Day Trading the E-mini Futures

[joshdance 10]

  roztom said:

Hope you are all alive & well.. /I think mkt has unfinished bussiness at the 88.75 level and that we could test 92.25 - 75 area... Of course we could launch from there but If that becomes the extreme then this could be the top of a pennant on a bear flag... Could be...

 

Good hunting & good trading,

 

 

Was thinking the same about you buddy, hope all is well, we miss you!

[TheNegotiator 13]

Hello Tom! Where you bin?

 

Anyway, my spidey sense is tingling and it's saying low will be taken for weak hands and either gap closed or weekly open tested before break back into ib. dunno though that could just be total bs.

[joshdance 10]

  joshdance said:

If 76s give way here, not sure I would want to buy until the next logical support-- overnight 72s.

 

EDIT: will say this though-- looking at yesterday's profile, 74.50 makes a good case for potential support, given how well 80 provided resistance this morning.. check out yesterday's profile.

 

Accompanying picture........

Looking to possibly short here for a point or two on the way down to that support.

[Nikko 10]

Speaking in terms of current market status, we have already broke the uptrend at roughly 10am central time, so at about 10am all of you should have gotten a signal to sell I'm sure. That being said if you look closely we just broke the downtrend so anytime know we should be climbing back up. I'm long here

 

Nikko

[Nikko 10]

Not to mention we broke the support level through the trend.

 

Nikko

[roztom 10]

  joshdance said:

Accompanying picture........

Looking to possibly short here for a point or two on the way down to that support.

 

My guesstimate: 74.50 - 72.50 it but ACH

[Nikko 10]

Matter fact if you all look back near the end of 2007 through beginning of 2008 charts I have a good feeling that here in the near future we will see some correlating activity. That being said I don't feel that now is the time to bank on big drops in the market as opposed to the rises. Being a bear is risky at this moment, the time will come soon but I think an overall bullish view is the way to go until further notice.

 

 

Good luck,

 

Nikko

[Nikko 10]

To add to what I have said it is as simple as backtracking and seeing in which direction MORE OFTEN THEN NOT big swings in the market happen and you will see that having a bullish view in today's current market would be a better position for the majority of momentum type trading. Once again it is as simple as more often then not as that has a lot to do with structuring a profitable trading program for yourself. Mine won't work with your emotions, vise versa. Here soon I will post my strategy the best way I can explain it.

 

Nikko

[joshdance 10]

selling a very very small position here for 72.50

 

EDIT: scratch this at 75.00, BE

[Nikko 10]

I would even feel comfortable buying this dip to the EOD as I have had a good day today and feel we will once again climb.

 

Nikko

[joshdance 10]

resold 75, will give it 3 ticks, 72.50 is target

[Nikko 10]

I don't know I just like going long even if I had to wait until 73 ( not 72.50 ) for a long and a couple ticks. I do not see how you are getting sell signals?

 

Nikko

[joshdance 10]

  joshdance said:

resold 75, will give it 3 ticks, 72.50 is target

 

Took 5 ticks, have a good weekend guys...

[Nikko 10]

Oh wow your close, how did you come up with your execution?

 

Nikko

[joshdance 10]

  Nikko said:

Oh wow your close, how did you come up with your execution?

 

Nikko

 

How did I come up with it? After the one tick break and failure to go lower immediately I put my limit in at 73.75 which was the prior low. I don't know if that's what you're asking or not.

 

So, you holding this over the weekend? I would assume so, since there's no reason to buy here otherwise, given the time of day and the very low possibility of going higher after 3:30 or so.

[slick60 10]

I had a shitty time on the links today in the wind but was probably more fun than what this session produced. Looking for 65's or a bit lower. Retest the 90-94 then sell baby sell and hold for 100 biog ones.

See you all on Monday I hope and have a great weekend.

 

slick60

[TheNegotiator 13]

Ah well, that final one from the 73.75 did work but just didn't have the legs to close back inside the IB. We left a pretty poor low there @1373.50 too.

 

Hope everyone did well today, have a great weekend and hope to see you all next week!

[Nikko 10]

No overnights for me, very very rarely do I go overnight. Anyway on the last 15 min of the day I could have ended up with a 7-8 tick profit but was hoping for a EOD buyers rally so by the time all the last min action happen I ended up flat on my last trade other then that it was a good day today. Like I said overnights are not part of what I do, maybe a couple 2-3 times a month maybe...

 

Nikko

[joshdance 10]

gosu, you posted this on another thread:

 

 

  gosu said:

I just go into every RTH session "knowing" that the market will make one extreme in the AM and, once made, the market will move away from that extreme in the other direction expanding the range until congestion (usually midday). If congestion begins or arrives during the AM, I know the first extreme will likely be tested later usually in BO/FBO modus.

 

You also mentioned that you don't consider a fixed 60 minute window (like the MP "IB"), for example, but that rather you have three general periods of varying length, depending on the day: morning, midday, and afternoon.

 

First perspective on this: If we generalize this concept, a case could be made that the day session in and of itself should not be treated as a specific time frame (405 minutes), but that the market is simply continuous and only has one 15 minute break during the session close at 4:15pm ET, and again the half hour maintenance downtime at 5:30pm. For example, in the attached charts, is there an obvious, clear delineation from the overnight session to the RTH session? I've discussed this ad nauseum in other threads here so no need to go too far down this path.

 

Second perspective: From a practical standpoint, logically the day session from 9:30 to 4:15 ET is a different animal. Days are a logical structure humans use, and due to the traditional nature of the pit session, the RTH session time is certainly "separate."

 

My point is this: if you do not consider a 60 minute time frame significant, but have flexibility as to the logical structural three phases of the day session, what about further flexibility and simply seeing the entire 1440 minutes as a logical unit, or even the 5 days of the week as a logical weekly unit (we could go on here, but you get my point)?

 

I suppose from a practical perspective (number two above) that it makes a lot of sense to divide it the way you do. But I thought about this idea this morning; the market was simply building on what it did in the pre-RTH session; it traded to points of reference established overnight. See third attached chart. So, why do we consider this as a new logical unit, and not merely an extension of what happened a few hours prior? I would actually like to hear you expound a bit more on your logical day structure, if you would be kind enough to do so. Specifically, the formation of one extreme, an expanding in the other direction, and so on. In other words, what does a day "look like" to you? Or, how does the market "work" in your paradigm of things?

[gosu 10]

Hi joshdance, I parsed your post below.

 

  joshdance said:

gosu, you posted this on another thread:

 

  gosu said:

I just go into every RTH session "knowing" that the market will make one extreme in the AM and, once made, the market will move away from that extreme in the other direction expanding the range until congestion (usually midday). If congestion begins or arrives during the AM, I know the first extreme will likely be tested later usually in BO/FBO modus.

 

You also mentioned that you don't consider a fixed 60 minute window (like the MP "IB"), for example, but that rather you have three general periods of varying length, depending on the day: morning, midday, and afternoon.

 

This needs correcting slightly. I did not state that I don't consider 60m fixed durations; I do monitor 60m bars. I stated that I do not use a strict 60m test like Dalton in testing for the formation of an extreme after the open. In other words, I don't consider the first 60 minutes of the RTH session any more significant than the first 65, 73, 82, 94 minutes, etc.

 

I do divide the RTH session into 3 parts, as you correctly state. The most important of the three for me is the AM, the end of which is a window between 8:40 and 9:00 pacific time, or 8:50 for convenience.

 

  joshdance said:

First perspective on this: If we generalize this concept, a case could be made that the day session in and of itself should not be treated as a specific time frame (405 minutes), but that the market is simply continuous and only has one 15 minute break during the session close at 4:15pm ET, and again the half hour maintenance downtime at 5:30pm. For example, in the attached charts, is there an obvious, clear delineation from the overnight session to the RTH session? I've discussed this ad nauseum in other threads here so no need to go too far down this path.

 

I follow what you are saying and it would indeed be very tidy if the market were a continuous function from one day to the next. Going to the AS (all sessions) perspective is one way to do that. Unfortunately, the drop off in participation cannot be disregarded in practice. We know the market just does not trade the same outside of RTH. The Hershey group is on the other end of the spectrum and disregards the AS entirely, connecting the prior RTH close with the current RTH open via removing any and all gaps. They have even succeeded in convincing a software vendor to include an option for automatic gap removals.

 

I've found neither approach completely satisfactory. My "solution," if I can call it that, is to monitor on both AS and RTH charts (without gap adjustment) and to be aware of the market's position on both.

 

  joshdance said:

Second perspective: From a practical standpoint, logically the day session from 9:30 to 4:15 ET is a different animal. Days are a logical structure humans use, and due to the traditional nature of the pit session, the RTH session time is certainly "separate."

 

Don't forget the most important difference of all: the cash market being in session. The stock index futures market is the mere handmaiden of the cash market.

