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Definition of a trending day
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Definition of a trending day

  #1 (permalink)
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Definition of a trending day

For the purpose of statistics gathering, I am wondering if everyone agrees on the same definition for a trending day? And inversely, is a non-trending day automatically the same as a range bound day?

Proposed definition of long trending day:
A day in which the market opens, then moves higher throughout the day, without ever revisiting the opening price. The market eventually closes above the open.


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  #2 (permalink)
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  #3 (permalink)
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Just for argument sake, I am not sure I agree.

Let's say I trade very short term on CL. The market opens, and moves up pretty smoothly 100 ticks from the open. During lunch it trades sideways, and then into the close it moves down 150 ticks. It closes 50 ticks below the open. By your definition, this was not a trending day. In my view, it was. I had a nice long trend opportunity, and a nice short trend opportunity. They are what may be considered short term trends, but none the less, the market was trending in my opinion.

No?

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  #4 (permalink)
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I know, I ran into the same argument which is why I started the thread

I want to create some trading statistics, for example item 1 is to calculate my own data to answer the question "How often does the market trend vs range?". I want to control the test myself so I know the conditions precisely.

I then thought about the definition of a trending day, and I realized a lot of people might take issue with it.

But if you open it up to include any day where the Close is higher than the Open (long) then really that is not a trending day at all, it could be a range day.

I also considered calculating the Average Daily Range and comparing today to the prior 10 days for example, and then we could say if the market closed in the upper half of the range it was a trend day?

But I have a feeling this is not how others are doing it.

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  #5 (permalink)
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Well, we have some very smart people viewing the thread. I am sure we will hear from them soon.

Just to add, here is one definition of a trending day:

A trending market is a market where the price is moving in a single direction, either up or down, but not sideways. There may be several small price reversals, but nothing large enough to prevent the price movement from continuing in its original direction. A day trading trend may last for a few minutes or a few hours, and longer term trends may last for several weeks or months.

Gary

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On the ES i would consider as a trend day one whose rotational factor on market profile would reach and stay above 6 and where we had an open drive and where after lunch 1pm EST price was still making higher highs/lower lows and finally would close higher or lower than the previous day.

Simple definition: a trend day is one where all counter trend traders would lose money big time fading the trend.

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  #7 (permalink)
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Gary View Post
A trending market is a market where the price is moving in a single direction, either up or down, but not sideways. There may be several small price reversals, but nothing large enough to prevent the price movement from continuing in its original direction. A day trading trend may last for a few minutes or a few hours, and longer term trends may last for several weeks or months.

Gary

And how would you define that in Excel? It is too ambiguous a description.

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This is my definition of an uptrending day:

- The market opens near or at the low of the day.
- The market closes near or at the high of the day.
- The daily range is above average.
- Throughout the day there is absence of sellers.

The third condition needs to be explained. Profit taking may cause prices to retrace after a strong upmove, but if there are no sellers the move down cannot be sustained, but will be seen as an opportunity to buy. Buying usually takes place at the VWAP or above the VWAP. Therefore I would translate the third condition into

-> prices not being able to exceed the lower noise level after open
-> prices staying above the VWAP all day long after the initial balance

On a strong uptrending day, prices will mostly remain between the first and second upper standard deviation bands of the VWAP.

Vice-versa for downtrending days.

Example: March 13 for ES 06-12

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Example: March 20 for CL 05-12

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Six Ways to Identify a Trend Day in the Stock Market

Found on Traders Feed by Dr. Brett Steenbarger:

"Recognizing a trend day while it is in progress can lead to a number of home run trades, not least of
which is simply selling the market and staying short through the day. Here are a few ways of
recognizing a downside trend day in the making, drawing upon today's excellent example:

1) Cumulative NYSE TICK and Cumulative Market Delta start negative and go into a downtrend early
in the session;

2) Advance-Decline statistics are skewed from the open, with declining stocks swamping advancers by
2000 or more issues within the first hour of trading;

3) The market opens below its pivot level (average price from the previous trading session), never
trades above it, and hits S1 early into the trading session;

4) The market's leading weak sectors going into the day's trade (financial/banking stocks, in this case)
continue their weakness and lead the market downward;

5) Multi-bar bounces in the ES (and NYSE TICK) occur at successively lower price highs;

6) Significant buying (NYSE TICK, cumulative Delta, Dow TICK, advance-decline improvement) does
not enter the market after taking out S1 and S2.
"

Source: TraderFeed: Six Ways to Identify a Trend Day in the Stock Market

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I want to clarify...

I want to identify a trend day using hindsight, not in real time. This is for statistics gathering.

What is the simplest definition of a trend day, so it can be programmed into Excel?

It seems we cannot really agree so far on what a trend day is (without ambiguity).

Mike

Due to time constraints, please do not PM me if your question can be resolved or answered on the forum.

Need help?
1) Stop changing things. No new indicators, charts, or methods. Be consistent with what is in front of you first.
2) Start a journal and post to it daily with the trades you made to show your strengths and weaknesses.
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