Interesting $ES_F Pivot Study for 1/27/10 $$

Tue, 26 Jan 2010 23:01:21 -0600

Since there is a plethora of charting info on the internet for traders to use these days, I decided to provide something more interesting - a study I conducted during my night class.

I have data on the ES rth trading levels since 1993, but have decided to only include 2000-present, since that period is likely more relevant. Using those 10+ years, I decided to look at today’s floor trader pivots that were touched: R1, mid-point b/w R1 and PP, PP, mid-point b/w PP and S1, S1, mid-point b/w S1 and S2, and the prior day’s pivot. Not including Tuesday, there have been 24/2530 occurrences that have had the exact same pivot action. So here’s what I found with the study:

- The next day that follows one with the above pivot characteristics has an average difference of +0.01% from the previous day
- The next day has a 54.17% negative bias, however, on 13/24 occurrences
- If we consider days that were negative like 1/26/10, then the following day has a 66.67% negative bias on 8/12 occurrences
- If we consider when the day like 1/26/10 was a Tuesday, then the following day has a 100% negative bias on 8/8 occurrences with a -0.74% difference from the previous day
- If we consider when the day like 1/26/10 was a Tuesday and negative, then the following day has a 100% negative bias on 3/3 occurrences with -0.99% difference from the previous day

So what does this mean? From the overall trend of the study, it appears that 1/27/10 could have a negative bias, especially since it’s following a Tuesday that was negative. We will soon find out by 3pm, but the overall trend remains negative since last week. Shorting bounces will likely continue to work. But caution since FOMC news is out @ 1:15pm.

Good luck, and I hope to bring more info like this soon.

Third ABCD move to $ES_F 1160s?

Tue, 12 Jan 2010 18:24:08 -0600

Hey guys,

If we take a look at the above and below charts, you’ll notice an almost perfect series of ABCD moves since early November. The first move in November had a 30-20-30 range in the length, and December had a 30-10-30 length. So far, the December to January move has a 30-20 move, with the possibility of the 20’s acting as support currently. If that does indeed occur, we could be looking at one more 30 pt move higher from here, with a target into the 1150s-1160s.

Take this info with a grain of salt of course, but it is interesting to note, nonetheless.

November 2009 to January 2010 Probability Results

Mon, 11 Jan 2010 20:47:27 -0600

Long time no post!

After final exams and a nice holiday break, it’s back to school time for my last and final semester of law. I’ve learned a lot of information regarding trading over the past year and I look forward to the challenges that 2010 will bring. 2009 was a great trading year for myself and one that I will definitely remember for a long time.

Having said all of that, I have been doing a lot of Excel work lately and running several studies to transition eventually into a more mechanical approach in my trading setups. As you may know, I had been calculating probabilities each day of certain price levels for the SP 500 emini’s. These price levels are a combination of pivots, Fibonacci levels and volume profiles, and I take the highest 3 probabilities of these levels to determine a directional “edge” for the next trading day.

You can click the above photo to view a report (in PDF format) of my results thus far. The price level with the highest probability has an 83.6% chance of touching, whereas the 2nd and 3rd levels have 77.5% and 57.1% probabilities, respectively. Also, you will see the amount of points gained and dollars earned per 1 CONTRACT for each probability level. As you can see, the results are very very good.... however, I have not determined an appropriate stop/loss strategy yet. Therefore, these results are risk-free.

Please feel free to leave any comments or suggestions about my study. I look forward to more great results in the future.

$ES_F & $SPX Ascending Triangle

Thu, 10 Dec 2009 13:17:47 -0600

Howdy,

Figured I’d post these two charts to show my upside target if and when the ES/ SPX continues higher. The above chart is the SPX, with a target in the 1130 area, whereas the chart below is of the ES December 09 contract. Just subtract about 4-5 points from the 127% fib extension to get the projected target.

However as always, we can only trade what the market gives us.

Best of luck!

UPDATED Note about my Tuesday’s trades

Wed, 9 Dec 2009 12:38:02 -0600

2small,

First of all, don't count yourself out. If you start the day thinking negatively, or enter a trade thinking that you likely won't succeed, you won't have the correct mindset needed to execute your gameplan.

