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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.
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030985
Registered: Jun 2009
Posts: 15 |
03-21-12 03:24 PM
Quote from csjohnson65:
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.
Interesting post, thank you
One thing which has intrigued me and tried to work on it for now more than finding the turns of swings and their potential sizes, it is the faculty to know if the day ahead will have its low coming before its high ( Buy Sell day in Zen Student's or Cheese's terms ) or its high coming before the low ( Sell Buy day ).
I tried different combinations and filters but did not come across something reliable.
Maybe I do not enough datas as some refinements give only one occurence. I managed to have nearly 6 years for now.
It also seems that it can be predicted the day before ( at the end of the session ), meaning that a gap may not be meaningful to determine this parameter.
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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?
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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.
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csjohnson65
Registered: Sep 2009
Posts: 5 |
03-21-12 11:47 PM
Quote from 030985:
...the faculty to know if the day ahead will have its low coming before its high ( Buy Sell day in Zen Student's or Cheese's terms ) or its high coming before the low ( Sell Buy day )...
I've also read their posts, though have not yet begun constructing the necessary data set. The folks in this thread are ahead of me in that respect, but I can provide my what I have gleaned from their posts.
In one of his posts Cheese highlighted an observation that the present day was a gap down day, and that on the previous four Mondays where the market closed down the session prior, and gapped down at the open, the first swing was down. I also noted in a number of his posts that while he was trading YM it appeared that he used the INDU as his point of reference (possibly because there is a 15 minute disparity between the close of the index versus the futures and the index close is receives the most attention, or maybe he's using YM and INDU interchangeably and I'm over-analyzing.)
So his data set includes the Day of Week, and he is able to sort/filter on it. Another obvious filter might is the size of the gap, as I would presume that the larger the gap the more probable the market will continue in the direction of the gap.
I also noted, however, that the gap is but one determinant, and often not the most important, so a key is knowing when it is predictive and when it is not. He actually emphasizes using the previous close to predict the next sessions open, and sometimes there isn't a significant gap.
It still seems to me that he is observing recent market patterns by sorting and filtering his data (easy to do in Excel), and once those patterns establish themselves, they tend to recur for some period of time during which we can take advantage. So maybe in addition to whether the previous session closed up or down, it is also important whether the last swing was up or down. The last swing of the last session could be a strong swing higher, even though the overall market closes lower on the day. Does that matter?
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?
It sure is easy to ask questions! But as Cheese suggests, are the the RIGHT questions? And then there's the harder part of collecting and crunching the data to find the answers.
Cheese, right questions or wrong questions? Warmer or colder? 
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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.
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