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Multicharts, Setup, Toby Crabel
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Multicharts, Setup, Toby Crabel

  #11 (permalink)
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Preparing the trading session


Locust View Post
I thought to start eod, just as a filter.
Yes I did the Nrīs already, will post on the weekend, when multicharts is not actively trading.

I am still thinking though of taking his patterns to a next level, by trying to find more setups based on his approach.

Locust

Actually what I want to do is to categorize the days to understand what type of price action might evolve. For me this could be a two.step process

First step: Use daily data only

This already allows to look at various price patterns

- pivots, pivot ranges
- rolling pivots, balance point
- narrow range, inside and outside bars
- closes above or below the midline
- closes in the upper or lower x %
- dojis: |close -open| < 10% of range
- overlap of daily bars
- hooks

Second step: Add intraday information, which is availbale

- european session high and low
- globex high and low
- RTH open and opening gap
- opening range

This should allow to identify some patterns which are statistically relevant and which - if confirmed by price action - can be exploited.

And it would be a nice way to better prepare the trading session. I still sometimes just hunt signals without really knowing what I am doing.


Last edited by Fat Tails; October 1st, 2010 at 05:08 PM.
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  #12 (permalink)
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Fat Tails,
Not sure what you mean by "This is not astonishing."

The number of instances of NR7 and on what day they take place is not really relevant (at least to me) - it's the price move that follows these days that is of significance. You mention news as the cause if i understand you - yet there were only 5 NR7 Tuesdays in your sample, out of a possible 36 (4 days per month x 9 months).

Your numbers confirm my back of the napkin analysis that there are approx two NR7 readings a month. What I do know from experience is that there is a 2-3% price move (even greater if you measure from low to high) in the day or two following these readings (guesstimate is 3 out of 4 times). NR4 readings have similar effect but with less predictability. I haven't run the hard numbers because my moto these days is "hand grenade close".
But I know it works for me from my P/L.

NR7 is just an alert to me and ultimately the success comes from the execution of the trade.



Fat Tails View Post
Narrow range days for CL in 2010 taken from my chart:

This is not astonishing. Wednesday is the news day, so this raises expectations and volatility. Friday has a higher volatility in general for many markets. Mondays are often dull days. Tuesday and Thursday are the days before and after the oil report day. We have an interesting pattern here, which, if confirmed by narrow range bars, can certainly be exploited.


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  #13 (permalink)
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Snoop View Post
Fat Tails,
Not sure what you mean by "This is not astonishing."

The number of instances of NR7 and on what day they take place is not really relevant (at least to me) - it's the price move that follows these days that is of significance. You mention news as the cause if i understand you - yet there were only 5 NR7 Tuesdays in your sample, out of a possible 36 (4 days per month x 9 months).

Oil reports are on Wednesdays. So it is not astonishing that there are few narrow range Wednesday. The expectation of the news already may create higher volatility on Wednesday morning prior to the news release at 10:00 AM EST.

Then on Tuesday (prior to the news) and Thursday (after the news) you expect some narrow range days. 20.8% of this years NR7 days were Tuesdays, 33.3% Thursdays and 25.0% Mondays.

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  #14 (permalink)
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Hi Locust,

Did you end up posting this?


Locust View Post
I thought to start eod, just as a filter.
Yes I did the Nrīs already, will post on the weekend, when multicharts is not actively trading.

I am still thinking though of taking his patterns to a next level, by trying to find more setups based on his approach.

Locust


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  #15 (permalink)
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Did not get around to do it yet,

but found this on the multicharts forum
MultiCharts: Trading Software for Automated Trading and Backtesting &bull; View topic - Using MultiCharts To Update Crabel Patterns

Locust

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  #16 (permalink)
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Snoop View Post
Hi Locust,

Did you end up posting this?

That would be my first attempt, so be kind with me.......

Input: NR(4);
IF H-L<LOWEST(H-L,NR-1)[1] Then Begin
PlotPaintBar(high,low,open,close,"Up",Blue,default,1);
IF CheckAlert Then Alert = TRUE;
End;


Locust


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  #17 (permalink)
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Thanks: 40 given, 112 received



Big M. we have to coax this "furytrader" on our forum, may be free elite membership?
( I would sponsor him / her )

Locust


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