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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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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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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)
The following 2 users say Thank You to skiguy for this post:
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.
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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