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ES Statistics
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ES Statistics

  #11 (permalink)
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I generally think anything less than 1 point is scalping.. more like 1-2 ticks.... but with a day like today when its narrow and slow, 2 points is def not scalping...

Sometimes you have to lower your targets when volatility dies, but when it expands, so does your risk, and so should your targets... so i guess the real definition of scalping is when you constantly go for a few ticks as your target..

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  #12 (permalink)
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ES Stats for close on wed Sept 29, 2010

From Globex Open @ 1141.75 on 9-28-2010
Distance to Yesterday Globex Open = -4 Chance to get down to 1137.75 = 66.67%
http://screencast.com/t/MWFiZjE3NjQ
Distance to Yesterday High = 4.25 Chance to get up to 1146 = 80.98%
http://screencast.com/t/NTEzZDlk
Distance to Yesterday Low = -14.5 Chance to get down to 1127.25 = 10.78%
http://screencast.com/t/ZTI0NmEyY2Mt

Laserdan
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  #13 (permalink)
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TechSmith | Screencast.com, online video sharing, 2010-09-28_1649
should be read as follows:

Out of all the trading days since sept 97 where
the day before was not an inside day
AND the day before was an Up day
AND it opened extremely high in the day before's range (between 75% and 99%)
AND the distance to the target(YH) was between 2.5 and 5 points

80.98% of those days the target (YH)was filled.

There were 184 days that met all of the criteria above and 149 of them closed the distance to the target (YH).

The most recent ones were:
09/01/2010
08/26/2010
07/27/2010
06/11/2010
06/09/2010

Laserdan
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  #14 (permalink)
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Laserdan View Post
TechSmith | Screencast.com, online video sharing, 2010-09-28_1649
should be read as follows:

Out of all the trading days since sept 97 where
the day before was not an inside day
AND the day before was an Up day
AND it opened extremely high in the day before's range (between 75% and 99%)
AND the distance to the target(YH) was between 2.5 and 5 points

80.98% of those days the target (YH)was filled.

There were 184 days that met all of the criteria above and 149 of them closed the distance to the target (YH).

The most recent ones were:
09/01/2010
08/26/2010
07/27/2010
06/11/2010
06/09/2010

If you have an up day and overnight price action - Globex influenced by Asian and European Markets - confirms the close/high range of the prior day by producing an open near the highs of the prior day, it is indeed likely that the high will be tested.

The prior direction being up, there are three scenarios for the day that can develop:

(a) Balancing Day: In this case price will either retrace to a 38% or 50% fib level and then test the highs, or do the same thing in an inverted order.

(b) Up Thrust Day: In this case the prior day's high will be exceeded

(c) Down Day: In this case the prior day's high should be at least tested. The test can be a failure, so if the high is nearly reached - just 2 or 3 ticks off - this satisfies the failed test. However the failed test can be produced during the night session, and in this case price never looks back.

Yes, I believe that your statistics are correct.


Last edited by Fat Tails; September 28th, 2010 at 07:14 PM.
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  #15 (permalink)
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yes, I should have said "target filled and/or exceeded" because I measure by what % the pice actually gets to
DATE YH Filled %
09/01/2010 1230%
08/26/2010 260%
07/27/2010 380%
06/11/2010 227%
06/09/2010 441%

Laserdan
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  #16 (permalink)
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Would be interesting to have stats for the daily pivot. Similarly to what you did with the Globex open could we exploit the distance of price at the open at 9:30 EST to the daily pivot. Or if price is above the daily pivot what's the chance to have a green day. Samething when price is below the daily pivot at the open.

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  #17 (permalink)
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Agreed. The problem is I have access to only Globex data. Now if someone could provide me with some RTH ES data, say going back 10 or so years, I could duplicate my database in a flash(and possibly add pivots). hint hint

Laserdan
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  #18 (permalink)
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do you have some stats when price makes a Low during the Globex hours if price test it for the first time but during the RTH what's the probability for this test to fail or for price to bounce off of that Low ? Same thing for the High. The risk/reward of a failed test is very appealing.


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  #19 (permalink)
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I could do this with the current data IF the globex low is not taken out during the premarket and the retest of the Globex Low just so happens to be the Low of the day.

I would just change the Y target filled % to group by a different % ranges. I would think that 98-102% would show these retests depending on the range of the prev day.

See image: TechSmith | Screencast.com, online video sharing, 2010-09-29_1112

Actually today is a perfect example where price went 1 point above YH and retraced
with a range of 18.75 yesterday each point converts to 5.3%
so I grouped Y target filled % by 5%

So the chance of a retracement being the HOD is 3.8% (1.63 + 2.17)
where as the chance of execeeding the HoD by more than 2 points is 77.17%

That does not mean that there wont be a bounce off the HoD...that I can not tell with daily data.

Laserdan
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  #20 (permalink)
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ES Stats for Close on Thurs Sept 30 2010


From Globex Open @ 1141 on 9-29-2010
Distance to Yesterday Globex Open = .75 Chance to get up to 1141.75 = 100%
http://screencast.com/t/MGQ2ZDYzZj
Distance to Yesterday High = 5.75 Chance to get up to 1146.75 = 57.02%
http://screencast.com/t/MjFjZjJkYWI
Distance to Yesterday Low = -5.5 Chance to get down to 1135.5 = 56.18%
http://screencast.com/t/M2Q1MjQ2ZWMt

As you can see opening in the middle of Yesterdays range doesnt give us much insight to tomorrows Price Action. Its pretty much a coin toss.

Now, I personally think the market will go down tomorrow, but thats not the purpose of this thread.

Laserdan
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