Now, regarding the trade I took on Tuesday's open, it had gapped down about 10 points from the previous close. From my experience, I've noticed that large gaps like that tend to not get filled immediately after the open. Plus, I took the overall condition of the market into context. If I remember correctly, all SP500 sectors were red, the SP500 A/D line was at least 4:1 decliners and the NYSE A/D line was very negative too. I used that info while watching the overnight ES lows to determine possible trading scenarios.

Once I noticed the 1093 area would not likely hold as support and while watching the Russell and Naz for confirmations, I went short and noted the next possible area to do business, the 88 and 86 areas. It is imperative that you understand which areas are likely candidates for implementing trades, and to create plans for what you will do once those areas are explored.

No one will ever know what will happen next in the market, because every person has an effect on future direction. What we can do is use the information available to us to help determine the best and most likely scenarios for what may happen next.

Trading is an acquired skill, and one that take a lot of time to master. Even if you don't trade every day, you can at least monitor the intraday movements so you can learn and spot different patterns and know how everything works.

I hope this info is somewhat useful, but it's definitely doable. Just don't think in terms of "it should do this or I'm expecting this to happen" because we can't control what the market does. The only thing certain is uncertainty.

UPDATE

For some reason iWeb won’t let me respond via comment section, so I’m updating my post from yesterday:

“Hey man,

Yeah, I hear what you're saying re: "should and expecting" as opposed to "could" or "is probable." As a trader, we are placing trades based on our objective or subjective expecations of what we want to happen. But again, we really cannot say the market "should" do something since we are only a small piece of the puzzle, and definitely not one that has a major influence on the direction. That's why I think it's important for me, at least, to think of trading as placing ours bets in a way that will give us the best opportunity to succeed.

I looked at the trades you took @ 9am and 9:11am cst. From my perspective, it looked like a decent place to enter a short based on the retracement to +1 vwap. However, one could have kept in mind that the ES had the potential to test the open, which was the high of the day at the time - 1096.

I wouldn't beat yourself up too much about those two failed trades because sometimes that trade works and sometimes it doesn't. However, at least you learned that in a situation similar to that one, you should look to the open in relation to the vwap and note if the retracement might be strong enough to test the open.

Also, when you say your short entry was stopped out several times, look at why you decided to short and what happened each time. Then you can compare that to some of your good trade setups/ executions and can determine how to fix and improve your skills.”

Info about my $ES_F charts

Wed, 9 Dec 2009 12:01:55 -0600

Howdy,

I’ve been getting a few questions regarding my charts and setups, so I thought I’d share my info for those who are interested.

If you look at the chart above, you’ll notice several lines - dashed and solid - plus some gray price levels and arrows. The purple and gold dashed lines are the +/- 2.0 vwap sigmas and +/- 1.0 vwap sigmas. The solid blue line is the vwap. The small arrows are a simple custom indicator to alert me when a high/ low $TICK reading occurs, with a threshold of +/- 1000. The solid deep red and green lines are volatility adjusted trailing stops. I don’t rely on those for trades, but use it as a guide for staying with the trend. Lastly, the solid gray lines are the key price levels in which I am interested each day. They correspond to my calculated probability levels. They are similar to FT71’s volume node areas, but include other levels as well.

This is one particular chart I use often, but not the only chart I use. Finally, here is an updated volume composite for 1115-1065:

Happy Trading

November 2009 $ES_F Probability Results

Wed, 9 Dec 2009 11:35:00 -0600

Good afternoon,

I’m back into the swing of trading and research after my brief period of final exams. I have a nice 5 week vacation until school starts for the Spring, so I can hopefully accomplish some great things during that time.

As you may know, I have begun to incorporate some quantitative studies into my trading setups. I am currently collecting data and calculating probabilities of the ES touching certain price levels each day. I then calculate the success rate of the three highest probability areas and will look to enter trades based on that information. I have much more to do, but I think the initial stages of the information look promising. The next step is to determine appropriate risk management, including position sizing and stop loss levels. The results do not include any potential drawdowns, slippage or commissions when executing these trades.

I hope you can understand the results, and if you have any feedback or questions, please feel free to email me or post them here!

UPDATE:

I noticed the summaries of each study are not appearing, so here are the links: