ant

Yeah, I do. Inspired by this weekend's newsletter, I decided to confirm the tendency of the ES and YM to set a high/low in the first hour of trading. The data confirms the statistics in the newsletter.

rickv, see PM.

Chris, I basically try to enter a trade near a key reference area identified by Market Profile when market internals are weakening - nothing new here. I just try to enter a trade in the first 60 mins any chance I get because of the risk/reward. That's why I think that the first 60 mins of trading is perhaps the most important. I also use the IB range and potential day type for determining whether a high or low is being set in the IB period. For example, the extreme of a wide IB range usually holds, a narrow IB range may turn into a trend day, etc. With respect to day type, a Normal Variation day tends to have range extension that doubles the IB range - stuff like that, but those are really details. The key point is to try to enter a trade, based on your trading strategy, around the first hour or so to catch most of the daily range about 70% of the time. At least, that's the goal... The chart below is my attempt last Thursday, 1/4, but I royally messed up the exit, but I won't get into details here. Did I answer you question?

An interesting, and useable, Market Profile statistic is "how often does a market make its high/low of the day in the first 30 mins or 60 mins of trading (i.e., the Initial Balance Period)?" The data below provides these statistics for the YM and ES for the years 2006, 2005, 2004, and for the past 3 years combined. In summary, according to the data, the YM and ES makes the high/low of the day in the first 30 mins approximately 45% of the time and in the first 60 mins approximately 70% of the time. These statistics were collected using a TradeStation indicator that I wrote. So how do I use this information? Well, I tend to be aggressive in the first hour of trading - meaning I try to enter a trade near a key reference area, if the market offers such an opportunity. What is the potential of a trade made in the first 60 mins or so of trading? The potential is roughly the average daily range. I like to use the 10 day Average True Range to estimate this. In Mind over Markets, Dalton mentions how to estimate the potential daily range. TinGull also covers this in another thread. This trade usually offers an opportunity with excellent risk/reward. The primary goal of my trading strategy is to catch as much of the daily range as possible in 1 to 4 trades per day. For me, this is why it is critical to have a trade plan before the market opens, as Soultrader and others often emphasize. ES (2006): Highs in first 30 mins: 57 out of 242 days or 23.55% Lows in first 30 mins: 62 out of 242 days or 25.62% Highs in first 60 mins: 88 out of 242 days or 36.36% Lows in first 60 mins: 90 out of 242 days or 37.19% ======= High/Low in first 30 mins: 119 out of 242 days or 49.17% High/Low In first 60 mins: 178 out of 242 days or 73.55% ES (2005): Highs in first 30 mins: 59 out of 253 days or 23.32% Lows in first 30 mins: 48 out of 253 days or 18.97% Highs in first 60 mins: 84 out of 253 days or 33.20% Lows in first 60 mins: 79 out of 253 days or 31.23% ======= High/Low in first 30 mins: 107 out of 253 days or 42.29% High/Low In first 60 mins: 163 out of 253 days or 64.43% ES (2004): Highs in first 30 mins: 58 out of 253 days or 22.92% Lows in first 30 mins: 50 out of 253 days or 19.76% Highs in first 60 mins: 85 out of 253 days or 33.60% Lows in first 60 mins: 84 out of 253 days or 33.20% ======= High/Low in first 30 mins: 108 out of 253 days or 42.69% High/Low In first 60 mins: 169 out of 253 days or 66.80% ES (Past 3 Years): Highs in first 30 mins: 173 out of 747 days or 23.16% Lows in first 30 mins: 159 out of 747 days or 21.29% Highs in first 60 mins: 256 out of 747 days or 34.27% Lows in first 60 mins: 253 out of 747 days or 33.87% ======= High/Low in first 30 mins: 332 out of 747 days or 44.44% High/Low In first 60 mins: 509 out of 747 days or 68.14% YM (2006): Highs in first 30 mins: 62 out of 242 days or 25.62% Lows in first 30 mins: 74 out of 242 days or 30.58% Highs in first 60 mins: 87 out of 242 days or 35.95% Lows in first 60 mins: 93 out of 242 days or 38.43% ======= High/Low in first 30 mins: 136 out of 242 days or 56.20% High/Low In first 60 mins: 180 out of 242 days or 74.38% YM (2005): Highs in first 30 mins: 50 out of 243 days or 20.58% Lows in first 30 mins: 48 out of 243 days or 19.75% Highs in first 60 mins: 76 out of 243 days or 31.28% Lows in first 60 mins: 75 out of 243 days or 30.86% ======= High/Low in first 30 mins: 98 out of 243 days or 40.33% High/Low In first 60 mins: 151 out of 243 days or 62.14% YM (2004): Highs in first 30 mins: 66 out of 253 days or 26.09% Lows in first 30 mins: 57 out of 253 days or 22.53% Highs in first 60 mins: 90 out of 253 days or 35.57% Lows in first 60 mins: 94 out of 253 days or 37.15% ======= High/Low in first 30 mins: 123 out of 253 days or 48.62% High/Low In first 60 mins: 184 out of 253 days or 72.73% YM (Past 3 Years): Highs in first 30 mins: 178 out of 737 days or 24.15% Lows in first 30 mins: 178 out of 737 days or 24.15% Highs in first 60 mins: 254 out of 737 days or 34.46% Lows in first 60 mins: 262 out of 737 days or 35.55% ======= High/Low in first 30 mins: 356 out of 737 days or 48.30% High/Low In first 60 mins: 516 out of 737 days or 70.01%

