suby

BlueHorseshoe, This exactly the tangent I am on right now. I have already defined my risk/reward parameters but what I must admit to as I am constantly learning and looking to improve is that I truly can't identify what low-risk points of entry are... Could you possibly give some examples or resources in regards to this...? There must be a concrete method for determining these entry points and developing probabilities based off of them or maybe i'm just dreaming?

Addchild, thank you for this! The markets are beggining to look a lot more like a math problem each day rather than a "double top, Head and shoulders pattern" I can't thank you enough!

BlueHorseshow, ADDChilds and Steve, I cannot thank all three of you for your wise words into this topic enough. I extremely appreciate the insight and help in regards to this! I hope the trading week has been treating all of you well and will finish nicely tomorow at the close Good Luck Tomorrow and once again thank you all!! Suby

No worries, thanks for the help regardless!

Hey BlueHorseshoe, I guess what i'm referring to if you could imagine, suppose an instrument like the ES is mean reverting and bouncing around certain levels, how could you assume the odds/probabilities of a what the success rate may be on the spot in relation to the mean/peg. In other words, just as you were to place a bet on a horse race and the odds are already predetermined before you bet on the horse, how could you assign something like that or determine that in the world of trading based on things like support/resistance or pivot points?

Hey BlueHorseShoe, I use ThinkorSwim

Hey Guys, I was wondering if anyone currently has a model for quantifying Support/Resitance Levels and Pivot Points or some resources/books they could recommend my way to learn more about this...

Recently finished reading "The Education of a Speculator" by Victor Neiderhoffer which I highly recommend to everyone. He constantly stresses the comparisons of sports betting and trading My question is How do you calculate the odds of your trade? Suppose your looking for the odds to be stacked in your favour 60%, how would you calculate something like this on a chart? Does anyone do this? If so I would love to learn more/see some examples of this

Everyones talking about the correlations next to bonds and coppers (without any statistical evidence to really back it no offense). Granted I do understand that the relationship does exist but i'm extremely surprised no one has mention the VIX and its inverse relationship to the S&P

Steve, I know your a vetern ES Trader, what are your thoughts on trading the ES based on the 30 year Treasury Correlations?

WRB Trader, Thanks for the reply and insight towards your methodology regarding Market Context. Essentially a market is nothing more than buyers and sellers... Call me naive but in regards to the ES and S&P who are the biggest players on deck that you really have to factor into your analysis of market context?

ADD, Thanks for putting it into context for me. I have been neglecting the seminal rule of "Kurtosis being King" The close of the ES confirmed my distribution; however, I just didn't think that it would drop 2 standard deviations from the mean....

How do you determine your directional basis for the start of the day....? If we were to analyze the ES leading up to this mornings trading day (Oct 19th 2012), it was trending along support and fell off a cliff and continued to trend downwards. If you are a mean reversion trader going into todays trading session on the ES you would know that the mean price of the ES is 1443 and the Standard deviation is roughly +/-12 points with Negative Kurtosis.

Does anyone know how to export live data from ThinkorSwim to Excel? If so how? I know that a simple command like =TOS|Volume"ES" will give you the amount of volume for excel at that point in time but how can you link these to up to constantly run models?

Hey Tams, I would define myself as a momentum trader at the daily level and no I don't hold positions over night. The work I did last night on the ES regarding the past 10 days of data (Close prices on the S&P and Selected hourly bars from thinkorswim) confirmed my hypothesis that a derived from the data last night. Do you have any suggestions in regards to momentum trading the ES and backtesting it by hand?

Can you backtest ES with S&P500 Data? I don't plan to account for things like slippage and transaction costs rather I want to measure sure behaviours of the price action over the past few years. Is it adequate to backtest the ES contract with the S&P500 data or am I asking for trouble...?

Tradewinds, Thank you for this! Sorry for my tardy reply, I was away from the computer all weekend. This line of code looks really clutch. I don't use trade station but I was wondering if there was a way to program something like this into thinkorswim ...?

ADDChild, Thanks a lot for this I really appreciate it! this is exactly what i was looking for! Do you trade like this? I recall you replying back in regards to another one of my posts about stats

ZDO, What I am trying to do is get a better understanding for price action through quantitative methods. I want to more or less make my trades based on weighted probabilities in regards to the prices distribution/mean/ Variance/Violatility. The biggest problem i have right now is quantifying something like Support and Resistance levels do you have an suggestions?

Lol, I don't find that math challenging nor the system complex I was just wondering if you used an algo to determine these inputs to produce and 1 or a 0 Regardless, Steve, I thank you once again. Your advice and insight is extremely appreciated!

Hey Bobcollett when I say quantify I'm refering to trade in a sense that is as scientific as possible. What sparked this interest was when I stumbled across Price Action Lab Blog | Quantifying Market Price Action - However, I have 0 desire in paying absorbant amounts for a system. I want to understand price action better with the use of math

Price Action Lab Blog | Quantifying Market Price Action lol? His system looks and sounds really on point but i'm sure theres an easier way to just use mental math do you use his system ?

Hey Trade Winds. Sounds very interesting. I'm using Think or Swim When you say the high and the low your referring to the high and the low from bar to bar correct? (what kind of candles are you looking at?) Not the high ad the low from the previous day? Also in regards to comparing the high and the low bar to bar to volume, are you looking to see if the change in price correlated to the change in volume +/-? Where did you learn/develop this approach ?

Hey Steve, Thank you for your reply and insight to this. This body of knowledge is extremely appreciated. I have a couple of questions pertaining to this system. My first question is in regards to "1. Pre-existing trend agreement one time frame higher" - does the distance between time frames matter? Assumning we are trading on the 3 minute should we be looking for a factor in say the 5 minute or 10 minute as opposed to the 1 hour or daily? My second question. What type of data do you use to determine your distribution line? 1 minute, 3, 5, etc? How do you quantify how/what interacts with a market. Suppose I trade a stock on the Nasdaq, I'm concerned about the over all correlation of this stock with the entire markets direction but how can I determine what may influence the nasdaq? Finally, do you have this programmed so your program produces a signal that your looking for or is this all mental/discretionary to determine whether or not it is on/off=1/0

Hey Everyone, I would like to start a discussion in regards to Quantifying Price Action. How can it be done? How do you do it (if you do it)? Realizing that everyone here has there own specialty in what they trade I would like to note this is targeted towards equities; however, It is open to discussing other instruments like futures and forex as well. The reason for this is because often intraday patterns in equities don't pan out like they do in the futures markets. Therefore, The Tape and Support/Resistance Are what really matter when day trading equities. Feel free to argue otherwise if you disagree with my opinion but please keep in my the purpose of this discussion is to determine how to Quantify Price Action Looking forward to hearing back from the community! Suby