NexusFi: Find Your Edge


Home Menu

 





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


Discussion in Emini and Emicro Index

Updated
      Top Posters
    1. looks_one aquarian1 with 10 posts (10 thanks)
    2. looks_two Cashish with 5 posts (14 thanks)
    3. looks_3 Quick Summary with 1 posts (0 thanks)
    4. looks_4 RickW00716 with 1 posts (0 thanks)
      Best Posters
    1. looks_one Silvester17 with 4 thanks per post
    2. looks_two Cashish with 2.8 thanks per post
    3. looks_3 WolfieWolf with 2 thanks per post
    4. looks_4 aquarian1 with 1 thanks per post
    1. trending_up 5,781 views
    2. thumb_up 30 thanks given
    3. group 7 followers
    1. forum 18 posts
    2. attach_file 14 attachments




 
Search this Thread

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

  #11 (permalink)
 
Cashish's Avatar
 Cashish 
Miami FL USA
 
Experience: Advanced
Platform: Ensign 10, NT7 DOM
Broker: IB, IQ
Trading: Currency Futures
Posts: 802 since May 2011
Thanks Given: 811
Thanks Received: 2,102

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




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.


Visit my NexusFi Trade Journal Reply With Quote
Thanked by:

Can you help answer these questions
from other members on NexusFi?
New Micros: Ultra 10-Year & Ultra T-Bond -- Live Now
Treasury Notes and Bonds
Exit Strategy
NinjaTrader
Deepmoney LLM
Elite Quantitative GenAI/LLM
NT7 Indicator Script Troubleshooting - Camarilla Pivots
NinjaTrader
My NT8 Volume Profile Split by Asian/Euro/Open
NinjaTrader
 
Best Threads (Most Thanked)
in the last 7 days on NexusFi
Get funded firms 2023/2024 - Any recommendations or word …
61 thanks
Funded Trader platforms
38 thanks
NexusFi site changelog and issues/problem reporting
27 thanks
GFIs1 1 DAX trade per day journal
18 thanks
The Program
18 thanks
  #12 (permalink)
 
aquarian1's Avatar
 aquarian1 
Point Roberts, WA, USA
 
Experience: Advanced
Platform: IB and free NT
Broker: IB
Trading: ES
Posts: 4,034 since Dec 2010
Thanks Given: 1,509
Thanks Received: 2,593


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)




..........
peace, love and joy to you
.........
Visit my NexusFi Trade Journal Started this thread Reply With Quote
Thanked by:
  #13 (permalink)
 
Cashish's Avatar
 Cashish 
Miami FL USA
 
Experience: Advanced
Platform: Ensign 10, NT7 DOM
Broker: IB, IQ
Trading: Currency Futures
Posts: 802 since May 2011
Thanks Given: 811
Thanks Received: 2,102


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,

Visit my NexusFi Trade Journal Reply With Quote
  #14 (permalink)
 
aquarian1's Avatar
 aquarian1 
Point Roberts, WA, USA
 
Experience: Advanced
Platform: IB and free NT
Broker: IB
Trading: ES
Posts: 4,034 since Dec 2010
Thanks Given: 1,509
Thanks Received: 2,593


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.

..........
peace, love and joy to you
.........
Visit my NexusFi Trade Journal Started this thread Reply With Quote
Thanked by:
  #15 (permalink)
 RickW00716 
Richmond Virginia
 
Experience: Intermediate
Platform: Ninja Trader
Trading: ES
Posts: 318 since Feb 2013
Thanks Given: 306
Thanks Received: 163

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.


Reply With Quote
  #16 (permalink)
 
aquarian1's Avatar
 aquarian1 
Point Roberts, WA, USA
 
Experience: Advanced
Platform: IB and free NT
Broker: IB
Trading: ES
Posts: 4,034 since Dec 2010
Thanks Given: 1,509
Thanks Received: 2,593


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?


)

..........
peace, love and joy to you
.........
Visit my NexusFi Trade Journal Started this thread Reply With Quote
  #17 (permalink)
 
aquarian1's Avatar
 aquarian1 
Point Roberts, WA, USA
 
Experience: Advanced
Platform: IB and free NT
Broker: IB
Trading: ES
Posts: 4,034 since Dec 2010
Thanks Given: 1,509
Thanks Received: 2,593

@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 :-)


..........
peace, love and joy to you
.........
Visit my NexusFi Trade Journal Started this thread Reply With Quote
  #18 (permalink)
 
aquarian1's Avatar
 aquarian1 
Point Roberts, WA, USA
 
Experience: Advanced
Platform: IB and free NT
Broker: IB
Trading: ES
Posts: 4,034 since Dec 2010
Thanks Given: 1,509
Thanks Received: 2,593


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
) 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.

..........
peace, love and joy to you
.........
Visit my NexusFi Trade Journal Started this thread Reply With Quote
  #19 (permalink)
 
aquarian1's Avatar
 aquarian1 
Point Roberts, WA, USA
 
Experience: Advanced
Platform: IB and free NT
Broker: IB
Trading: ES
Posts: 4,034 since Dec 2010
Thanks Given: 1,509
Thanks Received: 2,593

@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


..........
peace, love and joy to you
.........
Visit my NexusFi Trade Journal Started this thread Reply With Quote
Thanked by:




Last Updated on May 10, 2013


© 2024 NexusFi™, s.a., All Rights Reserved.
Av Ricardo J. Alfaro, Century Tower, Panama City, Panama, Ph: +507 833-9432 (Panama and Intl), +1 888-312-3001 (USA and Canada)
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.
About Us - Contact Us - Site Rules, Acceptable Use, and Terms and Conditions - Privacy Policy - Downloads - Top
no new posts