trend days and $tick

Apologies for posting over Volar 🙂 FWIW Mole’s volume hole analysis, Volar’s POMO chart, my old school tape reading (is the tape behaving right?)

This all looks like a rally on the end of its legs. Be alert for a retested high and short sometime mid next week.

@convictscott: I just ran a test over here and it seems even my premiere data provider (DTN) is apparently averaging ticks on the TICK. In other words – I counted TICK’s tick bars for each session at a single tick setting – and each and every day I get 23398 bars. Every day. So that means that the data coming from the exchange does somehow get mangled/averaged in between as you would expect that bar count to be different every day.

Given this I wonder if it’s worthwhile using a tick chart vs. a 1-min chart. Any thoughts on this?

Prison.
(he had a LOT of time on his hands).

Please no palm jokes.  I”ll be here till Saturday.  try the lobster!

Lol – 6 + 19 + 18 + 174…. to me its easier than writing a program. Especially when you can just look at the chart and eyeball whether its close enough to warrant the effort in counting.

Indeed, im gone for 2 hours driving, and we have moved on 3-4 posts! Excellent trading resource. I am long from yesterday (DOWchem)

p.s. anyone, anywhere we can get pure tick data on a freeola sites – most sites have it only on a time axis, ewith time intervals

no points for guessing that markets will/should reverse next week…

“to me its easier than writing a program”

I guess I’m wired differently…. LOL

Actually – here is the answer from Kinetick:

The TICK index would have the same number of ticks each day because the TICK index is calculated from our servers each second. A snapshot of the market is taken and then the value that is plotted for each of those seconds is the difference between the advancing and declining issues.Since this calculation is based on the snapshot taken each second the only time there will be updates at each second. The result is a consistent number of ticks since the calculations are repeated each day.This is expected based on how we choose to calculate these values.

Well, there you have it – using anything below a 1-sec interval is unnecessary. And Kinetick/DTN is one of the best in the business.

????????????????????????????????­??????????????

D   A   I    L   Y      Z   E   R   O     H   A   S      B   E    E   N      U   P   D   A   T   E   D

????????????????????????????????­???????????????

http://content.screencast.com/users/AMCabrera/folders/Jing/media/4f9d982b-9612-43ee-93a1-4c2554d8e2ac/2011-10-21_1748.png
blue line likely to be touched in red oval in coming days.

they are not the same. Aussie is a commodity based currency and hence when risk is on aud/yen is usually on fire. USD has become a funding currency just like the yen. USD/yen pair does not move much as compared to say the aussie or the kiwi. Basically both are risk off currencies and when risk is off the yen is usually slightly stronger.

http://content.screencast.com/users/AMCabrera/folders/Jing/media/8cb823ab-c9ff-48b2-ae35-2b52ab06b5f0/2011-10-21_1829.png
The start of the waterfall early part of august, outside of bb on day charts with 1 standard deviation, looks intense but looking at week chart it really is not.  I said on here, I dont think you were here yet it was beginning of Oct, it would be were I would like to start getting bearish on my fx pair equals. BUT please take my advise with a grain of salt. Three headed dog would guide you better. haha.

Apologies are futile – send money.

images did not show up, so here:

Nice stuff. 

yeah…really good…trying to set up my TOS charts exactly like this…hmmm…TOS not easy imo…and i don’t exactly khow what some of the lines are, or how to set up $UVOL, $DVOL,  or $UVOL-$DVOL all on one chart…

what chart software do you use?

So with a “relatively small” account you can go long a larger amount of interest paying currency like the Aussie. So if you can borrow USD @0.25% and go long Aud @4.75% you make money. Also if risk is on you also get price appreciation. Between the usd and Jpy no big difference in interest rates both are close to zero so its not a carry trade candidate. Of course leverage cuts both ways so if you have a crash and you have no stops your acount goes boom!

