ant

MrPaul, you can remove the Open and Close parameters in the PlotPaintBar() function call, but then the Close won't be colored. I think TradeStation can only do OHLC or HL, but not HLC. I'll do a quick check in the TS forum and if I find anything I will post it here.

jmi88, see if this works for you... inputs: Price( Close ), FastLength( 9 ), SlowLength( 18 ) ; variables: FastAvg( 0 ), SlowAvg( 0 ) ; FastAvg = AverageFC( Price, FastLength ) ; SlowAvg = AverageFC( Price, SlowLength ) ; if [b]MarketPosition = 0 and Time > 800 and[/b] CurrentBar > 1 and FastAvg crosses over SlowAvg then Buy ( "MA2CrossLE" ) next bar at market ; if [b]MarketPosition = 0 and Time > 800 and[/b] CurrentBar > 1 and FastAvg crosses under SlowAvg then Sell Short ( "MA2CrossSE" ) next bar at market ; [b]if MarketPosition > 0 and Time = Sess1EndTime then Sell ( "MA2CrossLX" ) this bar at close ; if MarketPosition < 0 and Time = Sess1EndTime then BuyToCover ( "MA2CrossSX" ) this bar at close ;[/b] I added the check for MarketPosition so that you only have one position open at a time. You can also hardcode the time instead of using Sess1EndTime.

MrPaul, See how this works out for you. Input: LowVol(35000), HiVol(60000), LightVolColor(Yellow), HiVolColor(Blue); Variables: MyVol(0); MyVol = IFF(BarType > 1, Volume, Ticks); if MyVol >= LowVol and MyVol <= HiVol then begin PlotPaintBar (High, Low, Open, Close, "VolThreshold", LightVolColor, Default, 1); end ; if MyVol > HiVol then begin PlotPaintBar (High, Low, Open, Close, "VolThreshold", HiVolColor, Default, 1); end ; VOLTHRESHOLD.ELD

A lot of excellent responses here, so I'll just add to some of the themes already mentioned. It is my opinion that to be a viable opponent in the markets, traders will have to rely on the abilities that make human beings superior to computers. We all know that the human brain cannot compete against a computer when it comes to routine, raw number-crunching, analytical, information-based tasks (i.e., purely left-brained abilities), and this applies to trading strategies that can be programmed and automated. We currently live in an information age where there is an abundance of information and incredibly fast computers. This sets the stage for efficient automation. Computers are significantly faster, they can process vast amounts of information in significantly less time than humans, they don't get tired like people do, and they don't make errors. Generally speaking, if you are an individual trader with a trading strategy that can be described in a finite number of steps, a computer will be able to trade it more easily and better than you. I agree with ItalianSharp when (s)he wrote: So in my opinion, very few automated, systems traders will be able to compete with institutions that have the best minds, deepest pockets, fastest computers, best automated trading systems; in short, the best, and most abundant, resources. So what type of trader do I think will be able to compete with the institutions? Discretionary Traders. Specifically, traders that combine the analytical, problem-solving skills found in the left hemisphere of the brain with the human abilities carried out by the right-side of the brain. These right-brain abilities include seeing relationships and integrating those relationships into the big picture, pattern recognition, focusing on context, creatively combining ideas, understanding what your competitors are doing and how they may be feeling, and looking at the markets in new and different ways. The list goes on, but these are all examples of areas where human beings excel over computers and the focus of most discretionary traders, I think. Traders that use a holistic approach, combining left and right brain abilities, will be able to continue to compete in the financial markets against institutions with vast computing resources. Anyway, this is my current belief which has shaped my trading style and methodology. Soultrader, I think you started a thread on an important topic that will be discussed heavily by many traders as time goes on. I believe it's important to consider how we plan to adapt in a world that's becoming more and more automated. Recommendation: Read "A Whole New Mind" by Daniel Pink, an easy, enlightening read that discusses this subject in more detail. Dogpile mentioned this book in one of his posts.

jmi88, Here is a few things to consider... Your code has an if statement like this "if Date <> Date[1]". This code will kick off on the new day at midnight. Also, check the session that you're using for the chart. If you're still having problems, post a picture of the chart with the indicator, your session settings, and your timezone and I'll try to help. Regards, Antonio

