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jperl

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Posts posted by jperl

  2. Posted

     

     

     

    Do you think that 1000 coin flips will suddenly become something other than random? If every coin flip from the ten produces a winning trade, will we suddenly have a great trading system in our hands? If 1000 coin flips were to produce 1000 winning trades (can happen, but I can't do the maths!), what then?

     

    Larger sample sizes usually mean greater statistical significance, but this is not always the case.

     

    BlueHorseshoe

     

    For what it's worth, fair coin tosses should follow a binomial distribution. Stock prices do not. So any system based on some fixed random distribution, binomial or otherwise will ultimately fail.

    As far as guessing 1000 winning trades in a row, it's 1/2^1000. Even getting 10 winning trades in a row is pretty small, approx 1 in 1000.

    Enjoy the entertainment.

  4. Posted

    Thank you, Jerry for a valuable discussion and all your effort.:applaud:

     

    I don't have ensign, but TOS (Think or swim) has VWAP and Volume Profile indicators. Should these be started at 9:30 AM each day, or are they running continuously?

    I believe in TOS, you can only start VWAP from the opening bell, daily, weekly or monthly.

     

     

    Regarding ensign - are these indicators proprietary or standard?

    What you see in my charts is based on software I wrote. However Ensign offers them as part of their study list.

     

    And last - is 2 minute chart the optimum for trading this method?

    I use 2 minute charts, but there is nothing sacred about the time interval, you can use longer or shorter intervals

  5. Posted

    hey Jerry, I love the technique. You have indeed taught me. My question today is with the FX. I have been interested in plotting the volume distribution on the forex but it does not seem to have the same results as plotting the distribution as with other vehicles. I guess my question is. If you plot the Volume and get the price on the close of the bar, as you could do with any simple volume indicator, would this be the same price (the peak volume point) as the peak volume price on the volume distribution histogram. I think my question is, what is the difference between the volume distribution and the volume?

     

    The answer to your question is no. When you plot volume for every bar, the single bar with the largest volume is not the PVP. To obtain the PVP you have to sum all the volumes for each price and find the price with the largest sum. This sum could be from a price with lots of small volumes occurring many times and may not be anywhere near the price bar with the largest volume.

  7. Posted

    For those of you with full time jobs that want to trade the Iron Condor, check out

     

    7minutetrader.com.

     

    They do weekly spreads on the S&P 500 Index (SPX). For a $50/month they will tell you the weekly setup for a credit spread reward/risk ranging from 6% to 14%/week.

    I use them for my non daytrading portfolio.

  9. Posted

    Jperl,

     

    Thanks for all of you very educational posts.. Question for you on HUP......

     

     

    At the start of a day, I understand to use previous day VWAP and PVP's as HUP's. But would the next best source of HUP's be places in previous days or weeks where price was rejected or accepted as noted by high volume or low volume areas? High volume areas would represent places where price was accepted and low volume areas would be places where price was rejected.

     

     

    Traderwolf

     

    Yes of course, you may use any defined HUP's you like, but don't mix apples with oranges. Be consistent. Use the same HUP's from day to day.

  10. Posted

    I am not sure how to phrase this question so let me tell you where I am going with it first. Is knowing when to reverse a trade learned more from experience or is there something on the chart that may give clues?

    I don't think I ever discussed trade reversal in the Market Statistics threads, but in any event the "clues" as you call it are places on the chart where if you are say presently long you should be short and vice versa. However this involves very careful trade management prior to your initial entry. You should be asking yourself several questions prior to the long entry. For example, a)what is my risk tolerance on this trade? b)If I have to reverse this trade, where would it be? c)would I still be within my risk tolerance if I reverse this trade with increase in size? If you can't answer these questions, then don't take the initial trade.

     

    I believe there was talk of this before: when you may have 2 symmetrical spikes within ex. 90% total volume of each other would you consider the more recently created spike perhaps as more relevant in its physical location on the chart to the VWAP?

