Providing Tomorrow's Price Targets

Discussion in 'ETFs' started by Dave at NextDay, Apr 20, 2010.

  1. I'm interested in experimenting with providing next day high probability price targets for anyone who manages or trades ETF's.

    I've been a professional trader for 30+ years and am somewhat in the semi-retiring stage of life. I say semi in that I love the business and don't think I'll ever truly quit completely. I've developed several algorithms over the decades, one in particular that calculates the most probable price points to which any traded asset ought to reach. They're not price support/resistance levels, but high probability price targets to which that asset ought to reach or attain in the next upcoming trading day.

    Since it has worked well with any single asset, I've experimented with plugging it into each individual stock within a portfolio and have had consistent results. Personally, I've used it for the market, as, obviously, it is a portfolio of stocks. However, I've never taken the time to apply it, up until recently, to ETF's and have found it to be surprisingly effective.

    I would be glad to provide some test projections for ETF traders if any of you would be interested. What I would need would be the specific issues within the ETF in order to construct the results. I'm new to the elitetrader site, so I beg your indulgence ahead of time if I run into any glitches in communicating.

    Dave at NextDay
  2. schizo


    Could you please provide the likely target numbers you see for SPY for tomorrow? What I would like to see is HOD, LOD, and a couple mid-range reversals.

  3. As soon as the market closes, I'll run the numbers. It takes about 10 minutes.
  4. The numbers I run are the max hi, max lo, and an upper & lower "most probable" for 4 numbers. In addition, I run some recent volatility calcs on each stock and incorporate those results, both subtracting from the hi and adding to the low to get 2 more additional numbers for 6 in all; 3 up and 3 down from the close of the day.

    What typically happens is this: the index will run to one of these levels and either fail or hang around for a good while, then move off either to the next level or contract back to it. None of this is dependent on previous S/R levels, but once a target level is reached, it can be treated/included as such.

    What determines which are the relevant levels and whether price action will move to one of the other price levels is a separate algorithm I created which I call my strength indicator. It measures the strength of each component of the index and yields an aggregate number which gives me a very good indication of both direction and probability of reaching any one of the stated target levels.

    For equities, I've been running the QQQQ, Dow & S&P cash. You're the first person I've run the SPY's, so here they are for tomorrow, Wed:121.98, 121.49, 121.01, 120.33, 119.85 & 119.36. For your sake, I'll post in the morning what my internals look like and therefore which numbers will be relevant for the day. I like calculating at the end of each day, since, if I do any overnight trading, I use the numbers to find spots to take profit, whether up or down. Starting tomorrow, I'll only post in the Trade Journal forum, so look there for my comments specifically to you.
  5. schizo


    Thanks again for your reply. I'll keep my eyes on those numbers tomorrow and I also look forward to reading your journal entries.
  6. Blotto


    Available in the prospectus provided by the fund manager for each ETF.


    It will be an interesting exercise to follow your journal, and to also follow those who follow you.

    I know this is the day before, however I do not feel that the numbers you have mentioned as targets have any predictive value. You've given 1193 and 1219 SPX - one may be hit tomorrow, but not both. I know those are your "extreme" highs and lows, however saying the market is unlikely to move more than 13 handles in one direction isn't saying much - indeed the probabilities for that are calculated in options pricing. You have mentioned four other prices as targets.

    You make a bold claim of predicting tomorrows price targets. Of course it can be done, and with amazing accuracy. There are very few people with this ability. I know two others. I understand how it can be done. I do not question that. What I question is that you are making predictions without stating whether the market will be up / down / sideways, and in which order the various targets will be hit. This can be done, yet you do not do it. As you have presented yourself as someone with this ability, this leads me to believe that you do not know this information or (less likely given your stated intentions here) do not wish to reveal it.

    You also state you use models to calculate this. You may be doing something related to volatility, etc, and it may have value, however I think the way you have presented it is unclear as to what you are and are not offering. I echo the sentiments of others that this sounds like something commercial, however that does not reflect on the merits of what you offer, only your motives. The ability you claim is beyond priceless, and anything commercial would not be related to internet forums. If you wished to make some predictions for the same reason successful traders post blotters - ie to dispel myths and inspire others - that would be a different matter.
  7. This being my first day on elitetrader, and also not having joined any forums previously, I'm just getting my feet wet, so I apologize for any misunderstanding of intention. Yes, I do have a commercial website, but that is not the intent of these entries. I posted in the ETF forum to request if there was/is anyone who would be interested in experimenting in live testing a specific ETF which they are either following or in which they're investing. While my algorithms can be applied to ETF's, I've never personally done so.

    Regarding preditive pricing, you are exactly right that I have only an approximate idea of next day direction. I have a separate valuation algorithm that gives me that indication. However, in the premarket and certainly within the first few minutes of the opening range, my "system", if you will, is designed to eliminate the irrelevant predictive prices. Each of the price levels are accurate, but their relevance depends on the actual strength of the market which is able to be determined. I would certainly subscribe to the other two individuals to whom you referred who have the predictive ability for direction, if you'd let me know who they are and how to contact them.

    Finally, my price levels are points to which the market finds itself either moving fairly rapidly toward and stopping (which can inadvertantly make them seem/appear as price SorR levels) or around which price action tends to aggregate for a fairly significant part of the day.

    Long answer, but thought you deserved as good an explanation as possible.
  8. InAndOut


    very interesting, whould you please tell the price level of FAS
  9. I'm heading for the sack, but I'll run these quickly. First of all, my valuation calc moved off it's lower standard Monday morn, which is a typical setup for an abrupt move, which, obviously, did occur. We're nearing the upper standard, so while there's the possibility for more follow through to the upside, it shouldn't be quite as dramatic as it was on Monday. Again, with that algorithm, it gives me a decent look, but the morning opening range will define which of the following price targets will be the most relevant. I'll post them for you in the morn at the opening range. All prices are:
    Have a good night.
  10. InAndOut


    Thanks a lot, I have these lines on my FAS chart, will monitor them closely during the day.
    #10     Apr 21, 2010