TRADERguy, I use the (Optimal Tracking Filter)mentioned in the attached article by John Ehlers. I took it from his website http://www.mesasoftware.com/papers.htm There's already TS code in the article.
I'm short the futures from 1.2339. We're right at multi-day resistance levels and bonds broke the uptrend.
chinook, intersting stuff. Maybe I'll try and make a simulation of it in Java (scripted via www.BeanShell.org 's interactive shell) to see if it can be applied to my style for those "early entries" I have. So far a better day than yesterday, with nice action just before those retail-sales numbers and also into the RTH open. I guess the price level triggers a lot of interest. Could see no hint of that "supra-bank" that www.IFRmarkets.com was wailing about around 1.2315-20 ... and the hangover is gone. Up 13 pips in 2 trades so far. Unless we dip under 1.23 again I will try and play a possible range contained over 1.2315. Not really any numbers to get the EURUSD going, but QM is as always worrying - weighing in especially on the JPY. German IFO continued it's decrease yesterday, so nothing to celebrate there. I still think we're going 1.24 over the next weeks, can't help that gloomy USD bias - maybe some statements from G7/G8 could help making that field goal soon. Also the "G20" is pretty anti-US, and Brazil's Lula seems to gain some momentum in both his exports and "solidarity policies". He's mostly gaining new ground in the asian markets now - but I think other things than raw materials are out of the question - as the more laborous brazilian products are of very low quality - like chinese products 10-20 yrs ago. [13:19 EUR/USD: Issing Trying To Keep ECB in Stability Pact Debate] Boston, September 28: ECB Economist Issing says that there is room for compromise on a common EU/ECB stability pact. He says there are severe problems in present EU economic policy making and calls for more a more centralized EU fiscal policy. Sounds like a tough sell politically as the powers that be in the EU look to water down the stability pact after years of ignoring it outright. EUR/USD remains well bid, bolstered by soft US interest rates and skyrocketing oil. Option expiries are seen at 1.2350 this morning, with barriers still eyed at 1.2370 and 1.2380. EUR/USD trades at 1.2337. Speaking about the Chinese holdings of US debts is ridicolous, as they have little to gain dumping USD right now. I can't believe anyone would speculate about it yet - there is no big trade conflict or current scenarios that indicate something like that could happen -- Scare Tactics. [12:55 GMT 28th Sept] The Chinese hold USD496.2Bn in foreign exchange reserves, if they were to sell a chunk to lower their ratio of Dollars they USD could take a pounding. This is a given and what the markets have failed to realize is there is not a thing they can do about it. However, in the mean time the market has been left in a bit of a quandary; do they carry on trading and ignore the impending threat or do they take matters into their own hands and use market leverage to work the greenback lower. With the G7 meeting likely to discuss all these matters in great depth the markets seem to have moved into a holding pattern. [EUR/USD] has recently broken outside the European range but failed to move within striking distance of the vast number of option barriers that start at 1.2370, that block the way higher. US data in the form of consumer confidence due at 14:00 GMT could give the dollar a boost but the market is beginning to price in a weaker figure than the 99.0 consensus reading. The previous index was 98.2 and any figure below this level would see the option related selling under pressure and attempt to move [EUR/USD] above 1.2400 and through 1.2465 offers.
I'm not sure how useful this'll be for your style. But perhaps you can use it as a filter to take only short or long side. It best works on tick-bar based charts. You have to input High&Low for each bar.
I'm out with +6. I can't risk unnecessary slippage with Sep Consumer Confidence # coming out in five minutes.
I can group whatever way I want with regards to timeframes or ticks - as well aggregated values with my software - independently of displayed chart. I use tick-charts for EuroFX and 1-min, 5-min or tick for various spot sources. Whoops - quite a bit of low-lingering on FXCM after the confidence numbers.
What was low on FXCM? I did another short after the numbers came out but got stopped out with -10. Then I reshorted towards the top at 1.2342. Bonds and QM are going down for now. I'm hoping for a nice slide down for some trending down activity edit: I'm quoting futures # which are about 4 pips lower than the spot.
To me this looks like, we're in trend down mode. I'll add to my initial short when we have a 15 pip pullback from a local minimum--currently second entry level is at 1.2328. Edit: QM is going down... Edit2: OK. second set of short is entered too.
FXCM was at around 1.2330 while futures and Refco and others were above 1.2340. I think we could see some more caution by traders with signs of choppy activity - this could prevent the tiredness we see in the afternoon session. On the other hand, judging by the previous last days investors might still be trying hard to get a "meaningful direction" out of the market - and end up getting burned. 1.2315 held a couple of times, but I think we're going to re-visit it again pretty soon. Levels below 1.23 are rather pointless unless they're stop-running spikes. This time around, however, I don't think anybody is going to get fooled so easily. [14:28 EUR/USD: Asian Names Keeping Topside Capped] Boston, September 28: Asian selling remains on rallies in EUR/USD, keeping the pair capped around the 1.2350 level. Dealers saw a US investment name come in and aggressively sell the pair lower from around the 1.2345 level, taking the pair back to 1.2320. EUR/JPY is seeing some profit-taking as well as the EUR/USD leg of the cross prompts some to book profits ahead of 137.65 trendline resistance. It trades at 137.35, down from 137.50. edit: have +26 pip profit on 7 trades, and I will try and stay in at this low around 1.23.
Right now, I'm in monkey mode trailing my stop using the exact numbers I see on my screen I'm accepting the possibility of giving up 20+ pips profits. The trailing stop is at 1.2323 currently.