Pull ya DAX up!

[barney]

So this is the hilarity that was last night, shameful to look at after it's all happened,
I tend to want to chase the market so I get filled, when I should probably leave my original order in and let it get hit, but it's hard to tell sometimes with the Dax

Thats a lot less painful than what I thought you were going to present Sam

Last time I seriously traded the Dax I chased a reversal all night and got caught napping with a margin call and blew most of a decent sized CFD account in no time flat! At least you had the discipline to cut the trades before it got out of hand.

Without giving away any specific methods etc ..... Interested on how you implement standard deviation concepts into usable trading methods. Do you use longer SD time frames superimposed over shorter time frames to get a wider picture of where you expect price to head before looking for levels or basically use it for intraday/range/reversion to the mean ideas? Cheers.

PS was typing while you were posting above ..... Plenty of ticks!! Nice work!

 

[ThingyMajiggy]

Thats a lot less painful than what I thought you were going to present Sam

Last time I seriously traded the Dax I chased a reversal all night and got caught napping with a margin call and blew most of a decent sized CFD account in no time flat! At least you had the discipline to cut the trades before it got out of hand.

Without giving away any specific methods etc ..... Interested on how you implement standard deviation concepts into usable trading methods. Do you use longer SD time frames superimposed over shorter time frames to get a wider picture of where you expect price to head before looking for levels or basically use it for intraday/range/reversion to the mean ideas? Cheers.

PS was typing while you were posting above ..... Plenty of ticks!! Nice work!

Yeah it just looked funny when I actually stopped and looked at my entries/exits on the chart, what a mess was thinking bugger, made a meal out of that!

Yeah unfortunately that sort of thing can happen pretty fast on the Dax, if you're wrong you gotta cut it straight away with the way this thing can pop and jump around.

Yeah that's kind of the idea, I calculate the standard deviation of the ranges on a higher time frame(daily, weekly etc.) and then my indicator draws that automatically on the open from the first bar. To be honest I don't tend to take trades based around those levels if I can, I've done that before, taking them as defined solid areas and only looking to trade around those(or any lines/levels) can be dangerous as the lead up to those lines could be filled with weakness in the book and we could be about to blow straight through.

I mainly keep an eye on order flow and just have a feel for the Dax after all this time, you can tell after watching it a lot when it's going to pop here or go to that level first before doing anything else, how long it's taking to do something vs how far it's gone, lots of clues. The idea of taking a trade around my lines only makes sense when everything else agrees or at least try and get a decent entry, like a spike or pop below an area then it springs back up before the candle closes and does respect the line/area you were watching but you get good entries that enable you to relax a little and give it some room to move.

Also having the prior day OHLC on the chart is just as good as anything else and keeping the weekly play in mind(where's the weekly high/low etc).

 

[barney]

Y
Yeah that's kind of the idea, I calculate the standard deviation of the ranges on a higher time frame(daily, weekly etc.) and then my indicator draws that automatically on the open from the first bar.
To be honest I don't tend to take trades based around those levels if I can, I've done that before, taking them as defined solid areas and only looking to trade around those(or any lines/levels) can be dangerous as the lead up to those lines could be filled with weakness in the book and we could be about to blow straight through. I mainly keep an eye on order flow and just have a feel for the Dax after all this time.

Thanks Sam ... makes sense.
Only limited assessment of SD's from my part but after a short look was unable to make anything concrete trading wise from it on its own.
I like the reversion type stuff where a % directional move is followed by a retracement of either 50% or 75% of the initial move near recent tops/bottoms. I assume using SD's coupled with short term price action could be similar on days where the ducks align .... gotta watch those ducks though lol ...

 

[ThingyMajiggy]

Thanks Sam ... makes sense.
Only limited assessment of SD's from my part but after a short look was unable to make anything concrete trading wise from it on its own.
I like the reversion type stuff where a % directional move is followed by a retracement of either 50% or 75% of the initial move near recent tops/bottoms. I assume using SD's coupled with short term price action could be similar on days where the ducks align .... gotta watch those ducks though lol ...

Haven't traded the last couple of nights, shifts at working are constantly changing and I'm starting even earlier now so don't get much time on the Dax if any as I have to go to bed, but that will probably change again when I get back from South America.

Yeah I'm not sure if there's much in the standard deviation thing or not, I was just experimenting and had the idea for a while, it's just like most things, some days it works wonders and the market seems to respect every area, others it blows straight through and they mean nothing, so that's why it's unwise to rigidly trade off those, but that's like most things I think.

I think I have a good feel for the Dax, know how it moves and have a reasonable idea of what it's going to do which is what most of my trades are based around. Whether "feel" and "I've seen this before so I'll trade it" is a legit trading "strategy/method" or not, who knows. I don't have any special notepad full of "plays", I just know them in my head and react when I see it. I guess if it works better than anything else I've tried then I guess it is.

 

[ThingyMajiggy]

Any of you guys got any decent historical intra-day data for the Dax? Say 1 minute? Or know where to get some? CQG wants 3k for it back to 2008, Eurex data shop is having "technical issues", but apparently they charge a fair bit too, thought I'd ask here first

 

[Trembling Hand]

Any of you guys got any decent historical intra-day data for the Dax? Say 1 minute? Or know where to get some? CQG wants 3k for it back to 2008, Eurex data shop is having "technical issues", but apparently they charge a fair bit too, thought I'd ask here first

What kinda format? Probably got a few years worth of 1 min and nearly the same in tick data but has a few holes in the tick data....

[EDIT] 5 years of min data about 2 and a bit of tick

 

[ThingyMajiggy]

What kinda format? Probably got a few years worth of 1 min and nearly the same in tick data but has a few holes in the tick data....

