Traduk

So that there can be no confusion. I refer to a fractal as an observable turns from advance to retracement to advance. High\lows in common TA jargon with the definition of what constitutes a turn varying depending on personal taste. Fractals are the terminal points between range swings. If the premise is accepted that fractal generation is from ticks upwards then in various time frames then I display charts which show the base level build through about four iterations of fractal size. Each larger iteration is watched for development from those below and relative to those above. It may appear overly complicated but as I have been doing it for decades, everything is tuned to fit and the charts just feed back what I need to see. I do not truly understand your question. If I look at a new market I apply the principles from base upwards to find out what fits and adjust to what needs to be seen. The market structure (ticks upwards) dictates and I see my task as simply discovering and adhering to whatever it does. The use of the base upwards cannot in essence be wrong because it is the market. Using the base and its iterations upwards also incorporates automatic adjustment for decreasing\increasing range and volatility. Invariably I can see all the little 2 to 3 point micro swings and all the others including the 8 to 10 pointers I am interested in up the 50 point structures that span a couple of days. I started using this technique as none other was available back in the 80's with a pager and graph paper. It never failed then and hasn't since but I do wish I hadn't wasted 7 years and tens of thousands searching for the holy grail thinking that there must be something more complicated to trading:) .

The structure I am referring to is Fractal structure which is of course from ticks upwards which manifests itself in various time frames. Although I have long since abandoned any use of EWT or Gann I do use wave structure but in a bespoke manner. Absolutely nothing has changed since the 90's when I ran hundreds of millions of raw data points through bespoke algorithm spreadsheets. Raw data today produces exactly the same iteration fractal growth as twenty years ago and from that I deduce that HFT and bots are designed by man to follow and exploit market behaviour which has held true as long ago as I could get data for. IMO what was true in the old pit days is still true today but every tick is fought over as though it is the only one of the day. I much preferred the era where a move was done and dusted inside a few minutes rather than spend hours waiting for hundreds of thousands of trades to be done for a handful of points. In conclusion although bots, scalpers etc have added tons of volume and often slow the E-mini to a crawl, the structure, IMO, still follows the age old paths but takes a heck of a lot longer to get there.

My journey has been 25 years long, to date but I am more than flexible enough to retrace some steps to see if there is a different perspective to be gained. There is almost no area of TA that I have not explored on at least one occasion and many that I have revisited several times. The markets are dynamic and I tend to be the same and although I expressed a view on CVB and stated several obvious drawbacks, I am open to other people's interpretations and as with markets always happy to be proved wrong and learn. Regarding the 5333 bars.... must have been somebody else. BTW what bars do you use and to assist with further discussion what data feed and analytical software. BTW thanks for pointing out the irrationality of joining a thread with pre-conceived notions:(.

We were obviously at cross purposes, no problem:) CVB bars, if I recall correctly you use 5333, pose a more immediate problem in that they because they are generated as a function of volume vary from day today. The last 10 days has seen volume on the e-mini range from 1.6million up to over 3million twice. Twice as many bars can be generated on some days compared with others but there is no uniformity as each bar is a function of often activity within short bursts, over distance during a day. I looked at the CVB (5333) for the sharp drop yesterday (1236 to 1208.75). On a 5 minute bar the bulk of the volume came in as 244058 on the last 3 bars of the drop with volume really kicking in at 1220.25 (1 ninute bars). It was an obvious point for volume to go exponential as it sliced through a prior support at 1220.25 (pre-market overnight low (12.00 noon) . The manner in which that was reflected in 5333 CVB was by the large trades which became evident compressing the CVB's into small point moves but with a heck of a lot of bars generated. BTW I can filter the volume by uninterrupted one way traffic which is as near as possible to distinguish block trades on the bid\ask and about a third of the volume was 150 blocks or greater which means some heavy hitters were involved. You can probably see or work all that out for yourself but how something which in essence goes against the normal expectation of timed bars where distance over time is the metric I have no idea beyond the fact that between swing points CVB's create more or less bars but that doesn't address your question. I did look at this question some years ago and all I could come up with was that within the constraints of a known volume the efficiency of movement was (a) by distance travelled and (b) by the resistance to that travel. The only idea I could come up with was that in one way travel the flip flop between bid and ask should be less therefore the ratio of volume should reflect constant flipping with a fight in progress and far less with fast traffic. A simple volume divided by ticks charted does display those characteristics but not to a degree that I found of any value. Even in a fairly quick running downward market there are still trades flipping the ask even though the bid hitters are winning fairly easily. This again is fairly obvious in the fact that whereas CVB bars create at a rate of knots the actual range per bar contracts. I gave up on mostly anything but structure on the e-mini S&P a long time ago because although humans would think twice about jumping in front of a run away train, HFT algorithms are emotionless. Many things that used to work years ago have slowly been eroded but in the last few years the bots dictate and fortunately they still appear to respect structure:)

