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Anyone have data on trending versus reversal days on ES?
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Anyone have data on trending versus reversal days on ES?

  #1 (permalink)
Wilmington, NC
 
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Anyone have data on trending versus reversal days on ES?

Not trying to possibly duplicate a question, but I cannot seem to find this anywhere. I saw in the past (whether on this site or another) someone posted the number of trending days versus reversal days on ES. Can someone point me in the right direction?

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  #2 (permalink)
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  #3 (permalink)
Legendary Market Wizard
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techa View Post
Not trying to possibly duplicate a question, but I cannot seem to find this anywhere. I saw in the past (whether on this site or another) someone posted the number of trending days versus reversal days on ES. Can someone point me in the right direction?

I have a massive amount of data with respect to the ES but your question needs better definition. The metrics you might want to think about with respect to day types are the following, but please note my definition of a "trend day" might differ than another traders.

1. Trend Up Day - a gain of more than 1% on a closing basis.

2. Trend Down Day - a loss of more than 1% on a closing basis.

3. Lower High and Lower Low Day - self explanatory (some traders consider this a trend day even if the move is below 1%)

4. Higher High and Higher Low Day - self explanatory (some traders consider this a trend day even if the move is below 1%)

5. Inside Day - high and low both within the prior day. Contracting and building energy for next move.

6. Outside Day - high and low are both wider than the prior day. Expelling energy.

7. Reversal days often occur on an outside day so see number 6.

So if the market trends only X percentage of the time and reverses only X percentage of the time, how will you use that information or is this question just to start data mining?

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  #4 (permalink)
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JonnyBoy View Post
I have a massive amount of data with respect to the ES but your question needs better definition. The metrics you might want to think about with respect to day types are the following, but please note my definition of a "trend day" might differ than another traders.

1. Trend Up Day - a gain of more than 1% on a closing basis.

2. Trend Down Day - a loss of more than 1% on a closing basis.

3. Lower High and Lower Low Day - self explanatory (some traders consider this a trend day even if the move is below 1%)

4. Higher High and Higher Low Day - self explanatory (some traders consider this a trend day even if the move is below 1%)

5. Inside Day - high and low both within the prior day. Contracting and building energy for next move.

6. Outside Day - high and low are both wider than the prior day. Expelling energy.

7. Reversal days often occur on an outside day so see number 6.

So if the market trends only X percentage of the time and reverses only X percentage of the time, how will you use that information or is this question just to start data mining?

I guess I do need to explain more. This is my thought process. There are some days (like today for example 12/2/19) where I see it trend in a direction that would rarely stop out even a 10-12 tick stop loss if you buy right at open and never retreats back to that stop loss level the whole day. Other days I see a morning open that goes in one direction only to hit support or resistance and then completely reverses so that even if you had a several point S/L you would be taken out. I am more interested in the first case senerio data as to how often that averages to happen on the ES.

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  #5 (permalink)
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techa View Post
I guess I do need to explain more. This is my thought process. There are some days (like today for example 12/2/19) where I see it trend in a direction that would rarely stop out even a 10-12 tick stop loss if you buy right at open and never retreats back to that stop loss level the whole day. Other days I see a morning open that goes in one direction only to hit support or resistance and then completely reverses so that even if you had a several point S/L you would be taken out. I am more interested in the first case senerio data as to how often that averages to happen on the ES.

It just isn't as simple as that I'm afraid.

Open Drive:
If the market opens above or below prior day’s range or value area then an Open Drive is dominated by responsive buying or selling back to prior accepted value. If the market moves away from the prior day’s range, then the open is dominated by initiative buying or selling. You want to detect this early and not trade against it. OTF is highly active and is accumulating/distributing aggressively

Open Test Drive:
Market opens, moves a short distance in one direction and then another trying to advertise for one side or the other to step in. This will usually test a prior key area and then push once it has gained conviction that nobody is left to oppose it. OTF waited for a test and has stepped in to execute in a fixed direction

Open Rejection Reverse:
Market attempts to continue in a prior direction and is met with fierce opposition and off to the races it goes. This is like an open drive, but it has gone to an area that did not meet with acceptance. OTF has found an area of conviction to participant in the opposite direction.