Jay, In my experience, Don Jones has always been very responsive. Give him a call.

TinGull, I'm going to be trialing Investor R/T once I open my account with IB. Thanks for the suggestion.

Hi TinGull, I've been enjoying reading your MP analysis! Hope you keep it up. Although I don't trade the YM, I thought I'd post the longer-term support/resistance levels in the YM to go with TinGull's analysis. High volume nodes and low volume areas both serve as support/resistance but for different reasons. The chart below is a composite profile of the YM from Oct. 12th until today's trading. The red lines are high volume areas and the yellow lines are low volume areas (note that these are areas/regions and not single prices). High volume nodes should slow down price giving the trader an opportunity to monitor price action and enter/exit a trade. Price action around low volume areas should be more swift - bouncing off of a low volume area or trading through it. If price is accepted in a low volume area (i.e., overlapping TPOs), the market might try to fill in this area surrounded by HVNs. There are well-defined key reference areas above and below the closing price of the YM. Additional reference points can be identified from the market structure (i.e., the daily profiles form the last few days). We'll see if enough selling comes into the YM to break below the support area right beneath it.

Nasdaq5048, The following indicator draws a trendline between 2 bars for each price that they have in common. Is this what you're trying to do? variables: TickSize( MinMove / PriceScale ), Price( 0 ), TLID( 0 ); if CurrentBar > 2 then begin Price = Low; while Price <= High begin if Price >= Low[1] and Price <= High[1] then TLID = TL_NEW(Date[1], Time[1], Price, Date, Time, Price); Price = Price + TickSize; end; end;

I guess timeframe is a matter of preference. I prefer to use a larger timeframe to catch a bigger moves as well as move away from the "noise". I'm not sure I agree/understand why you want to trade in the "noise" or how it helps. These "M" and "W" patterns are basically double tops/bottoms that occur because buying/selling dry up in the timeframe that you're trading. Why is the noise important? It seems that the noise would hurt you by having your tight stops hit more often. Can you elaborate here? Why are M's trickier to trade? It would seem to me that trading the "W" pattern within a trading range would get you chopped to pieces, but would work nicely in a trending market. I would say the opposite for the "M" pattern... That is, the "M" pattern would work out better in a rangebound market because you would be essentially trading near the limits of the trading range and looking for a trade back to the middle of the range. In a strong trending market, the "M" would get mowed over, similar to a divergence. Walter, I don't think I understand what you mean by first intention. Are you referring to the first peak of the "M" or "W" pattern? I agree that one should not try to trade every pattern on such a small timeframe. I guess what I was trying to say was that there seem to be higher quality "M" and "W" patterns that I would have traded before the ones you picked out, but I think I may be missing something here related to the setup... I do look for double tops/bottoms in my trading, but instead of using the Keltner channel for entries/exits, I use key reference areas from Market Profile. By the way, I like using the Keltner channel, but I use it for other purposes. In fact, I usually have it up on one of my charts. Good thread Walter... thanks again for sharing...

