Interesting Initial Balance Statistic

[ant]

	Quote:	Dogpile
	one other request of ant... I like to think from George Taylor perspective which is most easily thought about as you form a thesis about whether you think the days basic theme will be trade from a low morning level to a high afternoon level ('low made first' was how it was written in the book -- The Taylor Trading Technique) -- or whether you think the day will trade from a high morning level to a low afternoon level (high made first). I generally see this 'reversal' occur in the 10am-12pm EST timeframe --- as it did today (Friday) and yesterday (Thursday). Was curious in the stats associated with a high or low made in precisely the 10am-12pm EST? btw, This is more for 'context' that for entries and exits. attached are last 2 days:

Dogpile, using the buy day/sell day rhythm from the Taylor Technique and these statistics is a good idea. Personally, I don't use the Taylor Technique anymore, instead I use my analysis based on Market Profile for that bias. If I used Taylor, I know I will get conflicting information with my other analysis, which I would defer to anyway.

I think I captured the data you were asking for, but I also included the first 30 mins stats as well.

ES (Past 3 Years)
Highs in first 30 mins (9:30-10:00 EST): 149 out of 756 days or 19.71%
Lows in first 30 mins (9:30-10:00 EST): 205 out of 756 days or 27.12%
Highs from 10-12 EST: 151 out of 756 days or 19.97%
Lows from 10-12 EST: 146 out of 756 days or 19.31%
=======
High/Low in first 30 mins: 354 out of 756 days or 46.83%
High/Low from 10-12 EST: 297 out of 756 days or 39.29%

YM (Past 3 Years)
Highs in first 30 mins (9:30-10:00 EST): 138 out of 755 days or 18.28%
Lows in first 30 mins (9:30-10:00 EST): 200 out of 755 days or 26.49%
Highs from 10-12 EST: 151 out of 755 days or 20.00%
Lows from 10-12 EST: 152 out of 755 days or 20.13%
=======
High/Low in first 30 mins: 338 out of 755 days or 44.77%
High/Low from 10-12 EST: 303 out of 755 days or 40.13%

ER2 (Past 3 Years)
Highs in first 30 mins (9:30-10:00 EST): 165 out of 756 days or 21.83%
Lows in first 30 mins (9:30-10:00 EST): 182 out of 756 days or 24.07%
Highs from 10-12 EST: 154 out of 756 days or 20.37%
Lows from 10-12 EST: 172 out of 756 days or 22.75%
=======
High/Low in first 30 mins: 347 out of 756 days or 45.90%
High/Low from 10-12 EST: 326 out of 756 days or 43.12%

[Dogpile]

thank you ant... awesome...

<<High/Low in first 30 mins: 354 out of 756 days or 46.83%
High/Low from 10-12 EST: 297 out of 756 days or 39.29%>>

just to be sure I am reading right, this is either/or such that:

1-[(1-.4683)*(1-.3929)] = 67.7% of days high/low would be before lunch (9:30-12pm)? or am I reading it wrong?

if right, this would imply that the market makes a higher high AND a lower low after lunch 1/3 of the time? that is surprising. guess that would include those times it run stops above/below a morning high/low by just a tick or two -- but still, seems higher than I thought even including those days....

btw, I use Taylor rhythm just for thinking about the days potential structure -- that is the thing about Taylor... a 'sell-short day' can quickly morph into 'sell-short day, low made first' -- which effectively equals a 'buy day' -- so he has covered all the bases with that book because you just insert the 'low made first' or 'buy made first' in after the fact....

therefore, I agree that you can't really rely on Taylor for much other than kind of a starting thesis with which to look for supporting/refuting evidence as the day progresses.

[Dogpile]

just took another look at that 8/30 day in my previous post... it never made a new low in the afternoon. therefore, statistically it would qualify as a day where low was made in opening 30-mins AND a day where high for the day was made before lunchtime. good example of a day where you could make money from both sides as there was not much Taylor bias -- 8/29 was a buy day and came into 8/30 with residual upside momentum from strong 8/29 action (can see how gap down was bought aggressively just after the open). curious what your 'post-mortem' on 8/30 is ant? how do you think about the structure for that day in context with previous action?

[ant]

	Quote:	Dogpile
	curious what your 'post-mortem' on 8/30 is ant? how do you think about the structure for that day in context with previous action?

See the post here http://www.traderslaboratory.com/for...html#post18091

[marketguy]

Just found this thread, Ant. Thanks so much.

Have you ever run stats on the Dalton's Value Area Trade (and the supposed 80 % likelihood of the market returning to the opposite value extreme)?

Wonder how close to truth that is? Larry Levin on Value Area Trade.doc

Thanks.

Bryan

[Minetoo]

Ant, good work. Your idea has been studied/proven a number of times in the past. Larry Pesavento's 'Opening Price Principle' (http://www.ensignsoftware.com/tips/tradingtips67.htm) and to some degree John Clayburg's DDF (directional day filter)(http://www.clayburg.com/ddf_home.htm) expound on the exact same phenomenon.