How many time do we open outside of value?

[TinGull 10]

Hi all,

 

As usual I can't get away from my computer and stop looking at charts for longer than like 2 hours, and was starting to notice a few things. First thing I've been noticing is that the YM doesn't open outside of value very often. Am I correct in this? I've got my own data from only about 45 days back.

 

Secondly, I've been trying to see when we DO open outside of value, how often is it that if price pokes it's head into value that we end up cuising through value to the other extreme from which we entered?

 

There's been 2 scenarios that I've been noticing when YM opens outside of value.

 

1st: We never look back and trend the heck off the planet for the day and don't see previous days value again.

 

2nd: We poke into value and often end up making a move to the other end of value at some point during the day.

 

I have found few days in my little 45 days worth where we open outside of value, poke back in and finish inside of value never seeing the other end first. Sometimes it'll cruise through value, say from VAH thru to VAL and then finish up somewhere in between...

 

Maybe this is a good place for Ant to step in?

 

Just trying to develope some sort of trading plan for outside value days. Soul is usually great at telling if we're gonna trend in the first like 20 nanoseconds of markets' open.

 

Thanks all! Look forward to hearing some input.

 

Chris

[Trader_JG 10]

Thats some great stuff! Have you continued to track this and if so have your results changed?

Any other experienced MP traders care to comment?

 

Jonathan

[keymoo 10]

Sounds like a great idea. If someone could provide me with VAL VAH values for the last couple of years I can load this into my SQL Server database and write a query and provide you with the results. We should study YM, ER and ES.

 

Let me know, I have the historical intraday data already, I just need the VAL VAH values.

[TinGull 10]

I haven't tracked it with the YM as of late, but have been tracking ER's value movements from the first trading day of this year up 'till now. It's tedious for me to go back too far as I have to input all the MP values manually, but....2007 has provided every single kind of trading environment one could ask for. The first week of '07 was amazing for trendiness intraday, late January gave us rangey-trendy, and so far in Feb we've had purely rangebound markets (until Friday afternoon...that was nice).

 

For the ER...it is cruising from top to bottom (or bottom to top) of value about 54% of the time, while only 3 days this year has it not entered value from the previous day.

 

Don't know if that helps out, but it's interesting to note none-the-less.

[ant 10]

Maybe this is a good place for Ant to step in?

 

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%)

[TinGull 10]

You rock man. Thanks Looks like ER is the winner there again, eh? No 80% like people say, though.....

 

Thanks again

[ant 10]

No 80% like people say, though.....

 

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).

[TinGull 10]

I completely agree...it's just that there are some people out there that seem to think it's a given that 80% of the time when price enters value it will cruise through to the other side. This isn't part of my trading plan, just a neat statistic to share

[Soultrader 12]

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).

 

Very good point Ant.

[walterw 10]

Ant, I am quite impressed with your stats... is it possible to get some other stats from this database you are working with like per example: how many times when opening inside value did we fade the first test of a vah or val per x points .... something like that.... would be cool to have some stats of this kind... if its possible.... cheers Walter.