When discussing matters pertaining to technical analysis it is probably as well to stick with commonly accepted terminology. If a factor has been generally accepted in to jargon then to desire to employ that accepted jargon in a purist sense rather says more about the individual than a desire for dialogue. You expressed a wish to discuss a phenomena. I gave you a 100% solid reason for the behaviour on that day but you chose to pick on the interpretation of jargon. The logic I simply employed is the old fashioned chartism and it kept me not only right side but able to turn on a dime for three for four days. I would suggest that if you wish to discuss CVB relative to apply a momentum speed measure that it could present a fruitful discussion but not with me because using traded volume as a constant although displaying different numbers of ticks travelled is a measure which is constantly variable by volume per day. Yesterday for example was a million more in volume than the day before which on 5K bars would have created 200 more than the day before. I use CVB only to get inside the one minute time frame albeit I have better tools available than CVB but in volatile markets neither are used as I adjust timeframes to longer in volatile markets. I suspect that this discussion is going nowhere as semantics appears your primary interest and there are better things to do with one's time.

I trade the E Mini and judging by the date of your post 15\11 you were looking at a day when on the basis of 60 min candles, the players were fighting tooth and nail to drive a corrective wave back up. The ES always fights over every bar but the attempt to regain old highs from an apparent correction spurred on buyers put the fight at every bar\candle low which only became a low because the buyers won.. The attempt to drive prices up has subsequently failed with a triangle formation (60 minute) having seen an a,b,c,d,e formation dropping through the bottom into a "C" wave. I have studied the delta using just about every angle imaginable and maybe its just that after 25 years of trading that I cannot any longer see new things but I see no value to delta or order book studies that cannot be better seen by price observation. I will add that I use CQG and have seen the order book via their proprietary "trade flow" and the order book is a constantly changing add, alter, cancel & replace at a speed which defies logic. I have concluded that what happened a few minutes earlier is inconsequential with only major position building by institutions as important. As their positions are built over days I do not see much value in knowing what they have done if trading the intra day time frame and if one really needs to know then the old accumulation\distribution still does the job.

I do not think that trying to predict based on time is rewarding simply because the drivers are sometimes known news inputs but often generated by unknowns such as the current round of European news. I have sat on positions that have gone sideways for up to 4 hours with the almost certain belief that my position is correctly placed. Just when I have almost given up it has done the business and headed South at a rate of knots and given good rewards. I day trade because in the early days I used to trade options and before 1992 day trading never paid as there was not enough daily movement. After spending years with perpetual positions in the markets I do not want to spend a weekend or over night with a position on as the relief from not being always in was liberating. Although I have the facility to use day trade margin I always use full margin and more because my money management dictates so. I rarely exit during the 15 minutes to close mad panic as invariably there are thousands sitting limits on the Bid\Ask to try and lock the price. I sometimes run into the after hours but always out on Fridays. The strangest thing about your time based view is that often the real meat of a day's move is now happening way before the US markets open at all. I haven't got the stamina to trade 13 hours a day but there is a lot of action when Europe\London is leading.

You are correct. The e-mini is, for me, effectively a series of single runs which require the entry be finessed to minimise risk in order to maximise reward. Failure to do so tends to provide an unacceptable R\R and with enough contracts loaded into a winning position can run straight into the area of a pull back and leave any profit determined by a second or subsequent run. Larger trending markets do give the facility for the methods you describe but if I were to trade them I would look to use the same techniques because at the end of each day my interest is in profit\loss divided by total contracts traded and I measure my own performance by trying to maintain as high a return per contract as possible. I guess I will always look to skew towards biggest bang per buck.

