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Day type identification


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Day type identification

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  #1 (permalink)
sadago
Melbourne
 
 
Posts: 22 since Sep 2019
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Appling Market profile techniques and statistical methods, how early during the day you identify whether the day is going to be:

- Normal
- Normal Variation
- Neutral or
- Trend day

Are there pointers wherein I can learn more ? I would like to create objective rule based trade beyond just understanding the context of the market.

Cheers!!

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  #2 (permalink)
 trendisyourfriend 
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sadago View Post
Appling Market profile techniques and statistical methods, how early during the day you identify whether the day is going to be:

- Normal
- Normal Variation
- Neutral or
- Trend day

Are there pointers wherein I can learn more ? I would like to create objective rule based trade beyond just understanding the context of the market.

Cheers!!

The best place to start your research is at Linnsoft homework page:
https://www.linnsoft.com/homework

This is an old link (2013) but there are some definitions ans stats that might be useful to recalculate.
https://shanebrewer.com/2013/01/29/day-type-statistics-for-the-es-sp-500-e-mini-futures-contract/

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  #3 (permalink)
 Cutloss 
Midway florida
 
 
Posts: 244 since May 2021


I worked and traded at a prop firm for a year i was head of futures trading and it was a small office with mainly stock traders and a coupdl futures traders. we had an annoying weasel of a risk manager
and a futures trader who well just tended to pace and do mortgage deals on his phone all day!

there were all kinds of traders in the shop and we did not have a training program or force anyone to trade any certain way it was wide open but that was probably not the best either because so many guys were
sort of clueless on a lot of stuff but it was interesting to see all the different ways different peopel could attack the markets. that part was fun we did have a doctor and his son the doc was semi retried and man he had a real knack for timing his entry and exits. i mean this guy would go so big and just click boom and he then he left the office in his 1 of many austin healys. he was such a bad ass i still remember talking with him a little as his son struggled and struggled and his dad just kept handing him money.

you could use our resources and money for margin intraday and stuff but you had to walk in the door with your own money to start and many didnt even use our margin just our tech and risk manager because you could utilize him to watch your own account and he would do exacatly what you told him.

Anyway the doctors kid had this theory that he was going to understand and pick the type of day that it was and trade accoringly. he would wait until about i dont knwo an hour after the open and he would say.
oh its gonna be a z day today or its a v for sure or a w or an M.. i mean to thinkn that you can trade the day with a bias ahead of time with rallies and dips is ABSURD!!

if you are good enough to say the market will be up or down for the day or positive neg then you ahve the world in your pocket!!

just grab small pieces of teh day and size up when you see good setups. i think its nonsense to try and pick the type of day it is going to be based on a shape of a letter

now if you are jsut trying to say trend day or consoldiaton or sell off or distribution then yeah sure and maybe some breadth longer term stats is what you want but thats just a guess or read the headlines in teh morning and do the opposite.

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 ShadowFox 
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I would recommend Al Brooks and his youtube page. He has a ton of information on this and trading PA. Go to his youtube channel and type "Patterns on the open" and you will find some information. I have not watched this video in particular but I do follow him and have a lot of respect for his content even though I trade completely different.


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sadago
Melbourne
 
 
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Cutloss View Post
I worked and traded at a prop firm for a year i was head of futures trading and it was a small office with mainly stock traders and a coupdl futures traders. we had an annoying weasel of a risk manager
and a futures trader who well just tended to pace and do mortgage deals on his phone all day!

there were all kinds of traders in the shop and we did not have a training program or force anyone to trade any certain way it was wide open but that was probably not the best either because so many guys were
sort of clueless on a lot of stuff but it was interesting to see all the different ways different peopel could attack the markets. that part was fun we did have a doctor and his son the doc was semi retried and man he had a real knack for timing his entry and exits. i mean this guy would go so big and just click boom and he then he left the office in his 1 of many austin healys. he was such a bad ass i still remember talking with him a little as his son struggled and struggled and his dad just kept handing him money.

you could use our resources and money for margin intraday and stuff but you had to walk in the door with your own money to start and many didnt even use our margin just our tech and risk manager because you could utilize him to watch your own account and he would do exacatly what you told him.

Anyway the doctors kid had this theory that he was going to understand and pick the type of day that it was and trade accoringly. he would wait until about i dont knwo an hour after the open and he would say.
oh its gonna be a z day today or its a v for sure or a w or an M.. i mean to thinkn that you can trade the day with a bias ahead of time with rallies and dips is ABSURD!!

if you are good enough to say the market will be up or down for the day or positive neg then you ahve the world in your pocket!!

just grab small pieces of teh day and size up when you see good setups. i think its nonsense to try and pick the type of day it is going to be based on a shape of a letter

now if you are jsut trying to say trend day or consoldiaton or sell off or distribution then yeah sure and maybe some breadth longer term stats is what you want but thats just a guess or read the headlines in teh morning and do the opposite.

