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zb daily
Started:October 7th, 2011 (02:28 PM) by tbondtrader Views / Replies:32,323 / 382
Last Reply:November 30th, 2016 (12:27 PM) Attachments:283

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zb daily

Old August 31st, 2016, 05:03 PM   #301 (permalink)
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RielA View Post
I've been doing some quick studies to help myself with determining some probable outcomes for the market day to day. This is the results I've come across when studying the ZB!



Overnight Data

ON High/Low traded during RTH = 95%

ON High&Low traded during RTH = 24%

ON High/Low traded during IB = 66%

ON High&Low traded during IB = 3%



Opening Range

OR High/Low equals IB H/L = 78%

OR High&Low equals IB High&Low = 6%

OR High/Low equals RTH H/L = 51%

*all within 3 ticks excess of H/L*



Initial Balance

IB High/Low equals RTH High or Low = 79%

IB High&Low equals RTH High&Low = 6%



RTH Close INSIDE IB = 28%

RTH Close WITHIN IB +/- 100% = 43%

RTH Close OUTSIDE IB +/- 100% = 30%



RTH High/Low BEYOND IB +/- 50% = 82%

RTH High/Low BEYOND BOTH IB +/- 50% H/L = 12%



RTH High/Low BEYOND IB +/- 100% = 57%

RTH High/Low BEYOND BOTH IB +/- 100% H/L = 3%



RTH High/Low BEYOND IB150% = 33%

RTH High/Low BEYOND BOTH IB +/- 150% H/L = 1%



RTH High/Low BEYOND IB +/- 200% = 22%

RTH High/Low BEYOND BOTH IB +/- 200% H/L = 0%



Value Area (based on previous days')

RTH Open OUTSIDE VA + Close OUTSIDE VA = 82%

RTH Open INSIDE VA + Close INSIDE VA = 30%

RTH Close OUTSIDE VA = 78%



RTH Open ABOVE VA / Close ABOVE VA = 72%

RTH Open ABOVE VA / Close BELOW VA = 12%

RTH Open BELOW VA / Close BELOW VA = 66%

RTH Open BELOW VA / Close ABOVE VA = 20%









Some things I derive from this are:



1) Its very likely the ON H/L gets taken out during the day, and still a 66% chance that happens during the first hour with a smaller chance that both the ON H/L gets traded.

2) A likely chance that the OR is the H/L of the first hours trading.

3) Either the IB High or Low is likely to be the High or Low of the day (RTH).

4) There is a 57% chance prices move beyond the IB +100% levels but only a 30% chance of prices closing there.

5) Prices overall are more likely to close outside the IB as well as the Value Area.



Nice work here.

Please, how are you defining the OR?

Ron


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Old August 31st, 2016, 05:16 PM   #302 (permalink)
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Thanks!

My OR is the standard first five min from the open. I give it three ticks of wiggle room just out of discretion. I'd like to find a way of testing a opening swing and see the difference.

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Old September 2nd, 2016, 10:48 AM   #303 (permalink)
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open?


which open ? 7.20am or electronic open=rth?

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Old September 2nd, 2016, 11:26 AM   #304 (permalink)
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I am using US NYSE Core Trading Hours for Bonds as my RTH

RTH = 7:00 am- 4:00 pm
OR = 7:00 - 7:05 am
IB = 7:00 - 8:00 am
ON = 4:00 pm - 6:59 am
Time in CST

I used to use 7:20 but since the pits closed there is not much of a difference I am noticing between 7:00 and 7:20 with only the Options being open outcry.

Crazy enough this morning the IB traded both the ON High and Low .. a 3% occurrence! Although considering my IB is during the bigger economic releases, I wonder if these occurrences account for most of that 3%... hmm

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Old September 2nd, 2016, 11:29 AM   #305 (permalink)
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end of swing?

Futures Edge on FIO
is the downdraft in zb over ? for today?

cr=74t

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zb daily-zb-12-16-60-min-2016-09-02.jpg   zb daily-zb-12-16-60-min-2016-09-02b.jpg   zb daily-zb-12-16-60-min-2016-09-02c.jpg  

Last edited by tbondtrader; September 2nd, 2016 at 12:12 PM.
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Old September 2nd, 2016, 11:51 AM   #306 (permalink)
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If we end this week closing under 169 19/32 (prev days VA and within todays -100% IB extension) its a bit bearish! But if we see a bit of a bounce and close somewhere above that, it might just be another rejection of the low of this range we've been stuck in.

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We are really close to that low of 68'17. We might see that today..

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Last edited by RielA; September 2nd, 2016 at 12:01 PM.
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Old September 2nd, 2016, 01:18 PM   #307 (permalink)
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ZB yr look and my analysis.....

What I see in ZB.....

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Ron

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Buy Low And Sell High (read left to right or right to left....lol)
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Old September 2nd, 2016, 01:38 PM   #308 (permalink)
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zb 60 min update

hi all enjoy your long w/end...its labor day..in usa....my little action.....

look to the left and trade on the right ....


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Last edited by tbondtrader; September 2nd, 2016 at 01:43 PM.
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Old September 3rd, 2016, 10:37 AM   #309 (permalink)
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opening swing

"" I'd like to find a way of testing a opening swing "" opening swing---- how would you define quantify this concept for zb? cause different mkt got different strokes

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Old September 3rd, 2016, 11:19 AM   #310 (permalink)
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tbondtrader View Post
"" I'd like to find a way of testing a opening swing "" opening swing---- how would you define quantify this concept for zb? cause different mkt got different strokes

Thats part of the issue, I dont know how I would exactly define it so that it could be consistently tested! haha

I'd probably say that a swing high/low is in place after a minimum 50% retracement from the pivot high/low. Now to define the first leg depends more on how i am seeing the price action develop. Sometimes the market just shoots one direction right from the open then reverses (first pivot high) back down past the open to eventually form a pivot low. Sometimes you get some chop and a wiggle higher (first pivot high) before a move down and what would eventually be our pivot low. Ideally the pivot high/low would straddle the open price but its not always the case.

Now take that with discretion and apply it to different markets, and yea.. different strokes indeed. I dont know anything about using those swing indicators on charts but maybe that might be a middle ground there to at least test the idea with some consistency.

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