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Help wanted on Range Expansion prediction. New traders ideas welcome!
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Help wanted on Range Expansion prediction. New traders ideas welcome!

  #11 (permalink)
Elite Member
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I wanted to add to my post. I also keep a notebook of manual calculations per contract, e.g. Dec, March, June and Sept. So I dug around and found the data I had for the trading day I posted above.

The anticipated range for the day was 81 ticks
The 2 week (10 day) average range was 82 ticks
The 4 week (20 day) average range was 82 ticks

The Buy Number for the session was 1.2710
The Pivot Number was 1.2748
The Sell Number was 1.2790

The "current" range at the London Open (3am est) was (+/-) 35 ticks

Armed with these numbers before the 3am Open I was expecting
1.) Normal price Rotation around the whole number of 1.2750
2.) The Pivot (1.2748) to support price (enforced by the option data)
3.) Extension of the range to be to the up side
4.) I was expecting the range to meet/match the historical averages,,, so by taking the LOW and adding the anticipated range, the "EOD High" should be 1.2802

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This chart Nov 16 2012 cuts off the prior day's (Nov 15) high but the data in my notebook has the high for 11-15-12 at 1.2807. FWIW, these charts were captured for another purpose but I hope you find them helpful.

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  #12 (permalink)
The fun is in the numbers
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Trades of Nov 15


Cashish View Post
Yes

I'm posting another example of a similar trade taken in Nov, 2012. The options data is EOD Nov, 14 the trades are Nov 15, 2012.

Hi Cashish,

Thank-you for sharing and your posts.

You highlighted 1.2750 (versus 1.270 or 1.280) in yellow.
1. Was this prices 2750 close to the midpoint of Nov 14th?
(I compute 2787-2706=81/2=40.5 => 2746.50 or approximately 1.2750 your highlighted price?)


On the 15 the low was 2721 and the high 2777?
You bought about 3:40am (2749 and 2747) so approximately 1.2750 your highlighted price.

(Some questions on pics)

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  #13 (permalink)
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Keep it simple. Most traders go to great lengths to over complicate things.

All I'm looking for is the sum total of all open option positions resting on S/R levels. I consider these open option positions like "re-bar" (steel reinforcing rod in concrete) running through the S/R levels I've already identified. I do not concern myself with percentages of puts vs calls, only the sum total. There's a lot of information buried in these numbers and I assure you you can spend countless hours slicing and dicing to your hearts desire. The fact is, these levels will give way eventually, I only expect them to support my position "a time or two" during a single trading session (rule of three). Remember, these OI numbers are for the "prior day," you have to look at the price action of "that day" to ascertain information as to why (maybe) the OI increased or decreased. To be absolutely clear, I don't take trades based on these numbers, per se, I only expect them to "reinforce" levels I've identified by other means. I have a thread that defines my method if you have an interest take a peek, https://futures.io/trading-journals/15779-trading-6e-euro-eur-usd-futures-contract-old-school-twist.html#post174411

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  #14 (permalink)
The fun is in the numbers
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Cashish View Post
Very simply, there's twice as many options resting on 1.3300 than there is resting on 1.3350. Again very simply,,,, with this information I would expect 1.3300 to be a much stronger level of support than 1.3350.

Hi Cashish,

Thanks. Of course keeping things simple is nice. You mention twice as many at one level than the next.
Simply speaking twice is a ratio, 2.0

Thank-you for your link to your thread.

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  #15 (permalink)
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Are you looking to predict the range expansion to try and determine the next days range?

Here's an idea you may want to expand on: When todays range is around 50 to 60 percent of the 10 day avg range...then you could logically assume it may "revert to the mean".

Now to possibly "predict" where price could go the next day...I've been using on a 5 minute chart moving average envelopes(charts at Interactive brokers.com) with the settings:

EMA 390...then upper and lower boundary settings at .25, .5, .75.( If using day session numbers only)

If you use the overnight numbers in your calculations then use EMA 780.( covers data from the start of the European session)



aquarian1 View Post
[
Out-of-the-box Thinkers Welcome!


This is a thread for new ideas for predicting range expansion.


I am looking for new ideas to try to explore. It doesn't matter if you are totally new - I would like to hear your ideas of what might be a good idea to look at.

I'm not going to ridicule any ideas (and of course we all know the senior members would never make fun of anyone, right? wink!)

Even though I've said this you might still feel reluctant to post for fear of sounding foolish or being ridiculed.
You can always send me your ideas by private message. (If you would like me to post them in the thread say so and I'll just start it with "One reader number 12, posted.....

---------

So what is range expansion?
Well I trade the ES, so here is an example from the ES.

So the range of the RTH session (the difference between the high and the low) for the last week Monday to Friday 4 Feb to 8 Feb 2013.was:
11.50, 12.25, 8.75, 15.0, 7.0


Thursday could be considered a mild range expansion as the range increased from Wednesday's 8.75 to 15.0 points.

Certainly if it has been trundling at about 11 to 12 points and jumps to 25 points that would be a range expansion.

So once again all ideas no matter how off-the-wall are welcome.

-----------------------------
I am not particularly looking for seasoned traders to post on what they know, though or course your posts are welcome.- just no long-winded disertations designed to puff your ego.

I would ask that those who think it is impossible not post here.
That only serves to intimidate others from posting.

Negative, ridiculing or sarcastic posts are not welcome in this thread.


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  #16 (permalink)
The fun is in the numbers
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Excellent range expansion idea posted by Rick


RickW00716 View Post
Are you looking to predict the range expansion to try and determine the next days range?

Here's an idea you may want to expand on: When todays range is around 50 to 60 percent of the 10 day avg range...then you could logically assume it may "revert to the mean".

Now to possibly "predict" where price could go the next day...I've been using on a 5 minute chart moving average envelopes(charts at Interactive brokers.com) with the settings:

EMA 390...then upper and lower boundary settings at .25, .5, .75.( If using day session numbers only)

If you use the overnight numbers in your calculations then use EMA 780.( covers data from the start of the European session)

@RickW00716

Hi Rick!

And thanks!
Yes this is very much what I was thinking of when I started the thread.

So the idea you are putting forward would be that when the range gets very narrow, it could possibly expand the next day and if so the envelope might give an idea of a target?

Here is my version of what you might be describing for an envelope (I only have one setting 0.75 but perhaps that is because I am running an older version of TWS? Rick does your envelope have different settings?

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Last edited by aquarian1; February 21st, 2013 at 09:00 PM.
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  #17 (permalink)
The fun is in the numbers
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Good results with Ricks envelope target

@RickW00716

Hi Rick,

Here's a stab at a chart with your idea
RTH 5 min
and the envelope 390ema .75

very interesting.
(said like that guy on Laugh-in :-)

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Last edited by aquarian1; February 21st, 2013 at 09:02 PM.
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  #18 (permalink)
The fun is in the numbers
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urghan2 View Post

First of all, daily range study is something I've had problems with. Your 3 period ma of daily range does make a lot of sense and was a kind of eye-opener. It is a simple but powerful technique.

I assume you use your daily range studies to indicate the expansion and contraction of volatility, in other words, moving from contraction phase to expansion and to contraction again. Is it so or is it something else? What kind of signals/behaviour you can read from it and how do you measure the "yesterday's range plus minus x pnts" you mentioned, for example: yday's range was 11 pnts, for tomorrow's range you expect something like 8-11 pnts, not likely more than that. Where does that come from?

- Jussi

In brief I have struggled with this and do not yet have a good answer to your question.

I have noticed that contraction of range for a period of time can happen under certain conditions and one is the current situation where we broke to the ceiling of1593 we had been putting in place for some time. Until that was broken there were still baby bears, pushing it down from 1593 ceiling - three times I think. Then we pushed up through it with and amazing /ridiculous day jumpin 22 pts in the daily midpoint.

When we push up like that then the bulls will only edge it up and the bears are waiting and range drops from 15-16 to 8-9 area.

For today however there we some unusual conditions the o/n session (see trading thread summary
https://futures.io/trading-journals/7984-trading.html#post93470) was smaller than normal and the preopen session was outside the o/n. This indicated an unusual day and as you can tell I should have gone wider than 8.5 and to the 11-12 area.

Todays shape was unusual a "nessie" day with and exanding range forming a wedge and then right at the end a double low at 1620. Should make for an interesting o/n session and perhaps some surprises on Friday - though Friday is usually a narrow day cabbage day.

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  #19 (permalink)
The fun is in the numbers
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Application of Range rule

@urghan2
7:36 PM 5/10/2013

This doesn't answer how to predict the range, but rather the use of the range info once you have it.

Once the actual low is in place (L1620.25) then add the estimated range to it for the HOD. I call this my "range rule". L1620.25+10=1630.25
Actual 1630.50

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