I believe that entries do play a significant part in a trading system, so Im always looking for thrusts to get me into a trade.
As an example, say on a 5min chart, the last bar opens at the low and closes on the high, the bar size is also 1.5*the ATR. This is a good thrust bar. So this means in this 5min period, the market had a huge thrust.
Now think what the bars would look like if instead of the 5min bar starting at say 1:25 the actual 5min bar started at 1:23 and finishes at 1:28. The bars could look quite different.
Somewhere between 1:23 and 1:30 the thrust did happen.
Point being that a thrust may actually happen in the overlap of bars and be somewhat hidden, or actually inside the bar (could be a 3 ATR bar).
Changing to a smaller time frame doesn't really help as this information can still be hidden in the overlaps of the smaller bars.
So how do we pickup on this?
First thoughts are, look at the current chart and view thrusts and how big they are. Say we are looking at the CL on a 5min chart. If there was a 8 tick move in 10 seconds, do you think there would be more follow through ?
I would go with yes. Buy 1 @ market.
But how do we determine that the market moved 8 ticks in 10 seconds somewhere inside a 5min bar?
Im guessing we need an array maybe even dual element array with recent price levels and the time they were last hit.
This could come from a second data series say data2 set for a 1 tick period.
The array size would probably be around 20 this would allow for price levels +/- 10 ticks either side and there last hit time.
Any thoughts on the entry strategy or ideas on the coding?
How do you define precisely a "thrust"?
Is it "a 5-min bar (displayed on a 5-min chart or hidden behind 2 consecutive displayed 5-min bars) which opens at the low and closes on the high, the bar size is also 1.5*the ATR"?
If yes, you could make calculations on a 1-tick chart.
Each time a new tick appears, the indicator identifies the tick (T) which was 5 minutes before, considers all the ticks between (T) and the current tick, and check that this interval meets the above definition.
It is just an idea.
I think a thrust is a movement of a certain size in a certain period of time. A 5min bar with its open at the low and close at the high is a thrust but if its 3 ATR in size , the move is probably over.
But if 1 min into the 5 min bar it moved 1ATR in 10th seconds I would buy at market instead of waiting for the 5min bar close.
How many ticks and seconds are required for the definition of the thrust could be inputs.
Or say a 1ATR of the 5min chart in 20% of the bar period time. Ie 1min.
Doing something like this allows the bar period time to be easily changed.