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Daily Charts, Bar Patterns

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  #1 (permalink)
 cclsys 
Sydney, NS
 
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I would like to post regular charts with certain types of bar pattern setups that I find useful and which form the basis of a day trading plan I am working to clarify in the next few weeks.

Because my dialup connection worsened considerably of late to the point of being basically unworkable (cuts in and out) and because a high speed connection should be coming in soon (the radio tower was installed in August but the local power company can't be bothered to hook it up yet!) I am not live trading so all results shown will be in SIM. I will, however, only show actual entered positions as shown by the Ninja-generated entry-exit arrows. This provides me with opportunity to train in them further whilst illustrating.


Summary of approach:

Basically using Support and Resistance along with some reference to longer-term charts for trend in order to justify breakout entries (from SR levels).


The first pattern I show today I just took after opening up with live market data after a break from am trading.

In shorthand I call it : 'Pattern SR'.

When only using price bars, there are two main SR levels I look at:

1. Previous Highs and Lows, especially those with volume and which are on longer timeframe. With 5 min I reference 30 min, with tick charts I tend to reference 3* higher. Not consistent, but there you go!

2. Pattern SR (the one shown today). This is the point where the market formed a bottom, say, and made a HH. In Brook's terms, I think, this would be the entry price of a H2 when buying after a bottom formation.

Reason for this pattern: all too often when one enters a trade at this level, it runs up a little ways, enough for a decent profit but not enough for Risk-Reward ratio to be satisfied. Then it comes back down to that area to flush out the weak players who just got on board. By 'weak players' I mean day traders who do not hold positions very long.

On the chart, I placed an orange dot at that level, along with a line. The line is the BO Pattern level = the relevant high + 1 tick.

I moved the dot down lower because of money management. The stop was placed 2 ticks below the recent low, the market is in consolidation type behaviour because it ran up and failed to take out the previous high. It is also in the middle of a MP hump. So the PT will not be for the moon.

Entered at 1.12 at 1141.30; Stop 1140.50; PT 1142.8.
Risk-Reward: 1.75.
MAE: 6. MFE: 14
Exit: 14
Additional Possible after exit: 0. (Lucky call).

Notes from SS journal:

Holding for more after 7, not placing BE.
1.26, no action but holding for training.
127: aha! upmove; 10 poss. Volume trail to +5.
128: Tgt filled. Well done holding. Exit on Run High (RH).

Rules:
Entry: followed the rules for both MM and pattern.
Exit: followed the plan.
Questionables: am still always in two minds with BE stops, trailing stops etc.

+++

Basically, this ended up being a trading range type play although it was a bit too soon to call it that at time of entry.

Note: am currently working on fine-tuning bar patterns in conjunction with volume, which is the little diamonds and suchlike on the screen. As these patterns become clarified, I will post examples of them as well.

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 cclsys 
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A basic PF chart which I intend to work with tomorrow with new window setup:
DOM in the middle instead of to one side.
PF on left, my trading chart (3 box reversals).
30 min on right for LT perspective.

(nice to have a new 23" screen..)

I put this chart up because it demonstrates the underlying orderliness of the market in a way that is much harder to see with bar charts. Note the ladder-stepping quality of a new low, correction back up to previous BO down low, then down again, the correction back up to previous SR again, etc. PF charts reveal this sort of dynamic very clearly and are excellent at showcasing consolidation zones/patterns out of which breakouts may emerge. By condensing the time factor during strong moves, they emphasise the SR structure of the market.

( the magenta dots are money-management guides placed at a ratio of 1.5 profit to loss assuming entry above high of bar (for longs) with stop below low of bar. They are inaccurate due to the nature of PF charts because I forgot to code in something different for PF charts, but still they give a rough idea of the percentage of times PT's are hit after new moves get going.

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 cclsys 
Sydney, NS
 
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Am unable to figure out how to paste in formatted text here so that it comes out right, so instead attach screenshots of
a) my SS notes/journal for today
b) picture of main chart used for trading.



General: last night after posting on 'All you Need' thread a couple of different ideas for simple layouts including the Volume Only version that has no price bars only MP and Jstats, and a PF (Point and Figure )chart which clarifies things in a particular way, did two things today.

1. Put the DOM in the middle of the screen. Thankfully have new 23" screen.
2. Put PF ST trading chart on left.
3. Put 30 range LT chart on right.

The idea being to have the DOM in the middle because that is what is actually being traded - price. In fact, this setup is better for scalping which is what I was not doing today with the PF charts which slow things down.

To make PF charts clearer, custom-coded an altered Donchian channel to plot always the number of ticks above/below the PF bar of the PF box size, i.e. if PF box size is 3, as in this chart, Donchians assume that 3 tick offset and plot accordingly. This is because PF charts do not show the prices above or below their Highs and Lows if they were not sufficient (in 3 tick increments) to move the plot higher so after the bar has closed when a new one forms, you cannot see on the chart what the high or low was. This solution still does not show that, but at least you can more easily see the spot where the bars will next form if they continue, or reversal areas. Small thing, but helpful.



Trading:

Trade #1:

Time: 9.17
RR Ratio 1.93.
9 MFE. 3 MAE.
Exit at trailed stop -3 = -$34.4.

Comments: a little aggressive but valid. Aggressive in sense that trend had not clearly turned yet and this was just normal retracement in up move with the PT at 1136.2 being sort of nowhere: below the Patt BO level which was more likely at 1137.6, but way above the DL (overnight) at around 1132.

Note: I was not set up in time, but this trade should have been taken 2 bars earlier at BO of narrow (white) inside bar with low initial risk and higher probability of getting at least 1.5 ratio PT since the beginning of a potential pullback/correction. This one was later in the move. It almost made enough for daily target but I was shooting for more because of risk-reward ratio rules which for now mean at least 1.5 to 1.

Trade #2:

Time: 9.26
RR 175
MFE 49 MAE 9
Exit at trailing stop +25 = $245.60 = $211.2 for the day.
DONE.

Comments: Used Volume trail once over $200 because mkt at important SR level and did not want to 'give back' once daily profit target more than exceeded. Of course as soon as my stop was hit, market went 20 ticks higher in the next minute or so! Retro: this was a silly stop level because if you look at the chart you can see that market was above that SR level (and of course had gone higher already which you cannot see on this PF format) so a pullback to the SR level was a good buy entry level (pattern SR from lead post in this journal thread) and therefore a poor trailing stop level. Indeed, could have added second contract if being really aggressive with 10 tick stop for net $0.00 trade but possibility of far more. That is not what I am attempting to do however so this worked well.

Daily Target is 1%.
Assuming $5000 per unit (aggressive) = $50.00.
I am shooting for $100 (2%) during this period before highspeed installed and live trading resumes.

Am also mainly trading single lots to focus on basic risk-reward ratios. Later will get into 2-3 car situations but for now assuming all units enter and exit at same price, so trading with single lots is fine.

Notes: the PF charts clarify things in terms of support and resistance.


Review:
#1:

Entry: Followed the Rules
Exit: Followed the Rules.

#2:

Entry: Followed the Rules
Exit: Followed the Rules.

Adherence to rules: 4-4 = 100%.

Intend to work further with this PF approach because it limits entry signals and I tend to overthink basic bar charts, which still remain my favorite 'indicator'.

Thanks to Roonius for coding and making available PF Custom Type. Well worth the $35.00 I paid to have the capability.

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 cclsys 
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Night session action. Tomorrow's profit target of 1%/$50.00 reached in a couple of minutes. I was not planning to do anything, just wanted to track how Gold is in the evenings when the Asians are waking up and now increasingly dragging the rest of the world along with them. Used to be the other way around and they would wake up to see what we had done to their world while they slept!

But this was too classic a setup and what I want to show in this (my) journal are various setups with the caveat that I take them. For now in SIM, later in actual.

Here we are in a clear uptrend, and indeed into new lifetime highs with previous support from an hour or so ago. It rocketed up at the open, but interestingly enough did not gap from Friday's close. I've never read this anywhere but I regard this is very bullish. Why? Because there are people committing to the long side so they wanted to get in as cheap as possible and they had enough oomph to push it up 9 pts - which used to be a lot in Gold - in a few minutes.

Then stalled near 1160. (For Gold, every 10 pts seems to be quite significant. A very metric market. Went up a bit further and then corrected back down to the identifiable SR level (some call them pivots) which I marked on the chart with the thick green dash SR line.

Why is it identifiable? Because of the initial high at 59.x, then the pullback, then the breakthough with pause at 60 again at 19.05 on that big bar. Then it made another move up to the high thus far with a couple of climax/churn bars which often indicate the end of a move.

The correction was also very nice. Fast but not excited with very clean lower low lower high bars to within a tick or two of the SR level at 1160.

So I put in the stop entry above the last high with a stop below the low as soon as that last blue down bar had formed. I was not willing to buy around the low at the SR level because I wanted to see some bullish commitment first.

Initially had 2-1 risk in summary below, but as soon as daily target hit, and because this is a night session which I am not familiar with, decided to bail. I also noticed volume changing once it got to around where I stopped out. This is not a good habit, but again - daily profit target was reached so...

Trade #1 Night Session Gold

Entered 7.33 Exit 7.41
Entryprice 1160.4
Stop 1159.3 = 2 ticks below RL (run low) support = 11 ticks.
Initial Target just below High at 1162.4 = almost 2 RR ratio.
MAE/Heat: did not notice, but I think only 1 tick.
MFE: +10
Exit +8 at 1161.2
Net: $75.6 = 1.5%

Entry: followed the rules
Trailing: followed the rules (no premature BE or exit when nothing happened first few minutes)
Exit: did not follow rules by holding to original target but did achieve daily profit objective in first trade.

So I give myself 3/4 on that = 75%.

As you can tell, my rules are not totally cast in stone which is probably a problem and something I need to work on, one of the benefits I hope to gain by posting a journal here.

Conflict: on the one hand I am committed to holding to a 1.5 or better RR ratio (original target was at 1162.4). On the other hand, there is a daily profit objective. So I was thinking about this earlier today and formulated the following:

1. Don't take any trade unless market structure or method indicates good probability of at least 1.5-1 reward to risk.
2. With first trade, place initial stop at that target but if there is any hesitation once mkt has run past daily PT, take the PT and be done.
3. In the event first trade is a loser, rigid adherence to MM rules is a must with more like 1.75-2 versus 1.5 being the goal.
4. If a second loser, RR must be 2 so only trades with 2 or better likelihood will be taken, i.e. I will not try to scalp out of 2 losers with little 1-3 tick risk trades and 3-5 PT. May also move to longer term chart to trade for a larger move.

Chart: I uploaded my Ichi suite to downloads section today so had them on the chart in stripped down form. I really like the clouds. Also have the Dvalue and new Dvalue Weekly to compare to Ichis.

I have also noticed that you can really tell where these thick zones are in the price chart, basically anywhere the market has stalled or crossed over several times. The Clouds are different though because they are drawn 27 and 81 bars beforehand. I like them and they work - for me - as dynamic pivot lines and also trend confirmers or SR zones that need to be convincingly penetrated etc.

Apart from that, just Volume and RPM. I have the IchiSqueeze down below - not plotting correctly - but even though I think it's an excellent indicator in many ways, I never look at such things since 90% of my attention is always on the price bars. Also, it is configured for a white background chart and looks totally cartoonish on this otherwise fairly clean setup.

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 cclsys 
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Monday Nov 23.

I am having a hard time putting things into a SS then pasting them over into this window. Perhaps there's an HTM trick I am not aware of. If so, any hints anyone? For now, I attach screenshots of SS and chart with less text commentary about the RR, entryp, stop etc. which is in the SS pic.





#1. Apart from the fact that shorting a lifetime high in a (weekly) parabolic bull market, now the dominant lead market in world finances despite being a minor futures contract, is totally ridiculous, there is nothing to say except that if I had moved the stop to above the next number, the profit target placed at reasonable SR level with permissible RR ratio would have been hit almost to the tick. Right idea, wrong stop placement, but in any case, absurd trade which I took only because am in SIM, but that's no excuse.

Entry: did not follow rules.
Exit: did follow rules but should have bent them to place stop just above 1171 versus at 70.8, RR would still have been fine. SIM gave me better fill which I am taking because it does happen and it was a fast mkt when stop was hit.

Result 0 out of 2 = -100%.

#2. Valid entry, in fact right at the PT of trade above. Have discovered drawing Rays. You can see the Ray I drew just above the thicker SR line. Thick lines start as Rays but are changed to thick once they have been tested/retested at least once after being a Ray.I put this Ray in because after initial breakthrough of SR this level was tested twice if look at the bars carefully. So it works as a sort of Patt BO SR. I should give it a different name. SR T2 = pullback to SR double test.

Anyway, got in there. Exit covered with #2.

#2
A minute later added to position with pattern upside BO (Brooks H1 or H2 depending how you count them - have not read book). PT was just below the DH = lifetime high. There is an orange dot where I should have drawn a Ray but hadn't figured them out yet and didn't notice when going through the chart afterwards. That was Tgt#1 and is a perfect example of what I call a 'Pattern SR' versus one from High or Low swings. This #2 tgt was a little higher 3 ticks below DH.

Had a trailing stop in the ATM which loads by default in saved RR 2 strategy that I thought had turned off but hadn't. In any case, both trades were quick winners.

Moved PT down on #1 on volume resistance and with daily PT's (net of first loser) more than exceeded. PT was hit a few seconds later.
#2 stopped out on ATM trail which actually I adjusted down and which didn't work, but the net result was significant gains relative to daily PT.

#1 -6
#2 +18
#3 +7

Rules for #2 & 3:

Entry rules: followed entry rules.
Exit rules: bent exit rules on #1 on vol resistance and DPT met.
trailx on #2 perfectly reasonable.
MM rules: followed MM rules. Net risk on #1 & 2 when placed was 11 ticks since stop moved to 2 ticks below forming RL (Run Low). So now I had 2 trades on with same risk as 1 but essentially now almost 4-1 Reward to Risk which is very good. That is an excellent situation, so that gets a 12.5% bonus.

3/4 = 75% + bonus = 87.5%. Not bad.

$$ result:

1 -$64.4
2 $175.6
3 $65.6
Net: $177.00 = 3.5%, three times daily goal.

Notes: would like to present how I draw my SR or 'pivot' lines. Not sure how to do it but I think others might find it of interest and also may have suggestions as to how to improve/reconsider the method. It's very simple, but perhaps the main thing I use, even more than the bars, and also more than vol which I am still learning to pay attention to mainly via BV2.

Good day. There is little emotion in SIM so that part of it is not an issue and of course that is the main issue. However at least I am now picking entries based on whether or not MM rules are met, i.e. if the next reasonable tgt does not provide favorable RR numbers, it is not taken. That is a new - albeit very simple - change to my approach.



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 cclsys 
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OK, I've made up a chart from today's action in Gold putting in the SR lines as I like to draw them. It's a bit confusing to read because the chart is compacted to tell the story. In live trading it is wider so the current price zone is less cluttered (also most of the Dvalue lines are to the left which is not the case when viewing afterwards.) I also took off the daily dvalue and entryexit arrows to reduce clutter.

How I do it:

Clear Top or Bottom starts off as a thick SR Ray.
Pattern SR's start off as thin Rays. They are changed to thick on retests and I have marked the point at which I changed them with green or red arrows. There is no significance to the color and should probably have made them both green, but some are drawn above and some below, that's all.

The white arrow is where I entered in the Daily Journal log in post above.

The grey vertical line is the market action that occurred after I finished drawing the lines. I did add in a couple after the fact which should have been drawn during the time I was posting the journal.

The gray arrow is where I would usually delete a line that does not seem to be relevant any more, or because there are too many too close to each to be helpful. Probably there are a few more that I would take off at this point. These are used for daytrading, most daytrading sessions only last 1-3 hours tops, so rarely would there be more lines than this and often fewer.

( The dark red line is Dvalue Weekly POC. The dashed thick green line is the Ichi KijunLT 81 bar Donchian Middle line, my main LT indicator. I pay attention both to its slope and price. I will be changing the color after today because of all these green Rays.)

I suspect this chart is just too 'busy' for most to find of interest, but I find this way of drawing pivots very easy, and also often very effective. I take pattern entries quite similar to Brooks' I suspect, but only around these SR levels and now only when those SR levels provide targets that will give acceptable RR levels. Sometimes if an entry pattern is triggered and the RR level is not acceptable I will put in limit order closer to stop in order to get that level acceptable though not at point where trade would be nullified. This latter is almost impossible because my stops are usually tight and there is little of significance between the entryprice and the stop - which is why the stop is there in the first place, i.e. it's the first zone where the trade entry logic is being challenged.

After action: you can see in the hour after the lines were drawn that they proved quite helpful. Some of them might have been lifted and others put in. But the recent low with the two climax bars happened at a 'Key Area' (2 thick lines close together drawn at different times, the lower one from much earlier off the chart). Then mkt went up to POC where there also would have been a new Patt BO down Ray, and the top of ST Ichi cloud AND within 1 tick of LT Ichi 81bar median.

(Note: the lower lines were drawn, some of them, last night or earlier so they have not been reviewed this am. They were so far away from the price. As I type, mkt is moving down hard and some of them are about to challenged.)

If anyone has questions or challenges the approach - esp behind the 'pattern' SR's, please feel free.

So two things on this chart:

1. How I draw the lines and you can tell from the beginning of the Rays after 906 when I drew them.
2. How those SR lines worked both after being drawn and also
3. How they held up as helpful after I stopped drawing (vertical line).

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 cclsys 
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Couldn't resist showing a variation on these SR patterns, and one of my favorites, although this was a slightly muddled example and I rushed into it since it was there the second I switched over from the last entry to the live chart. The lower SR line was drawn from Highs made around 3 am and tested several times. The upper SR line is from the pattern SR entry level from my trade#2 today, the 'money trade' of the day.

But just before entry there had been penetration of those lines (the low volume gray bar to the right of the 2 climax bars) making the whole situation a little 'scraggly', i.e. without clear bottoms being formed. This is sort of bullish to my mind but anyway.

I took 3 entries just to show examples of the entry points. The logic is as follows:

Once a significant SR has been breached and it is below both clouds, i.e. breaching longer term support, sell 2 ticks below the SR that was breached. I call this an 'SR Sell'. ( or an 'SR Buy'). This trade would have been more valid if that gray bar on the left wasn't there, so pretend it didn't happen.

The second entry was at a sort of Pattern SR sell area just beneath previous pattern SR lines (thin rays). I could have been a tick or two higher with this but that white Inside Bar seemed significant so I put the entry 2 ticks below the low of that bar.

The third entry was the most 'valid' in the series because of the muddled situation and happened on a simple pattern LL after the rebound. This was also after gray lowvol bars indicating that all that was going on was stop hunting up above, so a move back down is more likely. The stop would have been just above the recent RH (run high), and the target just above the recent RL-DL (Run low, Day low).

I did not follow the rules for the exits since I mainly just wanted to show the entries. No doubt there will be some clearer examples in days following. When possible new trends are emerging, these can be very effective trades, often with tight stops before or shortly after entry.

(In this case, I feel that selling gold when it is making lifetime highs in a quasi parabolic mkt is a bit absurd, but anyway. In fact, the exits happened when two or three 'flash' orders of 600+ were placed. The usual Vol in the DOM is around 20-60. 600 is ridiculous. They were not placed to be taken but to confuse other automated algorithms (at least that's my theory). This is a new thing in Gold and it means the program traders are moving into the contract which also suggests that volumes/liquidity will soon be increasing in this instrument as well. Whether this is good or bad I don't know. Especially since short sellers are probably sitting on tungsten bars, not gold bars!