At these levels you will be ok but dont be short when qe3 comes out. If you insist on fighting the fed just buy gold. Gold will more than double from these levels maybe by 2013.

It’s been a while since I have looked at $tick and $trin because I have found the charts so noisy as to make use of them difficult.  The discussion this week has been helpful and has motivated me to go back and look at them again to see how I might better wade through them.  Using stockcharts.com, I have found a simple $trin and $tick chart with Heikin-Ashi candles and bollinger bands overlaid (and $SPX in the background so turning points are visible) gives a useful “at a glance” sense of the market in any time frame.  Not sure I would advocate using this as the primary entry or exit signal, but certainly gives very useful warnings or confirmation.  

My basic concept, for those who care to look:  look for a candle entirely in the upper or lower band as confirmation of a trend change.  For a more sensitive (and potentially “whippy”) view, look at the upper and lower shadow and look for higher lows and higher highs (or vice versa  -even red candles often show higher highs and higher lows just before a trend flips).  A work in process for me, but an interesting addition to the tool chest and Heikin-Ashi candles seem to filter out some of the noise.  Candles with little to no shadow in one direction are, of course very bullish or bearish all by themselves.  I am not quite to the stage of proficiency of counting seconds as does Scott!Interesting observation – which I think meshes nicely with some of the comments of CS, Mole and Volar this week:  the $tick is red this week even though SPX was up for the week.  To me, that suggests another reason why the Gobi desert may prove a tough leap in the short run (even if the general daily trend is upwards per my simple technique described above).  The breadth of buying necessary to pole vault over that desert seems to be a bit tepid so far.  

Why not someone do a video with talking to explain tick and tring , indicators , trade entry, exit? 

that would be grand!

I’ll try my hand at annotating some stockcharts charts so you can see what I’m talking about.  The great thing about them is that you can use them in any time frame you want – 5 mins, hourly, daily, weekly etc. and the same concepts apply.  Just be wary that $TRIN is a bit counter-intuitive since down is up and vice versa (i.e. extreme lows are overbought; extreme highs are oversold).  Haven’t much of a clue how to create an annotated video, still less upload it!

This link should show an annotated $TICK chart:  http://stockcharts.com/h-sc/ui?s=$TICK&p=D&yr=0&mn=3&dy=10&id=p30717145645&a=246770404

The chart is daily, but you could apply the same rules to any time frame.  

For confirmed sell signal, should be fully in lower BB channel.  Stronger signal if progression of lower lows (on shadow below box) and lower highs.  Tentative sell signals given when lower high, lower low and more than half in lower channel.  NB – black candle should NOT be a signal candle – requires confirmation.

For confirmed buy signal, fully in upper BB channel.  Hollow red candle should NOT be a signal candle, requires confirmation.  Tentative buy signal given when consecutive candles are higher lows, higher highs and more than half in upper channel.  

You can compare to the SPX chart in the upper box and see that it responds pretty will to direction changes.  I haven’t tried to generate a hard set of timing signals with this – in my mind at least it is a factor to take into account and not a self-contained trading system.  Someone more enterprising than I might be able to write a script and generate a series of dates for back testing.  I am happy that I at least have an easy visual to be able to use TICK data (similar approach for $TRIN which gives you advance decline volume).  Heikin-Ashi smooths the chart so it is not such a forest of tough-to-interpret data.  

that’s think or swim, now owned by TD Ameritrade. I think you can still get a free TOS demo with real-time charts and without being Ameritrade client.
https://www.thinkorswim.com/tos/displayPage.tos?webpage=paperMoney 

whats R?

OR you could just find the search box on this blog and find TONS of articles and perspectives on all those. Over 2000 posts and counting… 😉

exactly what nogreedorfear said. 
also check a little better chart of it:

I just cut a chicken head off and let it run around till is falls on a buy or sell signal, been working for me…I’m kidding, Mole you bring up a excellent point about BBs, it is why I read them differently in short time frames. 

