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 Forums ›› Tools of the Trade ›› Data Sets and Feeds ›› Price and Time data set

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 csjohnson65   Registered: Sep 2009 Posts: 5 03-17-12 10:02 PM I concur that it will likely be less a matter of advanced math, but possibly pattern recognition (swing time of day, length, duration, etc.) and corresponding probabilities. As an example, I had noticed that when TF (Russell 2000 futures) and corresponding ETFs experience a rapid sell off between the open and 11:30AM it very often puts in the low for the day. This doesn't occur with the frequency that it used to, and I suspect wasn't/isn't unique to that index, but it is the Russell 2K is the one with which I am most familiar.. Given your data set, you may be able to in/validate this and similar repeating patterns, and if validated calculate corresponding probabilities upon which to trade. Hence: If YM declines P points (it's a sell off) within M minutes (it's a rapid sell off) before T time of day, go long after it retraces P percent (reversal) because there is R probability that the day's low was put in. Your data set affords you an infinite number of similar probability calculations: If you define a "swing" as being a minimum of 45 points, what is the probability of it becoming 100, 150, 200, 300, etc? Barring outliers such as a flash crash, there is some maximum for which it would be nice to know the probability. Can the duration of the swing provide any meaningful insights? Does a 100 point swing occurring within 2 minutes provide anything predictable about the probability it will become 200 points and when, versus a 100 point swing that takes 2 hours to develop? So, does swing length, time of day, and/or duration provide any predictability about future prices? Considering the chart posted by Zen Student, it appears he has a method for predicting when a swing has come to an end and a new one in the opposite direction is beginning, and therefore one would want to reverse their position to take advantage of the next swing. Whether he is calculating the probability of a new swing based on percentage retracement, swing duration, or something else, I don't know. But obviously that would be very valuable to predict with reasonable accuracy and might be hidden somewhere in your data just waiting to be discovered. Just my (amateur) thoughts, for what they're worth. Edit/Delete • Quote • Complain
 forrestang   Registered: May 2008 Posts: 316 03-21-12 03:32 PM I have also spent quite a bit of time looking at premarket, London and other parameters to be able to somewhat forcast the day ahead in some way as well..... wether it just be the type of day, or a range of sorts. What instrument are you looking at with 6 years of data? Edit/Delete • Quote • Complain
 030985   Registered: Jun 2009 Posts: 15 03-21-12 04:52 PM Quote from forrestang: I have also spent quite a bit of time looking at premarket, London and other parameters to be able to somewhat forcast the day ahead in some way as well..... wether it just be the type of day, or a range of sorts. What instrument are you looking at with 6 years of data? I am focusing on FDAX datas for now. I also looked a bit at CL before that ( with 'european session' and 'RTH' US session ). I would have looked at EUR/USD pair too as it was the main instrument I have traded so far, but I was not sure of how interpret datas as there is no "RTH" though I guess it does not change anything much. Edit/Delete • Quote • Complain
 forrestang   Registered: May 2008 Posts: 316 03-22-12 01:40 PM Do combinations of Prior Session Close (Up or Down), Prior Session Last Swing Direction, Current Session Gap Direction and/or the strength of each in points, or even Day of Week provide any predictability as to the direction of the first swing of the current session, and/or whether it is a Buy then Sell (BS) or Sell then Buy (SB) day? I have done a bit of work on all the metrics you list here, save for the one I have highlighted there. Still looking into it, but so far I haven't found anything that tends to reliably predict a direction, or distance traversed at the open. Edit/Delete • Quote • Complain
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