As I type this, the mkt went through all original targets and penetrated the lowest ray line on the chart by 2-3 ticks before now bouncing again to - guess where? - that SR line drawn from my #2 trade pattern entry (to the tick!) and thus another SR sell. Immediate selloff of 10 ticks when that SR level touched.

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 cclsys 
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The experimental FibBandsRatioTgts indicator - which probably needs a new name - seems to be working. Now with ability to anchor to Open Price either of the first bar of session or to a manually input price 'OpenPrice' input.

This is using the default band settings (1,2,3). Three targets hit, one with # 2 tgt, working on a fourth which is looking iffy. (Yup, at 1.25 ish definitely stopped out and the #2 (purple) tgts on the attached chart were all penetrated.

Cheating a bit on the first target since the one hit (to the tick!) was the last entry whereas two earlier entries from earlier down would have had to weather more than 30 ticks heat to get only about 20 in profits, i.e. they would have been stopped out. But the last one (of that first series) had almost no heat and 45 ticks profit.

Picture: chart showing targets. Targets begin to be drawn on close of bar that made the trigger. So there is no precise entryprice or stop indication, just the target.

No attachment on this thread. Will post in Elite Downloads area in a few days when sure is working properly and no new suggestions/additions needed. In Elite area because several 'Eliters' helped with development in Mikes EnvelopeExpansion thread.

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 cclsys 
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A better example of SR Sell which I didn't take because was experimenting with a very gutsy Band Trade at the lower 3 band which was at clear SR with two thick lines from earlier. I also had just previously adjusted the #2 targets from 2* tgt1 to 3* because that way they would be closer to Band 3 levels which usually contain most of the action except in runaway trends. This is a correction. So there was #2 target cluster support right there as well.

Order was placed a few bars before price got down there just below band and between the SR's. If the SR's had not been there I wouldn't even have played with this, even in SIM.

Target is 1173.60 (110 ticks) which is 10-1 RR. Already 30 ticks open profit at the next SR pivot. Ideally this trade would have had at least 2 units and first could have exited at first pivot which was a very clear SR Sell level and better example than one above, although I prefer them to happen within 5-15 bars, i.e. just after penetration of key SR.

(Just trail stopped out whilst typing for peasely 14 tick profit.)

The real reason for this pic is the red arrow. Entry 1 tick below the SR line. 2 ticks heat. And now at +18 ticks profit at time of typing. This is not unusual with these SR Buy/Sell trades in clearly trending market.

Market note: although leary of the short side in historical bull charge, earlier Ichi template example showed clear breakdown through both clouds which is very bearish and often indicates beginning of significant trend (within the timeframe being plotted). The longer term cloud medians look back 162 bars for some of the lines, so they are pretty slow, albeit the plot is made 81 bars 'in the future'. (Clouds not on this Fib Band chart).

But the SR sell was picture perfect so I wanted it here on the Journal so everyone can know what I mean by SR Sell or SR Buy in future entries.

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 cclsys 
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Difficult day today. Got off to a bad start and then made it worse. Will submit SS log later but it fell behind. For now a picture with trades circled.

First two trades (#1 BE-, #2 -10) the first out at BE+ after almost being stopped out. Did not want to have initial DD so bailed out at BE- and of course daily PT hit one minute later. Second had daily profit target hit before reversing but since I am fixated on working with MM I didn't even think to take the PT even though in live trading that will be the approach (Also, was entering trade in SS journal which should not do whilst a trade is in play).

After that a string of losers to -11% (-$550), then recovered to +$17.00 and last trade, which pulled at BE+, would have made the daily minimum target of 1% ($50.00) per car. I messed up several entries in terms of rules, maintained the RR rules throughout, did not double up to save any losers but did take a couple of doubles within the usual parameters, so all in all was okay except for unfortunate start with not taking initial daily profit target when it was handed to me in first 5-10 mins.

Was not really in the right frame of mind and should have waited longer before entering. Then got flustered and refused to take a break. Then finally focused better and pulled out using longer term band-type targets back to the day's midrange area (VWAP) in order to recover the early losses.

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 cclsys 
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Well, after carefully going back into the SS journal and entering all the trades, they didn't look quite right (from the Control Panel Strategies drop-down) so I generated a Performance report and exported it to Excel. Little did I know that it would wipe out everything I had just worked on the past 30 minutes. Usually I hit the save button all the time when I do stuff, this time I didn't. So I lost it all.

But I like those reports and will reconfigure my SS to incorporate the Ninja columns and then just add some notes at the end of each one, probably from a separate text file I keep for notes during the day. Simpler. And good stats.

This one includes 2 overnighters I did late last night, both winners, so I ended up with about 2.25% gain on the day, which was a rough one.

The Ninja SS does NOT show stops, PT's and RR ratio so I still have to add that in after generating their report. Clearly, this is going to take a little time to get into a regular daily system that is presentable.

There were too many trades to go through in detail like yesterday. Suffice to say I was underwater, but underwater in SIM is not the same as in live trading, although I have done pretty much the same thing in live. If the trades that ended up being big winners had been losers (and the one at the bottom of the chart came within a tick of being stopped out) in live trading I probably would have quit in disgust and nerves, with a 10% drawdown. That is why I have not been making money yet in day-trading. About 85% profitable days reaching the 1% profit target, and then one terrible day in which all the profits get wiped out and I am slightly lower than I started. This is why I am working on money management.

In retrospect on today: the BIG mistake was :
a) moving stop to BE- on short trade after 9 ticks heat and missing daily profit target hit a minute later - did NOT follow rules.
b) not taking daily profit second trade when I had it - NOT paying attention.
c) not moving stop to BE+ on second trade after daily profit target (but not trade profit target) exceeded. This to prevent having to come back from underwater - NOT paying attention.

Reason: not focused. For some reason started recording journal within seconds of second trade being entered and didn't even notice that daily PT had been hit, that a bar had formed giving me a clear BE+ stop exit price, and before I knew it (still typing in SS) was stopped out and it was downhill after that for an hour or so until I regrouped, went for a longer term profit target albeit with same initial risk, and patiently waited to recoup losses. If had not been greedy and exited both contracts at PT1, would have been up over $150 on the day (3%). Instead ended up for little over BE (not counting the overnight trades).

In my defense re #2 exit on the big winning combination, I continue to have problems with Ninja in that when I connect/reconnect it changes some of my settings, including accounts shown in DOM and on chart, in this case the trades I entered I didn't notice had the trailing stop option enabled - which I had previously turned off - and the #2 contract was stopped out because the trailstop moved there in a fast market as #1 exited and although I tried, I did not have time to move it back down. If I had succeeded, I would have got out at much better price and made profit objectives (and more) in the day-session. But there are no excuses in this business, so what happened, happened.

There are some good lessons from today, but I am and was too scattered to learn them, so I am not happy with the entire day process-wise.

PS. On final review of SS report, notice that my actual Trade #2 exited for +2 to make up loss from #1 and the one I have been calling #2 was #3. If I had not exited #2 early, daily PT would have been made. So three in a row potential winners, ended up with 2 BE's essentially and one loser. That's poor trading! But also: that's trading!

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 cclsys 
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Yesterday re-tooled my RangeBarHighLow indicator to work properly with Renkos since I visited the MedianRenko thread and decided to take another look at them. I like Japanese things usually - although for some reason I still prefer OHLC to candles. Maybe I should try those hollow candles but I don't think I have them or have seen a download for them anywhere.

In any case, the RBHL works great with Renkos. The main reason I didn't ever look at them was not knowing where the highs/lows were going to be, but now that is fixed. Even the default Renkos are quite workable with this plotting feature. (attached uses Median Renkos). Next I would like to get it to work with PF but that will be harder.

Then I coded 'Ash rat' inspired by the TRO Rat thread which was closed but which contains some interesting information along with far too much fluff. Frankly, I got more from his attitude and use of statistics than any sense of clear method, though if I understand aright he basically uses average daily ranges to calculate when a possible low or high is in (and he only buys lows I think), and then after a bounce of X% of that daily range from the probable Daily Low, he buys any time there is a pullback and then a higher high, i.e. he buys up bars. Something like that. It makes a lot of sense and jives with several things I have been mulling over of late, principally sticking with one direction and not changing sides too often. If the longer term trend is up (or whatever criteria you use, say it's under Band 2 in a Fib Band type indicator), you buy and all you do is buy.

But in working with the Renkos and these ideas last night and developing the AshRat indicator which knows what the high or close of a Renko is going to be, it occurred to me that Range Bars, and especially Renkos, are like bars that visually display an ATM strategy, so working with them to train with MM I think could be extremely helpful. In fact, along with generally goofing off the next few days and hanging out with friends and drinking too much homebrew (I live in rural area remember!) I would like to build the current 'AshRat' into a money-management training indicator working on Range or Renkos during market replay or live Sim. I tried to do this with RatioSysBand indicator (in another thread somewhere) but the coding went above my paygrade.

In any case, here are two pictures. One shows at TRO (rat) indicator that basically buys HH bars once a low has been put in using something that is close to a 5 bar Donchian approach, or sells a LL once a high is in. It's not based on the Daily Range approach, just swing after swing.

I made the mistake of loading this with Renkos, which it cannot see well, and also did not realise that the 'rules' assumed by the indicator are to buy the buy trigger only when the close is above it, not as soon as it is hit. I think this is not the method, but it is how the indicator thinks, so working with Renkos in a rather fast - and unusually choppy - gold market this morning with a new indicator that I didn't understand was difficult. After an hour or so I was down $700. Then I switched to a Range Bar chart and understood its logic better and managed to get nearly all of it back, and then starting going under again as I was getting very tired. It's a fast-moving approach with 5-range bars - at least it was today.

At the same time, I was using my own indicator on a parallel 5 range chart (also attached) so that was a bit confusing. But I knew that would happen and after two hours am thoroughly familiar with both approaches and can work on them further in a more responsible fashion.

There was something very relaxing and simple about having such incredibly simple rules. No volume. No SR. Just simple price bars, the indicators just showing basic information about the bars.

Comparing Renkos and Range bars, clearly Renkos hold a trend longer. However, they can get very badly chopped. This is perhaps choosing bars that are too narrow for the market. But I personally need to work with about $100 stops for money management reasons. I think an account should be able to trade 1% risk per $10,000 = $100.00. So a 5-bar Renko has an 11tick $115.00 stop already, and a 5 range bar has a 7 tick $75.00 stop so that is what I prefer to research, at least for now. Using much larger ranges to determine trend makes perfect sense, but not for this sort of entry and exit money management training.

Because you know the range of the bars, you know your stop before the trade is entered and have a PT as well based on whatever RR ratio you want and then get a sense of what works and what doesn't. Today I ended up with a 7 tick stop (the range bar plus one tick above and below), a 7 tick PT on #1 and a 15 tick PT on #2 which was only hit once I think. But it was a very choppy time I tried this out in.

(I intended to go over to my 'real' charts and have a proper session for the journal but a) I was tired from the intense Renko and Range workout on 2 charts at once and b) the markets are just floor traders picking up money from saps so they can go out and buy emeralds for their girlfriends before bringing home a larger turkey to the wife and kids. At least that's what it looked like half an hour ago. Maybe it's hit 1200 in Gold whilst I am typing!

I know my posts tend to be too long. (The English schoolboy in me!) Sorry. (there I go again!)

But when I have done more work on the indicator, I shall share it and also show some pictures with signals.

I can't imagine trading a Range chart without the RBHL indicator, and it is VERY helpful with Renkos. Works with Range, Alt-Range, Renkos, SbS Renkos, Median Renkos. Very handy. 2.5 k!

Pictures: the one with the TRO indicator: the idea is buy when it crosses the High with the cream-colored hash, and sell when it crosses the low with the purple hash. Sell are drawn only after a buy signal has been triggered and confirmed with a close above them and also some sort of support-resistance criteria has been met in that there is new resistance. Once there is new resistance, the sell hash is active and any time there is a LL you sell. This is better in theory than practice because the hash marks don't change without close confirmation and in fact the method is to buy the HH's at the high and sell the LL's at the low as soon as you know which way you are going. But anyway. There is some merit to this approach and I intend to take a closer look at it over the next week or so especially in regards to developing a money-management training indicator for use with Range and Renko bars in particular. I think quite a few people will find it of interest.

The Ash Rat picture has a simpler indicator though in this choppy market it doesn't look appealing. When there are trends it is nice. Basically there are always two plots based on where the high or low will be. As soon as a close has formed and it's an up bar, the buy plot goes one tick above the high and the sell/stop plot goes to one tick below where the max low will be. Now with Renkos this works fine, but with range bars it doesn't keep track of the possible highs and lows intrabar like the RBHL indy does, but since I have it running, no problem. In any case, it is VERY simple when the chart is not all squashed up to show on the thread, and makes for very straightforward no-brainer type entries and exits. The art is choosing when to be on the buy side for a while and when to be on the sell side versus taking every single little swing every time which simply won't work. But as a training indicator it is simple, good, effective.

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 cclsys 
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Nov 30th. Fast morning action. First trade made daily PT but I held for more and exited at BE+; 2nd trade a basic loser and 3rd trade came within 1 tick of $250 PT and exited on Vol stop for +17 for daily net of $86.8 = 1.73%.

Method: was using 4tick Renkos and just followed the patterns, the basic approach being to move stop up to BE as fast as reasonable to reduce losses, and then assume that at some point would make daily target even if there were a couple of losers in a chop. Did not pay attention to longer trend, other charts, any indicators etc. Just simple patterns/reversals as formed by the Renko formulation itself.
Made daily PT within first minute of first trade but held for more just for training-with-Renko purposes.

I have a good feeling about the Renkos. The way the bars are formulated to reverse only if the price goes against current trend by twice the bar number is a form of money management itself. The bar advances every 4 ticks meaning there is a 4 tick step on a 10 tick stoploss assuming one enters one tick above previous high (when buying).

Trigger Bar high = 1150.50.
Minimum Low = 1150.50 - 8 = 1149.70, so one tick below that is short entry, i.e. 1149.60 = 9 ticks below close of setup bar.

So initial stop is 9 ticks + the one tick for entry above previous high = 10 ticks. If the entry bar goes up 3 ticks, that is its maximum, so at 4 ticks a new bar has formed and the close at +3 (from entry which was Close[1] +1 tick) makes new reversal stop 9 ticks lower at -6.
If the next bar continues up, it will max at +7 and stop goes to -2. Then +11 and stop at +2.

But basically it means that most losing trades end up having a -6 to -2 loss (1-2 bars before exit), and most winning trades have about +7 ticks (2 bars) before turning against.

Very simple. When traded a little more judiciously in direction of overall trend or at OB/OS extremes basis Fib band 2-3 levels, I suspect it will prove a rather simple way of pulling money out of the markets, moreover one that requires minimal analysis, thought, anxiety etc. Simple set up, entry price and stop are on the chart every bar, take the trade, trail the stop, exit at PT which can be adjusted easily based on initial daily PT or clear SR, that's it.

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 cclsys 
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Dec 1. Late start. Intention this am was to wait for decent setup and try to have the first trade be a winner versus just taking reasonable entries, applying MM and ending up ahead for the day.

The set up took about 20 mins to form (from time I started watching) and is obvious from the chart. What you cannot see on the chart is that the 30 min chart had made new lifetime highs with several red/magenta churn/climax bars (overnight session went higher actually, up to 1200), with a day-session gap from 1700 EST yesterday, so a pullback of 10 points to fill the gap was quite likely.

Still, consolidation happened for about 30 mins, the market did not go lower and in fact the trading range had a bullish flag bias with slightly higher highs each time and slightly higher lows. So I took the BO and with reasonable, but not very fast, speed, market kept going up, no heat to speak of, and up to $150 poss. per contract. Exited on Renko Bar LL penetration but mainly to ensure daily target reached on first trade, which it was (6 ticks = $56.00 = 1.12%).

'Einfach so.'
Or, as we say in English: 'Elementary, my dear Watson!'

Chart: I market the original 2.5 tgt with an ellipse and line. After a pullback, the target was hit.

I marked the bar I entered on as H2, though the entry price is marked with the line showing the 'official' H2 entry.
Actually, the large bar that I used as the BO price could also be said to have been a H2 when it took out the previous high. But basically the whole thing was consolidation after a pullback from the daily high and at some point it was either going to go lower or higher no matter how you micro-analysed the bar patterns.

Chart note: a far more gutsy play using the bands - configured around Kama using a 3-13-21 configuration inspired by Cory - would have been to buy the lower band around 10.05 at around 1192.75 which point a target was printed up above at around 1196, i.e. 3 points/$300. Would have taken a while to reach target, but within the entry bar about 1.75 points were quickly available on the 'bounce' from the band. That would have been very gutsy because again from the 30 min perspective, a far deeper correction looked likely.



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 cclsys 
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Dec 2nd: another day with many trades. Having problems with keeping track in journal and paying attention to mkts. Need to work out better routine. Also have not been reviewing % of rules followed which would like to do but since this another day with many trades (because did not take DPT on 2nd trade when had the chance and there were others).

In general followed entry and stop rules, but exited too early in order to protect against losses. The losing trades hit their stop losses.

After two losers in a row getting me to -$242 on the day, decided to trade only long side in order to avoid further whipsaw drawdowns. This was the right approach and basically one of my new rules: when down, choose a side and stick to it until the market has clearly changed direction from longer term chart (i.e. 30 min) or recovery effected. This might take more patience, but will avoid whipsaws.

In this case today, after partial recovery I also put on a double since there were 2 SR zones in play. Market went down to lower entry only exceeding by 1 tick. This trade exited early because I did not notice the stop had trailed up whilst typing in the journal (!) so re-entered, continued with the position (suffering 3 ticks missed in the process) and then exited with DPT reached/exceeded and done.

It is risky to double up or triple up; however I have found that 90% of the time if the market is clearly in a trend (which Gold now is), that it is better to go with the trend even buying lower and lower than to take many stops. This is an advanced approach which, when it doesn't work, can ruin an otherwise good trading week or month and which means that if you get hit, you have to get back in there (in same direction) until recovered for the day.

My problems earlier this year when doing this live was that I was playing both directions. So for example now even if a triple were hit with a net $600 loss (huge by the standards of this model account size), if a solid buy set up then transpires and market is still basically a bull market, there really should be a bounce which with 3 contracts would require only 2 pts for full recovery or 1 pt for 50% recovery. Especially if the earlier buys were all losers (which in this example they were), and if you continue to remain on the same side, the probability of the next long trade being a winner has risen as long as you haven't walked away for an hour and are coming back after a large upmove happened already, or the longer term trend has changed direction.

In any case, that is what I did today and from being down -$242 and making 50% recovery on a single, then put on the double for full recovery and net gain of 2.6% ($130.4).





