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Daily Charts, Bar Patterns
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Daily Charts, Bar Patterns

  #91 (permalink)
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Dec 29: no trades today. Nor probably tomorrow. Combination of taking a little time off and also putting out various brushfires on the home front.

( I think those rolling value areas are going to be my main bands indicator-wise. Now all I need is a rolling vwap whose starting time etc. can be synchronised with other indicators and bundled together to calculate skew and I am set. For now can put up a vwap, dvalue, rolling value areas all starting at same time via manual inputs. Very nice. Excellent read on Support-Resistance via volume.) My local radio tower is connected so hopefully highspeed will be going in in about 10 days as per current schedule. Will continue journal until then next week, but soon thereafter will be journalling live versus simulated at that point armed with both:
a) trading plan
b) proper connection

(in order of priority).

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  #92 (permalink)
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Zoned out in neighbour's comfortable lounger listening to post-prandial, post-apocalyptical, transdystopian bootleg recording of live Pink Floyd Dark Side of the Moon, mind drifted over many vistas, at some point stumbling unexpected on indicator ideas, in this case involving using the rolling 70-30 value areas as basis for SR bands, such swirling thoughts in swells and surges of far greater and more far flung matters landing lightly on the keyboard on return home to stoke embering fire, and now manifest as new SR band indicator herewith presented on accompanying pic. (!)

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Pic includes MP indicator showing yesterday's Val area and POC, then rolling Value Area with new bands, also a Vwap starting just around day-session open at 820 am EST.

Pic 2 showing mainly day-session only action, compacted, 5 min chart.

Not bad dynamic SR bands with no need for adjusting parameters except if want to play around with the middle bands (or transparent them out altogether).

Looks good.
Even through Floyd's Purple Haze.

Idea worth investigating: use shift in POC as exit signal, i.e. if long from below and POC flips from being in lower to upper quadrant, exit the long and be ready to change bias to short unless strong trending action continues with rising upper band, price etc.


Last edited by cclsys; December 31st, 2009 at 01:07 AM.
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  #93 (permalink)
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this is rolling area hourly, I also have 30m in there but it seems they don't co-exist.

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  #94 (permalink)
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Dec 31st. Despite BM's warning about not trading during holidays, since I've had a few days with little screen time and this morning was open, decided to nibble a little for an hour or so. The Gold market is slow but not super-slow - or at least it wasn't when I was there.

So used combination of my usual SR work with POC/PVP now added as an SR level and scalped using quick BE stops to prevent going in the red and after a couple of tries made the DPT. But basically agree with Mike: best not to trade on these days.

Only exception is that sometimes there is a crew or two on duty who will make large moves happen; this is especially true in the indexes. But on a whole other level it's good to stay away: it's good to take a break every once in a while. That's why holidays were invented. So why not take them? I have had home front issues to deal with for a few days, some scheduled/anticipated for this period, others sudden emergencies, all resolved nicely. But even without those I was planning to step back in order to take a break since I was getting a little run down from too much programming-type work and getting overly involved/obsessed with trading/market analysis.

That said, feel I have made great progress past two months in honing my own basic method. I now know how I trade and what I am looking for. Even though I have thought this was true several times previously, it was not. My method is narrowed down to essentially an SR method using simple bar pattern entries and exits at identified SR levels. This has now been bolstered with volume-related indicators & studies in order to better identify the main SR levels dynamically during a trading session. In most cases, the daily trading campaign should last no longer than about an hour. When a good day, first trade makes enough money to stop. When a difficult day, might have initial 2-3 losers in which case have to hunker down to pick only excellent setups in order to make back the losses and finish the day with minimal 1% DPT or at least BE. Initial trades move stops to BE more quickly in order to reduce having initial DD, the idea being to catch a trade that moves favorably without pulling back too much. If the first one doesn't work and exit at BE, try again. If second doesn't work, try again. If the exits are getting me out of trades that later had big moves, then perhaps don't be so aggressive. But if it's a tight market, either wait for market to change or shorten PT to make DPT and stop. Something like that.

