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Old Nov 14, 2006, 6:11pm   #286
 
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This is some nice scalping opp's from today ....
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Old Nov 14, 2006, 6:24pm   #287
 
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frugi started this thread A wealth of of clean 2 min TTEs, especially if you include premarket (which I never have) - I like it.

YM stopped me out of one Rh pullback where ES wouldn't have, as shown. The price one pays for a less "blocky" instrument I suppose. Second entry was nice as it followed bounce off vwap and the 50 ema. The 123 at the bottom is wishful thinking as I went for a run and left the stop at 12135 as per trail line.
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Old Nov 14, 2006, 7:00pm   #288
 
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Quote:
Originally Posted by frugi
A wealth of of clean 2 min TTEs, especially if you include premarket (which I never have) - I like it.

YM stopped me out of one Rh pullback where ES wouldn't have, as shown. The price one pays for a less "blocky" instrument I suppose. Second entry was nice as it followed bounce off vwap and the 50 ema. The 123 at the bottom is wishful thinking as I went for a run and left the stop at 12135 as per trail line.
Here is another view of this afternoon's action.
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Old Nov 14, 2006, 10:37pm   #289
 
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frugi started this thread Cheers rols. Yeah the previous HL were handy.

3 charts showing some delta scribbles throughout today.

I'm looking at (ask - bid) volume per 200 volume bar, both from <10 lot traders (top study with green bars) and >10 lot traders (bottom study with purple bars). I've added a 3 MA of this difference - net delta - to try and smooth it (green line and bright blue line below) Vertical dotted lines on chart represent 5 minutes - see how they compress during low activity and expand during high activity.

Ignore the little blue and red dots. These appear when on one bar the minnows traded more ask than bid volume while the >10 lotters did the opposite (blue) and vice versa for red. Well I had two more worksheet columns to fill.

Due to the 2 second granularity of my data storage unfortunately the 200 vol bars are not accurate, some will be >200, but this does not matter too much.

Excellent day to start off looking at these as it contained several sorts of price action, e.g two reversals, congestion and a brutal rally.

I have marked a few divergences, including the occasional one between <10 lot traders and >10 lot traders. I do not know if there is anything in these but it does look like a new high or new low with a divergence, especially if both groups of traders display one, can give clues about the sustainabilty of the preceding trend. Also it would seem wise to follow the >10 lot traders if in doubt. e.g When the minnows were buying up 15:12 - 15:20 the >10 lotters were increasing their aggression on the sell side and down we went.

My favourite disparity is around 14:55 where the minnows sell more aggressively into the low while the bigger traders do the opposite, paring back their assault on the bids. A reversal swiftly follows at 15:00.

Divergences seemed to work better in the early part of the day. Once that strong trend got going it was hard to derive much sense from them.

My first impressions are that under the right conditions this sort of study might be helpful and what I call divergences are not totally random / meaningless / unconnected with future price movement. Obviously it'll take many more days' study to bolster this view.

However as I intimated earlier, to reduce this information to a study like this and then expect magic under any conditions (let alone all) is likely to be futile. What I am hoping is that it can join the ranks of useful nuggets, such as a channel boundary, Fib level, hammer or vwap line and thus increase the probability of a timely entry or exit.
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Old Nov 15, 2006, 7:17pm   #290
 
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Some nice Rh's on YM
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Old Nov 16, 2006, 5:23pm   #291
 
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fresh opp Rh after congestion break out
but this Rh is cancelled
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Old Nov 20, 2006, 10:37pm   #292
 
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I like very much the delta ... yagshemash.

frugi started this thread Today's YM with cumulative delta split into <10 and >=10 lots. Standard 3 min chart on left for reference.

Vertical lines represent 10 mins.
Yellow line is <10 lot cumulative delta.
Light blue line is >=10 lot delta.
White line is total delta.
Each price bar represents 256 lots traded.

