Interesting Initial Balance Statistic

[ant 10]

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%

[TinGull 10]

Very very interesting stuff Ant!! Thanks so much for sharing. So...when you're trying to guage the top using the 10 day ATR, how are you coming to the price where you think the top will be?

 

Chris

[ant 10]

Very very interesting stuff Ant!! Thanks so much for sharing. So...when you're trying to guage the top using the 10 day ATR, how are you coming to the price where you think the top will be?

 

Chris

 

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?

[Soultrader 12]

Ant, thank you for the excellent data. Very helpful for MP traders as I also tend to be super aggressive in the first 60 minutes. As a matter of fact, I hardly ever trade past the initial 60 minutes of trading. This is where the most opportunities exist in my opinion.

 

I have a few questions regarding your exit points and range estimation. You mentioned you look to establish a position in the initial 60 minutes of trading. Do you tend to keep these positions throughout the doldrums and into the afternoon session? I am usually in and out of all my positions by 10:45am eastern. In Mind Over Markets, Dalton describes some techniques to measure the range after a potential high or low is established. I didn't accept this into my trading because it did not make much sense to me. Have often have you found this range estimation to work?

 

This range estimation technique interests me because I tend to make multiple trades scaling out for 20-30 pts at a time. If I can apply this techinique into my trading, I may be able to hold on to a partial of my position longer. The only problem is... I have learned about various range estimation techniques but none of them seemed to be valid. It just never made any sense to me how one can predict the range for the day.

[TinGull 10]

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?

 

Thanks Ant...yes, you answered it. I was thinking you were doing something else...it all makes sense from MoM.

 

Thanks again~!

[TinGull 10]

Also, Ant...do you subscribe to alexandertradings newsletter? Just notice the wicked similarities between this post and the newsletter.... Also...maybe you could tell me what KRA stands for? THANKS!

[ant 10]

Also, Ant...do you subscribe to alexandertradings newsletter? Just notice the wicked similarities between this post and the newsletter.... Also...maybe you could tell me what KRA stands for? THANKS!

 

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.

[ant 10]

Chris, KRA stands for "Key Reference Area".

[ant 10]

Do you tend to keep these positions throughout the doldrums and into the afternoon session?

 

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 Mind Over Markets, Dalton describes some techniques to measure the range after a potential high or low is established. I didn't accept this into my trading because it did not make much sense to me. Have often have you found this range estimation to work?

 

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.

[TinGull 10]

Thanks Ant!!!

[Soultrader 12]

Thank you Ant as well.

 

Maybe this is somewhat off track but have you done any data mining on how many times the YM or ES makes a low/high in the first 60 minutes of trading? From observation only, this seems to happen very common. It would be interesting to see some stats on it... and to focus on a single pivot at the open for a reversal. (Im really horrible with all these programming stuff)

[TinGull 10]

Soul, you mean making the high and the low for the day in the first 60 minutes?

[Soultrader 12]

Soul, you mean making the high and the low for the day in the first 60 minutes?

 

Yep. I should of made the more clear.

[Reaver 10]

Thanks Ant, great info. Very handy stuff!

 

Nate

[ant 10]

Thank you Ant as well.

 

Maybe this is somewhat off track but have you done any data mining on how many times the YM or ES makes a low/high in the first 60 minutes of trading? From observation only, this seems to happen very common. It would be interesting to see some stats on it... and to focus on a single pivot at the open for a reversal. (Im really horrible with all these programming stuff)

 

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%

[TinGull 10]

Antonio,

 

Do you have any of this data for the ER2? from what I've watched lately, the high /low has been made very quickly in the day. Didn't know if it was easy to run the ER through that program of yours

 

Thanks man!

 

Chris

[ant 10]

Antonio,

 

Do you have any of this data for the ER2? from what I've watched lately, the high /low has been made very quickly in the day. Didn't know if it was easy to run the ER through that program of yours

 

Thanks man!

