The CL Crude-analysis Thread (Page 172) - Commodities Futures Trading | futures.io
futures.io futures trading
 

Go Back   futures.io

> Futures Trading, News, Charts and Platforms > Traders Hideout > Commodities Futures Trading


The CL Crude-analysis Thread
Started:December 17th, 2014 (02:33 PM) by tturner86 Views / Replies:126,076 / 1,755
Last Reply:16 Hours Ago (02:44 PM) Attachments:450

Welcome to futures.io.

Welcome, Guest!

This forum was established to help traders (especially futures traders) by openly sharing indicators, strategies, methods, trading journals and discussing the psychology of trading.

We are fundamentally different than most other trading forums:
  • We work extremely hard to keep things positive on our forums.
  • We do not tolerate rude behavior, trolling, or vendor advertising in posts.
  • We firmly believe in openness and encourage sharing. The holy grail is within you, it is not something tangible you can download.
  • We expect our members to participate and become a part of the community. Help yourself by helping others.


You'll need to register in order to view the content of the threads and start contributing to our community. It's free and simple, and we will never resell your private information.

-- Big Mike
     

Reply
 450  
 
Thread Tools Search this Thread

The CL Crude-analysis Thread

Old November 8th, 2016, 12:04 PM   #1711 (permalink)
Chief Bottle Washer
Prospect, KY. USA
 
Futures Experience: None
Platform: Sierra Chart
Broker/Data: Infinity
Favorite Futures: /CL
 
WilleeMac's Avatar
 
Posts: 616 since Jan 2012
Thanks: 288 given, 463 received

@SMCJB

Thank you

Please register on futures.io to view futures trading content such as post attachment(s), image(s), and screenshot(s).



-William

Reply With Quote
     
The following user says Thank You to WilleeMac for this post:
     

Old November 10th, 2016, 06:38 AM   #1712 (permalink)
Market Wizard
London UK
 
Futures Experience: Beginner
Platform: CQG
Favorite Futures: Futures
 
xplorer's Avatar
 
Posts: 1,547 since Sep 2015
Thanks: 2,639 given, 1,922 received
Forum Reputation: Legendary

Oil Market Takes Stock After Wild Trading in Election Aftermath

The oil market is taking a breather.

A day after Donald Trump’s shock U.S. presidential election victory Wednesday whipsawed prices on some of the heaviest trading volumes on record, U.S. futures hovered above $45 a barrel amid a rally in commodities from metals to grains. Crude pared earlier gains after the International Energy Agency said Thursday that prices may retreat amid “relentless global supply growth” unless the Organization of Petroleum Exporting Countries enacts significant output cuts.

Please register on futures.io to view futures trading content such as post attachment(s), image(s), and screenshot(s).


Traders are weighing the implications of the Republican presiding over a country that consumes more oil than any other and is one of the biggest producers too. Trump has promised independence from OPEC and some of his energy policies include opening federal lands for energy production and freeing up offshore areas to development. While investors took comfort from a conciliatory acceptance speech, a surge in U.S. crude stockpiles served as a reminder of the massive oversupply looming over the market.

“There is still a lot of uncertainty,” Toby Lawson, head of global markets for Australia at Societe Generale SA, said in a Bloomberg television interview. “We’ve got a bit of time to go through, to get some certainty around what the actual policies are but the direction indicates quite clearly that a Trump administration will be looking to fiscal policy to drive growth.”

Full article on Bloomberg

Reply With Quote
     
The following user says Thank You to xplorer for this post:
     

Old November 11th, 2016, 03:38 PM   #1713 (permalink)
Market Wizard
OH
 
Futures Experience: Advanced
Platform: QST
Broker/Data: QST, DeCarley Trading, Gain
Favorite Futures: Options on Futures
 
Posts: 2,329 since Jul 2011
Thanks: 634 given, 3,910 received


RBz has been down from Nov 10th to Nov 13th 9 of the last 10 years including this year. What happens in that time frame to cause that consistent timing on a drop?

Reply With Quote
     

Old November 11th, 2016, 04:02 PM   #1714 (permalink)
Market Wizard
Houston TX
 
Futures Experience: Advanced
Platform: XTrader
Broker/Data: Advantage Futures
Favorite Futures: Energy
 
Posts: 1,587 since Dec 2013
Thanks: 1,395 given, 2,362 received
Forum Reputation: Legendary


ron99 View Post
RBz has been down from Nov 10th to Nov 13th 9 of the last 10 years including this year. What happens in that time frame to cause that consistent timing on a drop?

Interesting question. I don't know, but consider this ... If we say the market has a 50% chance of being up or down, then the chance of 9 down years out of 10 is (0.5)^9*(0.5)^1. But there's 10 ways we can get 9 out of 10, so the actual probability is 10*(0.5)^9*(0.5)^1 which is approximately 0.0098% which equates to 1 in 102 days. So approximately every 102 days, this should happen by chance alone.