Hello Cutloss,

Understand what you are saying here. If I still have to persist with my question and rephrase it - > Based on the B period after the IB is complete with the market context (previous few days, current week) what decisions can be made ?.

Basically, from the experts would like to learn about trade strategies that can be built. I am seeking direction for further investigation instead of ready-made solutions.

I do use volume profile, and would like to create additional trade-setups and observe on a daily basis to validate these setups.

Cheers!!

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  #6 (permalink)
sadago
Melbourne
 
 
Posts: 22 since Sep 2019
Thanks: 61 given, 23 received


Cutloss View Post
I worked and traded at a prop firm for a year i was head of futures trading and it was a small office with mainly stock traders and a coupdl futures traders. we had an annoying weasel of a risk manager
and a futures trader who well just tended to pace and do mortgage deals on his phone all day!

there were all kinds of traders in the shop and we did not have a training program or force anyone to trade any certain way it was wide open but that was probably not the best either because so many guys were
sort of clueless on a lot of stuff but it was interesting to see all the different ways different peopel could attack the markets. that part was fun we did have a doctor and his son the doc was semi retried and man he had a real knack for timing his entry and exits. i mean this guy would go so big and just click boom and he then he left the office in his 1 of many austin healys. he was such a bad ass i still remember talking with him a little as his son struggled and struggled and his dad just kept handing him money.

you could use our resources and money for margin intraday and stuff but you had to walk in the door with your own money to start and many didnt even use our margin just our tech and risk manager because you could utilize him to watch your own account and he would do exacatly what you told him.

Anyway the doctors kid had this theory that he was going to understand and pick the type of day that it was and trade accoringly. he would wait until about i dont knwo an hour after the open and he would say.
oh its gonna be a z day today or its a v for sure or a w or an M.. i mean to thinkn that you can trade the day with a bias ahead of time with rallies and dips is ABSURD!!

if you are good enough to say the market will be up or down for the day or positive neg then you ahve the world in your pocket!!

just grab small pieces of teh day and size up when you see good setups. i think its nonsense to try and pick the type of day it is going to be based on a shape of a letter

now if you are jsut trying to say trend day or consoldiaton or sell off or distribution then yeah sure and maybe some breadth longer term stats is what you want but thats just a guess or read the headlines in teh morning and do the opposite.


trendisyourfriend View Post
The best place to start your research is at Linnsoft homework page:
https://www.linnsoft.com/homework

This is an old link (2013) but there are some definitions ans stats that might be useful to recalculate.
https://shanebrewer.com/2013/01/29/day-type-statistics-for-the-es-sp-500-e-mini-futures-contract/

Hello trendisyourfriend,

Yes, Shanebrewer site is good. Thanks for sharing it!!

The linnsoft site has newer stuff...Both are good links to mine more statistics based key information.

Thanks a bunch!!

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  #7 (permalink)
 GFIs1 
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sadago View Post
Appling Market profile techniques and statistical methods, how early during the day you identify whether the day is going to be:

- Normal
- Normal Variation
- Neutral or
- Trend day

Are there pointers wherein I can learn more ? I would like to create objective rule based trade beyond just understanding the context of the market.

Cheers!!

Hi @sadago

The "day" development isn't precise enough: There are predictable movements with IB direction, length and more. But during a day there are obstacles, some that are known before (numbers, speeches etc.) and some that are coming in and are heavy enough to move the markets.
What I am using is a time based entry / exit on 30m charts. There I am learning to find "patterns" that are repeating on weekdays. Having in mind that on futures the money flows into the markets on a Monday and is taken out over weekend, holidays etc. then I filter a rule set that is working differently on every weekday. To reduce risk the money is in the market when no important news are on the table as well of course over night etc. - results are very good! With that said - the stop losses that vary in this pattern technique differently every weekday - the risk is taken down with the goal to have more positive trades with good results and little with a calculated risk when running in SL.
Important to know: every instrument has a different pattern. So one can not take the same pattern on every instrument!
Interestingly my pattern trading gives positive yearly results since 10 years. Even in very different market conditions.
Find your instrument and watch for patterns - you will find repeating market behavior for sure.