First 12 minutes show a lower low. Pikers hit the bid more aggressively, size does not. Price then rises. Were they bidding and soaking up the pikers? (grey lines)

Three higher highs between approx. 16:00 and 16:30. Another divergence between the two groups. Aggression from size is diminished on the seond and third high while the pikers continue to hit the ask, their delta mirroring price. Market then falls. Were the pikers being stopped out and buying late while size started to soak up this aggression by offering out to them after the high around 16:00? (purple lines)

Stop run (?) at approx 19:00. A similar divergence with a similar result. (pink lines)

Action after 19:30 is interesting. In this case size is the more aggressive seller till 19:43 while pikers were net buyers after 19:28. (red lines). Price then goes nowhere (without this info. one might have expected a rally) and no group displays much conviction. Having previously hit those bids bringing their delta to a new low, size now isn't covering - if it were the price would rise more fiercely. So we expect a new low?

Which we get. There is a divergence of sorts (dark green lines) which might suggest the pikers are stopped out / take new shorts on the new low while there is no aggressive selling from size. Were they covering? One might think so as price then rallies.

The close is interesting. Size sells aggressively into it while the pikers buy resulting in a 1000 delta difference between the groups. Does this tell us anything?

What interests me is that size often seem to pre-empt moves and this is shown in their aggression levels either diverging (new price high, less buying aggression) or reverse diverging (not a new low with increased selling aggression). In the former case we might see a new high that marks a reversal, in the latter a higher low that does not lead to a rally, indeed a new low prints soon after, albeit briefly. Meanwhile the reactive pikers are often too late (buying the top) or too early (buying the low that isn't) and find themselves in poor value positions which soon add fuel to an opposite move.

More to follow. Wooly brain overwhelmed.
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Old Nov 20, 2006, 11:12pm   #293
 
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frugi started this thread Eek it's spewing out now and probably all speculative rubbish anyway.

Exchanges between pikers and size (strong) facilitate reversals. Pikers then become trapped in weak positions from which they rush to exit once price has move a sufficient amount against them. At the point size is holding and enjoying their pain, the Shell V-Max of fuel. So, divergences between commitment of two groups on new highs or lows may give clue to an exchange in progress? The weaker group is aggressive, either being stopped out or paying the bid/ask for a new position (shown by its cumulative delta rising/falling in line with price) while the stronger group appears less so (shown by a divergence in price and its cumu. delta). Is this because they are operating passively at these points, supplying the late aggressors with what they think they want?

Often price is moving steadily on one direction and everyone is on the same side, with their respective deltas mirroring price. This may show that the move is currently healthy and sustainable. When a divergence starts showing up, tis a warning.

Another thought. Can the net delta at the close give clues? For instance imagine 3 strong up days during which the net total cumu. delta closes at +1200, +800 and +50. Is this a sign of weakness, especially if the aggression reduction is concentrated in size players?

Can the total cumu. delta be linked top open interest at all? i.e. Is there a chance of roughly deducing who is net long / short at the close by looking at the change in OI with the change in net cumu. delta? Knowing this would be very useful. e.g. If we know pikers have been more aggressive on the short side near the close and their net delta is -big while size hasn't then we know that the pikers are asking to be squeezed on the morrow.

Trouble is, even if we know the net delta we don't know how many of these trades were buys to open or stop buys to close. e.g A piker delta of +2 could indicate one piker who has bought to open, then bought higher to close, i.e. no increase in OI. Aaargh. But I'm sure there's something useful to be gleaned from the totals all the same, I'm just too dense to work it out. Still, I'll start a daily spreadsheet that notes the pikers', size's and total delta and price change and see if it tells me 'owt after a few weeks.

This is probably wandering into fantasy territory so I will stop and think a while longer. Hmm a while being about five years with no breakthrough I reckon, then I promise I'll give up and stick to bloody Ross Hooks for eternity. No offence to Mr. Black by the way - please keep posting 'em sir.

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Old Nov 21, 2006, 10:45pm   #294
 
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frugi started this thread More tradeable divergences today. I took the total delta line off today as it was in the way. I won't comment on all of them since they are sufficiently visually striking.

C warned not to buy the HL. E was the best, 3 HHs with diminishing interest from size and increasing enthusiasm from the pikers. Each divergence peak could be traded for a swift pullback scalp and the whole series was also a warning to exit longer term longs, perhaps on 2nd or 3rd peak if lucky.

