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Bund Future 16/11
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Bund Future 16/11

  #321 (permalink)
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@ FGBL07
A couple of questions on your last very interesting post.

I understand that an outside day is a day which LoD is lower than LoD of the previous day and its HoD is higher than HoD of the previous day. In another words, range of an outside day is engulfing the previous day.

I also understand that an outside down day is obviously a day where the close of the day is lower than the opening of the same day.

Please confirm that my understanding is correct.


Now the questions.

Are you making these statistics yourself (in such case I will have to do them myself as well) or can you find them somewhere ?

Do you have statistics related to the inside days : i.e. how many inside days where down days when the outside day was up and how many inside days where up days when the oustide day was down ? In another words, how often there is a retracement day after an outside day.

Again, thanks very much for sharing your knowledge with us.

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  #322 (permalink)
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MARS View Post
@ FGBL07
A couple of questions on your last very interesting post.

I understand that an outside day is a day which LoD is lower than LoD of the previous day and its HoD is higher than HoD of the previous day. In another words, range of an outside day is engulfing the previous day.

I also understand that an outside down day is obviously a day where the close of the day is lower than the opening of the same day.

Please confirm that my understanding is correct.

This is correct.


MARS View Post
Now the questions.

Are you making these statistics yourself (in such case I will have to do them myself as well) or can you find them somewhere ?

Do you have statistics related to the inside days : i.e. how many inside days where down days when the outside day was up and how many inside days where up days when the oustide day was down ? In another words, how often there is a retracement day after an outside day.

Again, thanks very much for sharing your knowledge with us.

I make these statistics myself, using Excel. If you have SQL knowledge you may better use a database.

I have not looked further into the inside days because their number altogether is too low: the 358 outside days were followed by 73 inside days. Drilling down this further will result in too few cases.

I want to add a strong warning here: never rely upon these stats nor use them as your first tool in analyzing/trading. If your analyses makes you believe that e.g. today market will move above yesterday's high then these stats may give an additional hint. But never the other way round.

I have made these stats using data from 2001 till March 2013. They are valid for the whole set of data. But such things can change over time.

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  #323 (permalink)
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Many thanks for your answers and for your advice.

Two things are puzzling me in your statistics.

To my understanding, after an Outside Day, the following day can be a Day Up, a Day Down (as per your definition) or an Inside Day (I am excluding the case of an Outside Day following an Outside Day....)

In your table, after the 357 Outside Days I am expecting to find 357 following days.....
But I see 123 Up Days (101 + 22), 135 Down Days (22+113) and 72 Inside Days which makes 330 days.
27 days seems to have been lost in action......

I also believe that there is a typo mistake as 163 Outside Up Days and 191 Outside Down Days are making 354 Outside Days (and not 357).

I hope I will not make you regretting sharing with us this very interesting statistics with these sneaky questions.

All the best.

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  #324 (permalink)
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MARS View Post
Many thanks for your answers and for your advice.

Two things are puzzling me in your statistics.

To my understanding, after an Outside Day, the following day can be a Day Up, a Day Down (as per your definition) or an Inside Day (I am excluding the case of an Outside Day following an Outside Day....)

In your table, after the 357 Outside Days I am expecting to find 357 following days.....
But I see 123 Up Days (101 + 22), 135 Down Days (22+113) and 72 Inside Days which makes 330 days.
27 days seems to have been lost in action......

I have not accounted for these outside days following an outside day. These are the lost days. About 8% of outside days have been followed by an outside day. Pretty rare.


MARS View Post
I also believe that there is a typo mistake as 163 Outside Up Days and 191 Outside Down Days are making 354 Outside Days (and not 357).

I hope I will not make you regretting sharing with us this very interesting statistics with these sneaky questions.

All the best.

My definition for an up outside day: Close > Open; for a down outside day: Close > Open.

Now, can you spot the three missing days ;-)?

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  #325 (permalink)
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FGBL07 View Post
I have not accounted for these outside days following an outside day. These are the lost days. About 8% of outside days have been followed by an outside day. Pretty rare.
...

I have to correct that: I defined an inside day by: High < prev High and Low > prev Low. So days where High = prev High and/or Low = prev Low have been excluded.

There are only 18 days when an outside day was followed by an outside day. The other 9 should be counted as inside days.