    This has been discussed on these threads before but I don't recall where. It's called a two boob day. There are some who believe that when price touches the second boob, it will bounce back to the first boob. My preference would be to trade between VWAPs rather than boobs, but this can get complicated and you will have to find your own way through the maze.

  11. Posted

    Thanks Jerry for the update and answer. I believe the trade management

     

    I do not know if you have the time or desire but I was wondering if I may be able to present my trading strategy to you for some objective comments? I will say it is not really based on a statistical or mathematical model.

     

    Your best bet instead of PMing me is to post your strategy in the appropriate thread here at TradersLaboratory. Don't be shy. People here are very helpful and you will get lots of feedback.

  12. Posted

    Hi Jerry, Nick,

    I was wondering if you guys are still around or have moved on to other ideas?

    We are still around.

     

     

    Jerry, one thing that kinda of caught my attention (at least when you view all the videos & read thru all the posts, over a 3 day time frame) was that early on (Parts1-5) there was mention of how you became a successful trader only when you started managing your trades using risk tolerance, typically showing very wide stops at the PVP area typically and scaling-in techniques. There were also a few side threads on this w/DogPile about the merits of it. I believe around Part6-7 when you started covering entry techniques involving the Shapiro effect and the more advance videos you frequently mentioned how conservative your trading style is and your motto "Never let a winner turn into a loser" and the use of significantly tighter stops than before. I believe Nick asked you about this in one of the threads as well. How do you manage or what criteria do you use for these 2 different risk management styles?

    This all depends on your trading style. Newbie's always use stop losses, which usually gets them into an overall losing position. As you develop confidence, you will find that if a trade moves against you, and you know what your risk tolerance is, you can stick with the trade, by scaling into it or even reversing it with scale ins. It's this risk aspect of trading that I use rather than stop losses. If a trade moves in my direction, then of course I will use something like a breakeven stop to exit.

     

    From what I can tell, these tighter stops seem to be related to the type of trade you are entering such as a breakout, an entry into a symmetrical distribution day, scaling. For a position trade and a newbie type of trade are you still focusing on in long trades of using the PVP-1 as your stop loss area?

    Well if you are a newbie, yes. If you are not a newbie, and you have discovered the paradigm shift of risk tolerance, then no.

    Seems alittle foolish to post even this much on a 3.5 year old thread so I will stop. It has been a great read seeing the presentation and the evolution of questions and traders.

     

    Old threads if they are good ideas never die.

  13. Posted

    Hi everybody,

     

    I have the following scenario as shown in the screenshot attached. I am trading the italian index future and from 10am to 11am a lots of good news has come out. so the future has just gone up like great! So the PVP is at 20450 and the VWAP is at 20259 I'd assume that means negative skew also because now the price action is in the low region and I'd be expecting the market to retrace. Would I be wrong going short from PVP to the 1SD or what is best to do?

     

    thanks

     

    Wait for the price action to drop below the 1st SD before you consider a short.

  14. Posted

     

    Just to clarify your reply, suppose I start day trading say on Wednesday morning, then I should set my Volume Histogram indicator to plot the summation of Tuesday & wednesday's data as the day progress?

     

     

    As a minimun, yes. At the start of Wednesday, you don't have any statistical data to examine. So as a minimum you should have Tuesday's data available and add to it as the new day progresses.

  15. Posted

    Hello Jerry and thank you for all the hard work, I've read and love your posts. Jerry, could you specify the differences between the the VWAP and the VWMA, and why one is better or more useful than the other. Thank you.

     

    The VWMA or volume weighted moving average is like any other moving average except it is weighted by volume. In practice what this means is that you have to choose a time period over which to compute the average. The problem with this, is you are always dropping the oldest data at the back of the average and adding new data at the front.

    VWAP on the other hand, does not drop any of the data. It keeps adding data at the front.

    Which is better? It depends on your point of view. To me, the VWAP and the histogram from which it is derived provides a clearer picture of the overall statistics of the market. The VWMA and its histogram may have no statistical significance depending on its time frame.

  16. Posted

    Hi Jerry:

    Greetings.