Dunno what happened at F. Size sold it down hard but the pikers wouldn't budge. Next thing we know both groups are hitting the ask up to the third high. A failed fishing expedition perhaps? If we can't get 'em to dump then we'll get 'em to buy a weak new high instead. Hmm.

I'm beginning to think these delta readings will add something useful to the armoury, though I appreciate that they look better in hindsight. I'll be interested to see how they act on a one way trend day though, as I have a suspicion that (as with stock momo indicators) divergences will cease to provide particularly useful signals.

BTW I know that dividing the market at 10 lots into two imaginary groups, one of whom is assumed to be skilful and the other silly is both shamelessly arbitrary and an insult to many profitable "pikers". But I think it is fair to say that there are probably more losing 1-10 lot traders than >10, taken as a whole? *dons flame suit*

Also many >10 lot trades will not be directional and thus possibly misleading.
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Old Nov 22, 2006, 11:01pm   #295
 
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frugi started this thread A mixed bag for the "visual filtered time and sales indicator".

Much more enthusiasm from pikers for the morning spike, especially during the last few bars (purple ellipse). This served as a warning that the new cash high wasn't sustainable. On the standard 2 min chart there was a dirty inverted hammer with highest volume of day as well, which helped confirm this.

Market then sold down steadily with pikers and size delta confirming apart from a minor divergence between 14:50 and 14:57. Perhaps size tried to hold the price then sensing failure reversed during the inverted hammer c15:00?

The pink line shows a piker / size divergence on the LOD but annoyingly the pikers seemed to be right this time. This brings a dilemma to the table. Is any divergence better than none?

I was thinking that when there is a piker one (i.e. a LL in price, a HL in delta) while size confirms the LL with a delta LL that I should ignore the pikers... but today theirs was a good signal. Ha! No magic formula for all situation to be found here, as ever.

After 16:00 volume and range was very poor which is my excuse for not understanding the divergences within the green ellipse. I suspect that most of the size activity may have been bots and arbs providing spurious directional clues, so no need to try and read too much into the delta here?

The action between the red lines was interesting and the indicator's best heads up today. It looked like a breakout might be in the offing after the HL at 12340 and you can see size being very aggressive prior to it, especially in the red circle. At the same time it looked like the pikers were trying to short the 345 -350 area (or at least surrender longs) which helped as some would be forced to cover on the BO. This piker /size divergence served as an excellent warning and lo the price broke to 10360 (okay only 10 points and after the close, but was worth a scalp).
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Old Mar 15, 2007, 2:25am   #296
 
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frugi started this thread YM delta and breadth during savage reversal.

Blue line (>10 lots) neatly supporting both trends. Noteworthy divergence from panicked pikers on LOD and late stage of uptrend. General divergence on HOD worth a few hindsight pullback points.

Also 17:50 - 17:55 ish when price churned at the lows everyone started hitting the ask ... delta went up and price didn't for a while ... but was this a tip off that price would soon rise as final passive supply was hoovered up.

Some shallow breadth divergences.

Just noting the look of things down for reference cause today was kinda active.

Up another 100 tomorrow then?
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Old Mar 25, 2007, 11:30am   #297
 
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This is old YM chart whit your entries I draw some Chanel lines and mark the Volume Gaussian-s.....
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Old Mar 30, 2007, 12:12am   #298
 
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frugi started this thread Someone asks:

What is the point in using ďtargetsĒ?

ďI see many use "targets" as exit rules. Like sell when price rises 10 points from where I bought; or sell if price drops 2 points from where I bought.

But the market price does not depend on where you bought! So WTF?Ē

Jack Hershey responds:


Targets are inventions of traders. And the market does not put targets up on a screen.

Targets could be thought of as parts of trading approaches. The reason they are there is to complete a trading approach.

So targets originate some time in the process of creating or refining a trading approach because they fulfill a traderís need.

What need does the trader express when he invents a target as part of a trading strategy?

There may be many ways the target satisfies a need or needs. Any trader can go back over his notes on where he introduced the target and, there, he will find out why he did it.

