GREY1 P/L daily

[Grey1]

Paul, I just did a mini study on VWAP TF's. See my post # 217 today, I've also attached the same excel attachment below). I found the difference between 500 Tick data & 1 Min data to be 0.03 C. But the difference between 1 & 5 Mins was 0.27 C, using Realtick. So with Tick data being the most accurate, there is a possibility that with another 0.03 C error, the error in data could be as much as 0.30 C using 5 mins charts.. This error could be much less using Tradestation or eSignal, and others (I'm not sure).

Now eSignal may start it's data from the 1st tick (pre-market) - I think, which to me means that even though the data is in Mins., the root data could be in Ticks, thus making your 5 Min. data pretty accurate. I'm not sure about Tradestation. The only way is to verify 5 Min. data with 100 or 500 Tick Data for comparisons, which you've probably done.

(Edited) You are right, I just found an article for eSignal, where it states that after the 1st 1/2 hour VWAP is usually less than 2 cents between 1 and 5 min charts, I've attached the article.

Thanks for your reply

NAS

There are many other reasons for the difference but it is not worth wasting time on it. There are rules on short selling using the sell side programs which can make another 1-2 C difference depending on the size . If you ask me don't worry about few C here or there as to be quite honnest , the volume going through is not what it looks any way ( don't really want to open up another Price / Volume debate ) .

grey1

PS:- Theoretically the tick data are the most accurate ..

 

[garethb]

Grey1

Thanks for the further explanation of how you use ATR in different timeframes to determine the position sizing and how this relates to stop levels. This is now much clearer. I can see how this would be applied to a trend following system based on consolidation areas and breakouts in different timeframes.

I am not sure how you would apply this to a system like Strategy 3. One way I guess would be to size the trade using the ATR in the highest timeframe. Would you then scale out at the stop levels implied by the lower timeframe ATRs and take profits in proportion as the Oversold (or overbought) condition unwinds in each timeframe? Do you have another way to determine stop, target and position size in Strategy 3?

Best Regards,


Gareth

 

[Nastrader]

NAS

There are many other reasons for the difference but it is not worth wasting time on it. There are rules on short selling using the sell side programs which can make another 1-2 C difference depending on the size . If you ask me don't worry about few C here or there as to be quite honnest , the volume going through is not what it looks any way ( don't really want to open up another Price / Volume debate ) .

grey1

PS:- Theoretically the tick data are the most accurate ..

Agree, I understand it with your explainations - Thanks.

 

[Grey1]

NICE HOLE IN MY DATA cannot trade under this condition

grey1

 

[Trader333]

NICE HOLE IN MY DATA cannot trade under this condition

grey1

Is this down to Esignal ?


Paul

 

[kako]

Hi Kako,

If you dont mind telling us which time frame you use for a volatiltiy stop ATR? is it 2x on the 1 min settings 14 periods?? or is it based on a higher time frmae like 5 min or day?

thanks

Hi

i'm a mere newbie sir haven't done any Stock trade in real market yet, a former fx trader... u might know the story abt fx mkt.
anyway i'm happy that Iraj and others covered the answer for the question throughly, i wasn't sure abt it and the explanations made me clear; it was my question too

Grey1; isn't the eSignal feed for TS2000i, has any backfill data? i assume these kinda gaps shall be recoreved automatically, isn't it?

Many thnx for recent Position Sizing related stuff, Lev II, ur example was a very good 1. Keep up the good work folx.

Regards
...................................
Kako

 

[samtron]

Is this down to Esignal ?


Paul

This is most likely due to the crumy global server/esignal plug in. Esignal is served by a local on demand type server where as the tsi local gs is a plain get it now or you have missed it type server. You can do a manual backfill but your not always going to spot the holes!

 

[moreagr]

Hi

i'm a mere newbie sir haven't done any Stock trade in real market yet, a former fx trader... u might know the story abt fx mkt.
anyway i'm happy that Iraj and others covered the answer for the question throughly, i wasn't sure abt it and the explanations made me clear; it was my question too

Grey1; isn't the eSignal feed for TS2000i, has any backfill data? i assume these kinda gaps shall be recoreved automatically, isn't it?

Many thnx for recent Position Sizing related stuff, Lev II, ur example was a very good 1. Keep up the good work folx.

Regards
...................................
Kako

no problem Kako you seem like your really picking up US stock trading pretty well I have not tried Forex markets.. I have heard many horror stories. more events to effect currencies

 

[moreagr]

Agree, I understand it with your explainations - Thanks.

Hi NAS

I have Quotracker for charting and i have found no difference in VWAP reading with difference TF even the bands dont change.. you may want to check them out and see if you like it.

i does not have tick data at least i have not accessed it through IB

 

[wheezergeezer]

Data feed

This is most likely due to the crumy global server/esignal plug in. Esignal is served by a local on demand type server where as the tsi local gs is a plain get it now or you have missed it type server. You can do a manual backfill but your not always going to spot the holes!

Has anyone experience of www.iqfeed.net or is esignal the best..........

 

[kako]

Hi

as of i know IQfeed can't be connected to TS directly, u have to use a MEDIUM software, in this case nemed HyperServer Lite, it was free till now, but i can't use it anymore and it seems they changed it to payed software, i'm not sure of the price.

also i had an email from esignal, that they reduced the fees, and it's now 59$/mo for basic nasdaq stocks data feed, without Lev II.
any comments on backfill ability of any of this two feed, is appreciated. as grey reported it seems esignal has problems in backfilling holes in data history, which will affect all indicators behaviour.

