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ES intraday volatility recently
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Created: by skiguy Attachments:1

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ES intraday volatility recently

  #1 (permalink)
Trading Apprentice
sydney + nsw australia
 
Futures Experience: Intermediate
Platform: NT, CQG, IB
Broker/Data: IB, CQG
Favorite Futures: Emini ES
 
Posts: 16 since Jul 2013
Thanks: 8 given, 6 received

ES intraday volatility recently

background

I do not live in the US so I am not fully aware of when intraday volatility may be impacted by US Summer holidays.

I have a robust rule based setup for trading the ES based on 1 min charts. It flags potential quick moves and uses small profit targets.

Problem statement

Last week the results dropped dramatically. I have many weeks of results in my database of results to compare to.

Setups triggered but much less than normal follow thru resulting in profit take target not being hit as often, consolidation etc.

Could I have foreseen that outcome?

In a nutshell I have alarms that are triggered then I place the trades based on subsequent price being met.

I went back at looked at daily volume/range etc and there was no clear tipoff.

Could it be that the Olympics are on? I doubt it but I am lost to find a better answer ATM.

The intraday moves seem to be "compressed" ATM and I have no idea why. The reality is they have suddenly become much smaller with less follow thru on and after 8/8.

Please suggest some answers/areas I need to look into


Last edited by skiguy; August 16th, 2016 at 03:08 AM.
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  #2 (permalink)
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  #3 (permalink)
Market Wizard
Germany
 
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skiguy View Post

Could I have foreseen that outcome?

If you regularly take a look at the VIX futures which measure the implicit volatility of S&P 500 options,
this will not happen to you again. As you can see, the VIX index (composite of the VIX futures) has
just dropped to long-term lows. OTF traders stay away at these levels since there is absolutely no
reason for trades unless unexpected news hit the market. For scalpers it means that the average
daily noise (ADN) drops to levels with only a very small margin for correcting mistakes. (Noise traders
like scalpers implicitly rely on the ADN because it represents the chances of realizing a noise trade
of magnitude x; ADN is ~3p at the moment for the ES).

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  #4 (permalink)
Trading Apprentice
sydney + nsw australia
 
Futures Experience: Intermediate
Platform: NT, CQG, IB
Broker/Data: IB, CQG
Favorite Futures: Emini ES
 
Posts: 16 since Jul 2013
Thanks: 8 given, 6 received

ADN


choke35 View Post
If you regularly take a look at the VIX futures which measure the implicit volatility of S&P 500 options,
this will not happen to you again. As you can see, the VIX index (composite of the VIX futures) has
just dropped to long-term lows. OTF traders stay away at these levels since there is absolutely no
reason for trades unless unexpected news hit the market. For scalpers it means that the average
daily noise (ADN) drops to levels with only a very small margin for correcting mistakes. (Noise traders
like scalpers implicitly rely on the ADN because it represents the chances of realizing a noise trade
of magnitude x; ADN is ~3p at the moment for the ES).

Thanks for the response.

I tried to find the calculation for ADN but could only find 1 reference to it. It may not be the one you are referring to. Do you have the calculation that you use? Do you take an average over how many days?

Does anyone else have the calc for ADN?

This is the only reference I could find:

Calculate Daily Noise which is smallest of the below 2 calculations:
1. Abs(Prev Day pit session Hi - Previous Day open)
2. Abs(Prev Day pit session Lo- Previous Day open)

Calculate the average over n days of Daily noise as input by the trader. The is the AVerage Daily Noise(ADN)

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  #5 (permalink)
Market Wizard
Germany
 
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Platform: Other
Favorite Futures: ES, YM, 6E
 
Posts: 2,469 since Feb 2013
Thanks: 4,352 given, 6,026 received
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skiguy View Post
Thanks for the response.

I tried to find the calculation for ADN but could only find 1 reference to it. It may not be the one you are referring to. Do you have the calculation that you use? Do you take an average over how many days?

