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It is either, or. As in; The open of RTH is within yesterday's range but where does it open within that range? In the upper part of the range or the lower part of the range?
OIR
Today we opened up inside of yesterday's range and inside of yesterday's value, a few points shy of yVWAP close, but still in the lower half of yesterday's range. So, looking at the stats you can gather a lot of probabilities of how the day might shape up. There was a 47% probability we would break the prior day low and a 36% probability we would break the prior day high - but a 75% probability we would break one of them.
When we sold off, I had to change up my strategy. Keep the long trades tight and let the short trades roll. That kind of thing..
stat
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- Trade what you see. Invest in what you believe -
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- Trade what you see. Invest in what you believe -
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Those VWAPs are for RTH session only. I personally don't get too caught up in the weeds with respect to holidays. I have not found they skew things all that much, but I stand to be corrected.
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- Trade what you see. Invest in what you believe -
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One thing I would add to this (for my first post ) is that if you collect data like this for yourself you can go one step further and calculate conditional probabilities once a level has been broken.
The metricsmaestro probability table tells you "if we open LIR, x level is broken y% of the time."
As the day evolves it can be useful to extend this kind of analysis to "if we open LIR, and the previous day's low is broken, then x level is broken y%" of the time.
You can keep layering these kinds of conditional probabilities on top of each other, but I've found that sample sizes can get too small to be meaningful after two conditions. I'm only using 5 years of data though so more data could let you extend this even further, with diminishing reliability and significance.
I've found that this type of analysis hasn't changed very much over time as well. Using this kind of information is really helpful for developing context as a day progresses.
If context is hard to gauge, then I don’t see any problems in using volume profile in the way that Jerry Perl (mentioned some pages back) used for his Market Statistics idea.
For trend days, you typically have price one time frame along the 1st SD for a good chunk of the day. I saw this the past week on DAX and some FX pairs I trade. This usually comes with the move, build volume, then move layout on the profile, something I learned to look for off Peter Davies of Jigsaw.
The easier trades tended to be seen as the simple VWAP breakouts, that is, when a large base of volume has been made, usually a good hour or two into any session when VWAP has settled, you’ll see the POC either above or below the VWAP. That’s your skew, and price in relation to this gives you a trigger to go long or short based on whether it breaks out into a low volume area for the day, or carries on into the high volume for the day.
My only problem was with execution when I got caught out of false breaks that didn’t make it to the 1st SD above/below VWAP, and the large stops. But from what I see of the method, it’s sound. I base pretty much all my trading on this intraday way of assessing whether we have a trend, reversion to mean, or reversal.
) is that if you collect data like this for yourself you can go one step further and calculate conditional probabilities once a level has been broken.