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THREE SET UPS
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THREE SET UPS

  #821 (permalink)
Market Wizard
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shodson View Post
Impressed with cunparis' results, I thought I'd go through his journal some more. I started going back to his thread on volume. I've been using BetterVolume for a while now, or at least observing it, but never really put it to use for anything useful yet.

After reading through the thread some and Barry's site again about the descriptions, I decided to see if there was any correlation to IBs and volume bar type. I know the BetterVolume on Ninja is not as good as the one on TS because of the lack historical data on volume hitting the bid vs ask, but I did notice a couple things which I will backtest: IBs seem to work best on volume bars that are not volume climaxes, churns nor low volume bars.

If you think about it this makes sense. If the market is not climaxing an IB is more likely a real pause/equllibrium and the market is waiting to make it's next move. Again, needs more backtesting, but I just found this eyeballing the CL-09 and 6E-09 tonight.

HVC IBs also look promising as they often signal a reversal. We'll see. Churns are still very active and could cause outside bars, killing IB profitability, but seem more prone to successful recovery if you implement a stop and reverse.

Interestingly, low volume bars don't seem that great either. Again, thinking about it, a low volume bar is not so much a time out, rather, game over. Trading has nearly come to a stop. It may take it a while to start it up again. That reboot process can cause price to wiggle around above and below your IB before establishing the next direction. Again, hard to say without testing, but that's my thinking as to why those might not work as well either.

PS - the shVolume indicator is a specialized version of BetterVolume2, with some other goodies added.

the way I trade that setup requires also to look at the volume before the trigger bar (ib).

if you have a decent move down, a spike in volume might indicate that buyers are stepping in and the bears could have a harder time to push the market further down. that is the first sign of the setup. then the trigger bar is the second sign.

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  #822 (permalink)
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shodson View Post
Impressed with cunparis' results, I thought I'd go through his journal some more. I started going back to his thread on volume. I've been using BetterVolume for a while now, or at least observing it, but never really put it to use for anything useful yet.

After reading through the thread some and Barry's site again about the descriptions, I decided to see if there was any correlation to IBs and volume bar type. I know the BetterVolume on Ninja is not as good as the one on TS because of the lack historical data on volume hitting the bid vs ask, but I did notice a couple things which I will backtest: IBs seem to work best on volume bars that are not volume climaxes, churns nor low volume bars.

If you think about it this makes sense. If the market is not climaxing an IB is more likely a real pause/equllibrium and the market is waiting to make it's next move. Again, needs more backtesting, but I just found this eyeballing the CL-09 and 6E-09 tonight.

HVC IBs also look promising as they often signal a reversal. We'll see. Churns are still very active and could cause outside bars, killing IB profitability, but seem more prone to successful recovery if you implement a stop and reverse.

Interestingly, low volume bars don't seem that great either. Again, thinking about it, a low volume bar is not so much a time out, rather, game over. Trading has nearly come to a stop. It may take it a while to start it up again. That reboot process can cause price to wiggle around above and below your IB before establishing the next direction. Again, hard to say without testing, but that's my thinking as to why those might not work as well either.

PS - the shVolume indicator is a specialized version of BetterVolume2, with some other goodies added.


Excellent work Shodson !!

I am just hoping that you will make some "time of day" observations in your analysis.

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  #823 (permalink)
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shVloume


Hey Shodson,

I wanted to take alook at your shVolume indicator but.........I searched both the regular downloads and the elite downloads and come up with nothing.

Could you direct me the this indicators location?

Thanks, Jeff

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  #824 (permalink)
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Jeff Castille View Post
Hey Shodson,

I wanted to take alook at your shVolume indicator but.........I searched both the regular downloads and the elite downloads and come up with nothing.

Could you direct me the this indicators location?

Thanks, Jeff

I haven't posted it anywhere.

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  #825 (permalink)
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DISCRETION
Just wanted to say a word about using discretion when trading............

Take a look at the CL open this morning.........after the 5:30 am pst news we got an inside bar which would normally be a great set up.........however you should NOT have taken this trade long as S1 and yesterdays low were right there in your face. As the market opened it jerked up exactly to S1......to the tick and proceeded to break the inside bar to the downside (becoming an outside bar) to retest the recent low.

So, be aware of taking trades right at support and resistance. Inside bars are great but you still have to use discretion.

Jeff.... thanks for this exelent thread.
What open and close time do you use for prior day OHLC indicator for your 15 min. CL chart?
Thanks,
Pip.

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  #826 (permalink)
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pip29 View Post
DISCRETION
Just wanted to say a word about using discretion when trading............

