You'd better be careful if Kris is an academic, he'll ignore all your outlier days attributing them to experimental error
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The transition to Futures trading
- Thread starter pavilion103
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You'd better be careful if Kris is an academic, he'll ignore all your outlier days attributing them to experimental error
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tech/a
No Ordinary Duck
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You'd better be careful if Kris is an academic, he'll ignore all your outlier days attributing them to experimental error
I'm fortunate that Kris isn't the normal academic.
He doesn't have a set view.
Id rather have him in my toolbox.
Love his questions.
And he's in expensive--NOW!
Trembling Hand
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Tech I don't know what you are trying to say? Or are you just want to say something
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Tech I don't know what you are trying to say? Or are you just want to say something
Tech is after your Freemasons code to time and range TH ..... Don't trust him
:I already have it worked out ... see below.
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tech/a
No Ordinary Duck
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Tech I don't know what you are trying to say? Or are you just want to say something
I thought I was conversing --- opening conversation --- opening up points of discussion.
Stating views and ideas I though others would or could comment on.
It appears I haven't done this very well then??
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I think you are both stating that there are optimum times to trade break-outs and fake-outs. Break-outs work best in strongly bullish/bearish conditions (trends) which don't happen very often. Fake-outs work best in non- strongly trending markets which happen more often than not so that there are many more fake-out opportunities than traditional break-outs.
TH and Tech/a definitions of break-outs differ slightly in that TH refers to the classic break-out of a larger time frame or session H/L. Tech/a break-outs refer to a break of any H/L or a line on any time frame.
The difficult task for any trader is determining what the current market condition is and which trade opportunity has the best probability of working out. The complexity increases when you look at multiple time frames. Each time frame has it own set of market conditions. A trend can occur in one time frame indicating the break-outs will work well but on another time frame the trend has stalled and fake-outs work well. When we are sync with the market most of our trades work well. That is until the market condition of the time frame we are trading changes.
A quant will be able to measure and monitor the "age" of any trend. The only work of the age of trends I've read was by Victor Sperandeo (Trader Vic). Once you have these stats I assume the aim would be to trade the break-outs of a new trend and when the trend ages avoid break-outs and switch to fake-outs.
I agree that Frank Dilernia has mastered this concept as well as anyone and it's a pity that I have been unable to get to the same level of understanding.
TH and Tech/a definitions of break-outs differ slightly in that TH refers to the classic break-out of a larger time frame or session H/L. Tech/a break-outs refer to a break of any H/L or a line on any time frame.
The difficult task for any trader is determining what the current market condition is and which trade opportunity has the best probability of working out. The complexity increases when you look at multiple time frames. Each time frame has it own set of market conditions. A trend can occur in one time frame indicating the break-outs will work well but on another time frame the trend has stalled and fake-outs work well. When we are sync with the market most of our trades work well. That is until the market condition of the time frame we are trading changes.
A quant will be able to measure and monitor the "age" of any trend. The only work of the age of trends I've read was by Victor Sperandeo (Trader Vic). Once you have these stats I assume the aim would be to trade the break-outs of a new trend and when the trend ages avoid break-outs and switch to fake-outs.
I agree that Frank Dilernia has mastered this concept as well as anyone and it's a pity that I have been unable to get to the same level of understanding.
Ok, a starter fro 10 - "There are many stats Id love to know--this being one. How long a trend stays in motion once its moves X in Ticks and/or in Time Y is another."
In computing terms this is tough logic.
Programatically [sp] ,how would you define the start / end of a trend ?
I have logic that identifies pivots, at any bar number granularity you care to choose, but making sense of these from a trend perspective has defeated me - for now anyway.
Higher highs, lower lows etc is fine, but everything is fractal and .... oh my head hurts.
I
CanOz
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You could just find out how big the average swings are in your instrument of choice, how large the average daily ranges are etc.., This is easy if you have the right tools, you just need a zig zag indicator in NT, then export the data in a study.
I wish, but I think there is a bit more to it than that.
for example:
What % would you use ?