As a previous card counter, I agree with this statement for Blackjack, but I don't think this applies to all trade strategies. I agree totally with this for trend following systems where a handful of trades can make your quarter or year. However, for other setups that occur frequently, I don't think you have to take every setup because each trade taken independently is insignificant. However, I do believe a trader should strive for consistency and a systematic approach in decision-making, and take each trade the same way according to their trade plan. Gamblers by definition are playing a game of chance and don't have an edge; therefore, they will lose in the long run. A profitable trader has an edge and should win in the long run, assuming the edge is sustained over time. If a trader does not have an edge, then I agree (s)he is a gambler.

TinGull, looks like you use MP levels from the 24-hr session, instead of regular trading hours. I'm assuming these values are from a TPO profile and not a Volume Profile. Do you usually use the 24-hr session?

Here's another view with Volume...

The MP indicator does slow down TradeStation, but I wasn't running the indicator and my charts still froze for a long time. Anybody else encounter this who wasn't running the MP indicator?

Dupaski, I doubt Pruden is associated with the SMI course. The Wyckoff SMI course was developed by Wyckoff himself with some recent updates by SMI. I own the course and it's excellent. I really like Unit 3 which are audio lessons. You can purchase the course in sections. The course takes about a year to complete, but the learning continues. Not sure if many Wyckoff students are actually trading profitably.

TheBramble, The book should cover Wyckoff stuff since that is Hank Pruden's forte. He's been teaching the Wyckoff way at Golden Gate University for years. Check out the following link for a couple Pruden articles. http://www.traderslaboratory.com/forums/6/ant-what-do-you-think-about-865-2.html#post3596

I will be updating the MP indicator soon.

You're right dupaski. The 3/10 oscillator is one of the indicators I started with and like it for two reasons: to highlight divergences and to identify momentum highs/lows, which I use sometimes to filter out false breakouts on a lower timeframe. These were techniques I learned from Linda Raschke that do quite well on there own. However, I've been focusing mostly on Volume analysis so this indicator's days are numbered. The other indicator I use is the Keltner Channel.

Per request, I am attaching historical Market Profile data (UVA, POC, and LVA) for the ES, YM, and ER2. Note that the MP data is based on market hours of 9:30am to 4:15pm EST (even for the YM). Using the Tradestation database, the data goes back to the years 2001/2002. ES.xls YM.xls ER2.xls

Attached ES chart for reference...

Thought I'd share my thinking in the ES for the rest of the day, since nothing is occurring right now in the ES... Today's open activity in the ES can be classified as Open-Auction according to Market Profile. In addition, the ES opened within yesterday's value area, this usually indicates a rangebound market. Thus far,the day type for the ES is a Normal Day with price being contained within the IB with no range extension. Normal days occur less than 5% of the time, so my bet is on range extension. I will be looking for range extension above 1461.50 (yesterday's high) or below 1456. Note that if the ES drops below 1456, the market may escalate to the downside since over 1M ES contracts have been traded above 1456 in the last 1.5 days. If the ES trades below 1456, there will be a lot of short-term traders that will be showing a loss. At around 1453, there is a high volume node so will have to monitor price action if the market reaches that point. We'll see what happens.

Nolajy, compare the attached chart of Corn to the SMR chart at http://www.smr.com/tblC_06U.pdf.

The indicator is a MACD(3, 10, 16) using simple moving averages. Linda Raschke uses it and it is one of the few indicators that I use too.

