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Does anybody have any tips or methods they'd like to share for filtering out those days that aren't good for trading. I use primarily tick charts and as ya'll know, ATR can be higher on thin as well as thick markets. Looking at how many tick bars have completed and overall "feel" during trading helps, but I was wanting something more quantitative. Perhaps there's nothing definitive as markets can accelerate at any time. I've got that Monday's are normally pretty dead. I also look at a daily chart's prior volume. It's those days where price has no conviction and just peters around that I'd like to avoid as quickly as possible when confronted. :P
Yes, normally the days with bad volatility can be spotted early on in the day. Bad volatility means that there is no conviction in any direction. This is normally very clear in the first few minutes because price goes back an forth through the OPENING. When price goes up and down passing many times through the opening it is usually a choppy day.
In that case it's better to postpone trading until momentum really kicks in.
I use a bar (1 min, 5 min etc.) and compare the range to prior bars (on the same chart). 70% of the time the bars are the same size as prior bars for the ES. Overlap bar size with volume and you have a better story.
Looking at prior days volume profile helps me determine the probability of today being a range vs trending day. I can establish a hypothesis (or 2) before trading and act on them during the session. FuturesTrader71's daily videos are a good example of what I'm describing, although I pay a little more attention to the overnight session.
I still trade on most days, but my I'm looking for different targets on trading vs ranging days.
Thanks for the tips so far. I guess I should mention that I am a scalper who uses charts (2k tick) AND the DOM. Candles with big wicks are one sign of apathy, but it's those big candles that seem to retrace the full length a million times before they close, that is the big annoyance for me. I know of ways to trade days like that (every candle is a consolidation - fade every new high), but I'd rather not get that kind of thinking in my head. Commissions aren't THAT cheap lol.
On Monday as an example the large gap up from the previous day's range in the ES at the open of the RTH session after Covid vaccine optimism suggests volatility because price has moved so far from where it was trading yesterday and yesterday's perception of where value was by those participating.
As you are looking at a DOM be aware of what the typical total depth in the book is. I trade the NQ but I have an ES DOM up too and that shows the total sum of the 10 levels of depth on each side. On Monday the orderbook depth was only about 400 per side five minutes after the open. In the NQ the spread was also about six ticks wide compared to a more normal tick or two spread.
Yesterday, Thursday the ES orderbook was about 600/side after five minutes (9:35am ET), the ES opened in the middle of the overnight and yesterday's range.
A couple of weeks ago (21/9), the ES was about 1100/per side after five minutes.
You do not win as a trader, you just get to play again the next day. If that game doesn’t appeal to you then you should not trade. Gary Norden
It all depends on your trading style I would say. Being a 1 point scalper, I can trade everyday of the week no problem and I am able to make a profit even if the day is ranging. That being said, lately market movements in the ES seem to be getting back to "normal". Strong trend days are very nice and easy to trade though so it is not a bad idea at all to stick to strong trend days in your trading. Range days can be difficult to trade due to failed breakouts.
There are literally dozens for dime methods out there for hese things, most notable ones are IB, Opening range, STdev from open or session VWAP, yesterdays IB/open range low and today's open, ADR ranges, ATR ranges etc (ATR and ADR ranges will change as per instrument specific volatility), historical ranges of given time periods or just plain old and simple HVR indicators..etc
Generally, its best to opt for a method that is seating in right with your existing system, especially if you are the type that gets in position early, so its important that these ranges are plotted from get go (first bar), some are not, like Opening range, which will require certain time/bars to complete the range formation, depending on what you have set in.
Indicator or method here is not the key, key is what you can trade, I can and have programmed most of the above on TV for myself but I never managed to trade them directly, most of the time these things don't produce enough statistical advantage or some other factors play in.
Just my 2c, ignore if I'm not making any sense, I'm on too much coffee
I use Sierra Charts w/ the Denali price feed so I have the offer/bid depth as far as the eye can see. It's mostly all fake though as you know. But comparing one day's fakeness to the next might be an idea.
But if you look at 9/15 on the ES using a 2k tick chart you'll see what I mean by dead. But the candles are bigger than normal, almost like a high volatility+volume day. On that day the few candles that printed are "high volatility" but that's because they were taking 6-8 mins. to close each lol. A volume comparison is the key.
Of course just zooming out on a 5M chart and paying close attention to the volume bars prior to each market open is okay.
What about something else that would more accurately measure volume in relation to time; ie, contracts per second CPS (I just made that up lol?) So you'd get a number like 50 CPS, 100 CPS, 500 CPS, etc.
That measurement of trading 'velocity' would be very helpful I would think?