What if the key pivots lie on different % thresholds.
Where does the trend start ?
Where does it end, we all know it's not on the break of the trend line [well depends on you terminology I guess] , but maybe on the retest of the previous extreme - but then most reversal's fail and the trend will continue ..........
What the brain can determine in seconds is not always easily definable in binary logic.
CanOz
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Tech,
There are allot of questions that i have about my fav products as well, like how long is the typical open range, how large is that range usually, how far does it break when it breaks out, how large are the average swings in the contract, before the US open and after, on and on.....If one is good at excel, I'm sure your son would be able to qualify with it and some of the other statistical apps...then you can export all kinds of data from NinjaTrader into apps to sort it. You don't need to backtest years and years of data...I've already done some on the DAX, SPI etc...
This is not new, most of the prop guys have this info given to them and several well known traders openly share their information. FT71 for example has allot of info. These guys know their products very well. TH has done some stat analysis on his markets as well. You can buy this information as well, if you don't want to do it yourself.
Yet i have still been told that its all based on past data so it bears no relevance on the present...
There are allot of questions that i have about my fav products as well, like how long is the typical open range, how large is that range usually, how far does it break when it breaks out, how large are the average swings in the contract, before the US open and after, on and on.....If one is good at excel, I'm sure your son would be able to qualify with it and some of the other statistical apps...then you can export all kinds of data from NinjaTrader into apps to sort it. You don't need to backtest years and years of data...I've already done some on the DAX, SPI etc...
This is not new, most of the prop guys have this info given to them and several well known traders openly share their information. FT71 for example has allot of info. These guys know their products very well. TH has done some stat analysis on his markets as well. You can buy this information as well, if you don't want to do it yourself.
Yet i have still been told that its all based on past data so it bears no relevance on the present...
CanOz
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Here's an example of the minimum most intra-day traders are doing for stats on their markets....
Trembling Hand
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Yet i have still been told that its all based on past data so it bears no relevance on the present...
Even worst, what the hell use is it all going to be when your stop is 10 ticks away from your entry.
:
CanOz
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Even worst, what the hell use is it all going to be when your stop is 10 ticks away from your entry.
Well that's it, how many even know how far their stop should be or when they're wrong and should get out if they don't use stops?
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More nuggets, thanks TECH.
tech/a
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Just another stat to investigate.
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Not saying that this WILL go down, but this consolidation provides a good opportunity for a position trade if it is to break lower.
I think the way I may tackle it is to take 2 contract trades early this week and give one more room to run just in case it does get a nice run down. I believe that the large POTENTIAL makes it worth trying this.
I think the way I may tackle it is to take 2 contract trades early this week and give one more room to run just in case it does get a nice run down. I believe that the large POTENTIAL makes it worth trying this.
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Tech I assume you sit roll week out given any volume analysis is effectively null and void during this time?
tech/a
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For longer term VSA analysis with background needed then for the futures contract I would not be using the "Z"
But the FTSE Index itself provides plenty of insight.
For shorter term I can still use it.
I think there is a continuous contract chart somewhere but I (obviously) don't use it.
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FWIW I'm still using the September contract (as I assume you are to) which is 'U'. It confuses me you keep referring to it as "Z" but I'm sure there's another reason for that.
Minor technical difficulties aside,
Not sure what to expect today, Equities markets well bid on the back of the china pmi + Syria 'no bombing for now' talk and I can see the FTSE fut's up 50 or so points since sat mornings close. Probably expecting it push up a little more on the open and then settled down. labor day in the USA tonight so I can't imagine things would get too crazy.
Gotta react not predict though!
Minor technical difficulties aside,
Not sure what to expect today, Equities markets well bid on the back of the china pmi + Syria 'no bombing for now' talk and I can see the FTSE fut's up 50 or so points since sat mornings close. Probably expecting it push up a little more on the open and then settled down. labor day in the USA tonight so I can't imagine things would get too crazy.
Gotta react not predict though!
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