    You have mentioned that we can select any number of days to draw the volume histogram including the choice of limiting the data to what is avilable on the current screen.

    With this wide choice,, don't the PVP value change depending on volume histogram data ( 1day, or 2 day or current screen data)?

    If the PVP value change based on the quantity of data , skew with VWAP also change based on quantity of data used. Given this varience, what is the ideal data period should we use to plot volume histogram and PVP, for day trading the index futures?

     

    Appreciate your advise.

     

    Regards,

     

    Raj

     

    Raj, As a minimun, the amount of data should span a time period at least as long as the period over which you intend to trade. So if you are day trading, then you should have at least one days worth of previous data showing VWAP and volume histogram.

    If you trade over a two or three day period, then you should have at least two or three days worth of data.

  17. Posted

    Jerry, thanks for a wealth of clearly written info that will make a difference in even how an experienced trader analyzes the markets. I have millions of contracts under my belt (between being a floor broker, floor trader and now an upstairs trader) and your tutorials have given me much to think about that I never knew. I would like to know your thoughts about trying to either integrate or modify the scanshift range extension rectangle (RER) to incorporate some of your strategies. That could be quite a potent combination..

     

    Thanks

    Fane

     

    What I have presented is now public information. You may use it in any way you like.

    The only thing I ask is if you do use it in a product, to reference the source here at Traders Laboratory.

  18. Posted

    JPerl, thank you for your Market Statistic serie.

     

    I wanted to know if algorithmic High Frequency Trading had affected the strategies you describe in this serie?

     

    The statistics of the price action tell you nothing about the source of the price action including High Frequency Trading. That's the beauty of the statistical data. You don't really need to know its source, only what it looks like.

    What trading strategy you use with the statistics is of course up to you. I've described several in the threads. There are many more.

  21. Posted

    I guess the question is is whether it causes one to miss more bad trades than good trades. It might be useful to give confidence in some of the riskier trades (break out springs to mind) if it is in the direction of the larger data set.

     

    If confidence is what you are looking for, then yes. Sort of like the Shapiro effect- wait for confirmation. As far as missing bad trades, it depends on how you define a bad trade.

    I've never been one to define a trade as bad (except when I was a newbie and didn't know better). There is only bad trade management and bad money management most of which has been discussed in these threads.

  22. Posted

    Hi Jerry, thanks for your reply. My question was not really meant to be a general 'what to do' question, more a request for a comment on the general principle. The general principle being using a larger data set as 'context' for a smaller dataset trade. Context could mean a directional bias or possibly a filter.

     

    As you say there are many way's to interpret two data sets, the question is more along the lines of is there any advantage doing so? I think so, on the flip side one has added complexity to deal with.

     

    As an example (again not asking for a comment on this specific case), if the weekly is moving from VWAP to SD1 (which will likely take some number of days) one might want to concentrate on daily trades in the same direction (these will be smaller, quicker trades) they could be VWAP, SD1, or even break outs as long as they are in the direction of the weekly movement (or context if you like). This particular example is similar to the traditional concept of going with the greater trend.

     

    Blowfish your concept of using the longer data set to decide on trade direction for the shorter data set would work fine. In fact it should work fine for just about any type of technical analysis one uses: eg. long time moveing average with short time moving average, long time regression analysis with short time, long time stochs with short time stochs. The key as you state is trading the short time in the direction of the long time trend. The only problem I have with it is you will miss about half the good trades.

  23. Posted

    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.

  25. Posted

    Hey guys I hope someone is still watching this thread. I have been learning about market profile over the past few months and I stumbled upon this thread which has been very interesting for me. Before I continue reading I want to make sure I have the basics down.

     

    I do have a question: I trade CL from 9am to noon NY time. Do I use the overnight session for the volume histogram or do I only use the data starting at 9am? This makes a difference in the vwap & PVP so I'm not sure.

     

    Thanks

     

    Not familiar with crude oil Cunparis, but I would think that the overnight data would not have much effect on the VWAP value unless overnight volume is large. If it is large, then you need to include it in your data.

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