Take a look at the CL open this morning.........after the 5:30 am pst news we got an inside bar which would normally be a great set up.........however you should NOT have taken this trade long as S1 and yesterdays low were right there in your face. As the market opened it jerked up exactly to S1......to the tick and proceeded to break the inside bar to the downside (becoming an outside bar) to retest the recent low.

So, be aware of taking trades right at support and resistance. Inside bars are great but you still have to use discretion.

Jeff.... thanks for this exelent thread.
What open and close time do you use for prior day OHLC indicator for your 15 min. CL chart?
Thanks,
Pip.

I can only repeat this. Inside bars are good setups, because the volatility is low, but first you need to filter the breakouts by establishing a preferred breakout direction. In analyzing the inside bar you mentioned (I think you are talking about the 15 min bar prior to the open), I fully agree with you.

(1) It was a breakout pullback to yesterday's low, it occured just below the floor pivot S1, at the 38.2% fib retracement measured from the current day's high and low, and also was a pullback to the current day's volume weighted average price and to the EMA(20) of the 5 min chart, sort of quintuple cross-resistance.

(2) The day had already developped a clearly bearish note, and all trend indicators would have filtered away any bullish positions.

Would have been madness to take a long position there.

Your question: For the prior day OHLC, I would use the values published on the CME group website. I use the settlement price for the close (see link and file attached).

Light Sweet Crude Oil

If you use the (free) EOD data from Kinetick, it comes with the correct values, so you just need an indicator that catches the daily bars and prints the values on your chart. You can connect to Kinetick for daily data first, and to your usual data provider for intraday data second. NT will then take daily data from Kinetick and intraday data from what else you've got.

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THREE SET UPS-www.cmegroup.com.com.pdf  
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  #827 (permalink)
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pip29 View Post
What open and close time do you use for prior day OHLC indicator for your 15 min. CL chart?
Thanks,
Pip.

We use the values from MyPivots.com and enter the values manually. There is no Ninja pivot indicator that will work reliably in NT6.5. You need the settlement price (close) and this only comes with daily bars.
NYMEX Light Sweet Crude Oil September 2010 is the link for CL.

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  #828 (permalink)
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vast View Post
We use the values from MyPivots.com and enter the values manually. There is no Ninja pivot indicator that will work reliably in NT6.5. You need the settlement price (close) and this only comes with daily bars.
NYMEX Light Sweet Crude Oil September 2010 is the link for CL.


Checked the values, they are correct. You can display the correct pivots both in NT 6.5 and NT 7.0 by using indicators without entering them. Only thing required: A datafeed that delivers the correct values for the daily data and an indicator that uses them correctly.

For NT 7.0 this data feed comes free of charge (Kinetick EOD).

Below CL chart with indicators -> same values as from MyPivots.com.

Attached Thumbnails
THREE SET UPS-cl-09-10-15-min-06_08_2010.jpg  
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  #829 (permalink)
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shodson View Post
Interestingly, low volume bars don't seem that great either.

Looks like my hypothesis may be wrong. These have a profit factor > 4.0 though they don't fire very frequently during RTH on CL and this is a small sample size. See the full results in the attachment.

Also, it's interesting that climax down bars performed so much better than climax up bars, though most of the profit was on CL-06. It is often said things move down 4x faster than they go up, so maybe that has something to do with it. Or it's just a statistical anomaly.

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Register to download File Type: xlsx IB-vol.xlsx (26.0 KB, 15 views)
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  #830 (permalink)
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shodson View Post
Looks like my hypothesis may be wrong. These have a profit factor > 4.0 though they don't fire very frequently during RTH on CL and this is a small sample size. See the full results in the attachment.

Also, it's interesting that climax down bars performed so much better than climax up bars, though most of the profit was on CL-06. It is often said things move down 4x faster than they go up, so maybe that has something to do with it. Or it's just a statistical anomaly.

Re-testing with different date ranges because I think I was missing too many of the good volume days close to contract rollover. Wishing Ninja had continuous contracts. So, for example, For CL-06 I tested 4/17 to 5/15 because it was the weekend that was a full week before the 25th, but I think I want to trade a few more days in April and in May before rollover, say, up to the 20th or so.

Instead if I use 20th to the 19th of the next month, or whatever Mon/Fri is close that if it falls on a weekend, I am getting better results across the board.

So how do you guys recommend I treat rollover when testing multiple contract periods? Other than looking at the volumes of both contracts around rollover period, which will take a while, what would you recommend for picking dates to backtest contracts, particularly on CL

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