Good vs. Bad volatility (filtering out days) - futures io
futures io futures trading



Good vs. Bad volatility (filtering out days)


Discussion in Emini and Emicro Index

Updated by redbarntrades
      Top Posters
    1. looks_one STD Deviant with 3 posts (4 thanks)
    2. looks_two SidewalkAerobics with 2 posts (4 thanks)
    3. looks_3 syswizard with 2 posts (0 thanks)
    4. looks_4 matthew28 with 2 posts (10 thanks)
      Best Posters
    1. looks_one bobwest with 8.0 thanks per post
    2. looks_two ivoTrades with 6.0 thanks per post
    3. looks_3 matthew28 with 5.0 thanks per post
    4. looks_4 Meklon with 4.0 thanks per post
    1. trending_up 1,223 views
    2. thumb_up 48 thanks given
    3. group 119 followers
    1. forum 18 replies
    2. attach_file 1 attachments




Welcome to futures io: the largest futures trading community on the planet, with well over 100,000 members
  • Genuine reviews from real traders, not fake reviews from stealth vendors
  • Quality education from leading professional traders
  • We are a friendly, helpful, and positive community
  • We do not tolerate rude behavior, trolling, or vendors advertising in posts
  • We are here to help, just let us know what you need
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.

-- Big Mike, Site Administrator

(If you already have an account, login at the top of the page)

 
Search this Thread
 

Good vs. Bad volatility (filtering out days)

(login for full post details)
  #1 (permalink)
Derby, Kansas
 
 
Posts: 4 since Nov 2020
Thanks: 7 given, 4 received

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

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

Can you help answer these questions
from other members on futures io?
Delta PVP ( POC )
MultiCharts
fibonacci retracements settings not saved in investing
Traders Hideout
Convert H Data TS to NT
NinjaTrader
Webinar: Trading and Hedging Gold Futures and Options w/Carley Garner
Options
Can Tradingviews Drawing tool create limit order
Platforms and Indicators
 
 
(login for full post details)
  #2 (permalink)
Rovigo (ITALY)
 
Experience: Intermediate
Platform: SierraChart, MotiveWave
Broker: Rithmic, Dorman, Interactive Brokers
Trading: Emini, Nasdaq, DAX, Bund, IBEX
 
SBtrader82's Avatar
 
Posts: 69 since Feb 2018
Thanks: 12 given, 91 received

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.

Sent using the futures.io mobile app

Follow me on Twitter Reply With Quote
The following 4 users say Thank You to SBtrader82 for this post:
 
(login for full post details)
  #3 (permalink)
Los Angels
 
Experience: Intermediate
Platform: MultiChart
Trading: Emini ES
 
Posts: 115 since Aug 2018
Thanks: 164 given, 69 received



STD Deviant View Post
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 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.

Reply With Quote
The following user says Thank You to SidewalkAerobics for this post:
 
(login for full post details)
  #4 (permalink)
Europe
 
 
Posts: 22 since Aug 2018
Thanks: 18 given, 38 received


STD Deviant View Post
Does anybody have any tips or methods they'd like to share for filtering out those days that aren't good for trading.

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.

Reply With Quote
The following 6 users say Thank You to ivoTrades for this post:
 
(login for full post details)
  #5 (permalink)
Derby, Kansas
 
 
Posts: 4 since Nov 2020
Thanks: 7 given, 4 received

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.

Reply With Quote
 
(login for full post details)
  #6 (permalink)
Los Angels
 
Experience: Intermediate
Platform: MultiChart
Trading: Emini ES
 
Posts: 115 since Aug 2018
Thanks: 164 given, 69 received


ivoTrades View Post

I still trade on most days, but my I'm looking for different targets on trading vs ranging days.

It is A-OK to "not trade". Many traders have day's they wished they did not trade.

Reply With Quote
The following 3 users say Thank You to SidewalkAerobics for this post:
 
(login for full post details)
  #7 (permalink)
Legendary Elite_Member
Wiltshire, United Kingdom
 
Experience: Beginner
Platform: Jigsaw daytradr
Trading: US Equity Index Futures
 
matthew28's Avatar
 
Posts: 913 since Sep 2013
Thanks: 2,192 given, 1,601 received

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.

Trading, ideally structured, is a vehicle for expanding consciousness, not damaging it. - Brett Steenbarger
Visit my futures io Trade Journal Reply With Quote
The following 4 users say Thank You to matthew28 for this post:
 
(login for full post details)
  #8 (permalink)
Minneapolis, Minnesota, United States
 
 
Posts: 3 since Oct 2020
Thanks: 1 given, 5 received

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.

Reply With Quote
The following user says Thank You to TheFuturesKid for this post:
 
(login for full post details)
  #9 (permalink)
Legendary Pratik_4Clover
Mumbai, India
 
Experience: Beginner
Platform: Own Customized
Trading: Crude, NIFTY, BANKNIFTY
 
LastDino's Avatar
 
Posts: 659 since Jan 2019
Thanks: 1,623 given, 1,650 received

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

___________________________________________________________
Everyone has a plan until they get smacked in the mouth. - Mike Tyson
___________________________________________________________
Reply With Quote
The following 2 users say Thank You to LastDino for this post:
 
(login for full post details)
  #10 (permalink)
Derby, Kansas
 
 
Posts: 4 since Nov 2020
Thanks: 7 given, 4 received



matthew28 View Post
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.

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?

Reply With Quote
The following 3 users say Thank You to STD Deviant for this post:


futures io Trading Community Traders Hideout Emini and Emicro Index > Good vs. Bad volatility (filtering out days)


November 30, 2020


Upcoming Webinars and Events
 

Trading and Hedging Gold Futures & Options w/Carley Garner

Elite only
 

Bookmap

Dec TBD
     



Copyright © 2020 by futures io, s.a., Av Ricardo J. Alfaro, Century Tower, Panama, +507 833-9432, info@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