A key reversal in an uptrend is when prices hit a new high and then close near the previous day's lows. In a downtrend, prices hit a new low, but close near the previous day's highs.

A "normal" reversal would be somewhere in between. The market just might be taking profit or digesting some news etc.

The ES spends a very small amount of its time trending. The key is to look at the prior day to give you some clues. A gap up open for example might indicate a trend up day.

Today was a trend down day IMO, not quite the 1% but close. So for tomorrow, there is a 75% chance of a lower high and lower low. Next probability is an inside day.

That is the kind of information you need to start data mining if you want to try and gain insight into what the market might do next.

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  #6 (permalink)
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JonnyBoy View Post
It just isn't as simple as that I'm afraid.

Open Drive:
If the market opens above or below prior day’s range or value area then an Open Drive is dominated by responsive buying or selling back to prior accepted value. If the market moves away from the prior day’s range, then the open is dominated by initiative buying or selling. You want to detect this early and not trade against it. OTF is highly active and is accumulating/distributing aggressively

Open Test Drive:
Market opens, moves a short distance in one direction and then another trying to advertise for one side or the other to step in. This will usually test a prior key area and then push once it has gained conviction that nobody is left to oppose it. OTF waited for a test and has stepped in to execute in a fixed direction

Open Rejection Reverse:
Market attempts to continue in a prior direction and is met with fierce opposition and off to the races it goes. This is like an open drive, but it has gone to an area that did not meet with acceptance. OTF has found an area of conviction to participant in the opposite direction.

A key reversal in an uptrend is when prices hit a new high and then close near the previous day's lows. In a downtrend, prices hit a new low, but close near the previous day's highs.

A "normal" reversal would be somewhere in between. The market just might be taking profit or digesting some news etc.

The ES spends a very small amount of its time trending. The key is to look at the prior day to give you some clues. A gap up open for example might indicate a trend up day.

Today was a trend down day IMO, not quite the 1% but close. So for tomorrow, there is a 75% chance of a lower high and lower low. Next probability is an inside day.

That is the kind of information you need to start data mining if you want to try and gain insight into what the market might do next.

Wow! That's a lot to digest. I'll copy and paste it into my journal so I can let this be a good starting reference point. Thank you for the info!

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  #7 (permalink)
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There was a thread here initiated by Big Mike with a question to the forum to crunch the data.
Here it is:

https://futures.io/elite-circle/20164-master-homework-statistics-thread.html

You will find there what you are looking for.

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  #8 (permalink)
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Jaap8242 View Post
There was a thread here initiated by Big Mike with a question to the forum to crunch the data.
Here it is:

https://futures.io/elite-circle/20164-master-homework-statistics-thread.html

You will find there what you are looking for.

Thank you! Very interesting info that I will slowly unpack and add to my study list

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  #9 (permalink)
Legendary Market Wizard
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Knowing some of these stats and doing research are very important IMO. They allow you to frame the market's activity into a context.

Something to think about though: what is your real goal here? Is it to try to predict the day, or to gain a probabilistic advantage in order to execute an edge?

While stats are good to know, I'm personally not a proponent of "hypos" for the day or of laying out scenarios -- this is for me personally, not what I'm recommending anyone else do. The reason is that there is a tendency that most people (me included most of all!) have, which is to associate being right, or knowing what will happen, with success. It's critical to understand that the success of your trade has nothing to do with your ability to be right, or to know what will happen, because the outcome is not effected by you, only by other people.

It's too easy for me to become attached to a statistic based on the past, and then ignore activity that's occurring in the present, particularly if the sentiment shifts unexpectedly during the day. Each day in the market is unique, and the key is really about executing a particular advantage. If the stat purely serves as part of your edge and you can differentiate between taking a trade based on that as an edge (and truly detach from the outcome) and trying to know the type of day (which you can't), then the stats are really part of your trading edge and a great thing.

Much more critical than stats IMO is the ability to be open about the type of day you see unfolding in the present. JohnnyBoy has mentioned open types which have been identified over the decades by MP-practitioners and are one of my primary tools in identifying as objectively as possible the type of participants present, and what they are doing. Ignore these at your peril! Best to you--

Cheers

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