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Daily Charts, Bar Patterns
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Daily Charts, Bar Patterns

  #101 (permalink)
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Cory, thanks. Looks very interesting (as usual). Will have to examine it all later when have time to give it attention it deserves.

My sense of the skew (as Perl uses it) is that it is most helpful in markets which tend not to get into sustained trends all that often. Also, more helpful in certain situations than others, i.e. in afternoon session once a strong upmove is getting exhausted-looking AND there is a negative skew, then chances for a pullback to vwap become increasingly higher, or especially on days when vwap is generally going sideways and there has been a strong move away from the mean, a pullback to the mean is more likely. Things like that. As a stand alone determinant, I think it might be a bit difficult unless one has deep pockets for multi-level scale-ins even against strong trend moves, which is not something I personally can get into right now.

It is good to be aware of though, as winning trade in journal below illustrates.

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ccl, just wondering if you've got the Internet upgrade installed yet?

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  #103 (permalink)
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Jan 4. A bit of a strange morning.
a) have had quite a break from the computer in general and tracking markets in particular - only a few hours in past 10 days tracking, and several days not on computer hardly at all. Much needed.
b) my initial trades were technically illegal. This is because I actually was not yet ready to trade (after late start) and should not have placed the order(s).
c) My first 'official' trade exited at a price that was not hit due to SIM programming so the results on the chart are all off
d) after the non-exit exit I entered again which was a loser but if had still been in original trade none of that would have happened so for first time since starting this journal I 'cheated' a little by assuming that the trade that shouldn't-have-been-stopped-out-but-was later exited at BE+, not shown on the chart, and the next trade taken would not have been taken at all since I was already in the market long.

After that muddle caused by SIM inaccuracy, next trade was a winner. Had fairly large (for me) PT, but at very reasonable level based on SR which is easy to see on the chart (also using the Volume histograms for SR as well as bar-based SR levels remember).

Decided to keep original 'illegal' entries on the SS though probably should have removed them.

Will be more organised tomorrow, although since have important business meeting at noon involving long-term VIVALDI system with professional international marketing consultant from Germany who just happens to be in the process of building a house and becoming my only neighbor on isolated dirt road, possibly will not trade in order to prepare properly.

Trade#1: in retrospect, very ill-advised. Right at PVC and against prevailing trend. It worked with a #2 and if held longer worked well. But very poor R-R and should not have taken #2 and been stopped out for loss. This is an example of mucking around in SIM in manner that I really shouldn't be doing and a function of not being prepared and launching into pushing the entry button too quickly. So 0% on that one even though the combined position ended up netting DPT.

#2: This was an insignificant pattern sell using (for me) unfamiliar 5 minute chart for learning. Stopped out just above PVP which is not a good area for entries or stop-outs except where a retrace to PVP as possible SR after clear move away from it, which was not the case here.
#3. Reversing long, also problematic because close to PVP as mentioned just above. Also a slow lunch-time market which in REAL mode would not be trading especially so close around PVP chop action. This is the trade whose exit was incorrectly printed in SIM, so following BO long trade near top I am not counting in SS record since never would have taken.
#4. A more reasonable trade with more reasonable target. Mkt had failed to make HH, let alone challenge DH which was even higher, had made a LL and the entry price was below the Volume Histogram bell/expansion area, so good possibility of taking out the last RL and going back down toward 1118 level, which is what happened. Default 25 tick PT was hit and filled with net positive balance for the day of $138.00 = 2.8%. This one was 100% in terms of rules.

In sum: not a good morning's exercise. Was not focused after holidays and also have several important projects looming. This is going to be a very busy month. High speed supposedly coming in on Friday. Still, intend to spend 2 hours each morning in SIM until high speed in and trading plan finalised and commence campaign in live trading.

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Chart: the orange ellipse on the chart shows where the false exit happened and then the not-counted BO up entry. The next short trade (the last trade today) was valid and counted. Also, I have several different MP-type indies up to compare how they are plotting the PVP's, Value areas etc. so a little too busy. But only way to track them really is to have them up together and get a feel for which ones to favor at some point.


Last edited by cclsys; January 4th, 2010 at 01:53 PM.
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  #104 (permalink)
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Hopefully this week Mike. Fingers are crossed! After 7 months the power to the tower has been connected. Local politics....

Mea: attaching a full zip export so you can see Cory's rolling pivots which is partially based on an old FibBands indicator version and the zip file will include all other indicators referenced by Cory's. Remember that when using the VWAP in this indicator it starts at midnight; no way to change it (yet).

If it doesn't work right, let me know; might be because of changes made after the version Cory is using. It's working fine on my computer so hopefully this export will also work fine on yours.

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Register to download File Type: zip RollingPivotsCory.zip (60.2 KB, 41 views)
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  #105 (permalink)
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Cory, took a longer look after loading your chart template. Will take a while to get clear on which line is which but the way you are plotting things with hashes etc. it looks like a good dynamic SR indicator set.

It is interesting how changing things from a line to a hash or square makes the same thing feel so different. Horizontal lines 'work' for me as SR prices whereas smoothed MA-types don't even though really there is no difference between them at all of course.

A related indicator (free) that often gives uncannily accurate calls in the Hourly Pivots (by Roonius I think). I don't plot them to reduce indy input but they are quite good.