Here you go MarketMole... inputs: Threshold1( 150 ), Threshold2( 300 ), Threshold3( 600 ), DisplayDelta( false ), Type( 1 ), // 1 = Use Upticks/Downticks, 2 = Use Bid/Ask BidAskArraySz( 1000 ); variables: TickSize( MinMove / PriceScale ), PriceAtIndex( Open ), BaseIndex( BidAskArraySz/2 ), Red1(RGB(255,185,185)), Red2(RGB(255,128,128)), Red3(RGB(255,0,0)), Red4(RGB(128,0,0)), Green1(RGB(210,255,210)), Green2(RGB(125,255,125)), Green3(RGB(0,255,0)), Green4(RGB(0,128,0)), i( 0 ); variables: intrabarpersist Price( 0 ), intrabarpersist MyVol( 0 ), intrabarpersist VolTmp( 0 ), intrabarpersist LastTick( 0 ), intrabarpersist MyCurrentBar( 0 ), intrabarpersist Index( 0 ), intrabarpersist BidAskDelta( 0 ), intrabarpersist xDelta( 0 ), intrabarpersist TextString(""), intrabarpersist MyUpTicks( 0 ), intrabarpersist MyDownTicks( 0 ); Arrays: intrabarpersist Bid[](0), intrabarpersist Ask[](0); Array_SetMaxIndex( Bid, BidAskArraySz ); Array_SetMaxIndex( Ask, BidAskArraySz ); if (Type = 1 or Type = 2) and LastBarOnChart and BarType < 2 then begin MyVol = Ticks; PriceAtIndex = Open; if CurrentBar > MyCurrentBar then begin VolTmp = 0; MyCurrentBar = CurrentBar; MyUpTicks = 0; MyDownTicks = 0; for i = 0 to BidAskArraySz - 1 begin Bid = 0; Ask = 0; end; end; Index = BaseIndex + (Close - PriceAtIndex) / TickSize; if InsideBid < InsideAsk then begin if Type = 1 then begin // Use Upticks/Downticks if DownTicks <> MyDownTicks then Bid[index] = Bid[index] + MyVol - VolTmp else if UpTicks <> MyUpTicks then Ask[index] = Ask[index] + MyVol - VolTmp else begin if Close <= LastTick then Bid[index] = Bid[index] + MyVol - VolTmp else Ask[index] = Ask[index] + MyVol - VolTmp; end; end else begin // Use Bid/Ask // Warning: TradeStation provides snapshot of bid/ask if Close <= InsideBid then Bid[index] = Bid[index] + MyVol - VolTmp else if Close >= InsideAsk then Ask[index] = Ask[index] + MyVol - VolTmp else begin // Last tick was between bid/ask if Close <= LastTick then Bid[index] = Bid[index] + MyVol - VolTmp else Ask[index] = Ask[index] + MyVol - VolTmp; end; end; end; MyUpTicks = UpTicks; MyDownTicks = DownTicks; VolTmp = MyVol; LastTick = Close; xDelta = 0; Price = Low; while Price <= High begin Index = BaseIndex + (Price - PriceAtIndex) / TickSize; TextString = NumToStr(Bid[index],0) + " x " + NumToStr(Ask[index],0); Value99 = Text_New(Date, Time, 0, " "); Text_SetString(Value99, TextString); Text_SetLocation(Value99, Date, Time, Price); Text_SetStyle(Value99, 1, 1); BidAskDelta = Ask[index] - Bid[index]; if BidAskDelta > Threshold3 then Text_SetColor(Value99, Green4) else if BidAskDelta > Threshold2 then Text_SetColor(Value99, Green3) else if BidAskDelta > Threshold1 then Text_SetColor(Value99, Green2) else if BidAskDelta >= 0 then Text_SetColor(Value99, Green1) else if BidAskDelta < -Threshold3 then Text_SetColor(Value99, Red4) else if BidAskDelta < -Threshold2 then Text_SetColor(Value99, Red3) else if BidAskDelta < -Threshold1 then Text_SetColor(Value99, Red2) else Text_SetColor(Value99, Red1); xDelta = xDelta + BidAskDelta; Price = Price + TickSize; end; if DisplayDelta = true then begin Value99 = Text_New(Date, Time, 0, " "); Text_SetString(Value99, NumToStr(xDelta, 0 )); Text_SetLocation(Value99, Date, Time, Low - TickSize); Text_SetStyle(Value99, 1, 1); if xDelta >= 0 then Text_SetColor(Value99, Green) else Text_SetColor(Value99, Red); end; end;

Chris, other factors need to be taken into account when trading this. Take a look at the Value Area Rule in Mind over Markets. I would also think that the probability of penetrating the VA also increases depending on the market condition (i.e., balancing).

