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a formula to predict tomorrow midpt in ES?


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a formula to predict tomorrow midpt in ES?

  #21 (permalink)
 
aquarian1's Avatar
 aquarian1 
Point Roberts, WA, USA
 
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I don't want to muddy the thread, but I do appreciate the ideas from all of you so here goes:

More important than an low average error is to know, if possible when the estimate of the midpoint is about correct and when it is way off.

lets say we have information that influences our formula(s) accuracy so under certain conditions we know are formula(s) are going to be way off. Then under those conditions we do not use our formula

I'm make up some stuff here:
w = a very large o/n gap (for ES >5pts)
x = an open at the low end of the estimated range
y = an open at the high end of the estimated range
z = a strong multiday trend (either up or down)

In any case, I guess I am rambling here, but I have notice that my estimated mid can be close many days and then way off on one.


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  #22 (permalink)
 
aquarian1's Avatar
 aquarian1 
Point Roberts, WA, USA
 
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Blash View Post
This might help your endeavor.....

RH = Range High
RM = Range Mid
etc....

Attachment 225789

Ron

Hi Ron,
many thanks for all your work here.
I'll review it more when my mind is more clear.

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  #23 (permalink)
 
aquarian1's Avatar
 aquarian1 
Point Roberts, WA, USA
 
Experience: Advanced
Platform: IB and free NT
Broker: IB
Trading: ES
Posts: 4,034 since Dec 2010
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Today is a good example of the need for several formula for predicting the midpt
It was clear from the o/n it would be a strong down day (at least from the open)

We had started a downtrend on Friday and once the open happen the selling was unleashed.

In this case estimates based on a continuation of Friday, or - the open would give a poor estimate.

So I am thinking of various formula
  1. uptrend
  2. sideways
  3. downtrend

any thoughts on this?

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  #24 (permalink)
 
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 jackbravo 
SF, CA/USA
 
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Are you familiar with investorIQ ? He does some forward projection based on back testing. He usually puts out a YouTube video everyday. Might give you some ideas.

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  #25 (permalink)
 
aquarian1's Avatar
 aquarian1 
Point Roberts, WA, USA
 
Experience: Advanced
Platform: IB and free NT
Broker: IB
Trading: ES
Posts: 4,034 since Dec 2010
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aquarian1 View Post
Today is a good example of the need for several formula for predicting the midpt
It was clear from the o/n it would be a strong down day (at least from the open)

We had started a downtrend on Friday and once the open happen the selling was unleashed.

In this case estimates based on a continuation of Friday, or - the open would give a poor estimate.

So I am thinking of various formula

I am completing my weekend updating and here is an example:
(Abs Diff means to the actual midpt)


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