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PriceActionSwing discussion
Started:November 23rd, 2009 (11:23 AM) by dorschden Views / Replies:391,762 / 1,343
Last Reply:December 1st, 2016 (04:53 AM) Attachments:423

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PriceActionSwing discussion

Old July 26th, 2014, 01:29 PM   #1071 (permalink)
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Camdo View Post
@aventeren Check out comments starting with post #757 thru 762 starting on page 76 of this thread. There are some initialization and round off issues with feature counting.

Right on, thanks.

@djkiwi also pointed me to the Master Homework Thread, where @Xav1029 built a print routine to grab the values that djkiwi had shown in his spreadsheet. So I now have the "how" of how djkiwi's spreadsheet was built.

The pieces are slowly emerging.

Please keep the hints and tips coming while I build this stats tab.

Thanks,

Aventeren

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Old July 28th, 2014, 03:05 PM   #1072 (permalink)
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Trading the Swing Turn


aventeren View Post
Right on, thanks.

@djkiwi also pointed me to the Master Homework Thread, where @Xav1029 built a print routine to grab the values that djkiwi had shown in his spreadsheet. So I now have the "how" of how djkiwi's spreadsheet was built.

The pieces are slowly emerging.

Please keep the hints and tips coming while I build this stats tab.

Thanks,

Aventeren

@aventeren

Nice work on this. Here is a summary of conclusions/forward strategy based on my work on this. Note, the following is my opinion and is not intended to discourage you, only add some additional points to consider when developing your swing trading strategy.

1. Implementing a trading system based on swing probabilities on their own is not enough. You need to also apply a subjective overlay.
2. Swing probabilities based on statistical analysis generally result in a near 50/50 probability after transaction costs as swings are formed too late. The time frame must be large enough to optimize transaction costs i.e. any edge trading small swings will be destroyed by transaction costs.
3. By using a subjective overlay mentioned above the trader can front run the swing to put the odds firmly in his favor.
4. The subjective overlay needs to incorporate a determination of market structure, momentum and understanding buyer/seller demand/supply.
5. Market structure in conjunction with swing probabilities can assist in assessing risk/reward and determine where price can realistically land within the required timeframe.
6. Drilling down to the micro level by analyzing buyer/seller momentum at key swing turn points is also a critical component in front running the swing. A swing turn in itself is meaningless. The key point is to be able to analyze any changes to the momentum of the prior swing, the momentum of the new swing (how long bars take to form) and changes in buyer/seller demand supply (via market orders). Swings without momentum have a higher chance of reversing. Swings with momentum have a higher chance of reaching the higher probability targets.

I can share some additional info and put up some charts etc if you want to learn more.

Cheers
DJ


Last edited by djkiwi; July 29th, 2014 at 03:42 AM.
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Old July 28th, 2014, 03:33 PM   #1073 (permalink)
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djkiwi View Post
@aventeren

Nice work on this. Here is a summary of conclusions/forward strategy based on my work on this. Note, the following is my opinion and is not intended to discourage you, only add some additional points to consider when developing your swing trading strategy.

1. Implementing a trading system based on swing probabilities on their own is not enough. You need to also apply a subjective overlay.
2. Swing probabilities based on statistical analysis general resulting in a near 50/50 probability after transaction costs as swings are formed too late. The timeframe must be large enough to optimize transaction costs i.e. any edge trading small swings will be destroyed by transaction costs.
3. By using a subjective overlay mentioned above the trader can front run the swing to put the odds firmly in his favor.
4. The subjective overlay needs to incorporate a determination of market structure, momentum and understanding buyer/seller demand/supply.
5. Market structure in conjunction with swing probabilities can assist in assessing risk/reward and where price can realistically go within the required timeframe.
6. Drilling down to the micro level by analyzing buyer/seller momentum at key swing turn points is also a critical component in front running the swing. A swing turn in itself is meaningless. The key point is to be able to analyze any changes to the momentum of the prior swing, the momentum of the new swing (how long bars take to form) and changes in buyer/seller demand supply (via market orders). Swings without momentum have a higher chance of reversing. Swings with momentum have a higher chance of reaching the swing probabilities.

I can share some additional info put up some charts etc if you want to learn more.

Cheers
DJ

Thanks, DJ.

I'm definitely seeing that entering on short term swings is fools gold, and I fully agree that entries need to be made based on a higher time frame/swing--which is why I like the Williams Swing, as it provides a sense of the short term, intermediate term and long term swing structures.

I would very much like to see some additional charts and info--if and when you have time, of course!

All best,

Aventeren

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Old August 1st, 2014, 07:43 PM   #1074 (permalink)
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djkiwi View Post
I can share some additional info and put up some charts etc if you want to learn more.

@djkiwi
Fascinating, I too would like to hear more.

