[snowbird]

Originally Posted by ptcman »

What I want is to be able to use yesterday's open and close prices, based on the time interval chosen, and do whatever calculations I want with today's open and close prices also based on the time interval chosen.

Regards

pctman,

You have piqued my curiosity.

What "do" you want to do with the resulting chart/data.

For instance.... I can think of one thing someone may want to do. If you only traded,say, the first two hours in the morning... and wanted a simple historical look at the range and volume, just during that time frame.... this would be a quick birds eye view way to get it.

What type of applications are you interested in exploring with this?

snowbird

[Tams]

Originally Posted by ptcman »

Tams,

Is it possible for you do give and explanation with simple examples when we need (must) use resets and when that is not a necessary?

Also, it would be nice to know the many (?) ways to reset variables.

Regards

if time = xxx then...
is a form of reset.

it resets the variable to a new value if the time meets a criteria.

[ptcman]

Originally Posted by snowbird »

pctman,

You have piqued my curiosity.

What "do" you want to do with the resulting chart/data.

For instance.... I can think of one thing someone may want to do. If you only traded,say, the first two hours in the morning... and wanted a simple historical look at the range and volume, just during that time frame.... this would be a quick birds eye view way to get it.

What type of applications are you interested in exploring with this?

snowbird

Hi snowbird.

Yes, that is one of the ways we can use the data retrieved from the indicator, but countless others may be used. Our imagination is the limit.

I don't believe in automatic systems.
I believe in strategies, in probabilities, in statistics, all due to past behaviour.

I believe that "today's" trading day should be divided in 2 halves.
The first half is the conclusion of the previous trading day. All trades/businesses that couldn't be done til the end of yesterday trading the day, will be closed at the beginning of today's trading day.
There are many reasons for this to happen, the majority due to our own behaviour, human behaviour.

The second half, well, the same pattern repeats itself. The second half will initiate new trading business that will be closed... the next day.

Naturally that we are speaking of very short term trading / daytrading, an area where, when things are well studied and structured, can generate a very nice monthly income till the end of our lives.

I try mainly to follow human psychology and incorporate that into time and prices. There are periods when time is a factor far more important than the price itself.

The beginning of an hour, a day, a week, a month, a quarter. The end of an hour, a day, a week, a month, a quarter. These are all time periods that have importance for us humans, in all aspects of our lives.
We don't have the notion of it, but we react to all of this in one way or the other. This creates patterns that can be exploited.

There are studies saying that the first day of every month, mainly in the S&P500, but also tested with good results in the German DAX, has a very, very high probability of being a positive day (I'm not certain but I think the reading was made on a close to close basis).
Now, knowing this, we can try to exploit it, but through other ways (ie. psychological ways).
Analysing only the close is misleading. We should analyse the highest and the lowest points where traders were able to push prices. These will show the real strength behind of each move.
OK, the first day of the month tends to be positive, but when that happened, how the first half of the day traded relatively to the previous day?

Naturally, before we can answer that, we must first determined the time period for each half of the day?
Can we consider noon the time that should divide each half?
There are readings that lunch time should be the one to be considered, which spans between 11:30 am to 1:00 pm (EST).

I confess that a lunch time period makes perfect sense since we humans, when dealing with other humans, we tend to share experiences, ideas, thoughts that, although we try not to be influenced by them, by the simple fact that we took knowledge of it, they will be taken in consideration in one way or another. Also, humans, we need time to absorb all news things that are brought to us.

Time must always be taken in consideration.
Example: the markets are acting weird, not really making sense, we have a position that is laying there, and lunch time is arriving. We decide to close it, so we can enjoy the lunch period without the morning stress. During lunch we heard an idea, a gossip, some news event just been released. Traders come from lunch to see how the markets reacted to that period, hence, the beginning of the second half period.

All of this are ideas that MUST be studied and structured before any trade can be executed.


Regards.

[snowbird]

Originally Posted by ptcman »

Can we consider noon the time that should divide each half?
There are readings that lunch time should be the one to be considered, which spans between 11:30 am to 1:00 pm (EST).

I confess that a lunch time period makes perfect sense since we humans, when dealing with other humans, we tend to share experiences, ideas, thoughts that, although we try not to be influenced by them, by the simple fact that we took knowledge of it, they will be taken in consideration in one way or another. Also, humans, we need time to absorb all news things that are brought to us.

Time must always be taken in consideration.

Your response confirmed many of my own thoughts... Now I'm going to have to see if I can get the code working on TS to start the analysis (which is is the fun part for me!). If it works, I personally will start with three periods (treating the eastern "lunch" session 11:30 to 1) initially as a separate period. My expectations of this period, would of course be different than the other two. I would expect lower volume, consolidations, market drifting in the "general" direction of the "pre-lunch" session etc. Don't know yet... but if the opposite occurs... "high volume", "large range", "dramatic price reversal", etc., I imagine that there could be some "learnings" from those situations (what was so important to keep traders engaged during lunch!)

Questions I currently have about the morning and afternoon sessions... do they have different characteristics in up vs down markets? What does a high volume afternoon session tell you in terms of probabilities/expectations for the morning session, etc.

I'd be willing to post findings, if any. I believe this could be a cool thread if others are interested as well.

snowbird

[ptcman]

Hi snowbird.

You really catch the idea.
But this is just the beginning, a very small part of a much bigger picture.

When dealing with futures, we MUST include the overnight session.
Even if we only trade the floor session, 9:30 am to 4:00 pm EST, what prices did during the overnight MUST be taken in consideration.

Why do prices retest the overnight high or low the majority of time during the floor session when prices are trading outside of that range? Why traders like to confirm those values?

Also, if we trade the ES futures, despite the prices being traded accordingly to the supply and the demand of it at that moment, prices are still indexed to the cash market, hence, to the 500 stocks that constitute the index, meaning that the big caps performance not only make the cash market move, but also the futures.
For this I like to follow the S&P500 GICS sector indices. The big four are Technology, Finance, Healthcare and Consumer Staples.

The premise here is that following the sectors we are able to confirm the S&P movements, hence, the ES movements.
There are people that prefer to use the industries instead of the sector due to their ability in grouping companies that really operate in the same industry, like Banks, Brokers, Semiconductors, Software and so forth.

The easiest way to do this, and in real time, is to use their ETF's counterparts since the S&P doesn't distribute the GICS indices in realtime to any data provider.

Note that all of this must be analysed always taking human psychology in consideration. Behind each price movement exists people, traders with fears, hopes, expectations that must be reached in X time.
When they aren't met, emotions take control and these same emotions leave marks on the charts that can be measured by the length of the move.

Regards

[snowbird]

well said

I often struggle with the "bigger picture"
especially in this new connected world where news. policy and government decisions across continents can affect inter-related markets, often instantly and opposite to 'expectations"

I'm sure this is why so many of the experts on this forum recommend beginner traders start out and focus on:

1 market or
1 system or
1 chart pattern or
1 time of day or
1 quantifiable edge or
price only/order flow only/etc.

in essence... the goal is to be able to understand a particular aspect of human emotion that repeatedly drives a market behavior one can both recognize, and potentially profit from.

snowbird