[BlowFish]

Originally Posted by jperl »

That's your choice. You don't have to switch. If you are trading against yesterdays data + todays, you are looking for market moves of 1 SD within that data set. If you are trading against todays data only, you are looking for market moves against todays data set. You choose.

Hi Jerry,

Presumably you can use any of the principles described in earlier threads with a two day data set?

Presumably you can use even larger data sets (5 days for example) provided you are comfortable with the risk?

Finally do you have favourite data set periods and favourite trades? I must admit that originally I was attracted towards the scalp type trades but now find the larger data sets interesting. Maybe it's because volatility died down somewhat.

I'm still impressed with how elegant and flexible what you have presented is.

Edit: One other thing occurs to me your statement above seems to imply that you only ever consider one set at a time? Is that set in stone? I must admit that I like to see things 'aligned' though can lead to indecision when they are not.

[jperl]

Originally Posted by BlowFish »

Presumably you can use any of the principles described in earlier threads with a two day data set?

Yes of course

Originally Posted by BlowFish »

Presumably you can use even larger data sets (5 days for example) provided you are comfortable with the risk?

Yes. The longer the time frame the larger the SD and therefore the greater the risk.

Originally Posted by BlowFish »

Finally do you have favourite data set periods and favourite trades?

I trade the Russell 2000 index futures almost exclusively. I will always have yesterdays data set up and todays.

Originally Posted by BlowFish »

One other thing occurs to me your statement above seems to imply that you only ever consider one set at a time? Is that set in stone? I must admit that I like to see things 'aligned' though can lead to indecision when they are not.

The question of how many HUPS to put on your trading data set is subjective. Too many and you can get confused; too few and you may miss important ones. If I'm trading just today, I will always have yesterdays data set HUPS on my chart( which will continue to change dynamically as todays data gets added to it). But I may also include additional VWAP data from 1 week, 1 month, 1 year ago if they happen to be nearby the price action.
Hope that helps.

[TheAnalyst13]

Blowfish or Jperl,

I was wondering if any could help me out with which type of Profile I should choose in order to replicate Jperl's approach to markets correctly. I use Ninjatrader and there are various Profile indicators based on Volume, TPOs etc.

Here are the ones I can choose from that a programmer wrote in the NT Forum:

VOC - Volume at Close. Only maps volume at the close tick per bar.
VTPO - Volume Time Price Opertunity. Evenly distributes Volume accross the ticks per bar. (TPO is realy just another phrase for POC in this context).
VWTPO - Volume Weighted. Distributes The Volume accross the ticks of a bar on a weighted basis (larger bars get less volume per tick, vs. smaller bars with the same volume.
TPO - only price is used.

Thanks for the help.

[BlowFish]

Originally Posted by TheAnalyst13 »

Blowfish or Jperl,

I was wondering if any could help me out with which type of Profile I should choose in order to replicate Jperl's approach to markets correctly. I use Ninjatrader and there are various Profile indicators based on Volume, TPOs etc.

Here are the ones I can choose from that a programmer wrote in the NT Forum:

VOC - Volume at Close. Only maps volume at the close tick per bar.
VTPO - Volume Time Price Opertunity. Evenly distributes Volume accross the ticks per bar. (TPO is realy just another phrase for POC in this context).
VWTPO - Volume Weighted. Distributes The Volume accross the ticks of a bar on a weighted basis (larger bars get less volume per tick, vs. smaller bars with the same volume.
TPO - only price is used.

Thanks for the help.

I am not familiar with these indicators having said that the second (despite sounding like misnomer) behaves like Ensign (if it does what it says on the can).

If you look closely at Jerrys videos you can see the volume averaged across each bar at its close.....the profile for the range of the bar increases.

[BlowFish]

Originally Posted by jperl »

The question of how many HUPS to put on your trading data set is subjective. Too many and you can get confused; too few and you may miss important ones. If I'm trading just today, I will always have yesterdays data set HUPS on my chart( which will continue to change dynamically as todays data gets added to it). But I may also include additional VWAP data from 1 week, 1 month, 1 year ago if they happen to be nearby the price action.
Hope that helps.

Yes it does. Just interested in your own personal preference .

[BlowFish]

Originally Posted by BlowFish »

Yes it does. Just interested in your own personal preference .

Actually can I recant that? . Let me describe a senario and possible way of approaching it and ask for your comments.

Lets say a weekly dataset has a positive skew and that price has moved up from the VWAP some way towards the SD1 (1/3rd or middway, whatever). We might anticipate that price would continue to SD1 the minimum expected movement.

Lets Imagine the daily profile (our chosen trading set) develops a downward skew. We might choose to skip a VWAP trade against the context of the larger dataset perhaps favouring a breakout (in accord with the larger dataset) or for waiting for the daily data set to flip.

Nothing really revolutionary just a way of considering the context of the bigger picture (data set). In the HUP section you described how they (HUPs) might hold up price but it seems to me they can provide more information too.

Of course you have to be careful not to information overload and to remain clear what you are actually trading. From previous posts I doubt that you would use the data like that but would still be interested in your comments.

[tradepro]

Hi Jerry,

Today I traded HD ( home depot) on a 1 minute chart and got 1 trade out of it. I am fully aware that the market can and will do whatever it wants. That being said HD was in an up trend all day but it was skewed to the negative.I took a text book "Jerry" short at 37.74 from the 1st SD to the VWAP at 12:36 to 12:53, covered, made a profit. It then went balistic because of the Beige book report. Before the report the slope of the VWAP was rising toward the PVP but still negatively skewed with price action way above the PVP and after the report it finally crossed over. My question to you is, if I see that the VWAP slope is converging towards the PVP, and price action is way above, could I enter a long trade at obvious HUP areas or would I be breaking any rules?

I am using ENSIGN and was wondering if I have the correct parameters on my price histogram:

range% 70

minutes: 1

restart: 930

boxsize: 1

initial: 0

Your help or anyone out there would be appreciated

Thanks,


Trade Pro

[jperl]

Originally Posted by BlowFish »

Actually can I recant that? . Let me describe a senario and possible way of approaching it and ask for your comments.

Lets say a weekly dataset has a positive skew and that price has moved up from the VWAP some way towards the SD1 (1/3rd or middway, whatever). We might anticipate that price would continue to SD1 the minimum expected movement.

Lets Imagine the daily profile (our chosen trading set) develops a downward skew. We might choose to skip a VWAP trade against the context of the larger dataset perhaps favouring a breakout (in accord with the larger dataset) or for waiting for the daily data set to flip.

Nothing really revolutionary just a way of considering the context of the bigger picture (data set). In the HUP section you described how they (HUPs) might hold up price but it seems to me they can provide more information too.

Of course you have to be careful not to information overload and to remain clear what you are actually trading. From previous posts I doubt that you would use the data like that but would still be interested in your comments.

Your question comes down to the situation of what do you do when one data set shows a positive skew and another shows a negative skew; which way do you take the trade.?

This situation occurs all the time. The answer is not unique. It depends on what type of trade you are looking to enter. If you are trading against the weekly data with positive skew, it may take a whole week for you to see a positive long trade. If you are trading against the daily data with negative skew then you may want to go short keeping in mind that the longer time bias is long.