Quick review of trade logics for any who are interested:

#1: sold BO down because of Market Profile empty zone + basic pattern. Immediate loser.
#2: reversed on Renko buy and could have made full recovery with DPT but exited for net +$20.
#3: Looking for quick bounce to make DPT at pattern BO level from 2 bars before, but initially had larger PT and by the time I moved it down for DPT it was too late and exited for 2 tick gain to ensure no further loss and at +$35 on the day just 2 ticks shy of DPT. Typing in SS distraction!
#4: bought BO from minor consolidation which immediately went south then
#5: sold BO down which also immediately went north for fast chop losses.
#6: despite recent losses, reversed on Renko Bar BO up at this point having decided to take long only trades until recovered. Took partial recovery profits, but if had not exited early would have fully recovered. PT hit to the tick and I would have been one of the first in the queue so probably filled.
#7 & #8: double. Both at Pattern SR support, the first from High 2 bars earlier, the 2nd from high BO 3 bars earlier. The 2nd nailed the RL (run low) and trade was relatively fast and easy winner after that with little jig involving
#9: accidental trail stop exit from #8 so re-entered immediately at market to maintain position.

So scrappy trading, poor discipline on maintaining PT's to achieve goals (DPT). This has always been a problem for me in daytrading environment and although ended up profitable today, such action on my part would have made for an emotional session with me kicking myself for not holding out, having impulsive desire to jump back in to 'get my money back' and probably getting chopped some more.

In retrospect, with market having just made new lifetime high before I put on first trade: a) only trade the long side b) hold out for DPT. Then would have been done in 2 mins on first trade which is #2 above.

So in terms of rules/percents: overall 50% with entry and stops being mainly well managed, but exits being poorly managed both in terms of not exiting when had first opportunity to make DPT's, and then not holding out for more once trades were risk free during recovery mode.

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 cclsys 
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Dec 3. Back to my preferred chart having at first monitored a 20-range influenced by Gary's CL thread. It does smooth out the noise but since the action today (after the day-session open) was rather choppy, I found myself holding back. Perhaps that was a good thing but since I am not used to that sort of chart (yet), I went back to 150 tick as the main trading chart with just Volume Patterns and a VWAP fib background. This is my favorite chart and basically I focus on the bars.

Although came out well in the end, I did not do well. Even though spent a good half hour watching market before placing trade, felt rushed and unfocused, not 'in the zone'.

#1 was a late entry after a rather weak pattern SR buy had failed to produce immediate advance. In retrospect, rather than kicking myself for missing it, I should have been grateful and waited for more confirmation before entering on the long side.

#2 was at more identifiable Patt SR support, albeit this SR drawn from pre-market session; such lines are not as important during early going in day-session. Although it's stop was almost hit, basically this worked as it was supposed to do with a nice bounce in short order after the new low put in. On the chart you can see that after 2 red bars, the low was put in with a very narrow range bar - often the best setups indicating high volume/bigger players since this was not a red bar (which counts tick volume). That is where I should have entered #2 or #3 below.
#3 placed after formation of the two climax bars at expected support. I put this on in addition to #2 partly for training but also because the climax bars were confirming that support was due and I didn't want to miss a bounce if #2 was stopped out. Then I didn't react fast enough to move entry down to just above the narrow new low bar mentioned above. That would have been the ideal entry in terms of rules. #1 was fine rules-wise although the first reversal signal without volume confirmation I would usually pass on. This one after the narrow new low bar is something I should have jumped on. But the market was fast and it went straight to my stop entry and off she went.

To be honest, after the double bottom and given this is a strong bull market, to put it mildly, I expected the bounce to go further. But maybe they all read my January prediction here and want to slow the market down so it doesn't go too far past 1250 before the New Year. Frankly, I expect it will be closer to 1300-1350 the way this thing is moving. Asians pushing it up overnight every night and day-session absorbing that, backing and filling, and then grudgingly going up again.

Heard report that JPMorgan is heavily shorting gold and silver. That means the USG is shorting. Reporter said this was averaging into short positions from earlier and although they might have the muscle to bring things back down, if they don't, they could lose a bundle making fundamental US financial situation even worse in terms of financial diplomacy/influence, not because of the losses per se, but because this is clear evidence that US elites are not in the drivers seat financially. Unless there are even deeper plans afoot which involve taking the US out of course. No end of nefarious possibilities just as at any time throughout history in all cultures!

Rules: although was not clear with any of these entries, once in the trade I managed stops and PT's well. Am concerned lest am getting into too many double situations since this is not the ideal approach for a $5000 account because the doubles end up risking about $150 usually. In this case, because I did not have time to either take #3 off (safer) or move it down to above low bar entry at 1214.90 with stop at 1214.20 making the risk on both trades 11 + 7 = 18 = $190 inc. commissions, this was not good risk situation.

So there is some impulsiveness and scatter-brained quality going on here that I must tighten up. Part of this is working with SIM until new internet connection comes through. Part of this is my general tendency anyway which is that once I am trading, I tend to get in and out in 'fast and furious' style without sufficient distance, perspective, objectivity.

So in terms of rules, although basically everything worked out and I followed the rules, #1 really shouldn't have been taken, #3 shouldn't have been taken or if it was not at the old entry price from 3 bars earlier.

So 50% grade on rules.

#1: -$114.4
#2: $175.6
#3: $75.6
Net: $136.8 = 2.7%.





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 cclsys 
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Put this one on for fun but also to illustrate the value of keeping track of SR. In this case, given healthy correction underway in Gold this am, drew 2 SR lines on 30 min chart at obvious levels below the market. Lower SR is thick green dotted line on 150 Tick chart.

Then placed order to buy 1 tick above the lower level.

Price went down there to the tick, then immediately bounced back up to Pattern SR level (marked on chart with thin green Ray).

1 minute, 2 points profit, 1 tick heat. Sweet.



PS. After posting, noticed that my new Donchian-ATR SR indicator 'called' the exact same price. In the same way that when a Fib band is penetrated above and creates a corresponding target at same inverse level below (i.e. Band 1 above hit, target is Band 1 below at that bar), so also these SR zones do the same thing. I didn't mark it on the chart, but you can see that at the point of the high bar around 2300, the lower SR band (inside the more curvy Ichi Cloud) was exactly on that SR line which ended up being the Run Low of this recent move down (at least for now). Even though the indicator looks ugly with its jagged lines, there is something to it. This sort of thing keeps happening with it. Based on ATR expansion-contraction ratio and average Donchian range.

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 cory 
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Can you upload the new Donchian-ATR SR indicator, thanks.

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 cclsys 
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Dec 4. Big day in the Gold Market with most of the time being at maximum speed rate compared to a normal day. To my surprise, 28 k dialup kept up 95% of the time. Perhaps it has more to do with indicators/processing than bandwidth alone. Gold volume is still tiny compared to ES so bandwidth is a major factor viz. my being unable to follow that one, still it is good can keep up. Next week should finally have highspeed connection here but private company that got the contract to install Motorola Canopy system (radio towers) is so inept that one never knows if it will work. Meanwhile, the fiber optic cable laid down 10 years ago 50 yards from my house remains unused and will never be used. Politics.

Had to wait for things to slow down after report at 8.30 which sped the market up. Huge downdraft selloff. Rapid. Vicious. Then took some retracement sells in direction of trend.

#1: SR-R (SR retrace) sell: 12 tick stop, 25 tick PT, RR 2.08. Loser. Followed rules. This was an SR retracement (to previous low that was broken through). - 12 exit.
#2: SR-P (SR Pattern retrace) 12 tick stop, 25 tick PT, RR 2.08. Marginal winner. If held with original stop, 33 possible so early exit not good. However, intention to ensure no increase of DD in early going when the market is clearly going to present many good opportunities was correct. +3 exit.
#3: VP (Volume Pattern, also SR-P re-entry) Volume Pattern entry (using Cory's Volstop formulas, thank you Cory). Missed moving entry up to below narrow Red Climax Bar which is usually something I would pounce on but market very fast (bar took only 8 seconds to form). In retrospect, should have adjusted tick chart to be less rapid, but usually 150 ticks is about 1-3 mins per bar and, frankly, did not think of adjusting at the time, too focused on price action.
Managed to move stop to RH + 2 which was fortunate, then PT hit not filled and exited on VolStop. + 21 exit.

Net daily gain of $106.8 = 2.1%. Took 5 minutes from start to finish.
Since 20/11 start of journal: Net P/L = $868 = 17.36%.
Need to add W/L % column, av MAE, av MFE and be sure to put in values of heat and possible that do not depend on any adjusted stops or PT's I use, rather the original stops and PT's, also with MFE including furthest move down until a swing is formed beyond the target in order to have meaningful stats over time. Also would like to put in max daily DD, Weekly P/L and suchlike but still working on basic daily recording setup.

Rules: although a fast market, or perhaps because it was a fast market, I followed entry and exit rules well.
Grade: 100%.



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 cclsys 
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cory View Post
Can you upload the new Donchian-ATR SR indicator, thanks.

Attached below, Cory.

This is the 30 minute chart, the one I used yesterday for a nice SR buy with 1 tick heat. (Lucky). Same thing again today failed (2nd yellow arrow on chart). I am just going to run through some interesting things on this chart involving SR situations including both manually drawn Rays and Ichis. The CCLSR indicator also plotted I did not pay attention to, although it is plotting live and there are no errors in the log so I think this one is working now.

Arrow #2 SR buy: note how this takes place in the middle of a thick LT Ichi cloud whereas the first one was just after price poked through underneath of only ST cloud and a pullback to bullish rising cloud bottom was to be expected before resumption (if any) of new downtrend - which unfolded this morning as it happened.

Note how overnight the price tracked the LT cloud high, stayed beneath the ST cloud low - they were converging. When they converge, this represents a sort of POC area and one watches carefully to see which way it's going to break, because usually it does. If it doesn't, one is in a chop/consolidation zone and best to wait or just scalp mini-moves.

When market broke through to LL's this am, note how the first significant resistance area was a SR-P (SR Pattern) level that had later become an SR level on a retest (within 2 ticks of where I drew it which is at the nearest half point level on this LT chart, i.e. 1196.5). This is the price to which it retraced after initial downdraft to cloud low and another interesting SR line.

'Vol-derived SRP later becomes SR'. This is one I have not introduced/explained yet and I mainly only draw them on LT charts although like everything they are fractal. Only so many lines one can draw! But in this case the breakout beforehand was during the overnight session on very low volume. Here was the first zone with significant volume. There was a large upbar then a consolidation, so I drew the line just below that red bar consolidation. As you can see, that is where the downdraft went down to, also Ichi LT cloud low. I drew the SR line at 1186.5 (nearest half point) and it went down to 1186.3. Generally with LT SR lines I like to see good volume at those prices. With tick charts this is usually a given, but with minute charts one has to be careful. I am using 30 min now to reduce processing/loading with this LT chart because of my poor connection.

As I write, mkt has gone down to 2 previous SRS with volume, one the BO level and the lower one the Pattern level although there is one level lower on that red bar where it penetrated the previous down (blue) bar high at 1159.50 which I should have drawn.

Just sharing the way I look at Support and Resistance which personally I think is one of the key things to pay attention to. When we look at price charts which segment things into time and then have lines moving across the chart in accordance to time, they make shapes that are both helpful and misleading. One could regard price as just one endless (timewise) bar, with price going up and down that DOM for eternity. Support-Resistance lines show key areas on that permanent DOM bar, if you will, disregarding time altogether. Combined with market profile for confirmation (not on chart), they are significant both in ST and LT contexts. I am sure everyone knows this, but part of my purpose with this journal is to articulate (for myself as well as others) how I read the market and hopefully thereby better appreciate those methods/ways which are helpful, and those which are not since most of the time I do this sort of by instinct.

In any case, I have drawn 2 more yellow arrows at places which might prove very good buy areas with a decent corrective bounce now very much overdue - at least in the 30 minute/today context.

Actually, in SIM while I typed the above, the first line entry was triggered. Looking for bounce from 1168 to around 1185. We'll see if that happens. Currently at 1175, so already +7 points (70 ticks) on that trade from 1168 with only 2 ticks heat. This shows how these SR levels are important / valuable to track.



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 cclsys 
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Dec 7. Early to bed, early to rise. Up at 4 am. No problem with Gold. Although thin, is still quite workable most of the time.

Got off to slow start with two Fib Band CT trades that didn't work. A Volume Pattern trade that could have made up losses and got DPT (Daily Profit Target) but I was going for more so another BEX; then an SR-P entry which I exited early in order to recover losses - although if had held another minute would have made DPT; then 30 minutes later, filled on order I had placed an hour earlier using SR-P + Market Profile TPO which made 10 ticks in about 10 secs so I exited with market order and was DONE. Love it when entries work out that way.

Rules: I am still in a bit of a muddle rules-wise. Why? Because the Daily Profit Target doesn't really fit into the rules. Why? Because the DPT is basically a minimum of 5 ticks and an ideal of 10 ticks, but 10 ticks is a pretty tight stop in this market with the sort of entries I use. Often I can have the stop be a little less, but rarely less than 6. So my usual stop is 10-12 even though I tend to write -12 in the SS for the RR ratio calculation and to allow for bad fills on exits. And since my DPT is only 5-10 ticks, the 25 tick PT is rarely operative UNLESS I am down and in recovery.

So I am always in two minds in the early going: on the one hand I don't want to take trades that don't have a decent RR ratio in that the 25 tick PT is reasonable based on market conditions; on the other hand, unless I am down considerably, I don't need 25 ticks.

That said, what is important is that one days that I am down a couple of trades (i.e. 10-20 ticks), that I do follow the exits esp. in terms of holding out for the PT's, albeit with reasonable trailing stops, not too tight but not too loose either. But when I am not down by very much, as was the case this morning, there is simply nothing wrong with walking away with 2% profit on the day even though the PT was far from being hit.

So the conflict isn't really all that bad, just means that the rules vary a little depending on the situation and this is not reflected in the spreadsheet record, the RR situation, the actual versus printed out PT's. I shall try to make a better effort to put in the actual stops and PT's in the SS, but must avoid filling it out when the trade is on because that way I often miss moving stops to BE, getting out on Volume congestion when DPT is made etc. which happened several times last week.

Administrative issues, mainly, versus confusion about rules.

Notes on the trades in the chart are in the SS.

Rules: Basically, I did well. Kept losses small, was defensive after small profits to avoid turning them into losses, recovered on one trade that could have made the DPT so that was not so ideal but again reasonable in terms of reducing drawdown, then got a quick winner and was done.

75% (because of early exit that could have made DPT).

Writing out this journal in public is helping me see that I have too much flexibility in terms of 'rules' to the point that they are not so much rules as guidelines. Pirates of the Carribean approach. Have to consider this to determine if this is alright, i.e. it's my way, or something I need to tighten up.

#1 BEX- -$4.40
#2 Loser - $38.80
#3 BEX- -$4.40 Net - -$43.2 = -.9%
#4 Win - $55.60 Net $12.4
#5 Win - $105.60 Net $118.00 = 2.4%.

Net P/L since journal commencement 20/11/2009: $986 = 19.72%.





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 cclsys 
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This is perhaps a questionable post, but I thought for once I could attach a daily summary report including more than just the initial 'official' trades entered in the journal, i.e. until I reach the DPT or give up for the day. This morning, whilst dealing with a major domestic plumbing crisis which involves digging through snow from a recent blizzard, yanking mysterious tubes out of freezing cold well, rigging bizarre contraptions involving new pump to find out which pipes are blocked or not etc. etc. etc., at same time meanwhile maintained fairly steady entries and exits.

66% profitable. Not bad. If only I could do this well every day when trading live versus in SIM! In theory I get highspeed in the next couple of days but I'm not holding my breath...




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 cclsys 
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Dec 8: slightly late start; waited for a setup; strange price action during first trade but it made DPT. Done.


There must have been a report. Confess I haven't been following reports lately as I usually do. At entry bar (900 am) volume suddenly got thin and fast. Went through Stop Limit entry without a fill and was about to pull it when mkt came back up and was in. Then light fast action continued so moved PT to DPT and exited. If held for more, made a nice move down within next 2-3 mins as originally expected. But nothing wrong with taking the minimum DPT and moving on. The problem with this is that it becomes far less advisable to take a second trade. If first trade is a $150.00 winner, can go in on a second trade with 10 tick loss and even if stop is hit, am still at or close to DPT. But when exit at +$50, then a second trade risks going underwater for the day. Was spooked by the strange market action and glad that DPT realised.

This was a double SRP trade, double in the sense that market retraced to previous SRP/SR at 1148.90 - 1149.50. Since they were so close to each other (6 ticks) I did not take aggressive early entry at the SRP but waited for pattern confirmation before selling and sold at 1148.40 with initial stop above RH at 1149.60 = 12 ticks. Was prepared to move stop 1 tick higher. After inside bar (white) formed after entry, stop moved to above high of IB at 1149 = 6 ticks + .5 comm which I prefer to get to on first trade to reduce initial draw down if any. But then, after touching PT several times and bouncing above entryprice several times in fast, light action, DPT was filled.

Chart note: I have the Dvalue up but the problem is when reviewing trades that took place earlier is that the values shown are different from the ones that were there at the time when the price action was at far right of chart. (after writing this noticed that in attached picture there are hardly any Dvalue lines because I cropped it, so this is an unnecessary comment.) Along with BetterVolume and my FibBands, I find this one of my basic 'always-welcome' indicators. I wouldn't mind having a cyclic indicator but I find the SineWaves too hard to read in that their up-down indication is sometimes counter-intuitive (down cycles sometimes begin with a cross from the oversold area), and other oscillators require using different period settings etc. which I don't like because I am always tempted to blame the settings when they get it wrong. So basically just have price and volume and that's it. And it's fine. You get a feel for a market when you follow one regularly and my equivalent of cycles is trying to identify when a market is just chopping around hunting different clusters of weak-player stops, and when it is making nice little swings in the chart's timeframe at which point it usually takes a few bars for a change in direction, in which case the Brooks H1-H2/ L1-L2 type approach is often helpful even though my tendency is to pre-identify turning points using SR and placing orders in ahead of time. I have learned from experience, though, that although one can often be 'bang on' with this approach, one often is not and it's better to wait for a pattern at which point there is a known stop level even if this means entering many ticks away from the ideal SR-based entry which happened several bars ago; waiting also makes it more likely that if one is 'right' that the trade might hit its initial target quite quickly which is less stressful psychologically as well.

I also have Cory's VolStopIV up, though I modified it to display only on the chart, not the volume histogram since I prefer BV2 (with RPM speed backcolors) in that panel. I very much like Cory's VolStops because they seem to find volume-based patterns that take some time to unfold and thus are often different from BV2. That said, like any indicator, they often get it wrong and I am not sure I want to keep having the SR line dots printed versus the initial diamond/triangles on the trigger bars, but have them up for now to see if I find them helpful or not.

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 cclsys 
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First, some Gold notes: listening to Bob Chapman from International Forecaster last night on internet radio and he mentioned two things:

Well, first several weeks ago he said that Gold was now the 'lead market'. It was Crude a few years back, often is either the SP or Bonds, but for decades now never Gold. I think he is right. It's the most important market in terms of where the big issues are being decided - or at least displayed. OK, his two points:

1. Last time the USG stepped in big on Gold was when it surged to $1000. They put on about 200,000 short contracts (via Morgan) to push it back down. Now recently it surged again to about 1228 I think. Then the USG stepped in again but this time it has taken over 300,000 shorts to push it down and thus far it has only corrected about 10% or less (whereas before they got it back down to $720 in the Cash, i.e. about 30%). So what this is saying to him is that the underlying market is VERY strong given that the USG put in 50% more shorts but thus far to relatively little effect.
2. The USG issued some new gold coins this past week which were sold out within 24 hours or something. And the coin/metal dealer on the show with him says he can't get gold and silver easily any more, and in fact although he recommended a relatively poor caller who wanted to know where to put $3,000 she had saved to get 'junk silver' bags, he also had to admit that he couldn't sell it to her because supply has been so thin for some time. In other words, at the same time that new issue of precious metals from the mints are selling out instantly and there is a severe shortage of supply along with increased demand, the USG is suppressing the Gold price big-time in the futures market.

