ES Volatility Study

Discussion in 'Index Futures' started by aphexcoil, Oct 30, 2002.

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  1. Woah woah woah woah people! Let me repeat -- I'm not doing this as an excerise to find some holy grail! I'm doing it from an academically curious standpoint. Relax! Its just data!
    #21     Oct 30, 2002
  2. dottom


    It's called Average True Range.

    Next study please.....
    #22     Oct 30, 2002
  3. The following is the average ES point range per hour of day for the past 28 trading days:

    12:00:00 AM to 12:59:00 AM = 1.61111111111111
    1:00:00 AM to 1:59:00 AM = 1.75
    2:00:00 AM to 2:59:00 AM = 2.16666666666667
    3:00:00 AM to 3:59:00 AM = 5.56481481481481
    4:00:00 AM to 4:59:00 AM = 5.17592592592593
    5:00:00 AM to 5:59:00 AM = 4.10185185185185
    6:00:00 AM to 6:59:00 AM = 4.33333333333333
    7:00:00 AM to 7:59:00 AM = 5.00925925925926
    8:00:00 AM to 8:59:00 AM = 5.28703703703704
    9:00:00 AM to 9:59:00 AM = 9.30555555555556
    10:00:00 AM to 10:59:00 AM = 12.0925925925926
    11:00:00 AM to 11:59:00 AM = 8.53703703703704
    12:00:00 PM to 12:59:00 PM = 7.71296296296296
    1:00:00 PM to 1:59:00 PM = 8.375
    2:00:00 PM to 2:59:00 PM = 9.49038461538462
    3:00:00 PM to 3:59:00 PM = 10.5769230769231
    4:00:00 PM to 4:59:00 PM = 5.375
    5:00:00 PM to 5:59:00 PM = 1.89583333333333
    6:00:00 PM to 6:59:00 PM = 2.43
    7:00:00 PM to 7:59:00 PM = 1.63
    8:00:00 PM to 8:59:00 PM = 1.84
    9:00:00 PM to 9:59:00 PM = 1.97115384615385
    10:00:00 PM to 10:59:00 PM = 1.63461538461538
    11:00:00 PM to 11:59:00 PM = 0.545454545454545

    #23     Oct 30, 2002
  4. Forgot it. I try to share results with a lot of you guys but this reaction from a lot of you just isn't worth it.

    I'm in a bad trade and you just hit my stop-loss.
    #24     Oct 30, 2002
  5. tampa


    #25     Oct 30, 2002
  6. I'm glad to see us frown on creativity.
    We should all think the same and do the same thing all the time.

    But guess what , there would be no market
    #26     Oct 30, 2002
  7. Yes, but it is there loss.

    Out of 31,494 candles

    IF candles #1 closes one point or more above its open and candle number #2 closes one point or more above its open, there is a 68% probability of making a 2 point ES gain using a 1.25 stop within the next 10 candles (10 minutes). This was over the past 28 days and includes slippage.

    Keeping the same criteria but changing the target to 4.00 points (including slippage), there is a 36% chance of a successful trade with a 1.25 stop loss setting. Stop loss is calculated from the one minute candles by making sure the absolute low of any candle between the entry and exit doesn't breach 1.25 stop loss.

    88 trades meet this criteria over 28 days. Of which, 32 would have been successful (32*4 = 128 points) with a failure of 56 trades (56 * 1.25 = 70 points). Commissions for all 88 trades would be equivelent to 9 points of profit loss (rounded up) for a net total, after commissions, of 49 points over the course of 28 trading days.

    #27     Oct 30, 2002
  8. Using the above example, and calculating all possible combinations of stop losses and profit targets for ES, the most optimized trading strategy for the 2 long minute candles each +1 ES points above open would have been a 1.00 stop loss with a 3.50 target.

    Each run of the day, I used a set stop-loss point. I then graphed the profit in net points, which resembled an approximate bell-curve according to desired target range, with less successful trades for higher targets and more successful trades for lower targets.

    In using a form of Maximum excursion applied backwards, I was able to see that stop-loss settings can be adjusted outside of noise channels based on statistical volatility levels per 15 minute units throughout the trading day.

    I will be posting a lot of charts and graphs for those interested on my website.
    #28     Oct 30, 2002
  9. x-or


    At the very beginning I did a lot of (useless ?) research like you are doing Aphie :
    Datas and datas and datas. Excel and Excel and Excel...
    One day I threw all that stuff and I began to trade. Then I really began to learn something.

    I don't know what to think about that... Who knows ? May be that my actual success is due to the hundreds of hours I spent with the data research ?

    But sometimes I think that if we spend so much time on this kind of stuff it's because we don't want to see the truth : we are afraid to trade because we are afraid to lose ! That is why we prefer to mix out some data in Excel. It is much easier and less risky !
    #29     Oct 30, 2002
  10. Bingo. It's a diversion from trading, an excuse not to. Even though you're not doing any live trading, you're fooling with market data so you're still "in the market arena" so to speak.

    All the data and Excel graphs in the world won't curb your emotions when the trading plan's green light is on and you can't clikc the mouse out of fear of losing capital.

    There's only one way to overcome that and that's to jump in the water. The fastest way to learn how to swim is not by reading books or talking to lifeguards but by nearly drowning. At that point you'll learn and not until.
    #30     Oct 30, 2002
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