Does anyone else have the calc for ADN?

This is the only reference I could find:

Calculate Daily Noise which is smallest of the below 2 calculations:
1. Abs(Prev Day pit session Hi - Previous Day open)
2. Abs(Prev Day pit session Lo- Previous Day open)

Calculate the average over n days of Daily noise as input by the trader. The is the AVerage Daily Noise(ADN)

This is correct. The ADN describes the so-called average failed moves. Since the end of the pits, the
generalized ETH formula is more common: The failed move is the smaller of (High - Open) and (Open-Low).
In FIO Elite threads, many of us use ADN10 and ADN20. Downloads are available for platforms like NT
which also plot noise bands, i.e. the average failed moves added to or subtracted from the regular open.

A NT version comes e.g. with https://futures.io/download/ninjatrader-7/indicators/371-download.html?view .

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  #6 (permalink)
Trading Apprentice
sydney + nsw australia
 
Futures Experience: Intermediate
Platform: NT, CQG, IB
Broker/Data: IB, CQG
Favorite Futures: Emini ES
 
Posts: 16 since Jul 2013
Thanks: 8 given, 6 received

ADN10 and ADN20

re "many of us use ADN10 and ADN20".

are they moving average periods i.e. 10 and 20 MAs?

We coded the basic 1 period ADN for CQG once the logic was confirmed.


Last edited by skiguy; August 18th, 2016 at 12:56 AM.
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  #7 (permalink)
Market Wizard
Germany
 
Futures Experience: Intermediate
Platform: Other
Favorite Futures: ES, YM, 6E
 
Posts: 2,469 since Feb 2013
Thanks: 4,352 given, 6,026 received
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skiguy View Post
re "many of us use ADN10 and ADN20".

are they moving average periods i.e. 10 and 20 MAs?

We coded the basic 1 period ADN for CQG once the logic was confirmed.

Yes, the numbers define the (variable) MA periods. 10 and 20 are fairly common,
but as always it's a matter of taste and/or trading time/volume frame.

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  #8 (permalink)
Trading Apprentice
sydney + nsw australia
 
Futures Experience: Intermediate
Platform: NT, CQG, IB
Broker/Data: IB, CQG
Favorite Futures: Emini ES
 
Posts: 16 since Jul 2013
Thanks: 8 given, 6 received


choke35 View Post
Yes, the numbers define the (variable) MA periods. 10 and 20 are fairly common,
but as always it's a matter of taste and/or trading time/volume frame.

Thanks for that. Updated my CQG version for that and will study.

Re Vix

For other people reading this thread I thought I would add some feedback. I do monitor Vix. I drilled down further. Taking the close of Vix each day and put that rounded value against each of the next trading days for the period 20th July to 16th Aug. I did not see any pattern or tip off. 1 day was 14, 1 day was 11 and rest were 12/13.


Last edited by skiguy; August 19th, 2016 at 01:07 AM.
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  #9 (permalink)
Market Wizard
Germany
 
Futures Experience: Intermediate
Platform: Other
Favorite Futures: ES, YM, 6E
 
Posts: 2,469 since Feb 2013
Thanks: 4,352 given, 6,026 received
Forum Reputation: Legendary

At VIX:

Do you trade EOD? VIX and its futures are data series of their own.
So what is the logics behind singling out a handful of values?

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  #10 (permalink)
Trading Apprentice
sydney + nsw australia
 
Futures Experience: Intermediate
Platform: NT, CQG, IB
Broker/Data: IB, CQG
Favorite Futures: Emini ES
 
Posts: 16 since Jul 2013
Thanks: 8 given, 6 received



choke35 View Post
At VIX:

Do you trade EOD? VIX and its futures are data series of their own.
So what is the logics behind singling out a handful of values?

Intraday.

yes I completely get that.

I did not single out a handful of values if you read my message and the original post.

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