Walter, I really like your ideas here, especially trading off the "M" or "W" pattern with good RRR and using the Keltner channel bands for targets. Sounds like a winning strategy. One comment I have is on the implementation itself and using the 110T and 22T charts. It seems like there are a lot of other "M" and "W" patterns that actually form pretty clearly on the 110T and 22T charts. However, you seem to trade patterns on a 22T chart that you really have to squint to see. I couldn't help asking myself is, "is that really an M or W pattern in the 22T chart?" Also, do you trade bigger M or W patterns that form on the 110T chart for a bigger target?

Jay, You can do this course outside of market hours. You'll be focusing mostly on breakouts (swing trades) as opposed to fading bracket limits (daytrades). It's a great course and I think it'll work fine with any schedule really.

Reaver, I used Cisco-Futures data while I was taking the course. I liked the Visual Graphic and the Bracket screen. I never used their real-time data because it was web-based and required refreshes. I also didn't like having to re-login into every different screen. My biggest issue was that their data wouldn't be ready until late at night so I couldn't do my "homework" until late - not convenient at all. But like you said, I've created my own tools that I use with TradeStation and Wealth-Lab. I'm looking for a backup trading platform and am looking at IB with Ensign, IB with Wealth-Lab, and IB with Investor R/T. Any suggestions would be appreciated. At some point, I'm going to try to recreate their Bracket screen, which lists all of the markets that are in balance. Perhaps RadarScreen in TradeStation can help with that.

I received "Enhancing Trader Performance" a couple of days ago and am about half way through it. It is excellent thus far. Different than anything else I've read before, i.e. no overlap. IMO, it looks like it's a trading book destined to be a classic - very insightful and based on research.

This is an interesting thread indeed. I think Soultrader, Torero, and I may be saying the same thing, just differently, especially about how we use S/R. Let me quote a couple of paragraphs from Mind over Markets, page 37, which summarizes my belief about confirmation and how I strive to trade, but I'm not quite there yet. Confidence Level Trading based on structure provides the greatest level of comfort and confidence, for there is obvious proof on which to base a decision. The more information we have in our favor, the more comfortable we are with a trade. Unfortunately, visible information and opportunity are inversely related. The more structural information present, the less an opportunity still exists. Thus, if a trader waits for too much information, chances are good that the real opportunity has been missed. If all the evidence is present and visible, then you are far from the first to have acted on it and probably have poort trade location.... Seasoned traders with a whole-market understanding, on the other hand, trade using logic and time and then monitor for additional information (structure) necessary to increase confidence in the trade. Trade Location Later recognition leads to later entry and exit, which in turn leads to less desirable trade location. For example, range extension (structure) confirms that other timeframe buyers have entered the market. But when did they enter the market? If we rely solely on structure, we do not realize the other timeframe buyer's point of entry until the point of range extension, that is, when price is on the day's high. In many cases, it is possible to know that buyers are assuming control before the actual structural confirmation (range extension)... Walter, sorry for hijacking your thread. I hope my comments are relevant to the type of feedback you were asking for. I'm looking forward to seeing your charts and learning more about how you enter (anticipate) a trade.

Excellent article. Looking forward to reading his latest book, "Enhancing Trading Performance".

Walter, I totally agree with this. Although confirmation reduces risk, it also usually results in much of the opportunity passing the trader by. It always comes down to a trade-off between risk and reward. But in trading, I think it would be tough to be profitable in the long run if one requires too much confirmation before entering a trade. As you pointed out, key areas are excellent for anticipating trades. Assuming the risk/reward (i.e., entry and stop loss placement) is good, a trader should just enter the trade near a key area and then monitor the trade. A trader can then look for confirmation while they are in a trade, otherwise they can simply exit the trade for a small loss. One can always re-enter if the opportunity still exists. Sometimes too much emphasis is placed on the entry and not on the trading itself when one is actually in a trade. This is the way I trade too, so I'm looking forward to this thread.