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  #326 (permalink)
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@ FGBL07

Thanks for your last.

Today was an Day Up following an Up Outside Day. The 63% proved helpfull.

I used the statistics the way you said : when I saw prices going higher than the 8.30 open, around 3.30 pm, I took a long position for I was confident that the 5.30 pm closing would be above my purchase price.

"If you offer somebody a fish, you feed him one day, if you teach him how to fish, you feed him forever...."

Have a nice evening.

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  #327 (permalink)
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Outside Days

Here is a daily chart with the outside days colored in orange. Take a close look.

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  #328 (permalink)
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Today was a trendless day. Reactive Sellers pushed the market down from 146.28 to 145.85 were reactive Buyers brung the market up to 146.39. Market ended nearby open level.

Result is almost a hanged doji. It is worth noting that last week candle is also a hanged doji and that so far (one day is still to be traded and it can make a hell of a difference) this week is another hanged doji, the tween brother of the one from last week.

POC is about the same as yesterday.

My feeling is that this market is topish and very vulnerable if stock markets do rebound tomorrow.
Alternatively, would the resistance in the 146.35/55 overcomed, there is much room for the rise as Bund is in the middle of the upward channel visible in ut 1 day.

On the UT4H graph, we can see that prices are knocking the roof of the flag. The green oblique is the support of the UT 1day upward channel which is also MA 20 ut 1 day.

We already wrote about resistances, as far as supports are concerned, 145.80, where MA 23 an 44 UT 4H lies is a first one, 145.50, where MA 20 UT 1day will be tomorrow is a second one and below our old friend 144.93.

Reaching this third support would mean exiting from below the upward channel the Bund is in since February 20th, in another words the end of the upward trend.

I have no idea what the market will do tomorrow but I know that the triangle formed by flag resistance and rising channel support is getting smaller every hour....

I will therefore wait the opening of stocks market and IB to develop before making an ID strategy for tomorrow.

Take care.

Attached Thumbnails
Bund Future 16/11-bund-jour.jpg   Bund Future 16/11-bund-4h.jpg  
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  #329 (permalink)
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Bund Future 2013-04-18

Average volume but below average range. Kind of doji. PoC (146.25) is up. VA sits inside yesterday's VA.

Market did not repeat its 09:00 sell-off: Though there is a down bar at 09:00 CET it has a range of 12 ticks only. Shorts were trapped when the market reversed in the next hour and moved up to the high of the first 30-minute bar. The drop then started at 10:30 CET and took the market to its LoD (145.86) at 13:00 CET. From here it rose to its HoD (146.39) - 3 ticks above yesterday's high - and then dropped into a trading range till the close.

In the 5-day volume profile chart the PoC did not change.

No levels of Resistance

Six levels of Support
• 145.73 (PoC, VAH=146.08, VAL=145.59)
• 145.54
• 145.34
• 144.55
• 143.12
• 142.76.

These lower levels currently are of no interest.

Stock markets continued their down move but with less range than yesterday. ESTX50 and DAX do not look quite as negative as ES.

Today's volume profile looks balanced: there is a buying tail at the lower end and a selling tail at the upper end. In contrast the TPO profile has a p-shape.

Tomorrow there are no reports scheduled for the US market.

Today the down move stopped at the 145.86 level, the high just moved 3 ticks above yesterday's: Though per definition this is not an inside day, it looks like one.

The up momentum today looks a bit exhausted: the lack of reports tomorrow - a Friday - may have the effect that no one wants to open new positions. So we may see a low volume, low range day. Of course a sell-off (risk-off) in the stock markets will change this.

I think there will either be an initial drop to 146.15 - 10 or an up move to 146.34. The further development will depend upon stock markets then. A drop below the 145.90 - 93 level looks unlikely but should trigger a lot of selling.

Attached Thumbnails
Bund Future 16/11-snag-18.04.2013-22.11.41.png   Bund Future 16/11-snag-18.04.2013-22.10.59.png   Bund Future 16/11-snag-18.04.2013-22.39.49.png  
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PMA for April 19


We created a STF balance within LTF balance and might be driving value higher.
With nothing special coming tomorrow I expect more balancing within 146.30 and 145.86.

Slight change in the zones of interest.

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