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cunparis journal, thoughts, and more
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cunparis journal, thoughts, and more

  #651 (permalink)
Trade with the flow
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Still catching the big ones..

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  #652 (permalink)
Trade with the flow
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aviat72 View Post
Thank you for correcting me. I was mistaken.

COT requires some accumulation of activity (ticks) before it triggers.
TickSpeed detects the potential start of that accumulation.

They complement each other. The TickSpeed sound alerts me; COT confirms it.

I've observed your tickspeed alongside my POT. You claimed the POT lagged, I have found that my POT will trigger at the same time. I use POT on a 50 or 100 tick chart for ES, depending on the day's activity. It signals faster that way.

Try that and see if you like POT better.

PS: Put POT on 50 tick and tickspeed on whatever you were using, 700 tick. I didn't mean to put both on the same chart.

 
  #653 (permalink)
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Here's an example:

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  #654 (permalink)
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cunparis View Post
I've observed your tickspeed alongside my POT. You claimed the POT lagged, I have found that my POT will trigger at the same time. I use POT on a 50 or 100 tick chart for ES, depending on the day's activity. It signals faster that way.

Try that and see if you like POT better.

PS: Put POT on 50 tick and tickspeed on whatever you were using, 700 tick. I didn't mean to put both on the same chart.

I think same time is relative to the time-frame. If you are putting POT on a very fast chart then the calculations will happen much more often and the lag will be very small.

There is a subtle design difference: POT detects accumulation of ticks over a period of time. TickSpeed detects the first bar which has high tick speed. So on the same tick bar size, assuming the threshold for POT is greater than the bar-size, POT will require at least two bars to trigger. TickSpeed will catch the first bar where the ticks start flying. The difference of course is a matter of seconds in a fast market and for a screen trader it is not much of a difference.

I use tick-speed as heads-up. Often it will trigger on a single bar and that will be it with no trade you can take out of it.

 
  #655 (permalink)
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aviat72 View Post
I think same time is relative to the time-frame. If you are putting POT on a very fast chart then the calculations will happen much more often and the lag will be very small.

There is a subtle design difference: POT detects accumulation of ticks over a period of time. TickSpeed detects the first bar which has high tick speed. So on the same tick bar size, assuming the threshold for POT is greater than the bar-size, POT will require at least two bars to trigger. TickSpeed will catch the first bar where the ticks start flying. The difference of course is a matter of seconds in a fast market and for a screen trader it is not much of a difference.

I use tick-speed as heads-up. Often it will trigger on a single bar and that will be it with no trade you can take out of it.

I've found that POT will often trigger 1-5 minutes before the eventual turn. So there is plenty of time to plan out the trade and get a good entry. Often times, as in the example I posted earlier, there will be a retest which is the perfect entry. Again, POT will lag on a 700 tick chart but using your example on a 50 tick chart it'll take several 50 tick bars to signal and that could happen before the tickspeed signal.

I'm not saying one is better than the other, I think they're pretty similar. and if they both signal then it's even better. It's a very interesting idea and I like how you came up with it, thinking outside the box. That's the way to get an edge. Everyone has access to the same data, but thinking outside the box and processing it in different ways often gives an edge.

 
  #656 (permalink)
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Another volume based indicator. This plots the average tick-size of the buy versus sell (zero-centered), and also the average tick-size combined (line). Help me fade and stay in the trade the 1069 level in the European session (5 to 7 in the chart). Notice how the price was not budging even there was buy side tick size were leading; however large lot participation was absent. (first panel) I took the short twice. Both times on the way down the sell-side size was high and kept me in the trade for 8+ ticks.


BTW I find the overnight session much easier to trade. Less churn & spikes, and it is much easier to stay in the trade for a long time. Often the areas of support and resistance get well-defined and with a simple volume profile it is relatively easy to play the rotations, especially if you have DAX and a few currency charts also open with the ES.

In the trade aboves there was heavy support at the DOM and at the price-level so it was a safe trade to take. Further overnight prices move slowly allowing you a few seconds to look at other indicators to determine whether you want to scratch the trade. Much better setting for the screen trader.

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  #657 (permalink)
Trade with the flow
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Posts: 2,563 since Jun 2009
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aviat72 View Post
Another volume based indicator. This plots the average tick-size of the buy versus sell (zero-centered), and also the average tick-size combined (line). Help me fade and stay in the trade the 1069 level in the European session (5 to 7 in the chart). Notice how the price was not budging even there was buy side tick size were leading; however large lot participation was absent. (first panel) I took the short twice. Both times on the way down the sell-side size was high and kept me in the trade for 8+ ticks.


BTW I find the overnight session much easier to trade. Less churn & spikes, and it is much easier to stay in the trade for a long time. Often the areas of support and resistance get well-defined and with a simple volume profile it is relatively easy to play the rotations, especially if you have DAX and a few currency charts also open with the ES.

In the trade aboves there was heavy support at the DOM and at the price-level so it was a safe trade to take. Further overnight prices move slowly allowing you a few seconds to look at other indicators to determine whether you want to scratch the trade. Much better setting for the screen trader.

I am very interested in your observation that ES is easier in overnight. I see you're in San Fran. By overnight what times are you talking about?

I trade ES & Euro Stoxx in the european morning (3-6 ny time which is 9-noon european time). I had a friend tell me he thought ES was easier during this time than during US RTH. So you're the second person to say this.

I'm interested because I've been trading Stoxx as a proxy for ES during the european morning. I mainly do this because volume is heavier in stoxx and I find my volume analysis works better. Also Stoxx is more volatile so when scalping for ticks it's easier with stoxx.

However I'm not totally sure about all that. Lately I've been watching both and taking whatever setup looks best. But I'm considering trading just ES that way I can focus everything on one market.

Here's two I took today. First Stoxx which didn't cooperate very well and then ES looked good. Stoxx is more volatile which is good if you're on the right side, bad if not.

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  #658 (permalink)
Trade with the flow
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Done today. +7.75 pts on ES. 12 ticks on crude and 8 ticks on FESX. No losers.

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  #659 (permalink)
Trade with the flow
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Here is a breakdown between swing trading & day trading for this month:

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My goal has been for daytrading to contribute to my monthly P/L. This is just a few weeks but I think I'm on the right track.

Soon I will increase my unit from 1 contract to 2.

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  #660 (permalink)
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cunparis:

I meant ES during your real-time trading hours. The times on the charts are EST. ES can be very choppy during the day. However during the night it trends at least for 4-8 ticks. Also at night most of the activity are big players defending support/resistance levels, at least till other markets open. Unless there is major movement, ES will likely remain range bound which creates great fade the extreme trades.

Look at the Volume ladder from last night. 1060 traded a 1000+ contracts and the DOM was heavy below that. Someone was providing support. Similarly the 1069 area was being defended. I throw in the DAX and the risk currencies in the mix and it was very easy to see the trades; and required less attention.

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