Redefining the Arbitrary

TheBramble · Mar 31, 2005

Whatever time frame you're trading (except perhaps Daily and longer which DOES have a more systematic basis for its existence) the periodicity is largely arbitrary. Whether it's a 5 min, 15 min, 30 min chart - whatever - the choice is simply that - a choice. And a choice from a somewhat standard selection.

The close on a 5 min chart is simply a snapshot in time of the final trade level at the end of that period. Agreed, a substantial number of traders will be looking at that particular data and assigning it high importance. But it is arbitrary. It is no more/less significant than the trade level at 4.5 or 5.5 minutes - other than its popularity affords it.

Has anyone else experimented with non-standard charts (7 min, 13 min for instance) and found indicator based strategies perform somewhat 'differently' in these non-standard timeframes?

(The P&V only strats - interestingly and perhaps expectedly, perform just the same.)

dbphoenix · Mar 31, 2005

TheBramble said:
(The P&V only strats - interestingly and perhaps expectedly, perform just the same.)

If you mean "the same" regardless of the arbitrarily-chosen bar interval, that depends on the strategy applied. It's unlikely that a trader would be applying the same strategy to a 5m bar chart as he would to a 15m, which in turn would most likely be different than that applied to a tick chart.

TheBramble · Mar 31, 2005

Disagree. I apply exactly the same strategy (P&V only) regardless of the timeframe I'm working with.

dbphoenix · Mar 31, 2005

That may be. But that doesn't mean that every PV trader will. Your statement that "the P&V only strats - interestingly and perhaps expectedly, perform just the same" suggests the opposite.

TheBramble · Mar 31, 2005

The opposite to what?

I wasn't invoking any other trader. Your comment "It's unlikely that a trader ..." was non-specific and heading toward the Universal. I was merely pointing out I wasn't in that subset.

I'm not too fussed by fuzzy thinking on bulletin boards, but if allowed to run unchecked while trading leads to all sorts of problems.

Specificity is the key.

So, opposite to what?

Tuffty · Mar 31, 2005

I few years ago I looked at seasonality in the markets. I questioned the monthly calander we use as it didn't seem to fit in to anything that nature defines. Like you say 5min 10min....based on what? I tried other 'calandes' (moon cycles etc) but it didn't seem to make any difference or have extra significance.

dbphoenix · Mar 31, 2005

TheBramble said:
The opposite to what?

I wasn't invoking any other trader. Your comment "It's unlikely that a trader ..." was non-specific and heading toward the Universal. I was merely pointing out I wasn't in that subset.

I'm not too fussed by fuzzy thinking on bulletin boards, but if allowed to run unchecked while trading leads to all sorts of problems.

Specificity is the key.

So, opposite to what?

The opposite to PV traders trading differently rather than the same. I assume that when you said that "PV strats . . . perform just the same" that the "strats" were being traded. Either way, your statement was "universal", which is why I responded to it.

TheBramble · Mar 31, 2005

dbphoenix said:
The opposite to PV traders trading differently rather than the same. I assume that when you said that "PV strats . . . perform just the same" that the "strats" were being traded. Either way, your statement was "universal", which is why I responded to it.

Lost me. And I don't think I'm alone....

I stated the P&V only strats traded just the same. LOL.

Do you know what a Universal is?

Never mind.

frugi · Mar 31, 2005

Is it not possible that some advantage over other traders can be gained by trading from an unusual bar length chart?

e.g A large number of traders use 5 minute charts and after a few bars have printed there may be, say, a cluster of highs representing resistance, highs which the smart money might fade if taken out because they expect the crowd to buy a break of this resistance (a lot of their stops might be placed just above, perhaps) This resistance may well be specific to the 5 min chart only at that point in time. I've recently started using a 4 min chart and have found that some of my setups seem to be more effective than they were on the 5 min. Perhaps this is just coincidence, but instinctively I feel there is something to be gained from setting oneself slightly apart from a known, largely ovine, crowd.

dbphoenix · Mar 31, 2005

TheBramble said:
Lost me. And I don't think I'm alone....

I stated the P&V only strats traded just the same. LOL.

Do you know what a Universal is?

Never mind.

Given the context of your original post, I may have misunderstood your remark that PV-only strats trade "just the same". I assumed you meant that PV-only strats trade the same regardless of the bar interval used. If this is what you meant, I'd be interested in whatever support you can provide for the statement. If you're suggesting that they trade the same as indicator-based strategies, I'd be interested in whatever support you can provide for that statement. Or perhaps there's something else that they trade just the same as.

TheBramble · Mar 31, 2005

dbphoenix said:
Given the context of your original post, I may have misunderstood your remark that PV-only strats trade "just the same". I assumed you meant that PV-only strats trade the same regardless of the bar interval used. If this is what you meant, I'd be interested in whatever support you can provide for the statement.

Hard to misunderstand - and you haven't. That's exactly what I said. The P&V only - trade just the same. The support you are interested in is probably exactly the same as that you intuitively used in making your assumption.

Perhaps you'd care to support your assumption (correct as it turns out)?

dbphoenix · Mar 31, 2005

TheBramble said:
Hard to misunderstand - and you haven't. That's exactly what I said. The P&V only - trade just the same. The support you are interested in is probably exactly the same as that you intuitively used in making your assumption.

Perhaps you'd care to support your assumption (correct as it turns out)?

Given your PM, I'll just loop you back to post #2.

Glenn · Mar 31, 2005

imho every instrument has a dominant timeframe which is caused by it's major participants behaviour.
I mean dominant in the sense that it is a more reliable timeframe to use for signals than any other.
Of course every instrument has potentially different participants from the rest, and so the dominant timeframe in each has to be discovered by trial and error. And once determined it may well change from time to time as participants change or alter their behaviour.
Glenn

TheBramble · Mar 31, 2005

dbphoenix said:
Given your PM, I'll just loop you back to post #2.

Well, whatever that means, I'll let you off the hook and let it go.

I've been lost in my own cerebral convolutions a few times too...

TheBramble · Mar 31, 2005

Glenn said:
imho every instrument has a dominant timeframe which is caused by it's major participants behaviour.
I mean dominant in the sense that it is a more reliable timeframe to use for signals than any other.
Of course every instrument has potentially different participants from the rest, and so the dominant timeframe in each has to be discovered by trial and error. And once determined it may well change from time to time as participants change or alter their behaviour.
Glenn

Dominant timeframe? Care to give an example?

This may well be right up the alley...

Frugi said:
This resistance may well be specific to the 5 min chart only at that point in time. I've recently started using a 4 min chart and have found that some of my setups seem to be more effective than they were on the 5 min. Perhaps this is just coincidence, but instinctively I feel there is something to be gained from setting oneself slightly apart from a known, largely ovine, crowd.

A Ha! It ain't just me then....

dbphoenix · Apr 1, 2005

TheBramble said:
Well, whatever that means, I'll let you off the hook and let it go.

I've been lost in my own cerebral convolutions a few times too...

I'll post your PMs here, if you like.

TheBramble · Apr 1, 2005

dbphoenix said:
I'll post your PMs here, if you like.

Threat?

db - all you've been doing is trying to disrupt this thread. A luxury those on your forums do not have.

Either stick to the topic or go somewhere else...or you can choose to continue to attempt to disrupt.

In which case I'm sure the mods will step in if you get out of hand. But be careful - We don't want you banned from this site as well do we.

dbphoenix · Apr 1, 2005

TheBramble said:
Threat?

Hardly. Just clarifying your "whatever that means" puzzlement.

blackcab · Apr 1, 2005

TheBramble said:
The close on a 5 min chart is simply a snapshot in time of the final trade level at the end of that period

For a while I've wondered about something related. Take any arbitrary bar length like 5m - how significant is each bar's open & close given that it's a snapshot of an arbitrary, and short, period? But also how different would the bars look if you shift the 5m bars along by 1, 2, 3 or 4 minutes? If you go by candlesticks, which I don't, would dojis, haramis etc. shift in and out of view even though the underlying prices in a shorter timeframe are the same?

I've always assumed the open/close of short intraday bars are meaningless, only high/low matters. This thread reminded me to do the simple experiment, so here it is. Data is 1-minute YM from 4 March 2004, 10.00-10.59 EST. The charts show 5m candlesticks and each chart starts the candlesticks one minute later, ie chart 0-4 starts at 10.00, 1-5 starts at 10.01, etc.

Quite a difference isn't it?

Of course if you included volume, it would also be shifted, but I haven't got that and don't know how important it is in YM anyway.

trendie · Apr 1, 2005

hi blackcab,

I have come to a similar conclusion regarding timeframes.
( I also pondered the nature of candlestick patterns on anything other than a daily basis )
This is leading me more towards trendlines and channels, as they are generally the same whatever the timeframe.

PS: good point about candletsick patterns if you shift start and end time about.

Redefining the Arbitrary

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