jperl

Yes of course Yes. The longer the time frame the larger the SD and therefore the greater the risk. I trade the Russell 2000 index futures almost exclusively. I will always have yesterdays data set up and todays. The question of how many HUPS to put on your trading data set is subjective. Too many and you can get confused; too few and you may miss important ones. If I'm trading just today, I will always have yesterdays data set HUPS on my chart( which will continue to change dynamically as todays data gets added to it). But I may also include additional VWAP data from 1 week, 1 month, 1 year ago if they happen to be nearby the price action. Hope that helps.

If the question is "Can you", the answer is yes. If the question is "should you", the answer is no. Yesterdays VWAP and SD's will change dynamically as you add more data for today. Using yesterdays data as a static VWAP isn't going to help you much. You have it about right. These are however not rules. Simply one way of interpreting the data. That's your choice. You don't have to switch. If you are trading against yesterdays data + todays, you are looking for market moves of 1 SD within that data set. If you are trading against todays data only, you are looking for market moves against todays data set. You choose.

Well, since you are a Ninjatrader user, you will find discussions of these on the Ninjatrader forums here: Calculate Value Area of volume at price - NinjaTrader Support Forum and here: Enthios live index futures trading

The most likely problem is the approximation used to compute the VWAP as well as the histogram. Ideally, the VWAP should be computed from data for every trade. In practice this is not done. As a good approximation, the VWAP is computed from the price of every bar and its volume. The error in this approximation gets larger the larger the time frame of the chart. As the time frame of the chart gets smaller, the error diminishes. So if you compare a 30 min, with a 5 min and 1 min chart you should see the VWAP converging to the "correct" value.

Indeed you can tradepro. It is to your advantage to have previous days VWAP and SD's on todays developing distribution. This is discussed in some detail in the HUP thread. The problem of course is how many HUP lines do you want to deal with. Too many HUP lines will simply confuse you.

I can't comment on that tradepro, since I don't use Stoch's. However, since you find it useful for your entries at the SD's, by all means keep using it. I think however in the long run you will discover that simply watching the price action will give you the same information as the Stoch's does.

Yes Simon, you can use Market Statistics for analyzing the data for any time frame that you like. You will note of course that for longer time frames the standard deviations get larger so that your risk (as well as reward) increases.

Yes, that is correct

The VWAP is for the time shown. So if you are displaying 15 minutes of data, then the VWAP is computed starting 15 minutes ago.

You can set the volume histogram for any time period you like. A nice feature is the ability to show the histogram for just the visible bars on your chart.

On the price histogram study window, choose volume. The histogram will then be a volume distribution instead of a price distribution.

You can compute the Std Dev with respect to any starting point, however when computed with respect to the VWAP you can show that this will yield the smallest SD possible. In a normal or symmetric distribution VWAP=PVP so computing the SD with respect to PVP would give you the same SD.

I don't use Market Profile.

I use the regular trading hours time period for the longer term HUP's although it really is not going to matter that much if you use 24 hour data since the overnight volume is usually not that large.

Get your self a copy of swf player here: http://www.browsertools.net/SWF-Opener/index.html Sound is working fine

That is my thesis for the threads Atto. If you know the standard deviation, you know what to expect for the market movement. Is this an edge? I don't think so, since you don't know a) when the market will make this move and b)you don't know market direction on the move. You would have to have some additional info to make a decision.

Atto, I think perhaps you have answered your own question. The computed standard deviation IS the volatility. Moreover, as I believe I pointed out in thread IV, when computed with respect to the VWAP it represents the smallest standard deviation possible for the data. For example let's say the standard deviation is 10 ticks. This represents the data volatility. When you enter a trade, regardless of what the price is, you should expect the price to move at least 10 ticks. What of course you don't know, is whether it will move up 10 ticks or down 10 ticks and whether it will do so in a linear fashion. It may move up 5 ticks and then move down 10 ticks. The point is you shouldn't expect the market to move say 20 ticks after your entry.

Well, I wouldn't say every price, but I would agree that you will find HUP on every time scale. In fact if you look at a 5sec chart, you will see this to be the case. On the time scale that you are trading, your expectation should be that upon entry, what ever price that is, price action should move the market plus or minus one standard deviation. So let's say you enter the market at SD1.3 in your terminology. Your expectation as a minimum should be that price will either move to SD0.3 or SD2.3.

As far as HUP is concerned, there is nothing special about SD1. Every bar on your chart has a high and a low, each of which is a HUP. The question then comes down to which of the HUP's do you wish to trade against. The SD values are useful in that they represent a quantitative measure of minimal market movement. So if you enter a trade at SD1.5 say, your expectation is that the market should move at least one standard deviation

It depends on what you mean by working, n123. The standard deviation points above and below the VWAP represent the volatility of the price data over the period for which you computed the SD, nothing more. It thus represents the amount you should expect the price to fluctuate. It's a quantitative measure of volatility. How you use this information is of course up to you. I do not think of this as support/resistance. In fact I don't like that term since it suggests a point of reversal which in fact it is not. Rather I prefer to describe it as points where the market slows it's motion for a time before deciding what to do next. I thus call them HUP or hold up prices rather than support/resistance.

Sorry for the delay in answering your query. I just noticed it. As a newbie if you are using the Shapiro effect, you should use it on every entry. That includes scale ins as well. The whole idea behind the Shapiro effect is to give you confidence that the trade will move in your direction. I was going to discuss trade reversals in the Market Statistics threads, but never got around to it. At some point perhaps I will add a thread about this. Basically, if you are in a trade and the trade begins to fail, you have 3 choices: a) exit at some predefined stop loss b) wait for a scale in point or c)reverse the trade. I've already discussed a) and b). Here is a simple procedure to do c): Wait for a scale in point and apply the Shapiro effect. If the Shapiro effect does not materialize, reverse the trade and double up on the number of contracts you are trading. The whole idea here is you want the trade to be profitable and you want it to be so, quickly. You can extend HUP lines by assigning global variables to them and then use the price line graphic to extend them. I use ZeroLine Trader for entries. ZLT automatically enters a stop loss with every trade entry and deletes them on every exit. The stop losses are placed far enough away so they don't get hit. Ok Mark hope this helps

Metalhead, Head2k has aptly pointed out that the Trading with Market Statistics threads are less about defining a trading method and more about establishing a way to analyze the price data. How you use this information will depend on your specific trading style. I know that newbies haven't established a trading style, so I've tried to present a way that newbies might get started in using market statistics to establish one. It's up to you to modify what I've presented to suit your own needs. If you enter a trade and the trade moves against you as you point out in your comments above, you have to have a plan as to what you will do. There are several ways you could turn the trade entries you indicated in your charts from losing trades into winning ones, including scale ins and trade reversals. You could have also passed up the trades by using something like the Shapiro effect which I discussed in post16541. Regardless of what you do, the market statistics should help you decide how to manage your trades. Bump: If you are a newbie, Yes, otherwise, No. When you read further in the Market Statiistics threads you will discover that you can develop ways to trade almost anywhere on the price chart. How you do this depends on understanding HUP and how it can influence price action.

Not sure what you mean here. Of course the distribution has an effect on the variance. The variance is computed from it. As the distribution changes with time, so does the variance. Whew!, I was getting worried that you wouldn't at least agree that we can define an average for a finite data set. Keep in mind though that this average is dynamic and constantly changing as more data is added. (It may in fact be totally undefined for the infinite population, but that is another story) If I interpret what you are implying here, it is that since I compute the standard deviation about the mean symmetrically, that it suggests that the distribution is symmetric about the mean. This is not the case. Keep in mind that the variance is a positive number by definition of the second moment, but that standard deviation is either positive or negative since it is the square root of the variance. The fact that the standard deviation can have either sign implies nothing about the shape of the distribution. Perhaps it's the word standard that you don't like, but that is the general usage for any distribution normal or not.

The short answer is no. Yes that's been obvious from the last bunch of posts you have made on these threads. I certainly will not dispute your contention that there may be some hidden variable that we should be examining(sort of like hidden variables in quantum mechanics) but until that something comes along and can be examined in detail, this is all we have. When you find something better, let us all know about it.