Another factoid: there is a worldwide shortage of bullion. China has been waiting for some time to get delivery of a large amount of bullion from the IMF. Then they found out about the USG's laundering of tungsten bullion bars - perhaps the biggest international fraud of the century. So the Gold market is now becoming perhaps the most important market in the world right now, but more importantly for US futures traders, because of this shortage of bullion and almost total devaluation of trust in USG and major firms (like Morgan) ability to deliver actual bullion, action is moving into the futures markets, in other words the USG is playing more with paper than actual gold.

I started following gold mainly because I found it worked well with my challenged data feed (rural dialup with worsening connection); but I am now finding it an increasingly interesting instrument and intend to stick with it once highspeed comes in. If nothing else, it is worth keeping track of even if you are trading crude or the indexes because I think Bob is right: it is now the 'lead market', i.e. the one that is dragging all the others around. Gold doesn't go up because the US dollar goes down, or Crude goes down, or Bonds sell off etc. The others are more dependent upon what Gold is doing.

One-month Tbill auction rate this week: 0%. It is probably only a matter of time, perhaps as little as one year, before the US has to officially devalue its currency, probably to around 50% of current value. Things have gone beyond unworkable to being systemically dysfunctional. Hard times coming in the developed West.

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 cclsys 
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Dec 9th:

Waited for a setup. Tested a clear SR from earlier in the premarket where there was speed and volume. Then waited some more for pattern confirmation: First a bounce forming an SRP which I marked as a ray on the attached chart. Then that SRP tested and held, without a test of the recent RL (Run Low as I call them). Then a little bounce from the SRP. So I put in limit order, got filled, virtually no heat, and off she went. Reduced PT from +25 to +23 when it hesitated at +24 and very thin volume underneath and also at previous SR/SRP level, but by time adjusted order was processed, mkt had moved up again so exited at +24.

If I want to trade more today in this model account I can without risking DPT. Probably won't. 4.7% is good enough for me!

This trade is a good example, I think, of trading price action using no indicators, really, except volume to confirm SR levels.

Now I know BM likes 5 min. So I attach the 5 min. The SR level is clear (although my snip cuts out the action that formed it from earlier) but the bar patterns have less granularity so the bottoming action is not as clear since my 150 ticks are about 2-3 mins per bar. That said, buying the magenta churn HH would have worked well, just from a higher price. Since this entry would also have involved a convincing breakup through a clear SR line drawn from earlier (narrow green Ray which should have been changed to thicker plot after being hit several times) this would actually have been a more advisable entry. So perhaps Mike is 'right' after all! My problem with that as an entry would have been the much larger initial stop I would have preferred to have, meaning a larger PT (which you cannot see on attached chart would have been hit after a pullback following my exit which retraced to within 2 ticks of the 5 min entry (my 'SRP' level) just as it was 'expected' to do).

Personally, I do prefer tick charts to time charts. I think Mike is right that drilling down into shorter and shorter timeframes/ticks to reduce risk is of questionable value at some point. No matter how you chart it, the market is the same and makes the same moves at the same prices. That said, if you have identified SR well, then you can use shorter timeframe/smaller tick bars to zoom in on the action into a zone that you think is important. This is different from treating all timeframes as equally fractal, in other words all patterns as the same. That, I think, doesn't work as a general rule. But if you have correctly identified an SR level from which a tradeable move should emerge, drilling down into smaller bars can help fine-tune entry and stop levels to better manage risk.

Rules: followed entry rules with added precision/intelligence entering at level where 12 tick stop was beneath RL versus above; did not adjust stop to BE prematurely even though tempted after DPT reached, because knew (as is nearly always the case) that barring some sudden development even if it did come back down to beneath entry price I would probably be able to exit at BE+ by lowering the target if I felt it was time to bail out; adjustment of exit by -2 ticks unnecessary as it turned out but valid decision. Meanwhile had volume trail locking in over 2% profits. Well managed on all counts. Grade: 100%.

Note on 5 min chart: the 34 period Fib-Ratio Kama Bands were working very nicely today. I don't really pay attention to them when they are up, they sort of provide background context that is processed subconsciously. But sort of followed Upper Band 1, slipped down to SR near the Middle Line MA, then bounced right back up again, just like it's 'supposed' to do. Sweet. I think this also validates BM's theory/contention that it's a timeframe followed by more pros so MA's like 21,34 etc. tend to be more watched and also fall into areas that are more significant. Since I was using a KAMA - my favorite MA - I don't know how true this is, but it certainly looks good on this chart example which may just be a random coincidence of course.







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 cclsys 
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Well, this was too good an opportunity. When I returned to chart after entering journal above, mkt had sold back down to where I had entered. Then it broke through on downside. So mainly for learning purposes I put on some SR-R trades, which are SR-Retracements. After an important SR level has been broken, the market will often pullback to within a few ticks of that level before heading on lower. In this case the SR level was not necessarily all that important but since the selloff was pretty rapid and steep, I put in several orders, the first two at the first obvious SR retracement levels, the third - 2 contracts - much higher. If the third was entered, the trade would not be working well and the intention would be to exit at or near BE+, a high probability scenario. As it happened, #2 was filled near the RH, then mkt came back down and the double play netted $235.00 with more possible if had let second one run on breakdown of recent low (which happened). 3 mins. Another 4%. But this combination had combined heat of -22 and netted only +24, so not a good R-R ratio on exit, and a very poor one on entry. Will update SS later but that will definitely be it for 'official' trades today.



Note: this is of questionable legality, so to speak, because was risking more than this account should - although it can afford to. But the setup was so good I couldn't resist and didn't have time to change SIM accounts. On reviewing the trades in the SS have decided that this is most certainly against the rules and that rules on these now are to wait for pattern confirmation with acceptable stop/risk OR to take with hard stop and no doubling up. End of story.

Rules Grade: 25%. Double Entry against the rules. Managed stops and exit well, albeit should have let second one run a little to see if the RL would be taken out for more profits whilst holding a BE stop making it a risk-free proposition.
Lesson: DON'T DO THESE ANY MORE even though you find them irresistible because they work 80% of the time. The 20% they don't work turn into killer losers. Not worth it. Irresponsible. Bad Boy! No excuse that it's 'only in SIM' because this way am training myself in incorrect trading behavior; this is even worse when it works out (which it usually does) because it reinforces impression that it's okay to risk the account this way. If #3 (2 contracts ) had been filled, combined risk would have been 86 ticks = $860 + com = $875 = 17.5% of the account which is ridiculous. As is a 25% grade for such an undertaking!

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 cclsys 
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Yet another irresistible trade: classic SRP that is shown for illustration purposes (not put into official SS), but this one was legal, i.e. fully in accordance with rules.

Did not draw a Ray, but mkt retraced to SRP which I usually draw at 2 ticks above the breakout point where the HH is made. In this case, went down to the actual breakout price 2 ticks below my entry. Then took back off to the races hitting PT which I placed between next significant SRP and SR at +30 ticks = $295 net of com. = 5.9% of $5000 per unit account. Went much further and in fact after this pic snapped the higher Sell Limit was filled and made fast 8 ticks before being stopped out just above new RH for loss of 8 ticks.



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 cclsys 
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Although I did put on some trades today I was not in the mood and after first recovery had already decided this was a 'day off'. Have had to wrestle with plumbing problems and blocked well in middle of first winter storm; it was all resolved yesterday and today I find myself, having cleaned up after four days without running water, exhausted. So although ended up 3.8%, I am not counting any of it in the journal/SS.

That said, a little setup happened this morning shortly before I was due to turn off the live feed that is something I have been thinking of sharing for a while. It's a small thing, namely a 'false HH' or 'false LL' in terms of bar patterns. In this case HH or LL means simply the breakout of previous bar, not a more complex swing formation.

Whether working with tick or time charts, and if you tend to use bar patterns a lot, this little tip might be of interest: if a bar closes at the high or low, and if your 'pattern' is waiting for a HH or LL, that bar is not it unless this level was already reached within the bar, then it backed away for some time before coming back up there (talking of HH situation). But to put it simply: if the high of the bar is reached just as it rolls over into a new bar (whether tick or time bars), that high is meaningless because it is being drawn purely because of the arbitrary time or tick delimitation you have chosen.

A chart example:


In the example above I have placed a Buy Stop Limit order just above the high of the recent blue bar. My HH trigger could have been activated as soon as the green bar before the blue bar had formed and the blue bar took out the high of the green bar. I believe this would constitute a valid H2 in the Brooks methodology, but in any case, it's a second HH. However, because the close of the green bar is also the high, the subsequent breakout of its high is a 'false HH'. So the mkt went up another tick or so and then came back down. At that point, you have the high level (now the high of the blue bar) which is the H2 trigger. (1127.3 entry, MFE 1131.4 = 40 ticks / $400).

As it happened, entering on the blue bar at 1127.2 would have worked, but with 10 ticks initial heat. When it came back up and took out the blue bar high (which was the real high of the miniswing in the series), it kept going up to 1129 with barely a pause, which of course is always preferable, before working its way higher over the next 5 minutes.

So that's my little tip for the day for people who watch bar indicators (which is my main indicator as it happens): pay attention to those false highs and false lows.

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 cclsys 
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Dec 11th.
Scrappy day. Started off playing around with Gom's impressive Volume Ladder. Since I don't have the slightest idea what Delta Volume is, frankly it is more confusing than helpful, but I have wanted to watch bar-by-bar Market Profile action for some time and am very happy Gomie (?) has offered this to us and intend to spend some time in the next few months studying up on Delta etc. and also watching this type of price-volume display. Right now, I find DValue more helpful intuitively but it is too much to have both on the same chart, and too confusing to flip between several charts although I might play with some workspaces that have all charts the same timeframe (5 mins say) but with different indicators. In any case, my initial attempts to use the Volume Ladder were extremely haphazard and only by being very aggressive at one point, trading up to 14 contracts, could I recover early losses. Just messing around whilst watching the indicator. Not a responsible use of SIM and something I am supposed to stop doing.

Then started 'actual' trading around 8.30 and the first trade made the DPT but I wasn't sharp enough to even notice it until after stopped out. In other words, was not focused after messing around earlier on. Did not properly prepare this morning. Also nursing a light flu after too many half-naked plunges into freezing well during snow blizzard earlier this week, so generally feeling a bit 'under the weather' physically.

There is a record of the many trades today in the attached SS. Nothing of much interest, really. I fought through to DPT at the end having come close several times, but if this was a day trading real money it would have been quite emotional and I doubt I would have come through as well. For me the key seems to be being properly prepared at the beginning which means taking my time to set up the workspace, monitor the market for at least 30 minutes before putting on first trade, and not messing around with experimental approaches beforehand. This morning should have just taken the DPT 30 seconds after initial entry and that would have been that. Instead, went through 15 trades to end up back at same level P/L-wise as that first trade would have netted.

How many times have I seen that happen in actual as well as SIM trading? Well, to be fair, most of the time in actual trading I do take the DPT. And the problem has been that when I get into a hole, at some point I give up in disgust and fear down quite a bit for the day and it takes too many days after that to come back, or what happened this summer is that I spent about a week coming back to about the same or slightly lower level taking small DPT's, and then once again had a large losing day. The last time this happened I kept going long past a 20% drawdown and then decided to regroup having nothing to show for 3 months trading. Pretty soon now will return to live trading having fine-tuned method to be based mainly on SR and volume patterns related to SR levels, and avoiding indicator-based approach (similar to Viper method I think) which I was using before. That method was good, but since I was unable to avoid pattern-entries all the time since that is how I view the market, and was using them in ways that fought the indicator-based trend-following method, I would get into steep drawdowns from alternating too quickly between trend and counter-trend, often losing in 20 minutes what had taken me a week to accrue. That is what has to stop in live training when I start again in a couple of weeks hopefully, or more likely after New Year it looks like.

Rules Grading: too many trades to evaluate. But I made the cardinal error of alternating between long and short too quickly based on my desire to 'make back the losses quickly'. Instead, I added to them. I think today I should just call it 0% even though I ended up in the black.




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 cclsys 
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Summary from 11/20:
P/L $1668 = 33.3% return. Pretty good. But SIM of course, which is most definitely NOT the real thing. Still, the principles being used do work and am glad to be away from smoothing or oscillator-type indicators and just focused on price action with assist from volume-based indicators. It is 85% bar action though, if not more, which is really how I prefer to trade so think I have developed method more in line with how I see things versus some magic formula that will somehow see things differently and pluck easy profits from the market every day.

Wish I had better win-loss MAE-MFE stats in SS. Perhaps can re-tool it over weekend.

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 cclsys 
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Dec 14:

There are a couple of trades on the picture which I am not counting because I knew when I put them were 'illegal' in that they involved a) putting in orders before any price pattern confirmation (the #2) and b) a #2 so high above as to make combined risk too large. Because of a miscalculation on my part the combined trade lost 3 ticks versus ending up at BE as I had intended when adjusting the buy limit exit order. In any case, I never intended for these to count, i.e. these were intended as 'warm-up' SIM trades before 'real' SIM trades.

The first (and as it turns out only) 'official' trade today was later and shown on far right. Commentary in attached SS:

Simple HH pattern entry from double SRP levels, one from older SR BO, the lower from the pattern SR BO preceding it with white inside/narrow range bars. The initial entry was a little questionable because a) was a quasi 'false' HH*, but more important a gray bar which usually indicates light volume stop-hunting activity. But the level was so clear - bolstered by my nifty new tunnel indicator - that I took it with confidence that at the least there would be a pop up that would allow me to greatly reduce, and more likely eliminate, initial risk. And this is what happened although it did take time and there was initial -6 heat.
A simple trade essentially. I managed to hold in there for a while by walking away from the computer, something I have a hard time doing when trading with real $$, but which I have to get better at doing. When returned to computer adjusted PT because of hesitation for a minute or so just below my original tgt, which of course was penetrated as soon as I exited, but given the amount relative to DPT, this is perfectly fine.

Rules: 100%.
RR- 1.92 (using actual exit as referent versus original default PT)
Heat: -6 immediately after entry after slightly questionable low-vol gray bar but strong pattern/zone overall.

Acct P/L since Nov 20: $1894 = 37.8%.

* it was a 'quasi-false' setup bar because although the close did happen at the high, in fact the high had been in place since the first few ticks of the bar which then sold down and bounced up. Since this was a 'stop-hunting' gray bar which bounced back up after hitting stops lower down, this actually bolstered the bullish case. Indeed, the entry bar ended up being another low volume gray bar, this one with HL and HH, after which the market moved up sharply by more than 2 pts ($200 per contract).

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 cclsys 
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Dec 15. Interesting situation in the early going. Opened up with an experimental chart in the Default Workspace which has too many things on it, those I am checking to see the code is now working properly (CCLFibBands & CCLSR, the latter only showing its stats, the new CCLTunnel from the Ghost Journal) and also monitoring the GomVolumeLadder in 5 min chart to the right not shown in attached pic. Plus ST & LT Ichi Clouds which I am comparing to both the Delta Volume indicator and the VLadder. So a much too busy chart. BUT:

the situation as I opened up for the morning according to the 2 clouds was that we were in congestion situation in that price was between upper and lower clouds which were converging. There was also a thick area in the descending LT cloud for price to work through before the bullish case would emerge victorious. In other words, this was a conflicted, possibly changing to bullish or possibly rangebound, narrow situation. One choice would be to wait an hour. Another to go for short PT's. I elected the latter and stayed with this chart instead of switching to something cleaner in my usual trading workspace.

Trade#1: a simple BO from trading range. It worked, but I didn't move PT down to DPT quickly enough (initially going for more) and a BE+X. (BE+ = 1 tick above entry).

The second trade was a 'same again' SR BO up from a higher price; this one the PT was in place for +6, price went through, SIM didn't fill, but in the V-ladder could see that there were no sells at or above my PT, which I suspect is not possible since price went through my PT. In any case, another BE+X.

Third trade: pullback to a zone with old SR, SRP and the 'megalithic' tunnel which was now clearly trending up after several tentative, but nevertheless convincing, HH's (my 2 BO trades). So took a pullback entry with DPT and this one worked. If it hadn't, after almost making DPT twice, I would have been upset - especially in live trading.

Rules: all of these were straightforward trades and apart from going for higher PT on the first trade (1 full point versus default 2.5), stops and exits were well managed with emphasis on reducing losses in early going. Both of the first trade, if held without BE stops, would have more than made DPT, with +19 possible for #1 and +9 possible for #2. But because of the congestion context explained above in intro, had decided to play it tight and fortunately - although it took three tries - this worked.

I snapped the picture well after these first three trades because it demonstrates a classic Ichi Cloud situation: market ran up VERY quickly at one point into the LT Cloud flat top and pulled back. At this point could go either way - back to the Cloud Bottom and into congestion, or make a convincing breakthrough above the cloud. It did the latter. At this point, we are in what I regard as a strong trend, or at least strong trend potential. As I write at 10.00, mkt ran up to 1127, then made slow, steady pullback to just above the old LT Cloud Resistance level at 1121.5, with the last SRP before the post-cloud upmove being at 1122.4* (1122 + 2 ticks), and the most recent st swing low being at 1122.2. If this holds and there is another run up, could be a strong move. On the other hand since this move in entirety went from 1112 OL (overnight Low) to 1127 = 25 points = about double typical daily range last time I checked, this could be it for the day. Also price is now beneath the ST cloud and the LT cloud - which kept going down after the breakout upwards - is now about 4 points lower around 1118 and we are in another possible congestion phase unless mkt can fairly quickly push back up above ST cloud and make a run to new highs, which personally I doubt is going to happen today.
* the last gray bar on the attached picture just before the gold up bar which began the next leg up.
At 9.59 my order placed long before at 1122.5 was filled, 3 ticks heat, then PT at ST cloud top (already drawn of course) and old SR levels at 1124.7 filled and now price is above both clouds again and now at 10.17 has penetrated and exceeded the old DH (Day High). So much for my doubts...



Rules: 100%.
PL: $56.8 = 1.1%
Net P/L since 11/20: $1951 = 39%.
Still don't have good W/L and other stats in this SS.




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 cclsys 
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Dec 16.
Yesterday read through and watched the videos of the TradersLaboratory mini-course on using VWAP and SD bands by Jerry Perl. Interesting how one man has built an entire method around his background in statistical probability and using combination of VWAP, bands and TPO/Volume Profile to determine approach. Very good stuff. But it messed up my head this morning in early going for many reasons, not least of which my DValue market profile is based on day-session and the VWAP is 24 hr. Also trying to get Gom's packages going but having a hard time getting to record properly etc.

In accordance with previous thought yesterday, spent more time getting ready, mainly by cleaning up a couple of the main workspaces I use for trading Gold. But then, as soon as I had finished this careful housecleaning, I saw a Vwap/Perl situation and impulsively put on a trade, then re-entered it after being stopped out, and then took a third on upside breakout anticipating larger move based on LT perspective. This worked out. More details on the trades in attached SS.

Hard to grade on rules since the first trades were impulsive and playing with new approach even though in general I am not supposed to 'play' this way with official trades. So I counted them. Since I am not sure what the rules are/were, hard to grade. I kept to the stops, reversed well based on solid analysis of likely upside breakout (not using bands-vwap approach), and caught a nice winner to almost erase the early losses. Then the market started churning around the TPO for next couple of hours, put on a couple of trades that exited early at BE+, then a final one around 12 15 which got me back to BE and now waiting until after FOMC before doing anything else.