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Old August 18th, 2014, 09:14 PM   #1075 (permalink)
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Futures Edge on FIO
Sorry guys, I've fizzled on the new stats tab. I've been spending my time working on my Williams Swing structure--and now trying to figure out trading ideas for it. Perhaps if I get to a point that would be helpful, I'll start a journal to discuss my thoughts.

I figured that I owed everyone an update.

All best,

Aventeren

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Old August 19th, 2014, 06:27 AM   #1076 (permalink)
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Me too


aventeren View Post
Thanks, DJ.

I would very much like to see some additional charts and info--if and when you have time, of course!

Aventeren

Me too
Sezor

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Old August 19th, 2014, 06:31 AM   #1077 (permalink)
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What about ?


djkiwi View Post
@aventeren

You need to also apply a subjective overlay.

DJ

What about an "objective" overlay - of swings in a higher timeframe ?
Sezor

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Old August 20th, 2014, 12:38 AM   #1078 (permalink)
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@aventeren. Here is a little more detail to add to the discussion.


Sezor View Post
What about an "objective" overlay - of swings in a higher timeframe ?
Sezor

Personally I don’t look at higher timeframe swings as my research (resultant stops/targets) is based on an optimized swing momentum strategy analyzing one time frame. Of course it’s important to understand the current state of the instrument (whether it’s trending or balanced).

I think it’s more important to overlay any swing probability analysis with instrument volatility as it can have a profound impact on risk reward. For example, the following chart shows NQ daily. Note the yellow line on the bottom chart. This shows a simple 14 day ATR. We can see back in April when ATR peaked at nearly 65 points then dropping to less than 30 in July before picking up. NQ has been trading higher than its long time ATR for some time now. So in time times of higher volatility it's important to adjust targets and stops to account for increased and/or reduced volatility.

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Next let's look at the following spreadsheet that shows historical swing statistics for NQ on a 10 Better Renko chart. The purple line shows the median swing so we see 92 ticks for a HL to HH and 90 for LH to LL. This analysis is over a number of years and I also have analyses based on differing levels of volatility. So in a higher volatility environment I’m expecting over a 108 tick median swing on a volatility adjusted basis which is over the longer term 60th percentile. The objective is to improve the risk/reward by increasing the target more than the increase in the stop.

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Additional subjective overlay relate to momentum, market structure and gauging buyer and selling behavior. Here is another chart that shows momentum with volume profiles. Momentum is measured by how quickly bars are formed. These are 10/30/10 Uni Renko bars showing the time it takes to form each bar (time is displayed under each bar). You want to be looking at entering on momentum and then riding that momentum to the edges of the volatility adjusted swing probabilities. Some people like to pick levels and then enter based on those levels. If this is against momentum then more times than not you will be steamrolled. Some levels are important but it's important to see clear evidence of momentum subsiding before entering in the opposite direction at a so called "important level." I place more weight on momentum than levels for shorter term swing trades.

I've marked a cyan and a yellow line on this chart. The cyan line shows a high momentum swing. Look at how quick those bars form, 2 minutes, 2 minutes, 1 minute, 0 minutes etc. Higher momentum swings are usually on news or in the first 30 minutes of trading and should be milked. Again, it's important to note to ride those swing trades and stay in them in the direction of the momentum at least to the median swing probability.

The yellow line shows where trade is transacting. The area where the yellow line is marked shows no trade interest, so if looking at a short then there is potential for price to drop quickly through this low volume area. More can be written on this in later posts.

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To get a further gauge of market structure/short term trend/momentum I've developed a snapshot indicator (these are the arrows etc in the middle of the chart). This indicator can be downloaded here:

https://futures.io/download/vip_elite_circle/1373-download.html?view

with explanation here:

https://futures.io/elite-circle/26322-volume-profile-market-profile-snapshot-indicator.html#post309193

In a later post I will introduce how to drill down and analyze buyer/seller momentum at the swing turn in more detail.


Last edited by djkiwi; August 20th, 2014 at 12:50 AM.
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Old August 22nd, 2014, 04:18 AM   #1079 (permalink)
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Can I download an older version of the PriceActionSwing indicator somewhere ?
I'm looking for Version 1.4.0 - 04.09.2010.

Thanks

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Old August 23rd, 2014, 04:06 PM   #1080 (permalink)
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Wizard Strategy cannot use PAS - please ehlp


Using Wizard to create an automated Strategy bot with PAS. Unfortunately, it will not compile due to an error that states: PriceActionSwingBase.SwingStyle.standard is "method" which is not valid in the given context

Not providing an image because I only know how to do that by putting it into a word doc and the compile will show you the same error I am seeing.

Due to this I am not able to use PAS or PAS Pro in the wizard strategy.

Does anyone know what is causing this and how to resolve it?

Additionally, is there a way to get PAS info to show up in the Data box?

Wizard Strategy attached.

Attached Files
Register to download File Type: cs zBPpasDoubleBottom.cs (30.9 KB, 38 views)
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