Time basing is extracted from the OP's opening post in this thread which is apparently something he uses which appears to divide the day into segments during which activity is governed by time frame entered and time left in the day. It is not something that I use at all and something that I think is without merit. I hope he (Predictor) responds as I think that the only possible logic behind the use of time allocation is his use of Nadex which bears some resemblance to spread betting such as we have in the UK but appears to be time based which IMO is a seriously hard way to emulate trades. I am fascinated by what appear to be 2 hour time based bull spreads which mean nothing to me but perhaps he can expand on what they are. I am pleased that you see the logic of the entry by steps. As I said before most people add to a winning position which of course dilutes the average entry and reduces gearing but is more psychologically comfortable. I must admit that even after all the years it still gives me a little knot in the stomach when I am going long and the final position goes in on the Ask when the sellers are battering the Bid on the support, 2 ticks under which I am out. Fortunately the e-mini S&P frequently holds those supports so 40% of the position going in at near optimum gives good risk\reward. To be honest I have never found another way of getting a decent R\R in my favour on the S&P because it will not run enough in any direction. Other markets that I have traded in the past offered better all in\all out strategies as runs are often large with smaller proportionate congestion areas.

Markets apply pain by (a) a trader being wrongly positioned until losses wrack up to a large enough degree that they have to take a substantial loss or meet a margin call or (b) a trade goes against the intended direction for both a long time and a large number of points\ticks. (a) is a Kamikaze approach and the draw downs will bust accounts and (b) is just bad entries within a perhaps otherwise acceptable method. The OP implies two methods which are at odds with each other but is non specific with what they try to do. One implies hit and run which is quick ins and outs whilst the other implies a strategy which has a massive stop loss if in fact any stop loss is applied at all. Draw downs in term of losses are inevitable and are part of money management and being under water in terms of not hitting best entries are also inevitable because hitting best entry is almost as impossible as hitting a high or low. On entries I tend to load up within a window of price with limit orders that are stepped (2,4,6,8) from initial entry towards stop which brings the average price nearer the stop and has the effect of reducing risk against an all in position and also enhances profitability. I see that most people tend to load up into a winning position which moves average entry price away from stop and increases risk whilst also reducing average profitability. The only problem with my method is that part of the intended position are frequently left behind as limit orders but the R\R is often stunning, which suits me. I am interested in what the OP thinks he has because there is limited logic in what he has so far posted. Activity is determined by news whether scheduled or surprise and just lately there has been somewhat more of the latter than usual. IMO time basing is in the domain of quiet non volatile markets and currently markets are volatile enough to discount time basing.

Being tough with reference to weathering considerable hardship and pain implies the primary way markets apply pain which via either draw downs or long periods under water. Such systems have seen the end of many traders I have known over the years and they all fell to the fact that they ran out of account money before the market relieved the pain by reversing back in their direction. I suspect that an element of having two mutually incompatible methods are proving to be irreconcilable but given time the markets will prove the point but sadly with the pain of loss.

In my opinion you trade one system that fits your style and the market and that system must be tailored to the market in question and the time frame of your choice. About 25 years when I started trading options I encountered the factor somewhat unique to options whereby the need to be right both on time and price was somewhat impossible. Your situation is not exactly the same but but within your conflicting methods you have the juggling act between different types of analysis and IMO it never works. I switched to full time futures trading 19 years ago and dropped everything to do with options because of conflicts of analysis. I primarily trade the e-mini S&P and effectively use 2,10 & 30 minute time frames. I work on the principle of lower to higher analysis and the expectation that any trend I may lock into will likely not exceed 10 of the longest periods. Sometimes it does on a one way trend day but they are handled with expansions simple continuation of trends on the highest time frame. Through 2.5 decades of life of hard reality I had to conclude on many occasions that if something doesn't work by basis of conflict, it is useless and must be jettisoned. I note that you take pride in supposedly having a fairly good predictive methodology which in my opinion is useless. I have been through the analysis phase with over 3 dozen books plus years of learning and can give reasonable predictions of where the market may be headed for months or years in advance but if it doesn't make money it is nothing more than a pointless exercise. Everything I analyse is geared is geared for the sole purpose of making money in the time frame of my choice (day) and is structured for the purpose of operating within that time frame. Market action within any day dictates what I do and anything which may happen tomorrow or any day in the future is an irrelevance. Restricting activity based on time within a day is also illogical as although there are trends of high\low activity times, there are enough variations to make restrictions far too limiting. I lost count of the number of times I came up with methodologies to trade markets only to find the changed characteristics and wouldn't fit my plans. The answer is as simple\difficult as creating something dynamic which is market created\driven and strive to acquire the skills to operate within those methods. In other words you must fit the market as it will never fit you. Sorry, but if a method doesn't work or will not fit the market it is not a method with any merit. Start with the question....what do I need to do in order to fit the varying dynamic of the markets profitably. You will almost certainly find that it is not easy and will require a lot of discretionary decisions.