Also went back to a more 'naked' chart with just Dvalue histogram and Better Volume paintbars. I like it better that way.





BE for the day.

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 cclsys 
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Dec 16 pm
Waited for FOMC report then placed order after a high made post-report anticipating at the very least a probe higher towards last week's POC & clear SR level around 1143. Entry price 1 tick above DH hit, fill in SIM 9 ticks better which is probably wrong versus what would have happened live, but maybe not since this was a stop limit order; on first hesitation exited with market order, DPT well exceeded. Original PT actually touched to the tick a few seconds later before mkt immediately reversed back to below where it started, as so often happens with big reports/news like this.

Entry at 14.16pm at 1139.90,
MFE 1142.60 = +25 (the initial PT by coincidence),
MAE - 0 ticks,
Exit at 1141.50 = + 1.60 = $155.00 = 3%.

Net P/L: $2110.00 = 42% since 11/20/09.



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 cclsys 
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Another very scrappy day. Was overly influenced by Perl's Vwap method again. It is definitely an approach I will be looking into but there are quite a few variables not mentioned in his presentation that I have yet to consider properly.

SS has all the trades (far too many!). Basically, as soon as I switched back to a more naked chart, I made 3 winners which erased previous draw down and made DPT and more. It wasn't just the chart switch though. A clear trend had emerged despite overall choppy conditions and the market started moving in a 'nicer' fashion. But the simpler chart did help.

Attached picture shows the last three trades. If anyone asks I can get one of earlier trades but there were so many probably too confusing/time-confusing for anyone to study.




Another day when grading on rules is hard to do. Basically I stuck with my decisions once entered; did not move stops impulsively; did not change PT's impulsively. Got a little rattled with being wrong on the long side so many times and/or just getting BE exits, and then missed the big up move I had rightly been expecting all along. But finally waited for better conditions and ended up on top. Another day where difference between SIM trading and live trading is probably so great that these results are not so meaningful. When only 1-3 trades, it's pretty close to live trading. When much more, especially after string of disappointments, then it gets questionable. But I do have increasing confidence and clarity in my underlying approach which is bar-pattern/SR-based and think the next step is to craft a more precise trading plan to put into effect once new internet connection comes in, hopefully tomorrow.

Note: in my SS notes have been incorrectly using 'TPO' instead of 'POC', i.e. the price at which there has been the most volume. This is perhaps the main element I have taken away so far from Perl's presentations, namely that this is an important price. Sometimes it is obvious on a chart, but often it isn't since it is buried in the middle of a busy zone. For example, on my attached chart at the top is a thick magenta line. That is the weekly POC and given it is Thursday, that is a significant price. Well, waddya know: price went up there to the tick and then turned around. I think I was typing out in the SS when it happened, but in retrospect, given it was near the 24 hr VWAP, an aggressive short with or without pattern would have been perfectly valid at around that price.

Results Today:
Summary:
3.4%/ $170.80.
Since 11/20 PL = $2281 = 45.6%.

18 trades
12 +
6 -
66% winners, albeit most of these were BE+.

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 cclsys 
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Dec 18. After yesterday's chat session, which I very much enjoyed on many levels, not least of which is the mutual respect and camaraderie our host has managed to engender here, decided to take a look at these infamous 5-minute charts. There are definite pluses and minuses and I will need time to consider this. The entry today, for example, basically involved my 'seeing through' the 5-minute bars to the sort of thing that is presented more clearly on the shorter tick charts, albeit the exact same strategic logic (in this case a retracement back to a recently penetrated SR level, aka SR-R or SR-Retrace in my lingo) is being used. Here, though, the entry happened in the middle of the bar at a price I thought was significant (and it was given the sudden acceleration in speed at the time of my entry). On the tick chart I put up afterwards (pic 2), there was a clear pattern entry at this price, unusually clear actually. On the 5 minute chart, I was 'seeing through them' but at the same time their slower reference point had me waiting longer before jumping in which is actually good. There are more notes on the trade logic in the attached SS.

And of course what was really nice is that 30 seconds after entry I was out with DPT*2. So I take that as a positive sign about the 5 minute approach.

Chart: Indicators are just BV2, I have an ATR there because I am studying relation between that and the band expansion-contraction, FibBands with new (tentative) lookback feature and also the MA anchored to VWAP (or rather formula is (MA+VWAP)/2) which I think I like. But mainly I was just looking at SR levels as usual with the bands and volume indicators providing a little additional context in the case of the former, and detail about price action in the case of the latter.

Rules: Followed all rules. Could have gone for larger PT given plenty of room below to YL around 1098 and I entered around 1104, but am happy to get $100 net on first trade and call it a day. So 100%.

On the tick chart which was opened up a little late so all the Volume Profile data is wrong since this is a live-only indicator (am checking out Gomi's work in the background every day - having problems with Volume Ladder - either it jumps around up and down all the time or if I have AutoScale = false everything is scrunched together or you can only see 1-2 bars action), but I have circled the area where today's trade happened. The arrow points to my entry and there is a clear, clean pattern at this SR-R area. I could have just entered there earlier as soon as market reached the price - actually 3 ticks higher was the 'official' SR-R entry price, and you don't always get such a clean later entry pattern, but this is a good example of why I value the enhanced bar granularity of a tick chart, especially since I am using basic SR calculations (using eyeball, volume confirmation in some cases, and drawing lines - or not even drawing them except for this journal presentation!) to determine my pivot zones of interest, not bar patterns like head and shoulders, swing formations etc. In other words, I am not using the enhanced granularity to determine overall trend etc, rather to fine-tune entries and stops.

I do like the slowness and sober feeling of the 5 minute, though, so have to give this some attention for a while.

In sum: compared to yesterday's 361 trades, today's 2% singleton looks a lot better. Maybe that is due to 5 minute approach; maybe I was just lucky to get such a clear setup and a more clear market in the early going.

1 trade, 1 winner = $100.00; MAE $25.00 MFE (based on PT exit) $105.60. Initial RR was negative, but that is the norm when going for DPT on first trade.

Net P/L since 11/20: $2386 = 47.7%.








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 cclsys 
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A picture of another classic SR-P entry bolstered by bands approach. The SR-P happened some time back after a significant top was made around 1111 with the SRP at 1109.7.

Added to this, something I picked up this week from Perl's approach to VWAP-band trading, the 'skew' was negative in that the day-session VWAP was beneath the current POC (price with most volume), meaning that statistically there was a good chance for a pullback.

So in experimental mode (official trades finished today already), placed order to sell there which worked out perfectly. If had not moved stop down and kept above the RH only a few ticks above entry, the PT around the dayVWAP and POC at around 1105.50 would have been hit for a nice $400.00 per contract winner. As it was, I was stopped out for a few ticks profit. But this is a great example of the value of paying attention to the SR-P levels, something which I have not read about anywhere - though surely other people have noticed this - but have 'developed' as a core part of my way of viewing the market based on observing how often the price comes back there. Especially on shorter-term charts and fast retraces, it seems that is often where the floor boys take the market to clean out the stops of recent entries before the market heads on lower which is why I add 2 ticks to the price (or minus when down market) to get in at the point that the floor boys are just about finished with the risk being above/below the recent SR around which the SR-P is formed.

To review SR-P: it is that point from a swing high - let us say - that a clear break-out down LL violation occurred and a new downmove started after a recent swing high. So it is a 'pattern' Support-Resistance pivot point versus a High or Low SR point. Of course it doesn't always work, but it usually does, even after some time as in this case.



Chart: there are 2 VWAP lines: the brighter one starts at the Day-Session at 8.20. This one had the negative skew relative to the POC price around 1107. The 24-hour VWAP also has a negative skew. Frankly, I am finding this a little confusing in terms of evaluating Perl's approach because on many days they two have different skews. PS edit: actually, the LT line is not the VWAP but a collective averaged with VWAP, but on checking this after posting the LT VWAP was very close to this collective MA line and telling the same story.

This relates to a related problem with the 5-minute charts. The Gold market -which I am now following exclusively of late - is really a 24-hour market unlike some other American futures markets (like Crude for example) where the US day-session is still king. But in forex this is not the case and increasingly also gold, which of course is related to currency price valuations. It's active in Asia overnight, in Europe in the early am. Yes, there is increased volume on the Comex exchange during the day-session and yes this is significant, but having a 5 minute chart on the overnight action is not really as good as a tick chart which compresses the time during some of the slow periods that happen between Asian input, European input and then US day-session input. In any case, there is often a conflict in the early going between the 24-hour VWAP and the day-session VWAP viz. Perl's approach, but it seems his approach really does work better with the day-session VWAP, especially in the first 2 hours or so which is when I do 90% of my trading every day. On his videos for the ES, he usually didn't start any of them until 11 am, i.e. 90 minutes after the open which is when most people go away for the slow lunch period. So obviously he also has problems with his approach at the beginning.

In sum: although his approach has much to it, I suspect it's best for trading the last 3 hours of a session, which are also tricky on many levels. After the daily range is more or less established, in other words, at which point an approach which generally favours a 'return to the mean' type strategy makes sense. Whereas in the early going it is not so hot and I suspect I will just have to leave it behind despite its obvious intelligence. Still, noticing the skew seems significant, also paying attention to the POC prices both from current and previous sessions is definitely worth doing. They are powerful pivot areas and I was not paying attention to them at all before viewing Perl's stuff. So thank you to Alyosha from Russia for posting those links to the Trader's Lab series which are well worth going through.

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 cclsys 
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Another great setup using SR-P pivot. In this case, the negative skew mentioned above came through (whilst I was typing). From the high, mkt worked back down to MA-VWAP support beneath POC, rallied a little back to POC, then headed south and stalled within 2-3 ticks of the SR-P line drawn from earlier point when market bounced back from initial DL at the 9.10 am bar.

So: market bounces off the SRP. I have an order 2 ticks below the recent RL (run low) at 1101.8 because the SRP will not have held and next stop is the DL 1.5 pts lower with probability - given negative skew and general downtrend across the board now - of LL.

Again, around entry the market sped up, a good sign, an immediately dropped. My PT is well above YL at 1095.7, and around the lower Band 3 at 1097. After this pic was snapped I exited with over 2.3 profit on a Volume Trail at 1099.6 and has since come back to, guess where, the new SR-R price at 1101.8 - 2 ticks = 1101.6 The current Run High? 1101.7. And now it is heading down making new LL and about to hit original PT.

So I guess I am sharing these to bolster my own confidence in my SR work. I see this happen again and again and again every day and feel that even though I still have issues as a day-trader in terms of clarifying rules, having clear plan, discipline, emotions etc. that I have managed to develop an accurate, simple way of viewing price action that is not dependent on any indicators or even sophisticated volume analysis, just basic support-resistance work.



PS. Went down to 1197.4, a few ticks above the original rough PT around Band3. By the time it got down there this was Band2, there was a double test of the RL so an exit at 1198 or better could easily have been managed for a nice 6 point (60 tick) winner.

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 Big Mike 
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cclsys,

Since I don't trade gold, I would be curious to see a screen shot of your setup based on a CL chart (CL 02-10) when you have a moment.

Mike

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 cclsys 
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Big Mike View Post
cclsys,

Since I don't trade gold, I would be curious to see a screen shot of your setup based on a CL chart (CL 02-10) when you have a moment.

Mike

Mike. Appreciate your interest here. Will post Crude after doing this post which I came back here to make. My highspeed connection appointment today was cancelled (why am I not surprised). The power company - always in bed with current main telecom provider who has refused to hook us up to the fiber optic cable they got rights to when they took over as private operator here 9 years ago) has once again failed to connect the tower which is 1 mile from my house and which has been up since July. Next apptmt: January 8th after the holidays, usually terrible weather, quite likely they will not connect until spring even though the connection is between a wire on a pole that is less than 15 yards from the tower and which takes them about 15 minutes to do. Go figure.

OK. Attached picture shows action after last post and very interesting in terms of Perl's VWAP approach. I have circled the rough time when the POC flipped. Before it was around 1107, now it moved down - following the down move - to around 1102.8 where it still is now. This meant that the skew changed from negative to positive because the VWAP was now above the POC versus being below.

Now Perl recommends not doing much around the POC area which I played with anyway for learning and took a few chop losses which I have taken off the chart, partly out of vanity and partly to keep the chart clean and partly because I went off to do other things when the market finally broke and in theory I would have made it all back then. Anyway.

So we have the circled zone when the market came back sharply off the new DL and back to the new POC. The large white OVB bar at end of this sideways action went down to 4 ticks below the last SR-P price (not marked) which was above the white inside bar at 10.55.

OK, now price advances up to the VWAP (thicker, brighter Magenta dashline). It then goes through previous SR at 1105.30 up to 1105.80 (green bar following gold up bar).

Hesitates again, with a final probe down to old SR level 1103.20 + 2 = 1103.40 to the tick at 11.50 bar.

The bar before this is where I have drawn the orange arrow. According to Perle's method, once you have a zone/band entry trigger established, you wait for the 'Schapiro effect' he calls it. If you are looking to go long, and in this case we are because a) skew is bullish and b) managed to get through iffy POC area lower down then you wait for a down bar after the trigger and enter on a penetration of its high. This is very similar to a Brooks approach actually, just using pivot areas as the key zones versus swing patterns.

So the market takes out that orange arrow high and up she goes. Note how that high is well below the RH and that RH is around the same price as a much earlier gray bar RH at 10.20, so a cleaner SR play would have been to take the BO of that RH at 1107.20 + 2 = 1107.40.

Market goes up and then pulls back to... 1107.40 so an SR-P entry would have been at 1107.60 and filled nicely with 2 ticks heat. Picture perfect.

Then we have a second Perl setup because market has penetrated Band1. The second arrow marks the high of the second-in-a-row down bar after the penetration. That high is taken out, and again is below the recent RH, and off she goes.

Now for fun I earlier placed an order to sell at yesterday's POC up there at 1115.4. It was hit, RH was only 1 tick higher(!!) - the second day in a row I have observed this happen and to within 1 tick, and then came down to 1112.20, a nice 3 point move which I did not get in SIM because I was beginning to type this out and got stopped out above the RH entry but of course a BE at the least was easily possible.

So the purpose of this post is to show how I am incorporating marketprofile type analysis of VWAP and POC with my basic SR work. Although I would prefer not to have the indicators on the chart, the fact is that they show things that are very hard to see from the price bars alone - impossible in fact. The POC zones tend to be buried in congestion areas, but after the fact they can become key areas, especially it seems ones from the day before or earlier. I have checked back and 1115.4 price is not one I would have identified as an SR level of any significance based on previous highs/lows or SRP's. And yet clearly it is/was an important level.

Anyway, hope this sort of thing is of interest to some, esp. those who are asking about incorporating volume into method. I am not all-in with Market Profile stuff, partly because I don't know it and it's complex, partly because it's busy, and perhaps mainly because you have problems in Ninja with keeping the data accurate in that if you don't run the machine on that contract it doesn't have the data. The DeltaVolume indicator works by averaging things out based on historical action and so is not so dependent. It's also clear, uncluttering and generally accurate so although I really like Gomi's stuff, until I have studied about Delta - which have yet to do - the DValue does it for me.

Summary: this chart shows good examples of how paying attention to POC and the 'skew' can help determine which direction/trend one wants to follow. It also shows, although not clearly marked, how often SR and SRP levels come into play providing very accurate pinpoint entries or caution areas to help determine current trend/bias.



PS. Now you can see why I keep begging Gomi to make the POC a bar-by-bar plot. In this chart example we would be able to see exactly when the POC flipped to the new lower level. I think this would be extremely helpful. I am going to look into the Dvalue code to see if I can figure out how to make a data series that would do this because Gomi's code is way too advanced for me. But if anyone else who is better at coding likes this idea, PLEASE come up with an indicator that
a) plots the POC bar-by-bar and
b) can do so using Dvalue which does not need the machine to be running live in order to accumulate the data correctly.

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 cclsys 
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OK, BM, here ya go. CL 5 min chart with my setup. Am attaching the chart template. If there is stuff on it you don't have, hopefully you can still get the settings for the FibBand4 (which has a preliminary lookback feature which I intend to upgrade when you come up with a no doubt more intelligent approach!) which computes the typical range based on half, the period and twice the period input using Donchians because they are simple and I understand them and it took me only a few minutes to code.

I have marked an arrow on the chart at the point at which without doubt the POC still there was in place because price did not go above it at that point. And at this point both the collective MA which is tied to VWAP (also new addition last night) and the VWAP are clearly beneath the POC price giving the current up market (okay, not strong up but still up tending to sideways) a clearly bearish tilt.

I have also marked some previous SR and SRP levels which start when the Ray starts so you can see why they are marked there. Usually in actual trading I don't mark them because I can see them.

After the orange bar which was also a strong down bar, mkt goes to previous SRP level which holds within a few ticks. Bounces just a little and we get a nice up bar. At which point a breakthrough of that bar's low, or since it's so close the current RL, given the negative skew and this being a previous SRP level, now definite SR level since it's been 'used' twice, a short could be put on around 74.05 = RL-2 ticks. I don't follow Crude but if whole numbers are a big deal which I suspect is the case, then maybe 73.97 or whatever.

Mkt goes down to 73.92, bounces up to 74.02 and off she goes down.

Note: my SR-R level is usually 3 ticks below a broken SR. That SR was 74.05 because 74.05 was 2 ticks below the previous SR of 74.07 so that is the trigger entry price. Then once that is broached, minus 3 ticks (general rule is 2 ticks above/below trigger or entry price, plus 1 tick to get the fill = 3 ticks), i.e. 74.02 so possibly not filled in this case.

A simple trail stop would have got out around 73.05 = about 1 point.



I am not sure if the attached template has the same settings. I think for Crude I change the Band1ratio from 1.382 to 1 since Crude is more volatile than Gold. So my lookback feature is not quite working right but is close. Ideally should never need to change the bands.

Also attach code so you can load template assuming you have the Dvalue already. Have not put this in the thread for this indicator because changes last night are new and also expect to improve the lookback feature soon. Thanks for the idea. I was already playing with this in another indicator - CCLSR - whose main purpose is to guage typical swings and draw bands based on that. Why I didn't think to do a similar thing with the FibBand as a lookback I don't know. So thanks for the idea and I can't wait to see your new Fib Expansion version. I love the way you code because I can always understand it.

PS. This picture also illustrates why I sometimes have a hard time following the trend - or maybe defining it. Again, in early going this was an up market. Had just made a LT Higher High; MA is still up. VWAP is sideways but was just up. Market could easily go higher, right? But the skew is negative basis relationship of VWAP and POC and market has had more than an hour to build this relationship, i.e. it is now meaningful. And down she goes. Of course, this is all revealed in the price action as lower lows are made and the MA turns down. But still, I think it's interesting.

Attached Files
Register to download File Type: xml cc 5 min FB4-Dval.xml (41.3 KB, 30 views)
Register to download File Type: zip CCLFibBandv4.zip (61.5 KB, 38 views)
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 cclsys 
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Thxs for thxs Mike!

I thought you might find this one interesting. Shows underlying structure of Crude is quite workable on some level. Using Roonius' excellent P&F type.

Esp. during recent down move there were many lovely PF setups for re-entering short. Sure it isn't always this good, but still this is not cherry-picked.