Reply With Quote
     

Old November 11th, 2016, 04:16 PM   #1715 (permalink)
Market Wizard
London UK
 
Futures Experience: Beginner
Platform: CQG
Favorite Futures: Futures
 
xplorer's Avatar
 
Posts: 1,547 since Sep 2015
Thanks: 2,639 given, 1,922 received
Forum Reputation: Legendary

Futures Edge on FIO

SMCJB View Post
Interesting question. I don't know, but consider this ... If we say the market has a 50% chance of being up or down, then the chance of 9 down years out of 10 is (0.5)^9*(0.5)^1. But there's 10 ways we can get 9 out of 10, so the actual probability is 10*(0.5)^9*(0.5)^1 which is approximately 0.0098% which equates to 1 in 102 days. So approximately every 102 days, this should happen by chance alone.

Is ^ = 'to the power of' ?

Reply With Quote
     

Old November 11th, 2016, 04:29 PM   #1716 (permalink)
Market Wizard
Houston TX
 
Futures Experience: Advanced
Platform: XTrader
Broker/Data: Advantage Futures
Favorite Futures: Energy
 
Posts: 1,587 since Dec 2013
Thanks: 1,395 given, 2,362 received
Forum Reputation: Legendary


xplorer View Post
Is ^ = 'to the power of' ?

Yes

Reply With Quote
     
The following user says Thank You to SMCJB for this post:
     

Old November 11th, 2016, 05:22 PM   #1717 (permalink)
Market Wizard
OH
 
Futures Experience: Advanced
Platform: QST
Broker/Data: QST, DeCarley Trading, Gain
Favorite Futures: Options on Futures
 
Posts: 2,329 since Jul 2011
Thanks: 634 given, 3,910 received


SMCJB View Post
Interesting question. I don't know, but consider this ... If we say the market has a 50% chance of being up or down, then the chance of 9 down years out of 10 is (0.5)^9*(0.5)^1. But there's 10 ways we can get 9 out of 10, so the actual probability is 10*(0.5)^9*(0.5)^1 which is approximately 0.0098% which equates to 1 in 102 days. So approximately every 102 days, this should happen by chance alone.

Shouldn't that be 0.98%?

Excuse my lack of statistical knowledge, but am I correct that your formula telling us the chances of being down 9 out of 10 days?

It's down over a 4 day period so does your formula apply to a 4 day period?

Since 2000 RBz down 14 out of 16.

I can find seasonal patterns looking at seasonal charts but it would help if I knew the why on the seasonal movement so that I can predict if that might happen again this year. Some of them I have no idea.

For example grains are usually down in Sep. That is probably because US harvest is happening and risk is gone for weather affecting crop once it is harvested.

Reply With Quote
     
The following 2 users say Thank You to ron99 for this post:
     

Old November 11th, 2016, 05:36 PM   #1718 (permalink)
Market Wizard
Houston TX
 
Futures Experience: Advanced
Platform: XTrader
Broker/Data: Advantage Futures
Favorite Futures: Energy
 
Posts: 1,587 since Dec 2013
Thanks: 1,395 given, 2,362 received
Forum Reputation: Legendary


ron99 View Post
Shouldn't that be 0.98%?

Yes correct, my bad. It's a probability of 0.0098 which is 0.98%.

ron99 View Post
Excuse my lack of statistical knowledge, but am I correct that your formula telling us the chances of being down 9 out of 10 days?

It's down over a 4 day period so does your formula apply to a 4 day period?

It could be 9 out 10 days, or 9 out of 10 years.
I was just saying 'down over a 4 day period is 50/50, and then 9 years out of 10'.


ron99 View Post
Since 2000 RBz down 14 out of 16.

(16*15)*(0.5^16) = 0.0037 or 1 in 273
Note that while there are only 10 ways we can arrange 9 downs, and 1 up out of 10, there are 16*15 ways we can arrange 14 downs and 2 ups out of 16. Wikipedia-Permutation's


ron99 View Post
I can find seasonal patterns looking at seasonal charts but it would help if I knew the why on the seasonal movement so that I can predict if that might happen again this year. Some of them I have no idea.

For example grains are usually down in Sep. That is probably because US harvest is happening and risk is gone for weather affecting crop once it is harvested.

There are good reasons for seasonal patterns to occur, be they fundamental or behavioral. I wasn't saying that's not the case here, I was just pointing out that at least twice a year you should be able to find a similar situation, purely due to chance. Obviously if there is a reason behind the pattern, theres a good chance it occurs again. If it's just chance though, it's only 50/50 it happens again.

Reply With Quote
     
The following user says Thank You to SMCJB for this post:
     

Old November 11th, 2016, 07:03 PM   #1719 (permalink)
Market Wizard
OH
 
Futures Experience: Advanced
Platform: QST
Broker/Data: QST, DeCarley Trading, Gain
Favorite Futures: Options on Futures
 
Posts: 2,329 since Jul 2011
Thanks: 634 given, 3,910 received

So am I correct in saying that 1 out of 102 years is the probability and so happening 9 out of 10 years was highly unlikely to be just luck? Especially since it happened 5 of 6 prior to that?

So if we were just rolling dice then next year would be 50-50 but since we aren't there is a good likelihood that it could work next year. But it won't work every year.