Thanks TinGull. Much appreciated.

Chris, if you don't mind me asking, how much do you pay for InvestorR/T to get Market Delta and Market Profile? What datafeed to you use? I've been thinking of getting a second trading platform for backup.

I think this depends on how aggressive a trader is. For example, if a trader is looking to fade a key support/resistance level, does the trader enter while the market is moving towards support/resistance or after the market turns? Take another example, let's say a trader is looking to play a reversal from a downtrend, does the trader wait for the higher high and higher low to be in or does the trader anticipate that the higher high/low is coming based on somthing else? I don't think one can make a blanket statement here. I believe it comes down to experience and intuition as opposed to a mechanical or discretionary style. I'm a discretionary trader for two main reasons. First, there are too many variables that I look at to capture in a mechanical system. Secondly, a mechanical system tends to be too rigid. For example, let's say that the market is a tick away from an entry/exit and then turns around, the entry/exit would not trigger on a mechanical system. I don't think that trying to "program" a discretionary style into a mechanical system makes too much sense. Think of the complexity. Of course, one of the advantages of a mechanical system is that it is consistent in the way it executes. Discretionary traders need to make sure that their trade decisions are made in consistent and systematic way so that they can continue to replicate in the future and determine what has been working over the longer term. Discretionary traders should not let too much subjectivity into their trading, otherwise they don't have a system. Maintaining a trading log and journal are critical to success for a discretionary trader, IMO.

Hi Dr. Who, Not using Volume is steering away from the right path, IMO. Like Soultrader mentioned, I like to focus on market-generated information too. Specifically, Volume tells you about conviction of buyers and sellers, and Price@Volume helps identify value. As a Market Profile trader, I trade value and not simply price. This is one of the drawbacks of traditional technical analysis, i.e. it trades price movement and not value, and places too much importance on the high/low prices of a day's/bar's range where prices are usually rejected. Trading price away from value is a great trade that happens almost every day whether the market is in a trading range or trending (i.e., the price is chasing value or vice versa). As Soultrader said, if you don't use volume, I would look at price patterns (a la Wyckoff) and market internals. You can also identify divergences by looking at price action. For example, you can compare the length of the current price swing to the previous swings to identify weakening or strengthening momentum or use an oscillator, if you'd prefer. My favorite price patterns are pennants and trading ranges for trading breakouts, trading ranges for fading extremes, flags for trading retracements in a trend, and double tops/bottoms with divergence for trading off of support/resistance (i.e., short-term reversals). But again, you are handicapping yourself if you don't use volume, because volume is extremely helpful when trading these price patterns. For example, to trade a flag, you want to see volume increase in the direction of the trend and volume decrease in the retracement (formation of the flag). Same thing with breakouts. In addition, look for these setups on both lower and higher timeframes and increase trade size when you see these setups lining up in both timeframes. Multiple timeframes help increase trade probability. When this happens, be aggressive. Reconsider using Volume and all of the other market-generated information that the markets provide - this is the source of market information. Everything else is a derivative of this data. Hope this helps.

Hi Steve, Welcome to the forum! I'll be happy to help out wherever I can. Antonio

Jay, Take a look at this link for Footprint Color Settings for some default values for other markets: http://www.marketdelta.com/docs/Footprint_Color_Settings.pdf

nasdaq5048, Take a look at the EL code I wrote at the link below. It should answer your questions. https://www.tradestation.com/Discussions/Topic.aspx?Topic_ID=55482 In general, 10-20 charts with an indicator like this applied to it could cause Tradestation to freeze with heavy volume. It depends on how large the array is, how much cycling through the array is required, and how often the code executes (i.e., at the end of each bar or on every tick). Use the Task Manager of your PC to track memory usage and performance while running your indicators during the day with the markets open. For example, I notice that running multiple Time & Sales windows in Tradestation hampers performance especially with heavy volume. Keep in mind that making this a real-time indicator (updated every tick) will also add considerable complexity to it. Hope this helps.

Looking forward to spend time there.

Thanks for responding MrPaul! Is that your new website?