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 cclsys 
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Since I am on a roll with the Perl method - which I only discovered a few days ago and have yet to review again, though it is simple like all good methods - here is the Gold PF chart with basic VWAP + std deviation bands.

I have marked with blue arrows (sorry, a little dark) the prices where, based on negative skew, Perl might have gone short (LL after up bar after band penetration).

1 Short 1104.50
2 Short 1107.80
3 Short 1114.40
4 Short 1116.50

Average Entry Price assuming same number each time (though probably would have gone to 2 for the last two or even 3 for the top one) =
1110.80.

At 215 (day close I believe), mkt got back down to EXACTLY the 1108.00 POC (which in Dvalue is not always spot on due to calc. method which averages prices across the bars and 5 mins is really a little too long for this approach). But, checking my Gom workspace, according to his bid-ask tick-by-tick calcs (started a few minutes late with occasional gaps), its 1108.00 which is TO THE TICK where it sold down to at 215, i.e. this is NO COINCIDENCE.

So assuming tgt was 2 ticks above that POC at 1108.2, the combined profit on this seemingly outrageous approach - which Perl shows in his videos so I'm not making this all up - would be 2.6 * 4 = 10.4.

Now, I am not doing a RR calc on this because I am too lazy, but I am sure it is brutally bad. But his stop method is a straight % of capital. So assuming about $50,000 or more for this approach, that's about $1000.00, so you couldn't have done this with this small an account since the drawdown from #1 alone was about $1400. But the point here was the principle behind his thinking which emphasises relationship of VWAP and POC in terms of what he calls 'skew'.



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 cclsys 
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OK, last but not least in the ongoing Dec 18th POC-fest.

I just loaded Silver (march) for the week before closing down and backing up NT as I do every Friday. I can't get TF any more for some reason so I'm done for the week now.

Look at these 2 charts, 1 the 5 min SI from today, and on the right a LT tick chart (better for 24 hour coverage than time charts) with the weekly Dvalue. The main one to watch in each case is the thicker Red line which shows the previous period's TOC. On the 5 min this is yesterday's TOC. On the LT this is last week's TOC. Now the somewhat opaque red line is today's forming TOC and in the LT chart it is this week's TOC which, since today is Friday, is it.

Note how yesterday's TOC was
a) hit to the tick on a bounce up before pulling back down and
b) happens to be the exact same price as the entire weekly TOC on the right-hand chart.

Clearly these numbers are important, valuable information. And again, not easy to spot on bar charts alone. Today's TOC for example, runs through zillions of bars (congestion zone). But on Monday it could end up providing very clear support or resistance and end up as a Swing Low or High, even Day Low or High.

I really wish there was an indicator that could just plot these TOC points bar by bar, including remembering each day's TOC and the weekly TOC's and plotting the whole thing like pivot indicators. To me that would be the ideal pivot indicator. I guess I'll have to go over to the 'make your indicator' thread and post this whole thing over again. I am convinced this would be an extremely helpful indicator. And it doesn't need to be one of those on-bar-update-only deals. The Dvalue calculations don't need that so you can throw them up on any chart in any timeframe any time and they work just great. Truly excellent indicator. Thanks to DeanV(?) for making it and publishing it on the NT forum.



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 cclsys 
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Definitely the last today, but had to go over to Gomi workspace to close it down and noticed what I have market with arrows. Now the middle arrows are questionable because the Vol Profile points might have formed after where they are pointing to now. But the bottom and top ones were definitely formed before price got down there since in each case they were just touched - and in each case TO THE TICK - so they were there already. So some of the volume indicators available are giving out extremely helpful information which again is not so easily revealed by the price bars alone. Yes, both of them were at or near my own SRP method points, but the volume indicators reveal them with much more precision and clarity singling out these precise price points amongst many others that my SR lines and other methods would be selecting.



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 Big Mike 
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Thanks Ash. Here is my GC chart for today, if you're interested:


Mike

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 cclsys 
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Yes, I went over. Very impressive. For your approach's universality and clarity. A sense of masterfulness, if such a word exists.

Meanwhile, I plod and leap with my explorations! I came here a month or so back because of a link to the thread on using volume. I have never trusted indicators very much but found myself playing with them more once I turned to daytrading last year and Ninja. Since I cannot backtest simple ideas via strategies to get W/L stats etc. I started using indicators. I have learned quite a lot but still don't trust them because I find they are all too tweakable. But the volume ones a) show information often not revealed in the price bars alone and b) are generally not all that tweakable (period lengths etc.), though there are some things that I am coming to realise make more difference than I had noticed, such as when you start the VWAP or volume profiles (at day-session time or overnight). But that is a universal variable I guess.

In any case, now I have the dynamic PVP from DeanV who kindly coded it in response to my request and published it yesterday whilst I was fumbling through (semi-successfully) to do the same thing, I feel that part of the Volume Profile journey for me is done, although I do wish to slowly study Delta stuff and the step ladders, but very much in the background since at first sight they seem to provide far too much information for my little noggin to process in live trading.

The attached picture shows a chart of recent Gold action via a tick chart. I am regularly comparing anything with 5 min charts but am finding that for much of the volume work, especially those that are not in live-update-only mode, they are too slow to get accurate data and the tick charts are better. Probably 1 min would be fine but I don't like the bar formations on 1 min and prefer ticks.

Anyway: the attached picture features the brand new dynamic PVP. I have coded in a very transparent backcolor that shows when the relationship between VWAP and dynPVP shifts intraday. This constitutes a volume-based leading indicator that doesn't exist anywhere else in the world right now except on this chart - as far as I know. Perhaps some of the commercial versions do this already but I have never tested them.

I have marked arrows on the chart to show where the dynPVP flipped and its relationship to the VWAP changed. In this chart the VWAP is 24 hour. Using day-session VWAP can change the picture quite a bit on certain days and this is the one variable element about this that I have not resolved yet, esp. since the dValueHistogram (green) starts with the Day-Session.
The dynPVP is drawn as red dash hash plots versus a line.
In any case, the arrows show a new leading indicator trend/bias. I think bias here is better than trend because they are just as helpful during consolidation periods as breakout/trend periods. Note how in each case in this non cherry-picked sample even though the arrows weren't 'right' immediately, there were very tradeable setups using bands or whatever that emerged soon afterwards.

For example: the overnight up arrow provided 2 great lower band entries even though shortly after it was triggered the market sold off.

Then at 9.43 after a healthy-looking runup (also in line with the positive bias and despite a strong sell off in the early going) it provided a very timely indication that this was going to peak out. Notice how the dynPVP flipped at this point (which is why the arrow/bias-change occurred).
Then at 11.04 the bias switched to bullish. Mkt pulled back to LB1 (lower band 1) and she was off to the races to the upside.
However, meanwhile at 12.03 in the middle of this strong move, the PVP flipped again to short bias. Looks like a very bad call. But then at 1415 (the day-session close) the market had managed to sell off 10 points (equ to 1 CL point) in little over an hour to come to the PVP price to the tick meaning that if one had been bold enough to start scaling in at the short bias flip around 12.00 and kept selling each band, one would have made bundle in the end. Not practical approach for most daytraders but this set up and resolution was demonstrated in Perl's videos and it does seem to happen this way fairly regularly, though not necessarily to the tick as in this example.

So there we have it. A new volume-based leading indicator helpful in both trending and consolidating markets. I shall next post a picture of the same period comparing the day-session Vwap to the 24 hour vwap but with the same arrows etc. which is all the dValue programming can see at this point because I cannot reference a day-session only VWAP in dValue though I suspect this can be done by including a VWAP series in dValue day session somehow.



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 cclsys 
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This one shows the bands based on the 24hr VWAP (versus a collective MA as in pic above) and a more standard way of calculating the bands based on price% and ATR versus ATR-only, and then a brighter magenta day-session VWAP. I have drawn a brighter blue arrow to show where at 838 just after a report the bias was down using day-session VWAP versus 24VWAP bias was still up. Both were correct at different points: the ds right in the shorter term, the 24hr right longer term.

Also of interest: I have drawn a brighter gold up arrow at the point where the ds bias would have shifted to up EXCEPT that on the same bar the POC flipped making the bias down. At the same time the 24 hr bias also switched to bearish after which both vwaps pretty much agreed with POC in terms of bias the rest of the day. But this also shows how having the dynamic PVP is very helpful, not only in review but in live trading.



I hope some others are finding this of interest.

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 cclsys 
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There is a new version of the VWAP that allows you to save the start and end times in a template which default version cannot do. Also can apply multipliers to the SD bands.

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 cclsys 
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Have put the hVWAP and dValue in the Downloads section.
Downloads - NinjaTrader Indicators - Big Mike Trading Forum

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 Silvester17 
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cclsys View Post
Yes, I went over. Very impressive. For your approach's universality and clarity. A sense of masterfulness, if such a word exists.

Meanwhile, I plod and leap with my explorations! I came here a month or so back because of a link to the thread on using volume. I have never trusted indicators very much but found myself playing with them more once I turned to daytrading last year and Ninja. Since I cannot backtest simple ideas via strategies to get W/L stats etc. I started using indicators. I have learned quite a lot but still don't trust them because I find they are all too tweakable. But the volume ones a) show information often not revealed in the price bars alone and b) are generally not all that tweakable (period lengths etc.), though there are some things that I am coming to realise make more difference than I had noticed, such as when you start the VWAP or volume profiles (at day-session time or overnight). But that is a universal variable I guess.

In any case, now I have the dynamic PVP from DeanV who kindly coded it in response to my request and published it yesterday whilst I was fumbling through (semi-successfully) to do the same thing, I feel that part of the Volume Profile journey for me is done, although I do wish to slowly study Delta stuff and the step ladders, but very much in the background since at first sight they seem to provide far too much information for my little noggin to process in live trading.

The attached picture shows a chart of recent Gold action via a tick chart. I am regularly comparing anything with 5 min charts but am finding that for much of the volume work, especially those that are not in live-update-only mode, they are too slow to get accurate data and the tick charts are better. Probably 1 min would be fine but I don't like the bar formations on 1 min and prefer ticks.

Anyway: the attached picture features the brand new dynamic PVP. I have coded in a very transparent backcolor that shows when the relationship between VWAP and dynPVP shifts intraday. This constitutes a volume-based leading indicator that doesn't exist anywhere else in the world right now except on this chart - as far as I know. Perhaps some of the commercial versions do this already but I have never tested them.

I have marked arrows on the chart to show where the dynPVP flipped and its relationship to the VWAP changed. In this chart the VWAP is 24 hour. Using day-session VWAP can change the picture quite a bit on certain days and this is the one variable element about this that I have not resolved yet, esp. since the dValueHistogram (green) starts with the Day-Session.
The dynPVP is drawn as red dash hash plots versus a line.
In any case, the arrows show a new leading indicator trend/bias. I think bias here is better than trend because they are just as helpful during consolidation periods as breakout/trend periods. Note how in each case in this non cherry-picked sample even though the arrows weren't 'right' immediately, there were very tradeable setups using bands or whatever that emerged soon afterwards.

For example: the overnight up arrow provided 2 great lower band entries even though shortly after it was triggered the market sold off.

Then at 9.43 after a healthy-looking runup (also in line with the positive bias and despite a strong sell off in the early going) it provided a very timely indication that this was going to peak out. Notice how the dynPVP flipped at this point (which is why the arrow/bias-change occurred).
Then at 11.04 the bias switched to bullish. Mkt pulled back to LB1 (lower band 1) and she was off to the races to the upside.
However, meanwhile at 12.03 in the middle of this strong move, the PVP flipped again to short bias. Looks like a very bad call. But then at 1415 (the day-session close) the market had managed to sell off 10 points (equ to 1 CL point) in little over an hour to come to the PVP price to the tick meaning that if one had been bold enough to start scaling in at the short bias flip around 12.00 and kept selling each band, one would have made bundle in the end. Not practical approach for most daytraders but this set up and resolution was demonstrated in Perl's videos and it does seem to happen this way fairly regularly, though not necessarily to the tick as in this example.

So there we have it. A new volume-based leading indicator helpful in both trending and consolidating markets. I shall next post a picture of the same period comparing the day-session Vwap to the 24 hour vwap but with the same arrows etc. which is all the dValue programming can see at this point because I cannot reference a day-session only VWAP in dValue though I suspect this can be done by including a VWAP series in dValue day session somehow.



this is truly a masterpiece. congratulations on your work.

have to excuse myself, I'm a little slow. not quite sure how you determine a positive or negative bias. where do price, vwap and pvp have to be in order to make that determination.

thank you for sharing.

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 cclsys 
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Hey, thanks for thanks. I love posting here because I am a frustrated author I suspect, but sometimes wonder if I am not using Mike's bandwidth just to talk to myself!

There are apparently many different skew schools etc. etc. and the only thing I have studied on this was a set of videos linked by Alyosha in another thread. I was interested because they were about using VWAP with SD bands and I have been looking at bands for quite a while recently, although have tended to favor other types to SD which I find too 'raw and wriggly'. Also I don't know exactly what it is.

But what I took away from Perl's presentation which I have yet to review again at more leisure after initial rapid run-through is the following and it is VERY simple:

When the VWAP is above the POC, bias is bullish.
When the VWAP is below the POC, bias is bearish.

There were many other tactics and nuances in the presentations.

One major one is that if the price is sort of stuck around a POC zone, it is generally better not to trade because it can chop around there ferociously.

So let's say that price has been around POC creating a nice big VP ledge for a while. Then it breaks out. This is where the skew is handy. If the skew is clearly negative when price breaks upwards, it might be better to fade the move. And usually once this happens, any MA like a collective will be more or less flat because the mkt has been sideways for a while. So around Upper Band1, if you are me you are looking for SR zones around that band. The band itself is not all that meaningful (at least to me), but does give a sense of meaningful move versus just wriggling around aimlessly. So if there is a clear SR around there, some sort of short pattern entry is advisable with this short bias.

So let's say this happened. Broke out of POC congestion zone, made a runup and then pulled back down. At this point a likely target for the pullback is around the top of the recently formed ledge or the POC price itself which at this point could well stop the pullback. If/when that happens, this is quite bullish, skew or no skew, but especially if the skew is only slightly bearish, i.e. the VWAP is close the POC, and also if the VWAP has started rising (it doesn't rise and fall easily like most MA's).

So if you use a collective and that recent upmove started to move the slope upwards, might be a good time for a long with a stop below the recent RL, or if there is a move up that takes out the recent RH, gets the VWAP at or above the POC to make a bullish bias, and you get a nice pullback after the initial breakout, that could be a good trade. The point here is if the price is around the POC for a while, not a good time to trade. But if it has left it and made a move, then that price can often become a significant SR price even though usually you can't see it clearly in the bars because it's lost in all the bars that churned around that price for a while. And this price is not always in the middle of a clear trading range either. Now we have the dynamic indicator, for the first time we can review where it was and for how long and the price action around it. This dynamic PVP is going to prove (at least for me) to be a very important indicator, probably the single most important one I use. I feel I have been waiting for this for a year now and am ready for it just as it was developed. Synchronicity.

In the example in the chart, the skew was very definitely negative and interestingly enough a rather steep and deep upthrust did little to change the VWAP - in other words volume was not all that heavy relative to what had happened earlier in the day. So the higher the mkt went, the better it was looking as a short especially as the day-session end was looming and it was increasingly unlikely that a totally new, huge up-move would develop suddenly in the last hour given the day session bias/skew was negative.

The VWAP is the median price of all trades in the session which is defined as whenever you start the VWAP. Well, not median, the better way of defining it is: above and below the VWAP there are an equal volume of trades. So the VWAP represents the median of all price action of the day when volume is factored in because if there are 100 vol at 1050 this is heavier/worth more than 1 vol at 1055. Once you have 100 at 1050 and 100 at 1055 (and nothing in between say), then the VWAP will be 1052.50.

The POC, however, is the single price at which there has been the most volume thus far today. Now dValue and other indicators have different ways of calculating it. Gomi counts actual buy-at-bid and sell-at-offers tick by tick. This is the most accurate but processor intensive and also doesn't work if you go over to a chart you didn't have data running for that day.

dValue has a time-based and a volume-based method, essentially. I prefer Volume. Time is that at the close of the bar, all time at price for that bar is divided and then the time added up during the session. i.e. if the bar is 1050 - 1054 (5 ticks at 1 pt per tick) and the Volume is 100, then each point is given 1/5th in time because there were 5 ticks. If there were 10 ticks each would get a tenth. If this is a one minute bar, then each gets a fifth of a minute which is 12 seconds. Then the next bar unfolds and the same thing is done. Maybe the next bar is higher but the same deal, 5 ticks with the low at 1053 and high at 1057. In this case, 1053 and 1054 get another 12 seconds each so they will look thicker than anything below or above them. And the POC of these two bars would be 1053.5.

The same thing is done with volume: instead of splitting up the time by tick for the bar, the volume for the bar is split up and divided amongst the ticks, in the example above each getting 20 of the 100 volume and 1053 & 1054 getting 20 both times assuming the second bar was 100 too. Both methods often yield similar results but I suspect with non-time bars they don't. In fact I know they don't. And when I have checked dValue against Gomi, it is the volume method that is closest to Gomi and rarely are there more than 1-2 ticks difference in the two POC's and often they are the same, so the averaging method seems to work even though it is not based on actual price and volume action.

In any case, there is the POC which shows the price at which the most volume/action occurred. And the VWAP which shows the point above or below which there has been equal volume. In a perfectly balanced market, POC and VWAP would always be identical. But then that is almost impossible because over time markets oscillate up and down. Still, the relation between the VWAP and the POC, both of which are factual statistics based on market action, not derived from fancy math, square roots etc., is important, or rather I should reveals valuable information about the underlying volume structure of the current dynamic.

I find the combination of these two allows one to make more sense of the volume ladder and also to gauge the 'sincerity' or 'believability' of various types of move in which case it becomes easier to get wholeheartedly behind trading with the trend, or to be a cynic and keep fading any moves that are going against the bias and that you have reason to feel are less sincere.

Relationship with previous days POC, Weekly SR and so on of course comes into play.

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 cclsys 
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Dec 21

Am generally tired of late and sense that I need a break from this and the holiday season is a natural time for it even though I have nothing set up this year (my family live all over the world far away).

Took several quick trades after late start (not sleeping well of late either) and in nearly every case moved stop to BE too quickly. On the one hand, it meant I had very little MAE which personally I like at the beginning of a day in order to reduce probability of having to come back from underwater; on the other hand, this is exactly why you get into the 'I just lost 5 days small profits on the last three trades' syndrome. In all cases the trades would have yielded far more if I had held for more because in all cases the entries were valid in the sense that they were 'right'.

Am still incorporating the Vwap-PCO methodology into my trading; I know this is the element that will tie together volume and price. At least for me. So there is an underlying sense of confidence that the last piece of the puzzle has been found and placed and now I have a good sense of the overall market picture.

Trades: I followed the rules in the sense that moving stop to BE in the early going is perfectly acceptable to reduce risk of loss. But I was not in the zone before beginning, started too soon after opening the chart and generally am sort of stale from having done too much work with programming, testing out indicators during past two months review period etc. So I am going to give myself only 25% because I really wasn't with it this morning and should not have put on any trades, even in SIM until I was ready.

