Trading with Market Statistics IX. Scalping

[jperl]

	Quote:	darthtrader
	Jerry, what is the name of your DOM software again?I missed it twice now when you said it, that looks really nice.

The Interactive Brokers front end is from http://www.zerolinetrader.com.
Use a player like Nick suggested for easier replay of the videos.

	Quote:	darthtrader
	Also, do you do anything as far as keeping this information on a yearly chart for stocks if you wanted to buy a stock for a roth or what not? Do the same concepts apply if your looking at daily data?

Yes, it should be useful for stock daily data. I look at a 1 year chart with the PVP and VWAP on it for the various futures I trade.

[steve46]

I took a stab at fixing the program bugs that stopped my tick chart from displaying correctly, and during the evening I replayed intraday charts using both tick charts and chart with 5 min candles. What I observe is that one can use the tick charts to trade the pre-open and open (first 30 to 45 minutes), watching the market develop and taking a few quick scalps. You can then "switch over" to the longer term chart (2-5 minute candles in my case) and not feel as though you "missed" the open..Just a thought.

[jperl]

	Quote:	steve46
	I took a stab at fixing the program bugs that stopped my tick chart from displaying correctly, and during the evening I replayed intraday charts using both tick charts and chart with 5 min candles. What I observe is that one can use the tick charts to trade the pre-open and open (first 30 to 45 minutes), watching the market develop and taking a few quick scalps. You can then "switch over" to the longer term chart (2-5 minute candles in my case) and not feel as though you "missed" the open..Just a thought.

Yes Steve, that's one way to trade the open. I usually use a 15 second chart on the open and watch to see if there is a NEWBIE entry for a quicky.

[steve46]

Yes and I think we can take this a little further than just the open. It seems that one can use the shorter term chart to trade those "in between" times when the skew is does not show direction (skew = 0). Or when a sudden shift of the skew occurs, looking at the shorter term chart (for me it is either a 1 minute chart or 200ticks) lets you re-orient yourself and prepare for a possible reversal. We had a good example just now on the ES contract where the skew shifted, I changed over to the 1 minute chart and took the long entry around 1448 looking for a scalp profit at the 1 SD (about 1449). In fact the move continued on up to 1452 (a previous "HUP").

Previous "HUP" areas seem to act like magnets or pivots and in this case price has stopped there at least momentarilly.

[jperl]

	Quote:	steve46
	Yes and I think we can take this a little further than just the open. It seems that one can use the shorter term chart to trade those "in between" times when the skew is does not show direction (skew = 0). Or when a sudden shift of the skew occurs, looking at the shorter term chart (for me it is either a 1 minute chart or 200ticks) lets you re-orient yourself and prepare for a possible reversal. We had a good example just now on the ES contract where the skew shifted, I changed over to the 1 minute chart and took the long entry around 1448 looking for a scalp profit at the 1 SD (about 1449). In fact the move continued on up to 1452 (a previous "HUP"). Previous "HUP" areas seem to act like magnets or pivots and in this case price has stopped there at least momentarilly.

Good show Steve. Keep up the good trading.

[steve46]

Thanks Jerry, your generous work here makes it possible for me to improve. So what I would like to do is give a little bit back..One technique I use profitably is to look at a 60 min chart of the previous day's action, noting where the wide range bars exist. Wherever I see a "wide range bar" I calculate the midpoint and put a horizontal line through it. These lines serve as "test points". That is to say, I look for today's price to test these lines and also they serve as profit targets helping me to stay in a trade longer.

The attached chart shows one example of a trade using the midpoints of the previous day's wide range bars. There were several such trades possible today. This seems to work well for both futures and equities. The general concept is that the midpoint of wide range bars serves as both support and resistance.

[BlowFish]

Hi Jerry,

I guess you are still considering how to present HUP's....gives you a well earned weekend off I guess! Still I missed my 'trading with market statistics' fix.

In the meantime one thing that I am still considering is when to take breakout trades and when to take counter trend trades. (of course when in doubt stay out is also an option too).

I know BO trades should be from the bands wrapping round the PvP. Counter trends when PvP & VWAP are 'close'. There are situations where both look like valid possibilities? actually I was hoping maybe a few more examples might help if HUP's are a way off. (scalp charts are perhaps good for this as things happen 'quickly'). Forgive me being presumptuous.

Also it seems to me that there is case to be made for a trade you have not mentioned (yet at least). This is a counter trend trade when price is a 'long long way' from the VWAP (and possibly the PvP). For example if price is outside the 3SD and moves back in. Risky again because an 'overbought' market (not a concept I necessarily buy into) can remain 'overbought' for a very long time. Guess we can open a scalp chart and find a trend trade (that is counter trend to the 2 minute of the day).

Cheers.

[jperl]

	Quote:	BlowFish
	Hi Jerry, I guess you are still considering how to present HUP's....gives you a well earned weekend off I guess! Still I missed my 'trading with market statistics' fix.

I don't know when I will get to discussing HUP in detail. Next week I will be away for most of the week, and the the week after I'm heading off to China for 3 weeks. So you won't hear from me for quite a while.

	Quote:	BlowFish
	I know BO trades should be from the bands wrapping round the PvP. Counter trends when PvP & VWAP are 'close'. There are situations where both look like valid possibilities? actually I was hoping maybe a few more examples might help if HUP's are a way off. (scalp charts are perhaps good for this as things happen 'quickly'). Forgive me being presumptuous.

The break out trades occur when price action is near the PVP Nick. If you have the situation where the PVP is also near the VWAP at the same time, you do nothing. Just sit and watch.

	Quote:	BlowFish
	Also it seems to me that there is case to be made for a trade you have not mentioned (yet at least). This is a counter trend trade when price is a 'long long way' from the VWAP (and possibly the PvP). For example if price is outside the 3SD and moves back in.

Yes, that is correct. In fact Cooter mentioned this one early on. I usually don't do anything when the market reaches the third standard deviation. It's a tough call.

[O66]

dont know if this is the right place to do it since this thread is about scalping, but I have a question about Shapiro,

1) does the price bar have to make a "floater" above the SD band before the pb bar qualifies as a Shapiro bar? Or does 1 bar just have to close > the SD band and the next bar that reverses under the SD band is the Shapiro bar even without an earlier "floater" above the band?

Using Buy as example

2) what if there are successive bars that sit right on the SD band with Close < Open but the HIGHs keep getting LOWer. Do you use the last bar HIGH and keep moving the entry price LOWer or is the 1st bar that crossed the SD line used as the HIGH/entry price?

Thanks

[jperl]

	Quote:	O66
	but I have a question about Shapiro, 1) does the price bar have to make a "floater" above the SD band before the pb bar qualifies as a Shapiro bar? Or does 1 bar just have to close > the SD band and the next bar that reverses under the SD band is the Shapiro bar even without an earlier "floater" above the band? Using Buy as example 2) what if there are successive bars that sit right on the