Am also considering a two-tiered DPT approach: minimal DPT of 1%, and ideal DPT of 2%. The purpose of this is so that
a) if am lucky enough to make ideal DPT several days in a row, can either take a break to keep fresh etc. or
b) use the 'extra' to go for a couple of bigger trades with much larger PT's without risking not making the minimal weekly PT.

So the base weekly PT is 5 * 1% = 5%. Ideal is 10%. If I am up 7.5% on Thursday, can consider, after making DPT Friday am and thus being up 8.5% on the week, risking 2% on a trade with 5% target. If a loser, am back to 6.5%. And of course will move stop to BE on this as soon as reasonable, although idea here is to give a little more wriggle room if a very good setup presents itself around key SR level and the market is lively etc.

There are unresolved issues here: in many cases it is possible to just get the DPT - which is quite modest in relation to typical market volatility (i.e. 6 ticks in Gold or 5 ticks ES) and walk away. So going for more to make 'ideal' DPT of 11 ticks means risking not making the base DPT. So why be greedy? Because of drawdowns. It is not improbable to have several days a month with 2-3 initial losers, which means about 30 ticks. That is the equivalent of 6 base DPT's, or six days of base DPT's. So the ratio of a 'bad day' to a 'good day' with the base DPT is 6 to 1. I am not sure this is such a good thing even though the goal of 1% per day is simple and clear. I think it might make more sense to have the ratio of bad to good days be closer to 1-1 or at least 3-1 versus current 6-1. I do not have a way right now of analysing this precisely but it is an issue I am going to have to come to some sort of resolution on as part of crafting a clear plan. For now I suspect the min-ideal DPT is going to be the working solution but this solution will still provide quite a bit of initial judgment calls with the first trades, i.e. is the PT 6 or 12, do I move the stop to BE quickly or give it room, do I move stop to +6 once +9 in order to get minimal DPT and if stopped out, do I take another trade to go for ideal DPT risking going back in the red for the day with initial stop on Trade #2, or am I done for the day? All these questions represent, I suspect, too many variables such that any notion of a plan is obfuscated with too many of these judgment calls. I would prefer to have a simpler, less variable-rich plan.

Priority the coming week, along with more holiday relaxation through the weekend, is
a) work on making a proper trading plan
b) revising seasonal algorithms for long-term trading system, something which takes about 2 weeks working 2-3 hours a day.
c) on Jan 9 am supposed to get high speed so after monitoring that for a few days, and assuming trading plan is in place, hopefully can move back to live trading soon thereafter.

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These trades were simple and am not posting detailed commentary. Too much work for today!

Total Net P/L since 11/20 commencement of online journal in SIM:

$2747.00 = 55% of $5,000 account.

So soon we'll see how this plays out trading live again. That's the real test. Am hoping that the routine of posting the journal after the morning session trades will help bolster discipline of following through on plan, entry/exit methods etc. But if not, all results will be published and that way the lessons to be learned will be more obvious since published openly versus nursed as private wounds/obfuscations/confusions/frustrations etc.

Should be interesting. (At least for me!)

Thanks again to BM for providing this open forum.


Last edited by cclsys; December 31st, 2009 at 01:48 PM.
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  #95 (permalink)
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cclsys View Post

Pic includes MP indicator showing yesterday's Val area and POC, then rolling Value Area with new bands, also a Vwap starting just around day-session open at 820 am EST.

Pic 2 showing mainly day-session only action, compacted, 5 min chart.

Not bad dynamic SR bands with no need for adjusting parameters except if want to play around with the middle bands (or transparent them out altogether).

Looks good.
Even through Floyd's Purple Haze.

Idea worth investigating: use shift in POC as exit signal, i.e. if long from below and POC flips from being in lower to upper quadrant, exit the long and be ready to change bias to short unless strong trending action continues with rising upper band, price etc.

cclys,

Floyd brings out the best! Can you post that new rolling value area with the bands. Those screenshots gave me some ideas on cherry picking some trades and would love to experiment with it. Also, perhaps a dumb question, but whats the difference between the dValueArea and CalculateDevlopingArea with regards to the dynamic POC? They both update as time progresses so I'm not sure of the difference (though I do get some different values on the charts when using them).

Also, I've got the CalculateDevelopingArea on my chart as well as the MPValues. I don't quite get how you're using the MPValues.

Enjoying the thread, keep it up.

Thanks Blz


Last edited by Blz17; December 31st, 2009 at 07:56 PM.
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  #96 (permalink)
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Blz: I don't have NT open right now but in terms of differences of POC, the two main things to check are the start/end times/session length and also method of calculation (TPO, VOC, VWTPO). If they are the same then the results should be the same. Personally I always use VWTPO but one of the new indicators uses only TPO (time at price).

I am not using the MP values but had the indicator up because Cory had posted it here and was taking a look.

In terms of dValueArea and CalculateValue Area: the former is Deanv's add-ons of sbgtrading's the latter, but basically they are the same in terms of calculation method.

The rolling value area is new and seems like it might be helpful as a basic SR band, although I still do basically agree with Jerry Perl that it's a slightly artificial ('heuristic') derivation without fundamental significance. But you could say the same about standard deviation bands or anything else. It does seem to me that quite a few people are tracking the 30-70 price levels and they frequently provide markers for what turn out to be retracement points or battle zones, in which case they are helpful to keep track of. For me personally, now that the rolling PVP/POC and value areas are available, they are the ones I intend to plot especially since they don't require ongoing live market data gathering.

I am a little frustrated that there can't be a rolling vwap whose time can be referenced by other indicators making it much easier to build chart templates and/or construct helpful indicators like a skew indicator with all times synchronised.

In terms of hierarchy, although I started off paying attention to the VWAP, now that I see how much difference it makes when you start it and because I am mainly following Gold these days which is more of a 24 hour market than, say, most indexes, I am finding it less helpful because when you start it (midnight, 4 pm, 8.20 am etc.) makes quite a bit of difference. But the POC, even though it too has similar problems, seems much more important and valuable information no matter when you start it and now that it is plotted dynamically it is possible to study it intraday which was previously not possible so I am finding this one very important/helpful. I suspect that the rolling Value Area (70-30's) will also be far more helpful than the static ones previously available.

As to the previous day's MP: now that they can be better compared to current rolling MP, perhaps they will be more helpful. But in general it is helpful to at least see where yesterday's main zone was in terms of today's valuations, i.e. if all the price action, even if generally down today, is well above yesterday's MP area, obviously there is something bullish in the mix. But that can be seen on any chart of course. Perhaps worth pointing out in case you/others didn't notice: the MP plot on that indicator shows yesterdays Value Area on today's chart as a fixed 70-30 zone (because those prices are now fixed and no longer dynamic).

To me the value of SR levels is twofold:
1. Just like pivot lines of any type, they take a universe of roughly 100 data points during a typical day-session and pick 5-10 that are of higher significance. In so doing they create 'gap zones' between the lines such that if the market penetrates one line/zone, there is expection of it making it to the next line/zone in that direction which is helpful for risk management, profit targets etc.
2. They can provide guidance for when to pay closer attention to price action and/or hone in on more precise entry-exit points.

Using volume-based SR versus price bar SR alone adds an extra dimension; when the two converge, the designation of a price level as an SR price/zone is more meaningful/significant enhancing ability to read current price action with more confidence, i.e. if price bounces from this level it is holding and a trade going with the bounce should work; and/or if price bounces but then fails, i.e. penetrates through again, then probability of move to next level after this penetration is high as well.

Another benefit is that it is now much easier for those with the programming skills to incorporate these levels into strategies (and indicators); the downside is that if they become much more well known that they won't work as well.


Last edited by cclsys; January 2nd, 2010 at 06:54 AM.
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  #97 (permalink)
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As to posting new value area with bands, will do so but want to watch it a couple of days to make sure it is working properly. It's simple to code though, logic is:

a) we have the rolling 70-30 bands
b) find out from them what one tenth is
c) plot the 100 and 0 'outer bands outside the 70-30
d) construct inner bands around the POC or the midrange or the vwap or an MA or whatever, some sort of mean/middle principle. Quite possibly these middle bands could prove to be an unhelpful distraction but I suspect that many times they will provide heads up for possible congestion and pullback zones.

I also intend to explore constructing an oscillator based on relationship of POC level to Value Area to see if that reveals any interesting cyclical information. I doubt it will, but certainly worth taking a look at and now we have the rolling values, very easy to construct.

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  #98 (permalink)
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Took another look at the bands code and it was 'wrong' so adjusted it. Of note: the rolling Value Area 70-30 are based on standard deviations calcs, and how they get to be 70-30% I am not sure. But in any case, assuming they are I have calculated the following:

10%band = VAt - Vab/4;
Upper band = Vat + 10%band*3
LowerBand = VAb - 10%band*3

The middle bands are half of 10%band above and below the midpoint between VAt and VAb.

Chart shows interesting SR situation at the pullback in the orange ellipse:

Price coming back to current rolling VAt level and also rolling POC/PVP, and also around previous day's ending POC (thick red dash), and also current dynamic VAt is less than yesterday's, i.e. there is clear negative shift overall. There is also one of my SR-P (green) SR lines, albeit this is a bit after-the-fact/cherry-picked in that I could have chosen a couple of other places (the RH near the SRP and a later SRP after the pullback following the bar when the SRP was drawn).

But still, there are lots of signs on this chart the the up move could turn out to be a pullback. Indeed, the skew indicator turned bearish the first bar after the top there. Now the skew indicator is a tricky beast because it can only reference a 24 hour vwap starting at midnight and this vwap is not shown on the chart. But the vwap shown (magenta dash) is also in negative skew during this runup into both old and current POC resistance area.

Note also how the VAt level is quite close to the POC, which itself is a type of skew in that the POC is much nearer the highs of the day than the lows and yet the Vwap is much lower. In other words, if the market cannot start to exhibit much greater strength/volume to move the vwap upwards more convincingly, equilibrium seems more likely to be found lower down again, which is what happened.

Another thing worth noting is that apart from choosing the start/end/session length, there are no other parameters in terms of period length etc. so no need to tweak anything. This is just straight statistical information.

The start/end/session length parameters are important and changing them makes significant differences in the display, so don't mean to downplay this element. However, probably all one needs is one chart with 24 hour indicators and another starting at day-session start time. When the two charts are VERY different, then the SR zones in either become more iffy, but when they are similar suspect they will prove far more helpful/accurate.

The attached chart is set up with 8.20 am start time, 8 hour session length (i.e. until 4.20 pm), the intention being to have them more accurately show the current day-session situation the first few hours. Whether this is the best way of setting them up for trading purposes is something that has to be examined carefully over time and even then might prove elusive to pin down and therefore frustrate efforts to use this information in a simple, no-fuss fashion if too many key differences emerge from different setups. Personally I am tempted to start everything at midnight which is when the Asians are putting in their input so that the situation by day-session open already has some history. But I am just not clear on this yet.

In this regard, simple moving average-type indicators might be simpler and better because they are not as subject to change based on start times etc. as the volume-based indicators.

In any case, there is something very helpful here and I know I will soon settle down to a consistent start/end/duration setup and then just get used to reading it.

Perhaps in next few days I shall try to post a few comparison charts showing both 24 hour, day-session-only and midnight-starting setups to see if any clear advantage/disadvantages emerge.

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  #99 (permalink)
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I had read about skew concept awhile ago but I had not really taken with the concept. I guess this is how I view the skew by watching how far/close between indicators' levels.

market range plots 50%, 38% 68.1% of the on going daily range.
rolling pivots plots vmap , 1.38 band, and 1.681 band every 1 hr or every 30m

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  #100 (permalink)
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Cory hello, thank you ca looks interesting
you confirm that this does not work without the "ash ma collective"?
thank you

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