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  #106 (permalink)
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thanls Cclsys
I try during the day and come back to tell you if it does not work
thank you all very much for your efforts

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  #107 (permalink)
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Jan 5th. Another late night but woke up at reasonable time and was ready for day-session open. Just trading a basic 233 chart, spent only 5 mins reviewing levels from yesterday and placing a magenta SR line, then took trades based on SR/PVP etc. 3 trades, 3 winners.

#1: A basic SR BO down with added twist that happened just after new PVP formed right at top of Volume Area C formation, earlier dynPVP level and a new SR. So if this broke, was likely to go down. It did. I exited early being conservative in order to preserve DPT after about +10 possible; as soon as stop exit hit, mkt went down to PT which was 2 ticks above previous PVP from around 7 am which is when I have my charts start calculating vwap and dValue now (i.e. give it an hour before the open). This is also when volume usually starts to pick up in the am. I have placed an orange dot at the PT. Pity exited early, but that's one of the problems when trading single lots. Encouraging that PT level proved an accurate read.

#2: aggressive (and illegal/optional) CT signal based on mkt hesitating at previous SR-P level (not drawn - double bottom bars around 6.24 to left of gold entry arrow). Moved stop to BE+ quickly to protect DPT. Almost filled on lowered +5 tick PT before being stopped out.

#3: this one fully legal, i.e. if not taking this, am not trading. Skew had just turned negative (vwap crossing under PVP); chrystal clear magnet/target at the low of those two bars about 6 ticks below entry price, but also additional magnet/PT level at the magenta SR line. I didn't have time to adjust the PT once the entry filled and so got out late after price already bounced from RL 1 tick above my original target. Second time today mkt went down to an SR level to the tick. 30 second winner. DONE.

In terms of rules: the #2 was optional and I put it on mainly to gather experience/training/learning. Should probably keep out of SS but I put it in without thinking. #3 was a definite trade and since I am now almost decided at changing DPT to 2% from 1% ($100 from $50) put it on. This way I could see how it felt (albeit in SIM) to have DPT evaporate when put on additional trade. In this case it worked. But that's the dilemma there am still working on in terms of trading plan and this is something that is very hard to determine when using SIM. That said, because unable to program these simple setups in Ninja strategy, cannot get good stats, albeit hopefully this SS will soon help.

The most interesting cell on my SS in the upper stats section is the avg tick P/L per trade: 3.4. With 99 trades, adding 1 tick to that average would be additional 20% return in one month. So am also leaning to moving BE+ stop from +1 to +2 in order to get an extra tick on BE trades; yes, it raises probability that will get stopped out of what turns out to be larger winner; but also it helps raise the return-per-trade assuming that most of the time it gets an extra tick and the BE+ would have been hit anyway. Again, no way to test this definitively.

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Note on chart: the red dash line is the previous session ending PVP. The white dash is the dynamic PVP. The magenta horizontal dotted line is yesterday PM Resistance (which has now held after multiple tests (13!) to the tick from 8.45 to 9.36 and just was broken as I typed this paragraph. That would be another SR sell for sure with stop tightening as soon as a decent thrust down).


Last edited by cclsys; January 5th, 2010 at 10:46 AM.
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  #108 (permalink)
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Am getting clearer on certain aspects of my 'rules'; I do need to tighten them, but at same time am a discretionary type; also it is in my character to go against any rules, including my own!

From Trading Plan Notes:

Bull:
Vwap rising price above vwap;


Young bull: trend up, skew down Full bull : trend up, skew up;
Old bull: trend up, skew down;
Renewed bull: trend up, skew down but price crossed back up above PVC and top of a C formation in Volume Area histo.

Countertrend trade: first need clear break of trend line after strong move;
Then Brooks 2 trigger type, i.e. don’t take first CT signal
Ideally, also need flip in PVP to around current levels so as to have new skew in line with this CT entry.


Otherwise, no CT entries.

....

There might be additional rules in terms of clearly non-trending markets but basically they will all involve the same principle: buy low and sell high around identifiable SR levels often with ST patterns/narrow bars around these levels providing relatively low risk entries.

.......

I am aware that the key aspect of a trading plan is not the particular entry exit rules but the overall strategy and approach which is married to the goals and character of the trader waging his/her trading campaign. However, for me it does center on having a method which I know fits my style and way of seeing things - which this one now does - so that I have the confidence to weather difficult days without being tempted to redesign the whole thing.

In general I will work to take with trend trades, often favoring pullbacks to SR-P's with pattern entries, and clear SR breakouts during good-moving markets. The PVP is a new tool that is very handy for identifying key SR levels including entry and exit zones. I suspect I will stick with tick charts for now although I have begun to appreciate certain aspects of time bars that I had overlooked for a while and might experiment more with 3 min bars. But basically the method is 'in', so now I can do a better job of putting together a complete plan including max daily DD, weekly PT, MM rules, more precise rules on exit/trailing protocols to provide benchmarks and reduce overly hasty stop-tightening etc. Hopefully the stats in the SS will help provide precision and confidence in crafting these rules.

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  #109 (permalink)
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Don't have time for much commentary since need to prepare for a meeting in 1.5 hours. But look at this price action in terms of the recent TR's relationship with old and dynamic PVP, and the curves in the Value Histogram and the day-session vwap. Clear areas. Then the break to new LL's still unfolding as chart pic snapped.

I really do like SR-based charting and trading, don't I!?

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  #110 (permalink)
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Cory: am I right that your Rolling Pivots is creating a Rolling Vwap re-calculating every hour? I have a hard time reading others codes and also am a bit pressed right now making it even harder to drill down and try to understand what you have done.

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