Reply With Quote
     

Old November 12th, 2016, 10:48 AM   #1720 (permalink)
Market Wizard
Houston TX
 
Futures Experience: Advanced
Platform: XTrader
Broker/Data: Advantage Futures
Favorite Futures: Energy
 
Posts: 1,587 since Dec 2013
Thanks: 1,395 given, 2,362 received
Forum Reputation: Legendary



ron99 View Post
So am I correct in saying that 1 out of 102 years is the probability and so happening 9 out of 10 years was highly unlikely to be just luck? Especially since it happened 5 of 6 prior to that?

No. It's saying that once every 102 trading DAYS we should randomly find a day where the market has been up 9 out of the last 10 years on that day. So given 250 trading days a year, we would expect to see these 9 out 10 pattern 2.45 times per year purely based upon chance.

How about this.

I'm going to use R to generate a random table of data (called m), with 10 rows, representing 10 years, and 250 columns, representing 250 trading days. If the random number is greater than 0.5 we will round it up to 1 (ie an up day), and less than 0.5 down to 0 (ie a down day). If we then sum each column it will show us how many days were up vs down for that day in the last 10 years. I'll then create a table to show the frequency of each outcome.

*runif is the R function to generate a random number from the uniform distribution

 
Code
> m <- matrix(runif(2500), 10, 250)
> m <- round(m)
> cs <- colSums(m)
> print(table(cs))
cs
 1  2  3  4  5  6  7  8  9 
 4 13 30 40 61 59 25 17  1 
>

So in this example we got 1 out of 250 occurrences where the market was up 9 years out 10, but 4 out of 250 occurrences where it was down 9 years out of 10.

Running this a second time will yield different results because it will use a different random numbers used. To illustrate this I will run it in a loop 10 times, each time using a different seed for the random number generator. (Note that since in this case I'm setting the seed if somebody else runs the same code they should get identical results as they will get the same random numbers as I did.)

 
Code
> for (i in 1:10){
+   set.seed(i)
+   m <- round(matrix(runif(2500), 10, 250))
+   print(table(colSums(m)))  
+ }

 1  2  3  4  5  6  7  8 
 2 13 31 55 71 50 19  9 

 1  2  3  4  5  6  7  8  9 
 3  9 37 40 63 59 31  3  5 

 0  1  2  3  4  5  6  7  8  9 
 1  2  6 35 43 53 60 33 11  6 

 1  2  3  4  5  6  7  8  9 
 4  9 32 58 53 47 29 17  1 

 1  2  3  4  5  6  7  8  9 10 
 4 11 25 52 67 43 31 12  4  1 

 1  2  3  4  5  6  7  8  9 10 
 3 14 28 52 53 59 28 11  1  1 

 1  2  3  4  5  6  7  8 10 
 3 17 31 56 55 50 30  7  1 

 2  3  4  5  6  7  8  9 
 9 24 59 66 50 28 12  2 

 1  2  3  4  5  6  7  8  9 
 3  7 32 55 54 48 33 17  1 

 0  1  2  3  4  5  6  7  8  9 
 1  5 12 35 46 63 41 31 13  3

Now you can see our 9 out of 10 pattern occurred 0, 5, 6, 1, 4, 1, 0 , 2, 1, 3 times respectively which has a mean of 2.3 vs our expectation of 2.44
 
Code
> 250 * (10*(.5^10))
[1] 2.441406

Reply With Quote
     
The following 2 users say Thank You to SMCJB for this post:
     

Reply



futures.io > Futures Trading, News, Charts and Platforms > Traders Hideout > Commodities Futures Trading > The CL Crude-analysis Thread

Thread Tools Search this Thread
Search this Thread:

Advanced Search



Upcoming Webinars and Events (4:30PM ET unless noted)
 

Trading Technologies: ADL hands-on

Dec 13

Normal webinar schedule resumes after the holidays

January

Ernie Chan: Risk Management

Elite only

Dedicated Trading Servers: Advantages/Disadvantages w/sam028

Elite only

An Afternoon with FIO member Massive I

Elite only

Leo Murphy: TBA

Elite only
     

Similar Threads
Thread Thread Starter Forum Replies Last Post
CL Light Crude Analysis TPO/MP/VWAP/VPOC bobarian Commodities Futures Trading 1806 July 17th, 2015 03:39 AM
CL Crude-nalysis indextrader7 Commodities Futures Trading 227 November 5th, 2014 12:47 AM
Why crude oil (CL) trades mostly 1 contract? fyd49 Commodities Futures Trading 8 May 22nd, 2014 04:27 PM
Miscellaneous Statistical Analysis (the big thread) trendisyourfriend The Elite Circle 29 July 15th, 2013 01:51 PM
Big move on crude analysis josh Commodities Futures Trading 4 March 11th, 2011 10:07 AM


All times are GMT -4. The time now is 06:45 AM.

Copyright © 2016 by futures.io. All information is for educational use only and is not investment advice.
There is a substantial risk of loss in trading commodity futures, stocks, options and foreign exchange products. Past performance is not indicative of future results.
 
no new posts
Page generated 2016-12-10 in 0.14 seconds with 20 queries on phoenix via your IP 54.166.37.177