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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!

  #1 (permalink)
The fun is in the numbers
Point Roberts, WA, USA
 
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Help wanted on Range Expansion prediction. New traders ideas welcome!

[
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.

Keep your mind in the future, in the now.
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  #2 (permalink)
Quick Summary
Quick Summary Post

I would like to thank those that have read the read and those that have contributed their thoughts.

As a point of clarification I am interested in predicting range expansion before the RTH session starts at 8:30CT. So this would mean mean not after the range has already expanded to greater than its historical average and not after the initial balance. Certainly these would be compromise areas of exploration and useful.

Within my trading system I attempt to estimate the high and low of the upcoming day, before the start of the RTH session. Though I estimate these directly I also attempt to make estimates with the range.

Two ways this comes into play. One way is estimate the midpoint and then the range for the upcoming day. So plus and minus 1/2 the range to the midpoint gives a second way of estimating the high and low. The second way is that if I determine either the high or low of the day is in place, then I can apply the estimated range to this value and get an estimate of the other end.

Currently I estimate the range in several ways and all of these are based on past data (prior days for example). I find that my estimates can be way off if there is a large increase or large decrease in the range. On these days I am unsure if my estimates of the high and low are off from range expansion (or contraction) or are they off from a big shift in the midpoint.


Last edited by aquarian1; February 13th, 2013 at 02:45 AM.
 
  #3 (permalink)
Market Wizard
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aquarian1 View Post
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!)


unfortunately true, but really very sad.

anyway, did you have a look at @Fat Tails current day ohl indicator? the latest version is explained here:

https://futures.io/elite-circle/25791-toolbox-2013-trading-session.html#post300604

maybe you can find something useful

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Last edited by Silvester17; February 10th, 2013 at 01:52 AM.
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  #4 (permalink)
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@aquarian1 I'll take a shot at this but be warned, I find it difficult to brainstorm out of the box ideas in 100 words or less.

Your post had me swiveling in my seat when I read the word "predicting" but with a little further thought, I couldn't come up with a better word, so what the hell. I enjoy thinking out of the box but IMO, when it comes to trading, simple, is usually better. You posted the RTH ranges for 5 days, I'll assume you know what you're doing and know the "average range" of your market for several time periods, e.g.,,, daily, weekly and monthly. I'll also assume you know before the start of each session the "anticipated range" for the day.


The indicators @Silvester17 posted (and others) define these levels and when compared to the historic averages can be very helpful when used properly.


But your post states you're looking for "new ideas for predicting range expansion" and that's a different kettle of fish. If the days average range Is at or near the historic levels and the anticipated range has already been exceeded what "tool" might offer insight into the possibility of further range expansion? I feel if I don't stop typing soon my first born child may come up missing. To offer an alternative to the tried and true these links may simulate some gray matter and keep you awake at night.



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  #5 (permalink)
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Have you read Toby Crable's book?

Crabel, Toby (1990). Day Trading With Short Term Price Patterns and Opening Range Breakout. Traders Press. ISBN 0-934380-17-1.

His stuff really is worth looking at.

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  #6 (permalink)
The fun is in the numbers
Point Roberts, WA, USA
 
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@Cashish

Hi and thank-you. Certainly there is no need to feel limited to 100 words. (It was rather pontification I was alluding to). Can you share how you feel the CME link would help with range prediction? Do you feel that the implied volialtilty expansion/contraction of options premiums is a useful predictor of the next days range in contrast to a reflection of prior range expansion/contraction?

Keep your mind in the future, in the now.
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  #7 (permalink)
The fun is in the numbers
Point Roberts, WA, USA
 
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@WolfieWolf

Thank-you. I have heard others mention Tony's work favourably. I did in the past take a stab at reading some pages of it that were uploaded to the net. As best I recall I got bogged down in it. However, I shall add it to my reading list.

It seems you are favourably impressed with his work. Have you applied successfully to your trading? Can you recall the ideas he shared that tie in with range expansion?

Keep your mind in the future, in the now.
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  #8 (permalink)
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aquarian1 View Post
@Cashish

Hi and thank-you. Certainly there is no need to feel limited to 100 words. (It was rather pontification I was alluding to). Can you share how you feel the CME link would help with range prediction? Do you feel that the implied volialtilty expansion/contraction of options premiums is a useful predictor of the next days range in contrast to a reflection of prior range expansion/contraction?

@aquarian1 This is an extreme abridgment but I wanted to throw out some ideas. Throughout the week I chart the open interest and volume of options on price levels that I consider important support and resistance levels. The first two "snips" are the Feb 14, 2013 settlement prices for options on the March 13 6E. I've tried to highlight the 1.3300 level of both the Puts and Calls to show the OI (open interest,, far right column). 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. In reference to range expansion,, the chart below could be interpreted as a simple example.


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The 2 week average range for the 6E is 122 ticks, the monthly ave range is 110. With this information @ 8:00am the Globex range was 88 ticks and the US Session was about to open as price was trading near the lows. Knowing there is twice as many open positions defending 1.3300 than there is on 1.3350 I was able to ascertain two theories about the trading range of the US Session. 1.) I did not expect the range to expand beyond 1.3300 and 2.) It would be easier for price to expand upward thru 1.3350. Also, since I believe in my analysis, I was confident buying at these levels and placing a hard stop at 1.3300. This is a simple example to express an idea only, there is much more data to consider (e.g., weekly options) but I hope this is beneficial.

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  #9 (permalink)
The fun is in the numbers
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@Cashish

Thank-you for the additional information and clarifying example. I appreciate your gift of time and thoughts.

I want to make sure I understand your post and so I'll rephrase and echo back so you can correct my misunderstandings.

1. Look at the open interest at key S/R levels and the OI inside these, comparing the two.
(in your example 1335 had half the OI of 1330).
2. Assess the strength of the S/R based on the relative OI.
(in your example 1330 was a stronger S/R as it had twice the OI)
3. with 1330 being stronger than 1335 you feel that range expansion is more likely to push up through 1335 tahn down through 1330

Correct?

Keep your mind in the future, in the now.
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  #10 (permalink)
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aquarian1 View Post
Thank-you for the additional information and clarifying example. I appreciate your gift of time and thoughts.

Correct?

Yes

@aquarian1 Thank You,,, Your query looking for "new ideas for predicting range expansion" is IMO what separates the wheat from the chaff when it comes to traders. For Me, "new ideas" can quickly turn into an obsession and shift my focus from the "tried and true." As I said before, simple is usually better. All I'm offering here is an "out of the box" view of support and resistance. IMO confidence is King when it comes to trading but if I find myself looking at "to many" data sets to gain that confidence I'm doing myself and my trading a disservice. You're seeking new ideas to predict range expansion. Very simply (IMO) you're seeking (as I am) confidence in the price levels we've identified as S/R. If we have identified an anticipated range and know the historical average range we might expect for the coming day all we need to identify is either the S/R. If we're confident in our analysis of these levels and feel comfortable taking trades without further confirmation, IMO, we win the game.

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. I capture snips throughout the day of several charts at different times of the day (way to many, IMO), often I never look at them, but they are in my computer. Then at the end of the month I make a folder for that month and store them, at the end of the year they go on a disk, that's why I have the ability to make this post. That's why I say "thank you," your query allows me to use these "dusty old snips." I'm not aware of your knowledge of options but I believe a thorough understanding of them (and the traders that trade them) offers traders of the underlying instrument a much broader overall picture of the market. But as I mentioned before, keep it simple.


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Ok, Ok Yes it's true, I fat fingered that first trade I sold a pair instead of bought a pair!

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