Chris, Here is what I got... Statistics are pretty consistent across index futures. ES: Number of Days: 250, Times Market Opened Outside of Value: 141 ( 56.40%), Times Price Entered Value Area: 101, Trades to Other VA Extreme: 45 ( 44.55%) YM (Assuming Open at 8:20am EST): Number of Days: 250.00, Times Market Opened Outside of Value: 132.00 ( 52.80%), Times Price Entered Value Area: 104.00, Trades to Other VA Extreme: 46.00 ( 44.23%) YM (Assuming Open at 9:30am EST): Number of Days: 249.00, Times Market Opened Outside of Value: 141.00 ( 56.63%), Times Price Entered Value Area: 101.00, Trades to Other VA Extreme: 45.00 ( 44.55%) ER2: Number of Days: 250, Times Market Opened Outside of Value: 152 ( 60.80%), Times Price Entered Value Area: 103, Trades to Other VA Extreme: 50 ( 48.54%)

Here you go Chris... Looks like you're correct, the high/low is made in the ER2 early in the day most of the time. This is incredibly reliable!!! This tendency can generate a huge edge! Looks like I'm going to start taking at least one trade a day in the ER2 - I like the odds A LOT. Thanks for pointing it out. ER2 (2006): Highs in first 30 mins: 66 out of 251 days or 26.29% Lows in first 30 mins: 76 out of 251 days or 30.28% Highs in first 60 mins: 89 out of 251 days or 35.46% Lows in first 60 mins: 104 out of 251 days or 41.43% ======= High/Low in first 30 mins: 142 out of 251 days or 56.57% High/Low In first 60 mins: 193 out of 251 days or 76.89% Normal Day: 16 out of 251 days or 6.37% ER2 (2005): Highs in first 30 mins: 73 out of 252 days or 28.97% Lows in first 30 mins: 53 out of 252 days or 21.03% Highs in first 60 mins: 92 out of 252 days or 36.51% Lows in first 60 mins: 84 out of 252 days or 33.33% ======= High/Low in first 30 mins: 126 out of 252 days or 50.00% High/Low In first 60 mins: 176 out of 252 days or 69.84% Normal Day: 3 out of 252 days or 1.19% ER2 (2004): Highs in first 30 mins: 73 out of 252 days or 28.97% Lows in first 30 mins: 72 out of 252 days or 28.57% Highs in first 60 mins: 100 out of 252 days or 39.68% Lows in first 60 mins: 106 out of 252 days or 42.06% ======= High/Low in first 30 mins: 145 out of 252 days or 57.54% High/Low In first 60 mins: 206 out of 252 days or 81.75% Normal Day: 14 out of 252 days or 5.56% ER2 (2004-2006): Highs in first 30 mins: 212 out of 755 days or 28.08% Lows in first 30 mins: 201 out of 755 days or 26.62% Highs in first 60 mins: 281 out of 755 days or 37.22% Lows in first 60 mins: 294 out of 755 days or 38.94% ======= High/Low in first 30 mins: 413 out of 755 days or 54.70% High/Low In first 60 mins: 575 out of 755 days or 76.16% Normal Day: 33 out of 755 days or 4.37%

On the contrary Soultrader, it sounds like you're defining a Normal Day, which despite its name, does not happen very often and it's more the exception than the norm. A Normal Day usually consists of a wide Initial Balance whose extremes hold throughout the day. All of the other day types have range extension, where one of the extremes of the IB is taken out. Since you're a betting man, always place your bet on range extension since about 95%+ of the time one of the IB extremes will be exceeded. (Assuming trading day from 9:30am to 4:15pm EST) Normal Day Occurrence in the YM for 2004-2006: 16 out of 737 days or 2.17% Normal Day Occurrence in the ES for 2004-2006: 15 out of 747 days or 2.01%

So far, I tend to exit prior to lunch time, but I'm working on holding on longer. As you mentioned, I'm trying to hold to a core position longer. In most cases, when the markets open in balance, the market will tend to get at least the previous day's range when the low or high is caught. However, using the daily range estimate to enter a trade in the opposite direction is something that I would need to test to verify. Although I still use it in my trading.

Chris, KRA stands for "Key Reference Area".