 

  joshdance said:

My point is this: if you do not consider a 60 minute time frame significant, but have flexibility as to the logical structural three phases of the day session, what about further flexibility and simply seeing the entire 1440 minutes as a logical unit, or even the 5 days of the week as a logical weekly unit (we could go on here, but you get my point)?

 

As stated previously, I do monitor 60m bars. I also monitor the AS dailies, which are equivalent to 1440 minute bars. On the weekend, I chart the weeklies (5 days) and monthlies for the cash market to get a broader perspective. Thus I do get your point and am already doing as you suggest.

 

  joshdance said:

I suppose from a practical perspective (number two above) that it makes a lot of sense to divide it the way you do. But I thought about this idea this morning; the market was simply building on what it did in the pre-RTH session; it traded to points of reference established overnight. See third attached chart. So, why do we consider this as a new logical unit, and not merely an extension of what happened a few hours prior?

 

To me it is both: a separate unit because of the step-up in participation with the opening of the cash market and an extension of the AS activity leading up to the cash open.

 

  joshdance said:

I would actually like to hear you expound a bit more on your logical day structure, if you would be kind enough to do so. Specifically, the formation of one extreme, an expanding in the other direction, and so on. In other words, what does a day "look like" to you? Or, how does the market "work" in your paradigm of things?

 

This sounds like a request for me to do work. LOL..

 

Unfortunately, I wouldn't know where to begin to try to expound on anything because I have not organized my thoughts in any formal manner (i.e., by writing). My comments regarding how a day begins that you reference happened to be a spur of the moment post triggered by someone's reference to a 65% chance of the day's high having been made while I saw an AM p3 of the long upcoming with a resumption to follow. My dubiousness led to a request of the source of his percentage and when I got the details I recognized the truth behind the concept sans the arbitrary 60m parameter.

 

It would please me a good deal to be able to meet your request but I am aware of my personal limitations and that of the medium we're communicating through. Also add the fact that I'm here to relax and just shoot the shit. I post things rather indiscriminately and if anyone finds something useful in what I post it is purely accidental.

 

 

I've had a few beers and so I will end with a hodgepodge of things concerning the AS/RTH delineation that pop into my head.

 

Going into the cash (RTH) open, I'm unambitious and do not seek to know how the DAY will go but just the AM. I follow the AS activity leading up to the cash open and I have the greatest number of KNOWNS on my side than at any other point in the trading session.

 

I know the overnight sentiment and whether it is continuation/change from yesterday's RTH session.

 

I know the relative extent of the gap before the cash open.

 

I know at cash open there will be a surge in volume and volatility relative to the AS activity leading up to the open.

 

I know the RTH session will have a high and a low and one of them (and on rare days both of them) will be made in the AM (with a single caveat).

 

I know every trading day has a volatility that is correlated with volume and the day's place within the ST trend.

 

I know within the day the AM volume is the most consistent in its high amplitude relative to the other parts of the day.

 

I know therefore the default AM condition is range expansion.

 

I know the midday volume is the most consistent in its low amplitude.

 

I know therefore the default midday condition is congestion.

 

I know "default" means that it is the condition unless it is visibly clear that it is an exceptional day - AM congestion or midday BO w/ increasing volume.

 

I know this is not a complete list, so add your own, or even better, put one together yourself.

 

Cheers. :beer:

[MightyMouse 12]

  gosu said:

 

I've had a few beers and so I will end with a hodgepodge of things concerning the AS/RTH delineation that pop into my head.

 

 

Cheers. :beer:

 

I know that when I have a few beers, thoughts of the market get crowded out and are replaced with the desire to see more of the rose and thorns tattoo on the lower back of someone half my age.

 

I give you credit for remaining focused on the market.

[joshdance 10]

  gosu said:

Going into the cash (RTH) open, I'm unambitious and do not seek to know how the DAY will go but just the AM. I follow the AS activity leading up to the cash open and I have the greatest number of KNOWNS on my side than at any other point in the trading session.

 

This is very astute observation, and since you say it this way, it puts a bit of a more objective take on my own experience: I have thought, though maybe not posted, before, how much more clear (if I may use that word) the morning part of the session is, compared with the rest of the day, generally speaking. There are always exceptions, but generally the market seems to have a goal, or a purpose, in the morning. Sometimes it's more of a continuation of the European session, which ends at 11:30am ET, or it seems to take a new direction, perhaps based on yesterday's day session. But usually, the business seems to be taken care of in the morning, and then in the afternoon, the market's more prone to less predictable behavior. This is purely anecdotal, but is also practical and also mirrors the opinions of many traders.