R = risk taken per trade. in my case R = 1 ES point for this trade, resulting in R multiple of 11 on 11 ES pt profit. This implies that i could be wrong 90% of the time on my trades and still come out on top overall. But most likely, +11 R is not one’s average trade 🙂 
if you keep a trade journal (you should) you can plot your R distribution, also your R averages for loosing trades and in the money trades.

Check out Van Tharp on that:
http://www.youtube.com/watch?v=JFuF6M7z1jg
http://www.youtube.com/watch?v=QjFRVPWpEuY

well said, Mole. position sizing is very important. 2% of your account is a good limit, otherwise your risks of blowing up increase dramatically. Though it can be hard to adhere to this for beginner traders with smaller accounts – major reason why so many fail.

I think you may have missed the point. I am NOT questioning BBs in particular – I use them myself. Rather I am referring to using discretionary setups without prior analysis of any inherent edge.

Especially since some brokers offer ridiculously small daytime margins. Which doesn’t make them bad brokers but increases the chance of traders being lured into disproportional position sizes.

cool. thx..watching now.

http://content.screencast.com/users/AMCabrera/folders/Jing/media/e5362526-2f52-4859-9f8d-6048c3c912d3/2011-10-22_1716.png
I know. I wasn’t questioning BBs either or your use of them. I was trying to say I read them differently in short time frames and the normal way in long time frames. And why I think more than 95% of traders lose. A while back Volar and I talk about standard devs. https://evilspeculator.com/?p=24292#comment-326556922. Then he showed me a naughty chart. it was really hott chart. https://evilspeculator.com/?p=23567 he did say I would love it.

Are you a sub? If so I strongly suggest you catch up on my last few weekend updates.

Well, we are not talking about platty or lepto stdv here – we are talking TREND DAYS. And what you are referring to is the force of a move up which may go way beyond the 2nd, 3rd, or 4th standard deviation. All fine – but useless for detecting the signs of a trend day, which needs to be detected prior to considering the length of the ensuing profit potential.

not a sub yet..

Mole, how could sds and bbs  be useless in trend day strategy. In my opinion you would need to start getting comfortable buying into strength and sell into weakness,outside of bbs, instead of the orthodox way of buying off support and selling into resistance. Example buying the mornings high once it is established or selling the lows of morning. when that cycle of trapped longs or shorts starts because of increased volatility attracting new buyers/sellers the more likely the stops will be hunted down causing a new equilibrium of supply/demand once the one-way trade is finished. Please correct me if im thinking of it the wrong way.

Well worth it let me tell ya!

oh – not again! bull market from march 2009 onwards is what I am talking – which is relevant to trading…

ok…hmm…

Any gold traders in the house?

http://img717.imageshack.us/img717/1150/gld10222011.png

Comments & constructive criticism are always welcome.

Best,
MM

yea… i guess they’re looking for a new way to drain the pool other than removing the water.

lines look right – gold’s channel. should move to around 1750 level next – with stocks going down…

good to see ya MM !

my morality, stupidity, stubborness or whatever just doesnt let me ever take a long trade…i might be in for a bit more pain but i certainly hope that there is no true real bull coming….yes gold might be it though…thank you

Thanks mole! The discussion was great. 

Thanks for the link – you just made my head hurt!  Kurtosis, platykurotic – all that google looking up was causing smoke to emerge from my terminal.  What I did get out of that was (a) FDOM Sharpe ratios seem to like prime numbers (esp. 5, 7 and 11) and that reversion to the mean is a dangerous game to play when you have a data distribution with huge variations in it.  Steering clear of the statistics terminology, I land on the old adage:  `the market can stay wrong longer than you can stay solvent`.  A good read. Thanks.  

Yes, you are right it is a dangerous game. 

Thanks. This was helpful. 

too short term, as good as anybody’s guess

Ok, what r your short term indicators showing? short ? better to be short over the weekend? or is it long?