 'S'.

I must be being dense here but SOBEs?

Brief answer, about to go for lunch. Any data series really, Ehlers stuff is largely influenced by signal processing.

That's the boy. Pretty much all you need to decide what to watch. I'd like to see a contracts to trade weighted for average daily range thought.

You might want to look at John Ehlers work. he approaches things from a signal processing point of view which is quite appropriate for oscillators. A variety of his ideas have been coded in a variety of languages. Often he starts by trying to isolate the cyclical component from any trending component. Cynthia Kase has some interesting ideas like the Kase Peak Oscillator.

Absolutely! imo that is one of the big 'traders dilemmas'. Do you enter at support on limit or do you wait for price to stall or maybe you actually wait for price (and perhaps momentum) to let you know that currently support is holding (by moving away from it)? Of course the more confirmation you require the more risk you are likely to need to take (assuming that your stop is behind the S/R). Maybe even you enter on the second try (a test)? Same issues how far must price move or how long should you wait until you can say the test was successful? There is no right or wrong answers just what suits the individual trader.

Don't want to take this too far off topic......but...... That made me (in a good way) when I identify low volatility and momentum I usually start thinking get ready to fade extremes and certainly start taking profits at the tests of prior lows.... however...... price is king and the market was going down (and was in the European session which I traded) that was pretty clear (to a 'price action' trader, by whatever measure they use). I guess this further illustrates there are no glib one liners are going to describe market action. You have to evaluate each hour/day/week on its own merit. Without some sort of framework that's always going to be a daunting task.

I have not subscribed for years but Technical Analysis of Stocks and Commodities used to publish a monthly (which was overkill) table of volatility, $/tick, average daily range type info for a variety of markets. Have a chat with your broker they should be able to help. Of course you need to be clear about your requirements (which you have been JBW). I am still kind of unclear what the OP is after. Markets only have a finite number of variable (and those don't vary that much). Ideally I would want bang per buck more through greater granularity (of ticks) than through a bigger contract. DAX isn't bad as far as indexes go.

Mind you going back too far can be a two edged sword as market characteristics change over time. for example a market that trades in a 30 point range with 6 point gaps might be quite different to when it traded in a 12 point range with 4 point gaps. You need to also save enough data for walk forward testing. Oh and you need to ensure you have bull and bear and sideways data. Has anyone considered combining gaps and an opening range break out type setup to determine if it is a gap and go or gap and close?

Maybe close out on market close? Maybe the positions are not as promising (for your holding period) as you think?

I wonder what your motivation is? New challenges perhaps. I guess its not because the ES is not liquid enough for you;) Take a look and see, seems like you have the experience to judge. I am not sure what you are after to be honest. Do you want more volatility or less than the ES? What sort of holding period? What time of day? Some of the EU indices might suit you if you are a late person (your in Oz right?)

This is largely thinking out aloud but wont orders (even market orders) need to be routed via the brokers servers to look at margin and other compliance requirements? of course where resting orders sit depends on implementation (one would assume that exchange native orders would reside at the exchange). Again they would need to go via brokers servers for compliance checking stuff.

I wont disagree with you there. One of the more useful bits is not the LL LH HL (or 1 2 3 low in Ross parlance) but the section on ranges and congestion. There are a couple of handy methods to quickly say "we are going sideways for the moment". It can appear a bit 'recipe book' however the unambiguous nature of the definitions might be helpful to those struggling to find a framework that doesn't require discretion. Even if one was to move on to a more comprehensive model of market behaviour learning a bit of basic structure is not likely to be time wasted, or worse....hold you back if and when you seek to learn more.

No best. It depends on your account size, risk tolerance, average time you want to hold, volatility and to a lesser extend your approach. (probably a load of other things I have neglected to mention too). Indexes seem most popular (as I guess people move from stocks). Notes, energy (oil in particular) metals (gold in particular) seem to have a small but dedicated following.