 

  gosu said:

I know the relative extent of the gap before the cash open.

 

What is the "relative extent"?

 

  gosu said:

I know the RTH session will have a high and a low and one of them (and on rare days both of them) will be made in the AM (with a single caveat).

 

This seemed a bit curious, but I assumed you meant that "most of the time one of them will be made in the AM," though I'm not sure what the single caveat is.

 

So, I did some stats.

 

If we divide the 405 minute day session into three parts equally, we get 9:30 to 11:45, 11:45 to 2:00, and 2:00 to 4:15, each period being 135 minutes in length. Seeing as how the 15 minutes after cash close at 4pm can have some very interesting movement, I considered this time as well, not choosing to close the day session at 4pm for these statistics.

 

We'll call these AM (morning), MD (midday), and PM (afternoon).

 

AM: HOD made 47% of the time, LOD made 56%, both made 12%, and neither made 9%

MD: HOD made 12% of the time, LOD made 13%, both made 0.25%, and neither made 71%

PM: HOD made 44% of the time, LOD made 32%, both made 3%, and neither made 23%

 

If we dig a little deeper down to 30 minute intervals, the first half hour of the day has been the high 25% of the time, and the low 29% of the time. For the first hour, it is high 34% of the time, and low 41%.

 

I used the last 1000 trading days for these stats. Changing it to the last year (250 days) does not significantly (+/- 3%) change the stats in any way, though the opening half hour is likely to be the HOD 21% over the last year, compared with 25% over the last 4 years.

 

Consistent across all periods from 30 minutes, 60, and 135 is that the high is only slightly more likely to be put in during the first period than the last (max difference of about 7% more likely considering 30 and 60 minute periods, about 1% more likely considering the three period day); yet, the low is much more likely to be made earlier than later (68% more likely for the three period day, and 98% more likely in the first hour than the last 45 minutes).

 

We can thus draw the reasonable conclusion that the market has had a tendency to search for value lower in the morning, and rally later in the day.

 

We can also conclude that a trade initiated during the MD period generally will not be at an extreme of the day, and thus more subject to either a smaller profit, or an early exit as the PM session is more likely to make a new extreme.

 

Nothing earth shattering, but the stats certainly agree with gosu's generalizations and probably other useful conclusions can be drawn from this information.

[karoshiman 10]

  joshdance said:

 

...

 

Consistent across all periods from 30 minutes, 60, and 135 is that the high is only slightly more likely to be put in during the first period than the last (max difference of about 7% more likely considering 30 and 60 minute periods, about 1% more likely considering the three period day); yet, the low is much more likely to be made earlier than later (68% more likely for the three period day, and 98% more likely in the first hour than the last 45 minutes).

 

...

 

 

 

Hi Josh,

 

Nice post! Great job!

 

However, I did not understand the above paragraph really, just its conclusion.

 

Could you please explain in other words what you did analyze here exactly? I've re-read it now several times but I don't understand... :crap:

 

You mention the 30 min, 60 min, 135 min and even a 45 min period. How does these relate to the aforementioned AM, MD, PM sessions you did analyze?

 

Thanks in advance.

 

Regards,

karo

[karoshiman 10]

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[gosu 10]

  joshdance said:

* * *

 

What is the "relative extent"?

 

I mean that I know the "size" (or the extent) of the gap compared to recent gaps and where the gap will put the open relative to containers, horizontals and sloped lines carried over from the prior session on RTH charts.

 

  joshdance said:

This seemed a bit curious, but I assumed you meant that "most of the time one of them will be made in the AM," though I'm not sure what the single caveat is.

 

Your interpretation of what I said is a reasonable one and I could have easily stated it in that natural way. Instead, I chose to state it in an apparently convoluted way not because I was inebriated but because I wanted to be precise and not just good enough for conversation.

 

I did not use the qualifier "most of the time" for a reason. Since I trade on knowledge and not probabilities, "most of the time," even if that means 91% in a backtest involving 1000 days, is not good enough for me to rely on. I need to know that what I am monitoring either IS or IS NOT. It is perfectly fine to answer "I really don't know" or "I don't know yet."

 

The base of my statement without parentheticals is, I know the RTH session will have a high and a low and one of them will be made in the AM. I go into every open knowing this is how the market "works." Call it a market truth that I rely on without any qualification. However, I do add a warning to the operator's manual, the "single caveat" in the second parenthetical of my statement. The single caveat is, "Be on the lookout for an exceptional day."

 

You wrote a good post.

 

Cheers.