One swift aspect of where you are operating is two pronged: you can treat cells as independant and therefore use a "portfolio" of independant concurrent or staggered rotation through turns. You, additionally, can scale on each element of the "portfolio" elements. Yes, each cell of the matrix represents a different possible (or independent) outcome for that day. The advantage of using a probability is the ease of not having to remember what is the most likely outcome, etc. and just seeing ot there on the paper. The rough probabilities, when enhanced by run analysis of either winning or losing days and the ranges associated with particular days in a month gives me a good sense of what to expect in either the Nasdaq or S & P markets. I generally do not hold positions overnight, a practice I got away from when I was trading equities. in effect you wrap the market by your choice of focus on end effects of dicontinuous market operation. Frankly, it is most fruitful as defined by margin risk requirements. The choice to not play illiquidity and arb is more than offset by considering gaps and short term market range variation as drivers. Yes, this is correct. As I said, I don't trade overnight positions. I would have to have a compelling reason to keep the hours necessary to watch those positions. The Central time zone doesn't have an advantage for trading outside of regulat trading hours or in the european markets. And the gap analysis does allow a better understanding of what is likely to happen with a given gap. That is good to know. I did analytical processes at the Jung institute in the late 60's; the focus was how paths are bounded by obstacles. We will stuff to determine blockers in adjacent cells not chosen by the migration of the market operating point. Your chosen portion of the market matrix is absolutely terrific because it is untouched but can be scored as you suggest. I am at least familiar with network techniques...however, I have had a conversation with someone already working on defining 'market events' in this manner. The data processing for this kind of project is enormous. I don't really want to go that route because it leads to pattern identification which is where Edwards and Magee started with there classic work. I've been over that ground already. So, I don't want to go there or even start to go there. Again, I am interested in how you scored your matrix and am interested in determining if I can make it a useful addition to my own methods. Best, Bruce
I will get with you in this stuff. In the mean time check out Alexander's method. For whatever reason I have always declined the Berkely scene because of having difficulty crossing the Hudson. You can save a lot of sweat going to a least connected strategy and map coloring. The matrix paths will go topo on you as well based on repitition models. All this set s up your probabilities. you will do better at this than I. I am flaw oriented and see flaws as blockers of potential paths. Flaws block singley and regionally. My orientation is because I have a completed mechanical approach ( software layout sheets and screen display to show all decision values and actions. (I forward tested in for several years)) that is blocker based. Your operating space is not part of it because of my chicken nature. I use unsynch(cash vs. index) as a blocker. For scoring, first pass, look at the operating point as the center of a tic tac toe. Orthogonal migration requires on dimensional change; diagonal migration requires a compound change. Think of marginal incremental compounding to get mini steps because of timing of force applications (non concurrent slippage( yes, absence of stuff (withdrawal))) I will unload stuff on you through PM, this thread is focused on "edge" stuff and we are SCT types. I need to get a guidebook done by Labor Day and some stuff before that. That and the local Boy Scout stuff.
or you can make the conceptual leap and realize that timescales are an inherently arbitrary and unnecessary concept and build your strategy around timeless cells.
I'm not up on that level. The time scale thing seems kind of on a foundational level to me. I probably will never feel that timing is not important, just because it makes the world go round or vice versa. I am more or less integrated into the conventional competition just because I like to face those I am extracting money from. All my signals come from time bound stuff and without these items such as price, volume and A/D in time relationships, things get too whifty for me. Whifty means "What if". you may have misinterpreted SCT's meaning that I assign to it because of your conceptual viewpoint. I am just in a pragmatic niche vis a vis the ET spectrum.
I will unload stuff on you through PM, this thread is focused on "edge" stuff and we are SCT types. Not necessary now, Jack. I backtracked to Cameron's board on msn and from there back to a google search which turned up your conversation with the Harvard guys. That's the stuff I was looking to re-read. Take Care, Bruce
You are my brother man! I trade the same way. And I have -exactly- the same problem - changing between scalping and trending mode. Quite often, I find that I focus on S-, T-, 1-min charts, depth and T&S so much, that I completely oversee the big picture. So I will be scalping away in and out, 5-10 times in a row, and then I oversee such an important point as a 50% retracement or even confluence on a larger timeframe. However, I think that the same problem exists no matter what timeframe you do (i.e. you can oversee major daily levels etc doing 5-min charts), but with scalping you certainly risk the least amount of money in case you miss out on an overpowering, larger timeframe signal. One thing I have found to be useful is to establish times for the different timeframes. I.e: Globex. I watch it from 3:00am, when action starts, until the open, often seizing some great opportunities here before the US day starts. Timeframe is 3-5 minute chart only. Amateur Hour: Ultra-short-term scalping mode during amateur hour (between 9:32 -10:07). This time offers the finest fruit, you can pick off several points just during this time. However, it's an irony that it's called amateur hour, since this is where anybody but the pros seriously get their boxxers pulled over their head. At least in the futures Post-Morning & News time: From 10:07 I go into 1-min charts primary, as well as 3-min secondary, targeting larger moves (2-4 points) All the way till 12:00. Lunchtime: Pretty much at 12:00, I'll go into scalping mode again, targeting between 1-7 Ticks on a trade. Anything but scalping seems insane during lunchtime, unless there's a defined trend, or a good retracement on a larger timeframe, in which case I might of course enter. But scalping is just too swell during this time. Very competitive, too. It's actually harder than am hour, but you can lose less, so it balances. At 2:15-2:45, depending on the day, I will look at the bigger picture again, that is 1&3&5 min charts, even 10&15 (rather than just 144T, 15S or 1min). Interesting reversal time, there are some nice moves to be caught. Most days, entering on the retests, you can make 2-3 points here, till about 3:00. 3:00 - Closing hour. Pretty much my favourite (after opening hour). Most people seem to fear this time. It's actually abound of opportunities. Just don't try to fade the trend here. Closing hour gives me plenty of opportunities to dissect silly brokers throwing their end-of day orders into the market. Another great thing and really my favourite, is the close rallye, generally from between 3:25-3:45 and ending at around 4:03. I tend to want to close out by the bell, that is 3:59:30. The great thing about the close move is that it tends to have smaller retracements, thus your chances of staying in the trade are larger (generally, in the close trade, I'll target 3-8 pts on the ES) But although the target is quite swell, as a stop you often get away with as little as 6-8T, so I like this in terms of R:R. So yeha, that's one way of dealing with it better. Set different timeframe regimes for different market periods. All the Best, ~Scientist