GFIs1

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  #8 (permalink)
sloth
Denver, CO
 
 
Posts: 11 since May 2021
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sadago View Post
Appling Market profile techniques and statistical methods, how early during the day you identify whether the day is going to be:

- Normal
- Normal Variation
- Neutral or
- Trend day

Are there pointers wherein I can learn more ? I would like to create objective rule based trade beyond just understanding the context of the market.

Cheers!!

Sadago, I like to keep things pretty simple. The market is usually going to form a profile that looks like a 'p', a 'b' or a 'D'. The p's and b's have some sort of imbalance and have an open drive or open test reject. A D with test both sides of the open. Obviously you can correspond those types of patterns to various traditional day types - with D being like a normal day, etc.

Perhaps the biggest clue as to what type of day may unfold is where the open occurs relative to either the prior day's distribution or a composite distribution. I prefer to use the latter. If you are opening outside of value the odds greatly increase that you get some sort of drive or impulse because the market is not in the balance area. An example of this would be the NQ yesterday (6/1). The market opened (US session) outside of the composite area - couldn't hold a potential breakout, creating the impulse or drive to the downside.

How long does this take to identify? It depends on the day but generally within the first 30 minutes. In hindsight, it's easy to categorize each day and put it in a box. Maybe some traders can do that on the fly. For me, personally, it's far more useful to simply determine if the market is likely to trade directionally or test in both directions off the open. As mentioned above, that often boils down to whether nor not the market is in balance or not.
Volume is important as well. If relative volume in the first 15 minutes or so is heavy odds increase that you'll get something directional. Volume is highly correlated to range.

Hope that is useful.

Edit: Not sure that I was clear about this - in addition to where the market opens, just observing how much the market trades on either side of the open is important. For example An open drive with little to no trade on one side of the OP on heavy volume is useful information.

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  #9 (permalink)
sadago
Melbourne
 
 
Posts: 22 since Sep 2019
Thanks: 61 given, 23 received


sloth View Post
Sadago, I like to keep things pretty simple. The market is usually going to form a profile that looks like a 'p', a 'b' or a 'D'. The p's and b's have some sort of imbalance and have an open drive or open test reject. A D with test both sides of the open. Obviously you can correspond those types of patterns to various traditional day types - with D being like a normal day, etc.

Perhaps the biggest clue as to what type of day may unfold is where the open occurs relative to either the prior day's distribution or a composite distribution. I prefer to use the latter. If you are opening outside of value the odds greatly increase that you get some sort of drive or impulse because the market is not in the balance area. An example of this would be the NQ yesterday (6/1). The market opened (US session) outside of the composite area - couldn't hold a potential breakout, creating the impulse or drive to the downside.

How long does this take to identify? It depends on the day but generally within the first 30 minutes. In hindsight, it's easy to categorize each day and put it in a box. Maybe some traders can do that on the fly. For me, personally, it's far more useful to simply determine if the market is likely to trade directionally or test in both directions off the open. As mentioned above, that often boils down to whether nor not the market is in balance or not.
Volume is important as well. If relative volume in the first 15 minutes or so is heavy odds increase that you'll get something directional. Volume is highly correlated to range.

Hope that is useful.

Edit: Not sure that I was clear about this - in addition to where the market opens, just observing how much the market trades on either side of the open is important. For example An open drive with little to no trade on one side of the OP on heavy volume is useful information.

Sloth,
This is really simple explanation and crisp. Thanks!!
W.r.to composite distribution - can you please explain for what time-periods you collapse and view as composite? ...bit more insights on that will help. Thanks again!!

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sloth
Denver, CO
 
 
Posts: 11 since May 2021
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sadago View Post
Sloth,
This is really simple explanation and crisp. Thanks!!
W.r.to composite distribution - can you please explain for what time-periods you collapse and view as composite? ...bit more insights on that will help. Thanks again!!

Sadago,

Sure, the short answer is that I start a new composite profile whenever the market starts a new auction. In other words, if the market has been in a range (composite distribution) and new information enters the market place - you'll often see a breakout due to imbalance as the info is discounted. That impulse / trend / one timeframing behavior is the departure point for my new volume profile. The market is now seeking a new level where trade can be facilitated and a agreement on value can be established.
These composite distributions end up evolving into p's and b's that resemble the 'Steidlymayer Distribution'


Some traders, Like FT71 like to have a merged profile for months. I prefer this method as it jibes with how I visualize the auction process unfolding and more importantly knowing which setups are appropriate for the given context.

I'm unable to post an example as I only have 2 posts on futures.io. If we continue the conversation I'll be able to share some examples.

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