I did change the SS over the weekend so that now it has more stats. But I am not happy with the R-R reports: I think I need one set that shows MAE/MFE if I did not adjust stops and targets etc. with corresponding RR, and another that shows the R-R of what I actually did, i.e. take 10 ticks heat, exit for +2, and if I had held +15 was possible. This way I can drill down into the difference between what I am doing after entry and what is possible after entry. Otherwise the results don't really tell me all that much although having the averages is helpful. For example: my average MAE is 5.4 ticks and MFE average is 15.5. That's pretty good. But some of those MFE stats come from my entering what was possible if I had not exited early so it is not precise enough to be really meaningful.

Bottom line: I find the POC 'flip' in the revised dValue very good and have far more confidence in picking a bias. I won't always go with the daily skew/bias but if I don't, it will be because a) a trend is strong and obvious no matter the bias and b) the weekly bias on the LT chart is still very much in my favour.

For example after the trades in this journal entry I put on a short which was against the daily bias but in favour of the weekly. Quick winner.

My New Year's Resolution comes down to finally making a comprehensive trading plan and then sticking to it. So I suspect I will tinker around with that the next couple of weeks and might even stop trading even in SIM just to step back for a while and gather myself for renewal of live trading in January after this 3 month review/analysis/preparation period. I am resolved not to start live trading again until I have a solid plan.




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 Big Mike 
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Gary and I worked on a lot of spreadsheets earlier this year to analyze MAE and MFE, specifically what the "real" MFE was or could have been. I think it's important to know this figure, how else can you measure how good your exit was?

The way we ended up doing it was with a shared Google Docs spreadsheet, and we would manually input each trade that met our entry criteria, and then document the results. For the MFE column, we would show the best-case realistic scenario, for instance, if we were long then we would stay long until we got a short signal, or if we're long, we would stay long until there was a big pullback (maybe not enough to trigger a short, but definitely a pullback nearing a reversal).

We entered a couple months of data by hand, one day at a time, one trade at a time. Then what we did was use this spreadsheet to spit out what our ATM should look like. We had multiple columns for targets (ie: target1, target2, target3) and let the spreadsheet crunch the numbers and spit out probabilities for hitting each target. For instance maybe we would do Target 1 = 80%, Target 2 = 50%, Target 3 = 25%. Maybe target 1 was 6 ticks, target 2 was 15 ticks, and target 3 was 75 ticks.

Anyway, it was a tremendous amount of work, lots of formulas, lots of data input. We eventually stopped doing it after we proved (disproved) our method we were using for a trigger. We've since then moved on to a different trigger, but we learned a lot about money management with the exercise.

Mike

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 cory 
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cclsys View Post
Dec 21

Am generally tired of late ...]

your body is telling you too many indicators on your chart.

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 cclsys 
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Could be body, could be mind, could be not enough indicators, could be food poisoning or bad water last week when had to stir up weird things in my well! Could be middle age and beginning of winter season!

Came back today after markets closed and ran through some other instruments. Crude has a good example of a helpful POC 'flip'. (Is Jan no longer the front month?)

Again, it's a pretty nifty leading indicator, though it doesn't always lead. It lagged on the move down around 11.50 but then there was a very sharp downmove, then it flipped to bullish at 2.08. Too late for day-session trade, but still, a much faster flip than most other methods would give so soon after such a sharp and deep move down.


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 cclsys 
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Mike, thanks for that input. Very helpful. I am disappointed that I can't get better stats from Ninja because a) I can't code in most of my setups in any meaningful way and b) I have not been disciplined enough with the ATM in SIM to properly separate 'official' from 'unofficial' trades. I meant to do it but then didn't follow through. It is also not as easy to change accounts as I thought. Sometimes I have two workspaces running to test different approaches/charts and Ninja automatically gives each a different account. If I want to change them I have to disable the being always in SIM and several times I have found on opening up again that it has flipped the accounts or even put in into actual trading and I didn't notice until after the trade unfolded so I don't like monkeying around with that any more.

In any case, manually inputting and reviewing the trades on one's own SS is better. I have almost of year of this but I made the mistake of putting it into a Word Table which is harder to work with. So starting this journal here and moving to an Excel SS was a good move.

I like your Tgt 1 2 3 deal. Personally, even though I know it is harder, I have made the decision to work with single contracts until I can get consistently profitable. This does tend to over-emphasise entry technique more than I would like and also it is very unforgiving in terms of not being able to take small profits on 1, have a BEX on 2 and then if you are lucky you get a nice runner. But I am sticking with 1 for now.

I am going to have one set of columns showing my actual trade MAE/MFE; and then another showing what could have happened with original system stop and max MFE with the same sort of criteria as you described above. And perhaps it would be worth my while to spend a day or so going through the trades from this past month in the journal to get those stats so that by the end of Jan I will have 2 months worth.

I am increasingly confident now that I know what I am doing with the markets, basically, and that the main issue is money management and discipline. But I haven't done sufficient homework in terms of MAE/MFE etc. in order to nail down the exit rules and this is something I absolutely positively need to do. And will!

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 Big Mike 
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Ash, for the tracking of two separate 'methods', try opening up two DOM's (same workspace) and then just name the ATM differently. The performance/trade tracking can be sorted by ATM template and you can dump to csv and delete the unwanted entries.

Mike

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Here is an example of an old spreadsheet. Far from perfect, but just so you can see what we were doing. This strategy was a bust, but the journal/spreadsheet were good.



I can't remember all the specifics, but the cell highlighting was all automatic if the number was outside the average, etc. Lots of conditional stuff like that, and the next tabs showed all the graphs and such.

Mike

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 Blz17 
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cclys,

I've been reading thru this thread and am very intrigued by the work you're doing on the VWAP and POC though I've got a few questions.

1. You mention Perl a few times, who is this? Is there a website or something where I could watch/read some information from Perl to learn more about this approach?

2. Which line do you watch to flip trend bias? What paints that line? (I've included one of your screenshots with a note I attached pointing to what I think is the PVP line)

Thanks again. I've been working on trying to find a way to utilize volume to help with pinpointing where trapped positions are to aid directional bias. I think you may have found it, I just need to wrap my head around this.

Blz

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 cclsys 
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cclys,

I've been reading thru this thread and am very intrigued by the work you're doing on the VWAP and POC though I've got a few questions.

1. You mention Perl a few times, who is this? Is there a website or something where I could watch/read some information from Perl to learn more about this approach?

2. Which line do you watch to flip trend bias? What paints that line? (I've included one of your screenshots with a note I attached pointing to what I think is the PVP line)

Thanks again. I've been working on trying to find a way to utilize volume to help with pinpointing where trapped positions are to aid directional bias. I think you may have found it, I just need to wrap my head around this.

Blz

1. Trading With Market Statistics - LINKS
I think you have to register to view their stuff. This is an 11-part video presentation with comments for each entry. Done in 1997 I think. I found it interesting but I am very new to MP type analysis and there is a lot more out there I gather. What I mainly got from it was paying attention to VWAP and POC relationship which I had already been doing but without much confidence or focus regarding them as two very different animals. So the way Perl tied them together was very helpful for me. He uses SD bands a lot and for myself I think I prefer more basic SR structure from the price bars, but there are aspects to them that are extremely helpful and which also I had missed until viewing his stuff.

2. Yup, you got the right line. In my current charts that is now a thick white dash. You can get the indicator in the downloads section. The dynamic POC is called 'RTPOC' in the menu panel. I suspect other platforms have this already and more, but this is a first in Ninja.

3. I am not sure about trapped positions. If you have any insights there I would be interested to learn them. I have read the expression several times in Gomi's ladder thread but I don't see what they are talking about yet.

At this stage I am finding two things of great interest:
a) the POC's themselves and how price behaves around them during consolidation and/or when they come back to them after being away for a while. Two very different situations with usually very different behavior;
b) the VWAP-POC skew and how that informs one in terms of trend, no-trend, strength of trend etc. I just built an indicator to track this visually for a while though I don't intend to use it forever. Am not yet sure if the skew will be helpful for me or add another layer of conditions that end up fighting with each other. But there is something to it that I intend to explore further. The indicator I built does a good job of showing consolidation periods visually. See next post.

In any case, I feel that with the VWAP, the price-volume histogram and the dynamic PVP that I now have enough for my purposes - which is usually 1-10 min trades - in that I feel I have a much better handle on information from volume viz. price.

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 cclsys 
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Dec 22. Another sleepless night. No idea why. Am not worried etc. But always waking up around 1 am or not going to sleep at all beforehand. Strange. Am not going to worry about it, but it does mean that I am not 'up for it' in the mornings which is usually when I do trading activities.

Last night, or I should say early this morning, I opened up Ninja and started looking at the charts again and then decided to code an indicator showing the skew. Now there are several 'official' skew formulas out there, I gather, such as skew = (vwap-pvp)/std.dev. But I don't know how to do that so mine is much more simple: vwap-pvp. So the result comes out in instrument contract points.

The indicator plots
a) the skew in points
b) the difference between POC/PVP and close
c) a 'narrow' band above-below the zero line of ATR*2
d)a 'wide' band above-below the zero line of ATR*9.

The zero is the diff between vwap and POC. When they are the same, they will both be at 0. When vwap is above POC then the value is positive etc. Very simple.

Although my intention was just to display the skew visually to track it for a while, the indicator does a good job of showing consolidation periods, i.e. a chop indicator. Nice unintended side effect. The dark gray/blue backcolor shows when the indicator is between the two narrow bands. I tried to get the color just to paint inside the bands but couldn't get DrawRegion to work. Not important either way.

In terms of trade action: before retiring for the evening (it's now 7.37 am!!) I put on a trade even though it was slow premarket action. Partly to see if I could get lucky and be done for the day before going to bed. And partly because it was just a classic setup. Classic with a method I have just been uncovering the past 48 hours, but still: classic.

Price came down, oversold, and touched yesterday day-session ending POC/PVP. Stalled. So I jumped in with 4 tick stop. Put in modest 7 tick target which was filled after about 5 mins and only 1 tick heat after entry.

I had one reservation with this trade: my 5 minute-old indicator was indicating that a downtrend might be getting underway as the green line crossed under the narrow band. Actually, whilst typing the above post, the market sold off, penetrated the old POC at 1092.50 down to 1090, so I was right to go long, and the indicator was right that we were going down.

My normal SR-R (SR-retrace) tgt would have been 1094.4-3, 2-3 ticks beneath the old SR at 1094.6 (about 17 ticks from entry) but it was a slow mkt and I wanted to just make DPT and be done. Went to 1094.7 then turned around and made new lows, indeed new monthly lows, i.e. RL since the high put in a few weeks ago around 1230. So the US is getting a nice Christmas dollar rally! ho hO HO!

DONE.





I attach the dValueSkew Indicator for anyone who wishes to play with it, make something much better and different etc. Again, I just wrote it to display the relationships visually but it does seem to do a rather good job of showing consolidation versus trend situations, also visually highlights the occasionally counter-intuitive relationship between price action and skew - which is why I am leery of paying too much attention to skew yet.

PS. Sorry my chart has so much stuff on it. Am still playing around with different Vwaps (when they start) and their SD's etc. Also, the dynamic PVP/POC flips around alot during the night session because there is such thin volume. Usually it is more static.

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 mea109 
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hello hello cclsys, shape?
thank you for the skew but I was wondering if it was preferable not to encode it so it gives the S / R directly on the graph?
Then a little lost on your graph I do not see the pvp, can you enlighten me?
thank you

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 cclsys 
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I don't understand skew in terms of SR. But I am new to skew. My understanding is that basically it's the difference between the vwap and the POC and there are several different ways of getting a formula/result out of that but basically it's just that if the vwap is above the POC, there is a bullish bias (acc. to Perl at least).

The dynamic POC on my charts is the white dash hash line. It jumps when the POC changes, whereas the earlier version of Dvalue - like most of them - plots the current POC across the entire histogram so you can't see previous ones nor when they flipped. For example often a previous PC becomes a good support level later on after a move up.

Enlightened now?

Or I should say: eclairee? ou toujours croissant?

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 cclsys 
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This is just for fun. But not yet ready for bed so kept monitoring. Placed trades based on my emergent combination of basic SR (my way) and Vwap-POC skew or just POC. Included a couple of doubles which this theoretical account might not have liked to take. But the MAE-MFE is pretty good and the max MAE with 2 contracts being 4 points (added together).

The last trade currently open on the chart has since been stopped out. It was deliberately reckless - although did have some flimsy criterion, the new low bar close did not take out the previous DL - because I want to stop. And now shall.
These trades are not 'official' so they don't count. Only the first trade today was official in earlier post.





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 mea109 
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cclsys View Post
I don't understand skew in terms of SR. But I am new to skew. My understanding is that basically it's the difference between the vwap and the POC and there are several different ways of getting a formula/result out of that but basically it's just that if the vwap is above the POC, there is a bullish bias (acc. to Perl at least).

The dynamic POC on my charts is the white dash hash line. It jumps when the POC changes, whereas the earlier version of Dvalue - like most of them - plots the current POC across the entire histogram so you can't see previous ones nor when they flipped. For example often a previous PC becomes a good support level later on after a move up.

Enlightened now?

Or I should say: eclairee? ou toujours croissant?

thanks merci beaucoup

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 cclsys 
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Didn't stop. Been up too long now and also this is a somewhat dramatic selloff in Gold. Now well below 1100, next stop probably around 1050 which is when the Indian Govt bought billions of bullion (unless it was tungsten??).

For fun decided to give this positive skew business a real workout. It's a heavy down day and trending pretty strong. But the skew flips up around 1021 am EST and after a double bottom I take a pattern buy entry.

From then on it was all downhill but skew remained positive so I kept scaling in until at one point 30 long with order to buy another 30 around 1072.50. Finally she turns around having shown me nothing but contempt for 40 minutes (was that all?) and being about $-16,000, and then she decided to go my way and we rode it up to +$8,000 exit. Ambitious PT was at the POC above 1084 where I put orange dot which also happened to be about 5 ticks above original 1 contract entry. As I write, 11.33, has stalled around new lower POC - but still bullish skew/bias in effect - and now looking to make higher highs in which case that old POC might well be the run high.

I am not recommending anything. This is a journal/blog. But this vwap-POC volume approach does tend to work well with the rubber band effect, or return-to-mean approach.

Was it bad to go $16,000 underwater? Yes, unless trading a $500,000 account. But then it got a 50% return on that risk. In about an hour. Fighting a pretty deep, relatively major sell off and still coming up on top.

Assuming you have deep enough pockets for it and therefore leaving aside practical money management concerns, there is something satisfying about scaling in this way. Why?

Imagine you had been short during that move and gradually adding on positions. You start with one and then pyramid into it. Well, every retracement of more than 1-2 points means that your position which just had =$5,000 is going negative. That, I think, is a bit harder to handle. This way you know you are going to keep buying at regular intervals, increasing the size so that you never need more than about a 3-5 point move in your favor to at least break even. The lower it goes, the higher the probability that you can get out. In fact, there were many opportunities for me to get out at BE which I did not mark on the chart until the one during the final move. In this case it was a 2.7 point move from the low that gave me BE. And again, the lower it goes - especially with a positive bias like this, the higher the probability of walking away with at least BE if not better.

So: how to make 50% return on your capital in about one hour.

Chart note: the orange circle points out something wrong with Deanv's indicator: the POC changed during a time when the price could not possibly have effected the previous POC. So there is a little bug somewhere. Will let him know and see if he understands it.

Note2: notice how around 11.19 the 'chop indicator' aspect of the lower panel 'skew' indy, change backcolor on the very first bar, as it happened, that did not make a HH for a while in that sharp run up. This has nothing to do with the bar's close, simply that the POC flipped at this point so the green line was now in the narrow range zone. In fact this happened on the bar that made the last HH but the plot starts half a bar later after it closes. So as a chop indicator, I suspect this has got to be one of the best ones, although it won't work in every situation. But when it signals a new chop, I suspect it's pretty darn good and pretty darn fast.

Would like to have a Vwap indicator that draws horizontal line on today's price showing previous day, and every day this week, and/or previous week vwaps. Also the POC's at close of day-sessions. For me these would be more meaningful as pivots than anything else, although previous weekly low/highs etc. are always helpful and relevant of course.

Again: this is for fun. If this went South, could have been down well over $200,000 in another hour. (That said, if you have the $$, it is almost impossible to lose doing this as long as you have the gumption and pocket book to keep scaling in so that you only need a 2-3 pt move in your favor to get out. As the engineer said about the probability of the Titanic sinking: 'Tis a mathematical certainty!'

11.59 update: mkt went back up, slogging through slowly, to 2-3 ticks above the SR-P line I had drawn meaning that only the first couple of buy entries did not end up in the black. All the rest - with more contracts purchased lower down - did.

1206: up to next SR-P line (not drawn in pic attached) 4 ticks below Buy 1 entry at 1083.7 beneath the 2 red bars around 1031 EST. Up to 1083.8. Next stop the old POC and my SR-P line around 1085.40? Amazing if it happens. This volume stuff really does reveal things about underlying market dynamic and structure.

1208: up to day-session VWAP at 1084.70 and 7 ticks above original Buy 1 entry. I should have noted that as next stop in comment above.

1209: up to old POC above, RH = 1085.60 and climbing, next stop 24 hour VWAP at 1086.80 - also an old SR-P at same exact price? From 1075.20 one hour ago? Possible, though I suspect this is it for now.. that said: LT SR-R at 1090.50. Possible...

1214: New POC at 1084.90 = NEGATIVE skew basis daily but not yet 24 hr vwap, so iffy. Still, one of two leading indicators hinting that this could be it. RH 1086. Triggered on 3rd bar after new RH following big, relatively fast move up with only one slow period around the recent POC level at 1081.10.

( As the esteemed Samwise Gamgee exclaimed whilst bashing orcs with his frying pan: 'I think I'm getting the hang of this!'

1236: up through 24hr VWAP to 1087.50. Now the day-session Vwap and 24Vwap have opposing skews. Skew indy is almost out of chop range and poking through to upside. Dayvwap is very close to POC, so it looks like we might be having more upside action even after this large runup. Was this a major correction low that just happened and now it's up to 1350 in next few months?

1251: RH 1088.9. If had not exited the 30 back when, additional $25,000 possible = $33,000 = 200% return on $16,000 risk in under 3 hours. THIS is why over-leveraged instruments are so dangerous because it could just have quickly been -200%, Gangee's exultation notwithstanding.)
1256: up to LT SR-P at 1090.60 TO THE TICK and bounces down. Will this SR-P hold? Have not even looked higher on LT chart since did not expect such a bounce from new monthly RL.

1095.8 is next LT SR-P and also a previous weekly low. Only 5.8 pts further up from current RH. However first: Yesterday's closing POC at 1092.50 has to be gotten through. DayVwap bias is still negative so I am now shorting, again giving it a workout. But the 24vwap bias is bullish so this is the sort of conflict with this new approach that I have not yet resolved/studied enough.

1.10: short was a winner back down to SR. Bought slightly lower at SR-P 4 ticks from low. Now looking to see if can make it to that old POC around 1092.50 around 3 pts higher.

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 Silvester17 
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this is what I have so far. still need some time to get used to it. but now I'm confident it'll be helpful. I think this will allow you to get a pretty good view of the condition of the market.

thanks again for your very much appreciated help

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 cclsys 
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Silvester17 View Post
this is what I have so far. still need some time to get used to it. but now I'm confident it'll be helpful. I think this will allow you to get a pretty good view of the condition of the market.

thanks again for your very much appreciated help

Yeah, that's pretty neat: negative skew at top early on, positive at bottom later. I suspect this approach works much better with indexes and large vol instruments like bonds than others which have less liquidity and can get pulled around by relatively few big boys having fun for a few hours.

