One think you might further consider: overnight ES rooms only trade longs at 3:39 pm EST, never shorts, b/c most gains are at night!!
So I had a wakeup call back to reality this morning. At 8:30am I had a call telling me that the new drywall finishers had gotten started and were doing a great job! (I build spec houses for a living. Actually just getting started after doing "flips" for a while). So I realize that I should be focusing on home building more than this. And my "master plan" for figuring out the stock market is.... GO LONG ON THE S&P!!!! Hahaha. As if that takes a damn rocket scientist. But this morning between 4am - 8:15am, I entered and lost SEVEN consecutive trades on the Micro e-mini S&P. These originally had stops of 0.3%TP and 0.2%SL, then changed to 0.4% and 0.3%. Seven in a row. Thank God I didn't bet very much. I only lost about $40 each trade. So not much for a plan. Do I have any hope of tweaking that into something that might work? Well I think the problem is that with stops so close, I'm very much at the mercy of what the markets are doing on that very short timeframe. So it doesn't matter what the average of the S&P has been over the past 20 years because it's too small of a timeframe. So if I were to try to change the plan, I would need to widen the stops. But with the leverage involved in futures contracts, that would put a large amount of my account at risk at once. Even a 1% change in the index amounts to a 10% change in account value.
Ok I just realized something very obvious that I'm pretty sure someone already told me. I shouldn't care about the open and close price, I should care more about the entire range for the day. The day's high and low, and also the open price.
Yes. The market doesn’t move in a straight line from open to close. But I believe that the close is the most informative as all the daily information has been incorporated into the price.
These are the last 5 years ^SPX close. Over 1 and 5 days it’s mostly a 50/50 gamble. But when you zoom in you can see trends anyway.
Hello everyone, I did a lot more statistical analysis (I like this term a lot better than technical analysis. Is it the same thing?)... and I would like to share my results and get feedback. I hope I can explain clearly enough so that people can follow along. I have daily data of S&P from 1/1/2000. This time, I took 3 numbers from each day. The open, the high, and the low. Then, I made ratios of high/open and low/open. This gave me the maximum percent gain and loss throughout that day. (Side note: I do notice the problem that I'm trading 24hour futures, while this data is only normal market hours. I don't know how to account for this yet). So once I had those two ratios, I made a table with the columns as the TP limit, and the rows as the SL limit. I set the variables (column headings) for TP as 0.1%, 0.2%, 0.3%, 0.4%, 0.5%, 0.6%, 0.7%, 0.8%, 0.9%, 1%, 2%, 3%, and 4%. The variables (row labels) for the SL were the same but opposite (-0.1%, -0.2%, etc.). I calculated the odds of the following four scenarios happening for each combination of variables. -The TP being hit that day, but not the SL. (100% weighting) -Both TP and SL being hit (50% weighting) -The TP not being hit, and the SL being hit (0% weighting) -Neither being hit. (variable weighting that I don't feel like describing how I did, but it has to do with the odds of it being hit the next day, which reverts back to the first 3 items in this list). I did these for each box in the table. The "weighting" I described above is for the further calculations. I multiplied the odds of each box by the weighting. This gave me the odds that this trade would hit the TP before the SL. Then, I multiplied by how much I would profit if I won. This gave me the expected profit per trade. The results are somewhat surprising. The best trade is to set a 0.7%TP and a 3%SL. You would be expect to gain 4.81% on each trade (this accounts for the 10x leverage). In the attached table, you'll notice that the labels of the columns and rows are 10x higher than I said. This accounts for the 10x leverage. I still haven't accounted for weighting stronger for recent data. I need to rest and then think of how to do that. I also realize that it's foolish to look at this blindly without considering current market conditions. That's how I could end up losing 7 "50/50" trades in a row yesterday.
if you lose 2 percent you need to make 4 percent to get back If you lose 1 percent than need 2 to come back. Etc take this into account Focus much more payoff space(expectation) space versus probability(frequency) space. Also you need to factor in a betting method that optimizes your long term growth rate. Surely you don’t want to deploy too much capital and capital deployment must vary dynamically as you lose money and make money otherwise you’ll go bust even with odds in your favor. Few methods. A good one called kelly criterion. and be careful of overfitting Models to historical data
All I know for sure is that you don’t want to build a model that replicates only your historical data. Learn more as I am to understand it deeply. My two cents. Take it or leave it.
You can use an exponential moving average. https://www.investopedia.com/ask/an...oving-average-and-weighted-moving-average.asp Or more complicated, https://math.stackexchange.com/ques...ific-way-to-assign-weights-to-historical-data