 

Chris

 

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%

[Soultrader 12]

Thank you for sharing this with us Ant. I am quite surprised with the numbers. Very reliable indeed. I have also started trading the ER2. At first I was hesitant but its actually not bad at all.

 

The ER2 data for 2006:

 

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%

 

This is insane... very very powerful piece of information. Time to build more setups

[TinGull 10]

I thought it might be that insane!! hehe Awesome, Ant, you RAWK!!!!

[TinGull 10]

Just to add ER2's stats for thus far in 2007...

 

Hi/Lo in first 30 minutes: 68.7%

Hi/Lo in first 60 minutes: 81.2%

 

How you like them apples???

[jmi88 10]

This is really nice stats...what times did you use as the open and IB for the ES and YM.......thanks

[maildigger 10]

How would you guys trade this information ?

[alleyb 10]

Could you do the same statistical work on the Bonds. Bonds not 10 year notes. If you can much gratitude in advance but also I wish to set the comparison between the two markets

[ant 10]

Could you do the same statistical work on the Bonds. Bonds not 10 year notes. If you can much gratitude in advance but also I wish to set the comparison between the two markets

 

Alleyb, I'm on my way out and won't be around a computer this weekend, but I'll try to get you the stats on the 30 Yr Bonds by Sunday evening or so. Perhaps you could share your thoughts on using these IB stats in your trading.

[ant 10]

Could you do the same statistical work on the Bonds. Bonds not 10 year notes. If you can much gratitude in advance but also I wish to set the comparison between the two markets

 

Below are the statistics for the 30 Yr Bonds (US) going back three years. Note that the Initial Balance (IB) period used was 8:20am to 9:20am EST. Similar results as the other markets with the high/low being placed almost 80% of the time in the first hour of trading!

 

(US) 8/30/06 - 8/24/07

Highs in first 30 mins: 92 out of 251 days or 36.65%

Lows in first 30 mins: 90 out of 251 days or 35.86%

Highs in first 60 mins: 110 out of 251 days or 43.82%

Lows in first 60 mins: 100 out of 251 days or 39.84%

=======

High/Low in first 30 mins: 182 out of 251 days or 72.51%

High/Low In first 60 mins: 210 out of 251 days or 83.67%

Normal Day: 15 out of 251 days or 5.98%

 

(US) 8/30/05 - 8/25/06

Highs in first 30 mins: 87 out of 250 days or 34.80%

Lows in first 30 mins: 74 out of 250 days or 29.60%

Highs in first 60 mins: 102 out of 250 days or 40.80%

Lows in first 60 mins: 94 out of 250 days or 37.60%

=======

High/Low in first 30 mins: 161 out of 250 days or 64.40%

High/Low In first 60 mins: 196 out of 250 days or 78.40%

Normal Day: 7 out of 250 days or 2.80%

 

(US) 8/27/04 - 8/26/05

Highs in first 30 mins: 72 out of 252 days or 28.57%

Lows in first 30 mins: 79 out of 252 days or 31.35%

Highs in first 60 mins: 87 out of 252 days or 34.52%

Lows in first 60 mins: 105 out of 252 days or 41.67%

=======

High/Low in first 30 mins: 151 out of 252 days or 59.92%

High/Low In first 60 mins: 192 out of 252 days or 76.19%

Normal Day: 18 out of 252 days or 7.14%

 

(US) Last 3 Years: 8/26/04 - 8/24/07

Highs in first 30 mins: 251 out of 752 days or 33.38%

Lows in first 30 mins: 243 out of 752 days or 32.31%

Highs in first 60 mins: 299 out of 752 days or 39.76%

Lows in first 60 mins: 299 out of 752 days or 39.76%

=======

High/Low in first 30 mins: 494 out of 752 days or 65.69%

High/Low In first 60 mins: 598 out of 752 days or 79.52%

Normal Day: 40 out of 752 days or 5.32%