I see from a post that you use 5333 volume. My CQG chart is identical to yours but it looks like there could be small differences in the positive or negative size of the deltas created but not anything worthy of note. Must be a good feed that you have. I display delta as a positive or negative histogram centred on zero. My display was exactly as expected on both the up and down moves but with the positive delta being so small on the upswing, I am not surprised that a chart created form the run of positives and negatives would give weight to the second negative set and push the chart lower. I would find that counter-intuitive because the divergence is reverse logic. Different strokes for different folks:) I am surprised that you think that the big guys do not use market orders. IMO they use them all the time. I remember years ago when the e-mini was in its infancy that a regular complaint was that the big guys were blocking activity by placing a few thousand lots on the bid\ask and leaving them. Little guys can batter away at the order book from now until eternity and they will never get movement because the only way to flip a bid\ask pair is to strip out all at say the ask and leave enough to soak up any market selling against the bid. Only dealers who can hit with thousands in a clip can do that and in my book anybody who can hit with a couple of thousand plus is a big guy. There are times when the big guys are not playing and that is when prices flip\flop between two\three ticks.

The Negotiator, There is something really odd about the chart you have displayed. Judging by the time you stated it looks like a 1 minute chart as there are 15\16 bars in that window. I tried to re-create that time slice in CQG and although the chart for 11.15 to 11.30 EST looks somewhat like the move you have shown, mine looks very different to yours and that is allowing for the certain slight differences in time of creation of bars. I have ultra low latency feed with atomic clock timing (on PC) but something is really wrong because we are looking at two different charts. I suspect that the regularity of candles is a construction from either tick volume or trade volume. What parameters have you used for cumulative delta eg are they per bar or a summation of many bars as a rolling total. Which feed do you use?. I ask because I have seen several and some can be an impediment to trading as they just do not show what is anything like the real market. I have always been fascinated by Volume Delta but having seen CQG's TradeFlow which has a function that shows the order book in detail, the passive side of the order book is a high speed streaming ticker of thousands of cancel and replace which is a dynamically changing beast at a speed which defies reading with the speed of the human eye. Due to changes made at the CME (a couple of years ago) reporting of what used to be block trades is sent out as what looks like a string of small trades as an order for say 500 buys at market will reflect the resting orders hit and the 500 will be reported as all sizes hit on the ask to make up the 500 which will inevitably be dozens of 1's with a mix of others to give a total of 500. The only way I know that a large order has gone through is if the ask is cleared and replaced by many sitting on the bid in one hit. That would be say 2000 buys which clears 800 on the ask and leaves 1200 on the replacing bid.. CQG can guess at such action by time (ms) and concurrent trade prints. The CME by changing to what is virtually matched orders has blurred the activity of the big boys and made their actions somewhat harder to see. I would like to replicate your chart because (a) yours looks very little like mine and (b) the divergence you see is not what I call divergence at all and if anything is misleading enough to think that sellers still had control whereas I doubt that they did. In my experience the only time that volume delta is contrary to price is when the order book is comparatively empty and I do not remember seeing that on Friday. I see true delta divergence as price moving lower\higher than a prior point with the support of sellers\buyers having lost out to the other side or in other words the drivers have run out of power.