[EDIT] 5 years of min data about 2 and a bit of tick

Ahh any that I can open in excel will be fine, did you use it for stats?

 

[CanOz]

I have 10 years of continuous contract data in 1 minute intervals, you can open in notepad. you should be able to open in Excel, if not you may find a data converter online. Its too big to post here unless Joe can make an exception. Otherwise we can file share.

 

[ThingyMajiggy]

Ok cool, TH can you email me the min data?

I'm looking at trying to find out the average moves from the open, and trying to figure out how to notice the kind of day early on based on that, like if trend days have basically no pull back or just a pause etc. Vs a range day that retraces all of the inital move etc. Need more of an idea on how the day will play out. Any ideas? What did you guys do?

 

[Trembling Hand]

Any ideas? What did you guys do?

Spent the better part of all last year thinking about this and using Python trying to get a result from ML classifiers to help out. Trouble is from a ML point is that there is so few positive events. My first Algo had an accuracy of 94%. I was like but the problem was you can get 94% accurate by just saying everything is NOT a large rage day

Have had a few more ideas since and am starting to have another look at it cuz it would be a killer if you could code that. Still think that they aren't that hard to predict with just context.

The data I sent you I've re-sampled in Python to find the first 30 min data pre and post open was one of my first ideas...... first of many

Here is some stats from the DAX that are of some help....

 

[ThingyMajiggy]

Spent the better part of all last year thinking about this and using Python trying to get a result from ML classifiers to help out. Trouble is from a ML point is that there is so few positive events. My first Algo had an accuracy of 94%. I was like but the problem was you can get 94% accurate by just saying everything is NOT a large rage day

Have had a few more ideas since and am starting to have another look at it cuz it would be a killer if you could code that. Still think that they aren't that hard to predict with just context.

The data I sent you I've re-sampled in Python to find the first 30 min data pre and post open was one of my first ideas...... first of many

Here is some stats from the DAX that are of some help....

View attachment 69599

Awesome thanks for that! Been farting around all day with Python and trying to learn how to do what I want with it with pandas etc. Wanted to start with seeing what the average ranges were for the first hour pre-cash and then first hour post-cash open, but haven't really got it right yet, got the data spliced up for those time periods from the data but not sure how to do the rest, got about 500 tabs open in my browser It's hard to know what to look for, stuff like average pull-back when it's a "trend" day, volume difference between big days and small days in the opening hours, stuff that might actually be useful like what you've posted, but seems like I'd have to define/tell it what a "trend" day is etc.

Lot's more reading to do!

And also squeezed in some trading on sim tonight. Got short early on as it opened at last week's mid point and at/above the weeks high so far, so the short seemed the least risky way to go, plus a gap close play. Tried to grab a bit of the little bounce just now too but got stopped out a B/E, got back in but chickened out for a few ticks. Multiple entry arrows were from last night, still had 1 contract on that I exited when it opened so that's annoying, wish it was possible to delete trades out of NT otherwise it skews the stats. Anyway ignoring that:

+97 ticks, just the 3 trades, 1 winner, 1 scratch and one 2 tick winner.

Time for my brain to have a rest and bed time. Not sure where to from here, maybe we'll push lower and test yesterdays mid-point at 505, this is why I need more of an idea of how the day is going to play out, check out the forest instead of each individual tree, all that stuff, you know the drill

 

[ThingyMajiggy]

Not sure where to from here, maybe we'll push lower and test yesterdays mid-point at 505

Well cocked that one up lol, turned on a dime 11,528 and went back up to new highs for the day/week. I guess that bodes well for higher prices into Friday.

 

[Trembling Hand]

NT problems.... always when i was going to have a big day too.... I'm sure of it!!!

 

[ThingyMajiggy]

NT problems.... always when i was going to have a big day too.... I'm sure of it!!!

You've got NT problems tonight? You running 7 or 8 these days? Thought you were on CQG?

 

[Trembling Hand]

You've got NT problems tonight? You running 7 or 8 these days? Thought you were on CQG?

8 feed with CQG. But really gotta think about moving on. Its been a 10 year relationship but she just isn't doing it for me anymore.... Looking for greener pastures..

 

[CanOz]

Why not use nt8 for charting TH, then RapidPro for dom and execution?

 

[CanOz]

Why not use nt8 for charting TH, then RapidPro for dom and execution?

You can even use cqg for both for an extra $10 a month!

 

[Quant]

Might have to start trading DAX again as ive never seen US markets so dull for so long .. Fade of draghi was the play tonight , my counts look to catch the moves on dax well but tonights signal bar was near half the available range so not a stack in it . Will start watching it more and maybe participate here . XJO has been the best bang for buck recently in my small world ...

 

[Trembling Hand]

Why not use nt8 for charting TH, then RapidPro for dom and execution?

Yeah I have two log ins. Use NT for charting and like to use it for executions but have been looking for something else that offers the same sort of stats etc. Tried MultiCharts seems like same but different problems to NT. Have used CQG Trader etc. They are all a bit clunky too. Next will be back to TT and have a look at their newer stuff. But bugger me had hoped/wished NT8 was finally gonna be the last few improvements that they needed after using them for so long but still just same ****...

Whats RapidPro?

 

[Trembling Hand]

Might have to start trading DAX again as ive never seen US markets so dull for so long .. Fade of draghi was the play tonight , my counts look to catch the moves on dax well but tonights signal bar was near half the available range so not a stack in it . Will start watching it more and maybe participate here . XJO has been the best bang for buck recently in my small world ...

Gees the DAX is getting pretty tame now too. Mid last year 200 point daily range was just about the avg. Now its seems like its under 100 with the odd bigger day here and there. Where has all the volatility gone?

HSI? XINA50?