Interesting Initial Balance Statistic

[Soultrader]

Thank you Ant as well.

Maybe this is somewhat off track but have you done any data mining on how many times the YM or ES makes a low/high in the first 60 minutes of trading? From observation only, this seems to happen very common. It would be interesting to see some stats on it... and to focus on a single pivot at the open for a reversal. (Im really horrible with all these programming stuff)

[TinGull]

Soul, you mean making the high and the low for the day in the first 60 minutes?

[Soultrader]

	Quote:	TinGull
	Soul, you mean making the high and the low for the day in the first 60 minutes?

Yep. I should of made the more clear.

[Reaver]

Thanks Ant, great info. Very handy stuff!

Nate

[ant]

	Quote:	Soultrader
	Thank you Ant as well. Maybe this is somewhat off track but have you done any data mining on how many times the YM or ES makes a low/high in the first 60 minutes of trading? From observation only, this seems to happen very common. It would be interesting to see some stats on it... and to focus on a single pivot at the open for a reversal. (Im really horrible with all these programming stuff)

On the contrary Soultrader, it sounds like you're defining a Normal Day, which despite its name, does not happen very often and it's more the exception than the norm. A Normal Day usually consists of a wide Initial Balance whose extremes hold throughout the day. All of the other day types have range extension, where one of the extremes of the IB is taken out. Since you're a betting man, always place your bet on range extension since about 95%+ of the time one of the IB extremes will be exceeded.

(Assuming trading day from 9:30am to 4:15pm EST)
Normal Day Occurrence in the YM for 2004-2006: 16 out of 737 days or 2.17%
Normal Day Occurrence in the ES for 2004-2006: 15 out of 747 days or 2.01%

[TinGull]

Antonio,

Do you have any of this data for the ER2? from what I've watched lately, the high /low has been made very quickly in the day. Didn't know if it was easy to run the ER through that program of yours

Thanks man!

Chris

[ant]

	Quote:	TinGull
	Antonio, Do you have any of this data for the ER2? from what I've watched lately, the high /low has been made very quickly in the day. Didn't know if it was easy to run the ER through that program of yours Thanks man! Chris

Here you go Chris... Looks like you're correct, the high/low is made in the ER2 early in the day most of the time. This is incredibly reliable!!! This tendency can generate a huge edge! Looks like I'm going to start taking at least one trade a day in the ER2 - I like the odds A LOT. Thanks for pointing it out.

ER2 (2006):
Highs in first 30 mins: 66 out of 251 days or 26.29%
Lows in first 30 mins: 76 out of 251 days or 30.28%
Highs in first 60 mins: 89 out of 251 days or 35.46%
Lows in first 60 mins: 104 out of 251 days or 41.43%
=======
High/Low in first 30 mins: 142 out of 251 days or 56.57%
High/Low In first 60 mins: 193 out of 251 days or 76.89%
Normal Day: 16 out of 251 days or 6.37%

ER2 (2005):
Highs in first 30 mins: 73 out of 252 days or 28.97%
Lows in first 30 mins: 53 out of 252 days or 21.03%
Highs in first 60 mins: 92 out of 252 days or 36.51%
Lows in first 60 mins: 84 out of 252 days or 33.33%
=======
High/Low in first 30 mins: 126 out of 252 days or 50.00%
High/Low In first 60 mins: 176 out of 252 days or 69.84%
Normal Day: 3 out of 252 days or 1.19%

ER2 (2004):
Highs in first 30 mins: 73 out of 252 days or 28.97%
Lows in first 30 mins: 72 out of 252 days or 28.57%
Highs in first 60 mins: 100 out of 252 days or 39.68%
Lows in first 60 mins: 106 out of 252 days or 42.06%
=======
High/Low in first 30 mins: 145 out of 252 days or 57.54%
High/Low In first 60 mins: 206 out of 252 days or 81.75%
Normal Day: 14 out of 252 days or 5.56%

ER2 (2004-2006):
Highs in first 30 mins: 212 out of 755 days or 28.08%
Lows in first 30 mins: 201 out of 755 days or 26.62%
Highs in first 60 mins: 281 out of 755 days or 37.22%
Lows in first 60 mins: 294 out of 755 days or 38.94%
=======
High/Low in first 30 mins: 413 out of 755 days or 54.70%
High/Low In first 60 mins: 575 out of 755 days or 76.16%
Normal Day: 33 out of 755 days or 4.37%

[Soultrader]

Thank you for sharing this with us Ant. I am quite surprised with the numbers. Very reliable indeed. I have also started trading the ER2. At first I was hesitant but its actually not bad at all.

The ER2 data for 2006:

High/Low in first 30 mins: 142 out of 251 days or 56.57%
High/Low In first 60 mins: 193 out of 251 days or 76.89%

This is insane... very very powerful piece of information. Time to build more setups

[TinGull]

I thought it might be that insane!! hehe Awesome, Ant, you RAWK!!!!

[TinGull]

Just to add ER2's stats for thus far in 2007...

Hi/Lo in first 30 minutes: 68.7%
Hi/Lo in first 60 minutes: 81.2%

How you like them apples???