He will notice it has something to do with his entry. This can be deduced by looking at the equation that was made to get the value of the target. The equation says ďTarget equals entry, and some arithmetic follows and then a numeric value appears". This has nothing to do with the market and everything to do with what the trader was inventing at the time.

This step in creating an approach has the most to do with limiting the profits a trader will make, more than any other feature of his final approach.

Most of the time it is an afterthought and it is a replacement for the traderís original exit approach. The original exit approach didnít work, probably.

Looking at the seasoning process a trader goes through on the way to failure or success, the target is a critical step along the way.

Letís look at the path to failure first. Targets are created along this path.

Letís look at the path to success. Targets are removed somewhere along this path if they were ever instituted.

Adding or deleting targets is more important than the creation of most other single aspects of the traderís methods or approach. It is the place in time where the trader either lets the market talk to him or not talk to him.

A trader who gets to understand his partnership with the market does not use targets. It is the marketís job to determine some things. Included in these are two important things: entries and exits at first, then, later when they are not used anymore, holds and reversals.

Why do targets for exits go away? It is mostly because exits go away. Exits are replaced with reversals when the trader understands his partnership with the markets.

As has been said, ďIt is obvious to everyone that an exit signal is an entry signal in the opposite directionĒ. Actually, it was said last week after the person read the statement which he was reviewing while he looked for something he wanted to criticize.

Seriously, when a person has determined his partnership with the markets and when he lets any market do the job of giving him segments of profits one after another, what has led him to that place?

It may be the realization that the market talks to traders and says things that are always correct and at the correct time.

These messages may not be seen by many simply because they are not on display. Displaying the markets is part of the creative process. If a trader is creating an approach and he cannot see the markets nor the roles the market plays, he is going to have to go to great lengths to make up for these shortcomings. Well, isnít he? More precisely, arenít you?

Is it arrogant and condescending of me, the writer, to ask? Maybe not. I am in support of a person going up a path to excellence. Letís tip the path upward first.

The markets unfold. They do this over time. It may take years for them to display themselves.
Markets: show me the partnership and show me what you have to say. Either do it from details building into concepts or do it by showing me the concepts and break them up into pieces that I can collect and make use of.

The market will tell you both. Groups of pieces are needed to see conclusions which are related to the principles of the market.

This is so difficult to do for traders because they feel, want and desire to make decisions most of all. The market makes the decisions, however. The trader hears what leads to decisions as the market talks to him all the while.

How does a trader really create a trading approach? Read about it. It is done by paying tuition and waiting a long time to find out. The Holy Grail is the name of something that is sought after. None of these things is a very good idea at all. They lead to limitations that may turn out to be overpowering and, if this path is used, it leads away from success.

People arenít built, naturally, to be traders. So, most people cannot go through the adjustments to become traders. Naturally, nature takes care of most people by simply conducting them, as effectively as possible, away from trading. Most of the time it comes down to taking their money away or not letting them make enough to make it worthwhile (compared to other survival missions they ultimately accept as their life experience).

The way down to the exit is filed with the emotions nature provides as gravity: fear, anxiety and anger. These turn out to be the three gauges a trader on the path uses to test his progress. The trader going upwards to success enjoys support, comfort and confidence. If a tinge of fear, anxiety or anger becomes present, it is an immediate caution that something is awry in what the trader is sensing. In other words, the market is not talking to him or, more important; he is preventing the market from talking to him.

The markets do not do targets.



Clean geometry on YM today, for the archive....a technical day. Once I'd seen two impulses down and two retacements, shorting the top of the second one i.e wave 4 (16:30ish) at the channel top boundary seemed like a good idea. Exit near bottom of consolidation at the 45 pt target. Once we broke out upwards from this channel at 20:00 there were two decent Ross Hook style pullback trades (buy penetration of the high of up to 4 pullback bars i.e 20:04 and 20:18)

So, a target was used in the first case to measure the likely retracement length (for entry) and to project a symmetrical run down of x points (for exit: wv 5 might and did equal wvs 1 &3) [exit also near a gap fill]. But not in the second: in the case of the RH trades moved stop up with proprietary Kiwi trailing stop line (dark grey) and exit on close. In an ideal world lol ... actually I took some off at VWAP (20:14) like a coward.
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