Regards
...............................
Kako

 

[leovirgo]

Hi Grey1

Dow opened with a gap down and I took a short trade BIIB as it was outside upper MPD band. It worked straight away. Then, I went Long ERTS and ERSX when Dow was exhausted OS. They both came back to VWAP. And when Down was stuck at just above open, I shorted JOYG as it was outside upper MPD band. ( JOYG seemed to be shadowing Dow..) Just covered JOYG. 4/4 winners. How can I thank you Mr Market Beater???????? Thank you soooooo much....,
regards,

 

[leovirgo]

Another one -just covered AKAM short. that means 5/5.. :cheesy: [ while I wait for Dow to give me a signal. My earlier shorts at Dow were stopped out though.]

 

[samtron]

Another one -just covered AKAM short. that means 5/5.. :cheesy: [ while I wait for Dow to give me a signal. My earlier shorts at Dow were stopped out though.]

Leo, are you trading for real or just testing the water? :arrowu: :arrowd:

 

[leovirgo]

Leo, are you trading for real or just testing the water? :arrowu: :arrowd:

100 to 200 size only so far. regards,..

 

[samtron]

100 to 200 size only so far. regards,..

cheers, and well done on 5/5

 

[Grey1]

Hi Grey1

Dow opened with a gap down and I took a short trade BIIB as it was outside upper MPD band. It worked straight away. Then, I went Long ERTS and ERSX when Dow was exhausted OS. They both came back to VWAP. And when Down was stuck at just above open, I shorted JOYG as it was outside upper MPD band. ( JOYG seemed to be shadowing Dow..) Just covered JOYG. 4/4 winners. How can I thank you Mr Market Beater???????? Thank you soooooo much....,
regards,

Leo


Nice one. Once you get the top pf the strategies i discussed you will be a LONGGGGG time winner and this is the key . People say OH well it did not work to day as I lost 2 trades. Look at the screen shot below I DO LOSE trades too .

before market opened I knew market would rally due to buy the rumour idea because of the big event 2morrow in USA. How ever i noticed both UK and European raised their rate and that was very bearish . SO I thought. I must be hedged here because i could get spiked here in either direction . NO way I would risk my capital .

SO i hedged EXPD against JOYG and i had to let both pos run till i was sure where market was heading . I am up $883. Today hedging technique is what we use in neural network system design and is beyond the BB at this stage but works a treat .

By the way , I INTRODUCED the concept of VWAP strategies 6 years ago first iN UK and now a days many traders have wised up in the use of VWAP in trading the market LOL

http://www.iijournals.com/IIGUIDES/...ents&ProductID=2352&sourceCode=2347&Return=51


Good for them .

 

[leovirgo]

Leo


Nice one. Once you get the top pf the strategies i discussed you will be a LONGGGGG time winner and this is the key . People say OH well it did not work to day as I lost 2 trades. Look at the screen shot below I DO LOSE trades too .

before market opened I knew market would rally due to buy the rumour idea because of the big event 2morrow in USA. How ever i noticed both UK and European raised their rate and that was very bearish . SO I thought. I must be hedged here because i could get spiked here in either direction . NO way I would risk my capital .

SO i hedged EXPD against JOYG and i had to let both pos run till i was sure where market was heading . I am up $883. Today hedging technique is what we use in neural network system design and is beyond the BB at this stage but works a treat .

By the way , I INTRODUCED the concept of VWAP strategies 6 years ago first iN UK and now a days many traders have wised up in the use of VWAP in trading the market LOL

http://www.iijournals.com/IIGUIDES/...ents&ProductID=2352&sourceCode=2347&Return=51


Good for them .

Hi Grey1,

Yes, my objective is to win consistently on a LT basis. Losses are part of the game, but they have to be within the tolerance level. Btw, it took me nearly two months to read and digest your posts on this BB, some as old as three years ago.

Since the Dow has broken upside, I went Long and recouped almost all of earlier losses for Dow.

What I observed was.. I got too many Long signals in my stock watchlist. But they are not below VWAP. They are just above VWAP or less than 50% of the range between upper MPD and VWAP. I didn't take them as I needed more understanding about this situation within the VWAP framework.

For the directional trades, if the prices are NOT below VWAP, is it okay to go long as long as the stock and the market are both not exhausted? How do we measure potential reward?
We go long, with predefined Stop and exit on exhaustion. I will appreciate if you can correct me.

regards,..

 

[evostik]

Hi Grey1

Could I ask; does 'averaging down' (don't mean to over-simplify by using this phrase) form part of your your tactical play? I notice from some of your screen-shots this seems to be the case. I ask because this clearly has an impact on stop-loss determination (if you see what I mean?).

Thanks
Steve

 

[Grey1]

Hi Grey1

Could I ask; does 'averaging down' (don't mean to over-simplify by using this phrase) form part of your your tactical play? I notice from some of your screen-shots this seems to be the case. I ask because this clearly has an impact on stop-loss determination (if you see what I mean?).

Thanks
Steve

evostic

I donot do averaging at all ... , when I am thinking of opening a position say 3000 STOCK X then I force trades of 500 or 1000 bit by bit. THIS IS HOW MM's TRADE. .YOU SIMPLY WONT GET THE FILL IF YOU CLICKED THE BUTTON FOR 3000 .. I how ever scale in and out of positions according to what i explained in above posts.
If a MM wants to short sell 10 000 shares of AAPL he has this sell program which dumps his shares intelligently a) not to show his bearish intention 2) get value for money .

Member of this BB must not average down or up under any circumstances.

grey1