Maybe this isn't an issue with ES, but I notice with much lower vol gold that using a 5 min chart sometimes the POC is different from when properly live-tracked with Gomi ladder. Suspect with ES having so much volume and thus so liquid that this is less of an issue.

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 Blz17 
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Thanks for that reply earlier cclys. I'm working on incorporating some of this into some ideas I'm working and I really believe you're onto something. One question I have is what have you found to be the best for the time frame selection? I'm focusing on the 6B which trades globex like all the futures but gets the chunk of it's volume from 3am est to 12pm est (but frequently the volume can kick in at 1am est and go to 2pm est). Do you run the vwap from 00:00 to 00:00 or do you alter the start time on that as well?

Thanks again and keep up the good work.

Blz

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 cclsys 
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Blz: first I don't follow forex at all since I am a Canadian resident using a US brokerage and we aren't allowed to trade forex via US brokers. Go figure.

Second, this 'approach' of mine is very new based on
a) seeing a presentation of how to use the vwap-POC relationship as the basis for trading decisions, something which I was fumbling with myself in a vague way but only when
b) a few days ago (3) DeanV kindly made it possible to plot the dynamic PVP/POC so I can study it historically and also easily see previous POC's on the chart intraday as the volume price profile for that day unfolds. This is only the third day since I could do that so clearly I am not experienced at this at all!

Although premature to make a definitive judgment, I feel internally confident/sure that this vwap-POC relationship is indeed worth paying attention to. Also, previous POC's are definitely worth paying attention to. They were always visible on the basic dValue indicator or any other pricevolume ladder for the day, but they are much clearer this way, also you can see the direction over time, i.e. higher POC's past 2-3 hours or lower, which with the normal histos you cannot see. So I am sure the dynamic POC is something I am going to keep on all charts in the future and for me is the single most important price-volume indicator to have in terms of gauging ongoing support-resistance during the day.

As to the vwap times: this is something I am studying. I was over on the NT forum last night asking both Higler (hvwap writer currently unemployed and looking for work so maybe doesn't have time to code for fun right now - or maybe he will over Christmas holidays!) and DeanV to make it possible to mutually call each other's indicators in terms of time. Right now they only line up if you use a 24 hour vwap starting at midnight.

But dValue has the excellent feature of being able to start the day-session histogram at the opening price and end at the end of the day-session. The hvwap has the ability to do the same, however you cannot call the hvwap in the dvalue indicator and specify the time and when I tried to call the dValue indicator inside hvwap NT crashed totally (though it compiled fine of course) and it took me a while to get NT back working again.

So right now the only way to compare the dValue histo and the vwap is on the 24 hour basis, at least if you want the POC skew basis the vwap that is. This is probably confusing to explain verbally, but there it is.

Short answer: because I am fairly new to this and there are limitations with the indicator coding, I have not been able to compare the different vwap-times well, even though I would like to. They definitely are different. Personally I would prefer to work with the day-session vwaps in both indicators but again, since I cannot get dValue to see a day-session vwap, I cannot get the day-session only skew. I can display day-session vwap fine using hvwap indicator, but dValue can only see 24-hour vwap for its skew calculations when I put vwap inside it - as is currently the case with the lower panel skew indy - and NT crashes if I try to put dValue inside the hvwap indicator to calculate the skew from within hvwap. So for now can only calculate 24-hr-based vwap skew starting at midnight. I suspect with many instruments this is really not ideal. For example, better to have day-session only or at least start the 24-hr vwap at day-session start time. Right now, cannot be done - at least if it can I haven't figured out how.

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 cclsys 
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Dec 23rd. No official trades today. Started late after 12-hour much-needed sleep so feel sluggish but better.

Since it was already 11.00 when I opened up, i.e. lunchtime on quasi holiday day, I just played with skew-based multiple entries which this model account can't - or at least shouldn't- be taking. It took 2 hours and a 5% DD before I ended up 2% in the black. So it worked (selling in a mild but steady intraday uptrend) but it was like watching paint dry, twice my PT was touched but not filled which combined boredom with frustration, but in the end it worked. Attach chart and SS for sake of maintaining some continuity here in the journal, but really it was a slow day/period and I do not intend to put on an official trade later today and probably will switch of NT to give myself a break from it and hopefully in next week or two focus more on developing trading plan and getting the SS more helpfully laid out than practicing in SIM so that I am more ready to implement live campaign in early 2010.

Now that SS published, will erase these trades from it since they were not really 'official' ones.





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 cclsys 
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Dec 23 - Confirmed Close ('CC') study in Crude.

My moniker name 'cclsys' comes from an acronym of 'confirmed close' (ccl) which was the basis of all pattern studies I did a few years ago viz. swing formations. I posted the code for a simple swing indicator (dots at SH, SL etc.) in the Tradestation section. Also, in line with the leadin to this journal thread 'Daily Charts and Bar Patterns', here is one of the bar patterns I often use, at this point almost subconsciously it is so ingrained. I don't use it for entries and exits usually (except in Trading Range description below), but to gauge conviction strength in trending markets, also possible bounce levels in trading ranges (TR), i.e. price goes down below previous low in TR but the close does not confirm. In this case, low-risk entries at bottom or top of TR's can be taken with tight stops beyond the recent non-confirmed high or low.

Today's 3 min cht in Crude shows a situation in which a series of HH were not confirmed at the close and therefore constituted =HH's ('equal higher highs') i.e. not really higher highs despite higher price. I have drawn lines at each successive high showing that the closing price on the bars that penetrated previous highs did not 'confirm' the HH.

It's a simple thing, but something to be aware of in terms of gauging strength of a trend. If a trend keeps making non-confirmed HH's or LL's, it indicates a lack of conviction. Strong trends make definitive HH's.

Now that doesn't mean that Crude won't go on to make real HH's later on today; but thus far it has shown lack of conviction so a PB to at least the pre-report SR-P that I drew as a green ray looks likely.



PS. Actually the first non-confirmed HH bar in the series was the gold bar at 10.30 immediately preceding the red bar where I first drew a HH line. I just didn't notice it. But the principle is the same. Notice how this level sort of held throughout the subsequent sideways action before the buying flurry (and semi-reversal) around closing time (or just after day-closing time I believe), i.e. floor-traders having fun to get diamond bracelets for mistresses time.

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 cclsys 
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OK, here's the next chart in Crude from a little while later.

Market made confirmed HH. Placed order to buy at SR-P 3 ticks above previous high. Was touched and not filled and left it on chart for this picture. Quick winner. Of course more aggressive entry would be to just buy the BO, but given the non-confirmed HH's earlier I personally would not do that.

Skew is still negative but from observing Crude charts, the skew is not very helpful unless you have extremely deep, i.e. institutional level, pockets. Trend is up, confirmed HH after a long time, SR-P worked perfectly if filled, which in this case - at least in SIM - it was not. Suspect it would have been in REAL since would have been one of the first in the queue. Whoops, it just got filled whilst typing. Should have pulled it! Oops, stop hit within seconds of entry!

Why pull the order? Because that SR-P level has already been played out (when the initial entry was touched not filled, i.e. mkt had already retraced there to clean out recent buyers); not only that, but chart shows that the next HH after the first one was another =HH, i.e. not confirmed HH.

So next support valid for buying would be lower down which is new POC at 76.48. But since it's 2.30 now, Crude is done for the day/week anyway; these posts were to illustrate the confirmed close or non-confirmed close pattern analysis, not really to showcase trades therefrom.



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 Silvester17 
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cclsys,

I know you played with the gomi indicators. is it similar to the one below? don't have much data...

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 cclsys 
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Yup. That looks like a commercial version. But since I don't like using those indicators which require ongoing data stream, I haven't given them the time (and study) they deserve. For me the dVal is great because it constructs artificially from range of the bar. Not as exact, but very close and far less process intensive and also doesn't require continuous monitoring.

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 cclsys 
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Dec 24 Redeye Scale-Trading whilst messing around doing other things.

Looking at the chart I am not sure about the initial entry in the last series of 4 buys. But I had different charts up (5 min, 2 min) a while back. Put SD bands into my FibBands indicator which is really just a multi-purpose band indicator that has little to do with Fibs any more although you can apply fib ratios to the multipliers. (My favorite Fibs are 1,2,3!). I think those are Fibs...

But basically was looking at Weekly Vwap (yellow) from Vwapmulti indicator on NT forum giving us a very positive LT skew; also the SD#3 band high is getting up to that level. I was tempted to leave the machine running with a PT up by the yellow band but since it's so far from anything I do in real life (though why not since I could easily have left a BE stop on #4 from down near the VWAP and the other three made nice profits (about $600) and all together the 4 contracts had about $400 heat. (Though my stop loss was below the POC $4,000 lower when I put on the multiple thinking I would let it run overnight to see what happens with this approach!).

I had larger orders down below now pulled.The last one filled (one tick from the RL) was based on a previous POC off the chart which I drew a Ray from. Also current vwap which started at midnight.

Later addition: after I posted this, market went up to the next Ray which was also drawn from previous POC from earlier this week (or last). My original PT was 1 tick below that line. Current RH was 2 ticks below.

I'm telling ya, these POC's pack powerful mojo!

Obviously this is playing around. But to tell the truth, I prefer scale-trading to all other methods. Just don't have the capital for it. So I have to get this vwap-scaling out of my system ASAP in order to return to main job.

That said, I am on vacation now for a week or two and generally mucking around whilst slowly putting together a trading plan for the New Year. The next few days (Christmas) are for goofing around though through the weekend.

Still, it's nice to know that late-night trading (as long as one does NOT look at the screen too much with such slow action) ain't that bad. If I keep being not able to sleep regularly, maybe this is when I'll be working? (hope not!)



PT hit later, penetrated by a few ticks, then pullback.


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 Silvester17 
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cclsys View Post
Yup. That looks like a commercial version. But since I don't like using those indicators which require ongoing data stream, I haven't given them the time (and study) they deserve. For me the dVal is great because it constructs artificially from range of the bar. Not as exact, but very close and far less process intensive and also doesn't require continuous monitoring.

not too crazy about those kind of indicators either. difficult to back test...

forgot to mention why I showed the charts in the first place. it has the option to use vwap in the value area.

merry Christmas

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 cclsys 
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And a Merry Christmas to you. Before going off to make merry myself, my Christmas gift to all. Well, somewhat. A longer term chart of Gold - the main instrument in this thread and now the lead asset internationally.

Have marked a few basic chart formations like H&S - the one at the top being especially classic - and also pointing out value of waiting for retracement (ellipse) as came up in another thread last night.

But this chart has something I found on NT forum last night which although not quite what I want, is still very helpful. An old VWAP modification that draws weird lousy bands, but is the only one that can draw continuous vwaps that don't restart every day at a certain time. VERY helpful.

This chart has 2 month, 1 month, 2 week, 1 week and this week Vwaps. The DValueArea chart is weekly and only keeps the POC's, not the 70-30 Values area.

The dots are from ZigZagUTC, 48 bar = 1 day.

I have marked on the chart several aspects I think of interest. The most important one, imho, is the brutal FACT based on Vwap information which is simple volume-price data not smoothed or anything is that the 2 month VWAP, which started calculating early on in the previous upmove to 1227 has hardly budged at all from its level at that lifetime price peak. This indicates to me that a pullback to 1145 level is at least highly likely even if market is pulled down further towards 1000 level later. Why? Because selling volume has basically only matched previous buying volume and only recently begun to bring that LT vwap down just a little but it is not yet really trending down in the same way it was trending up earlier; and this means that the vwap is basically in the middle, i.e. we have a somewhat symmetrical volume distribution over the past 2 months favoring a 'return-to-the-mean' type market action. Probably the long term histogram would look like a D. Chances are likely that it will come to the apex of that D and that is around 1143. Actually, come to think of it, the difference in slope of the upmove to downmove suggests that probably we have more of a P than a D, which is even more suggestive of a pullback to the apex at 1143. My guess is that we will get that next week before the New Year but the USG might come in with heavy selling during light holiday markets to keep price down, and if they do that the rebound will be that much stronger the week following, probably through to 1170-80.

This is something that would be very hard to see without information from Vwaps, unless you could throw up volume histograms with long-term start dates as well, which I don't think we have an indicator capable of doing in NT and even then they don't usually reveal the vwap price although they do show the key POC/high volume areas.

In any case, if a pullback to 1096 level (far right ellipse) holds and there is a HH breakout from around there, should get a nice 40 point rally to 1145 level, but certainly rectangle low around 1115 at very least. Key level in Feb contract is 1143.30 which is the coral dash line just above thicker crimson line mentioned above. Here we have the POC of the last week that was HH HL with swing low that went on to the peak high, and then two =Swing Highs before final plunge, and where the 1 and 2 month vwaps look like they are going to be converging soon.



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 Blz17 
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I've been keeping an eye on your dValueSkew indicator. It seems to do a great job of indicating times to trade and times to stay out of the market. Naturally it's not perfect, nothing is or ever will be, but it seems to be a pretty great trend filter (at least thus far).

Blz

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 cclsys 
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Yes. A surprise side effect. I took it off the chart because I am getting too much up there and also was getting frustrated with different vwap times etc. But it is a pretty 'righteous' indicator in that it shows things that are hard to see with the price bars alone without using fancy math. The atr bands are the only exception but fairly simple: one narrow setting and one wide, both working on all charts/timeframes.

I have recently made a stand-alone PVP indicator that only shows the PVP/POC without the value histogram, and also added the PVP as referent in my Bands Indicator. I'll have to monitor it a while, but I suspect I am going to prefer this to the vwap. I can put standard deviation or other bands around the PVP price now which I think is better than a moving average on days without strong trends or markets without strong trends in general. But bands or no bands, the PVP is worth paying attention to, that's for sure and am glad I can now do so both real-time and historically.

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 cory 
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it stands to reason if daily value area is nice then rolling value area even better.

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 fragiba 
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Congratulations on your work.

It's, very very good.

Wishes for a great 2010 trading

Francesco

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 cclsys 
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That looks very interesting Cory. Will check it out after posting daily entry below. Am curious to see what you mean by 'Value Area' (usually the 30-70 lines) but once I open it up on a chart am sure will have the answer!

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 emini_Holy_Grail 
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Cory - I added them to a 5min chart and didnt see the text Buy/sell and couldnt find in parameters. is it possible to plot the Buy/sell in the chart?

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 cclsys 
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Under many challenges on the home front. Busted pipes in wells recently, then a hot water heater needing to be replaced. Then yesterday propane fitting for cooking stove broke (it's almost brand new) so went to car to go to town to get replacement and thus far 100% reliable diesel won't start which could be expensive. Almost did late night 5 hour drive to pick up old Mercedes with 2 year sticker (stickers are big deals around here because of rust and buying a new car in an area where they salt the roads even in the fall is like throwing money down the drain and I don't have enough to do that otherwise I would, and cheerfully). But driving 5 hours somewhere when you don't have your own car ain't so easy etc. etc. etc.

In any case: started a little late this morning after taking delivery of new heater one day early which frees me up for potential car shenanigans later.

Simple trade in SIM. Commentary in SS. Was not distracted by all the above during this (thankfully) short trading session. Set up was clear, time was good (at beginning of day-session when there is usually at least a little volatility). Was unlucky (and hasty) with moving stop down to protect > DPT profits; stop hit, then market went down to original PT 2 ticks above earlier PVP which stopped the market to the tick.

Heat on the trade: 1 tick.
MFE before stopout: 21
MFE after stopx: 33
Original PT 31
Exit 14 meaning I got 66% of the MFE before stopx hit.

So not so great. But also not so bad either.

Am developing more confidence in going for larger targets even though this is hard to do with 1 contract approach because it is difficult to risk current open DPT in order to get more.

That said, it is not as difficult as bagging occasional bigger winners which pay for later initial stop-outs. And also : how difficult is it really to put in a break-even + stop and wait a little? Yes, you risk all the current profits meaning that with the next trade you might go under. But with a good method you will end up ahead and I know I have a basically good method now that I stopped using any wriggling indicators for filtering and returned to focusing on SR using basic observation but also favoring tick charts to suss out the SR-P prices.

BM and others here - including Brooks - are influencing me to go over to 5 mins for many reasons, but I still like tick charts better for finding out certain SR prices. They are also better for dValueArea. Why? Because dValueArea is not a live updating indicator like Gomi's and others. Once a bar has closed, it averages the volume of that bar and distributes it equally to each tick in the bar's range.

Now with tick and volume charts, the higher the tick/volume per second the narrower the bar. This means that a narrow bar on a tick chart often indicates you are at an important price but also that dValue will distribute all the volume of that bar across a smaller number of tick prices making them go up in the histogram and making the histogram more accurate.

Not only that, but it means that often you can get higher probability entry on narrow bar triggers with lower stops and greater confidence that you have picked a meaningful zone. This is especially true around previous SR levels and with BV2 climax or climax churn bars.

Speaking of volume: I turned off Cory's and other volume text on my charts recently mainly because I was focusing on the PVP and vwap issues and needed to reduce input. But soon they will come back. I think I like the divergence one quite a bit; I found the stop volume (not Cory's) too active and will remove it. I still find that there are perhaps too many of them with varying degrees of helpfulness so am not sure if simply studying the bars and SR levels is not simpler and thus better.





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 cclsys 
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Cory, loaded up your indicators in workspace. Interesting. I like the previous day's Value Area being shaded. Better than just the lines and intend to use this without the lines, i.e. just the shading. Thanks.

The rolling Value Area is also interesting. To be honest, I have sort of sided with Jerry Perl on the Value Area. He calls it a 'heuristic' unnecessary addition, i.e. it's contrived. That said, I have noticed that often the previous day's vat or vab work as SR levels. The current ones not so much except towards end of session when usually am not trading. But that said: have not researched it carefully either.

Now what we really need is a rolling vwap line. Some vendors sell it, but none available now in open code.

My basic approach seems to be narrowing down to:

SR using my own simple methods of perceiving them which is mainly simple Highs and Lows, emphasising those with volume and confluence with previous SR's etc., and the SRP which is when a move gathers momentum and is thus a level that the floor traders will often bring the market back to in order to clear out stops. This makes it a good re-entry point (and also a bad level to place a breakeven stop if you entered on that same move that is now being retraced).

Then paying attention to volume shifts mainly using BV2.

Then of late the dynamic PVP which I find very valuable information in terms of SR and often not shown with my other SR methods. And along with that a volume histogram showing the distribution.

So basically this is price and volume and little else. The main focus is on simple bar patterns for entries and exits around SR levels.

My main weakness is in exits. I tend to focus too much on DOM volume for trailing stops and ignore the pattern and SR logics which are usually correct. That said, I tend to use this method for profit exits, not stop losses.

Did you write these? If so, perhaps you should mention it in the comments in the code.

Thanks again. Very interesting.

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 cory 
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...

Did you write these? If so, perhaps you should mention it in the comments in the code.

Thanks again. Very interesting.

no, they are coded by sgbtrading on Ninja forum. I just added the shade for value area.

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 cclsys 
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The more I look at them, the better / more helpful they seem these rolling value area 'bands'. Thanks again for posting and also to sgb.

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 cory 
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The more I look at them, the better / more helpful they seem these rolling value area 'bands'. Thanks again for posting and also to sgb.

trading zone sell this setup value area + rolling value area for thousands, except their rolling value area is for each 30m

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 cclsys 
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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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 cclsys 
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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. (!)





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.

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 cory 
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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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 cclsys 
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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 rep