In fast markets you can. A few days back there was an 80 point run up in seconds. Funnily enough the price retraced a 1/3 and locked into a narrow range for ages. Whilst markets with this sort of character can give you slippage chances are you will get a couple of points of slippage and find yourself 10 points in profit by the time you get your order confirmation back. In other words they can be pretty good for this style of scalping. Taking the spike a few days back (I wasn't in for it) as an example you might have had 10 points slippage but would have found yourself 50 points up in seconds. Of course if you faded that on a limit order (I have in the past) you would be feeling pretty sick. I think Brooks talks about this somewhere, he says something along the lines of he actually likes slippage as it tells him he's on the right side of the market as people are trapped in or out. Not that you get much slippage on the S&P but he does trade a few stocks too.

Actually this is the hardest thing I find. My normal inclination is to enter on limit and wait for price to come to me, of course that puts you counter trend with regards to the last tick. On the plus side you get a much closer stop. In the interest of 'doing it properly' I have been using stops to enter (or market orders if the immediate price action seems to warrant it). So far the worse slippage is a tick or two. I do often dial down to 1 minute to get a closer trigger. This is one of those age old dilemmas the longer you wait the more confirmation you get (by price moving in your direction) but the more risk you must assume (as price is further from natural S/R).

Entry a few moments later (1 min chart to time it again) Finding it hard to annotate post and trade in 'real time' with fast charts.

A re-entry that I skipped. Last bar on the chart triggered but would rather enter on a 2 legged correction nearer the triple tops.

Nice DAX entry. Green line shows my (obviously premature) exit. The tail on the entry bar made me wary. Still ample for the day. Not beyond the realms of possibility to expect a decent trend day after yesterdays narrow lack lustre action on the indexes. Clear downward momentum. Rising wedge with over shoot against the outside line. A H2 also. Actually used the 1 min for a more aggressive entry.

OP, It looks as if the last sentence has the words supply and demand reversed, a typo. The original Williams book had quite a number of these. Prices are marked down just as a store would. Essentially you lower the price you will do business at. Nothing really nefarious. If you are being pedantic marking up or down is not actively selling it is rearranging your order book i.e changing the price at or above best ask you are prepared to sell, or the price at or below the best bid you are prepared to buy. It is my hunch that when some people talk about marking up or down they include active buying or selling (market orders). Some participants might mark down (or actively sell) even if they are bullish on the market. Again nothing nefarious, if you are a broker/dealer working an order for a million shares for a customer you probably don't want to hit the market all in one shot.

Hi there, There are only a couple of studies. I think there was only one version of the first an oscillator type indicator, the second underwent a few fixes and improvements. The one you quoted was the second. To get the most up to date version of that one grab the last piece of code you can find on the thread. Probably a good argument to use the indicator forum and update the study at the top of the thread!

OP all bar the last two comments concern correctly understanding market structure, price action or whatever you want to call it. Trading trends (which don't occur that much of the time) require a completely different approach to trading ranges. You can trade one or other or both if you have the correct strategy. Many People trade only one or the other and the advice they give pertains to there favoured approach. It's usually completely inappropriate for the other side of the coin. Forget about trading for now learn a bit about 'market structure' to get a framework that makes sense to you. There must be 100's of ways of detecting a trend none perfect, all effective if used correctly. Personally I like using price action and simple geometry (trend lines). It is possible to trade without an understanding of price action which is one of the reasons people use 'indicators'. You might like to search out Joe Ross' law of charts, a free download that describes basic price action pretty well imho.

The volume on SPY looks quite different here I wonder why? Edit ahh I think there is a bar kind of hidden at the right hand edge. S&P DEP RECEIPTS | SPY | Charts - Yahoo! Finance

Indeed. In fact I seem to recall Globex reserve the right to aggregate data at source though can't remember where I saw that so I'd take it with a grain of salt.

Just right clicking and selecting open in new tab works so there appears to be a little bugette in the server code somewhere.