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Showing results for tags 'standard deviation'.
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This is the Market Statistics thread that some of you advanced traders have been waiting for. This is the "how to trade anywhere, anytime" thread otherwise called the "when not to trade thread", but not for NEWBIES. If you are a NEWBIE, back off and read the first ten threads on this topic starting [thread=1962]here[/thread]. One of the properties of most markets is the up and down motion that price action displays on virtually all time frames. Some traders call this the market volatility, others call it the natural market rotation. Newbie traders don't like this motion, because when they enter a trade they want the market to continue moving in their direction. Newbies fear volatility. Advanced traders love it. What ever you wish to call it, it is this motion that is tradeable. In the words of Nihabaashi, "To fear volatility is to fear profits". The main purpose of this thread will be to show how you can use market statistics to determine the most probable times when the market will rotate and when it will not. Once you know this, you can then enter a trade either in the same direction that the market is moving or take a contertrend trade in the opposite direction. If you have read the previous market statistics threads, you already know how to do this. Here I want to start to put this all together in terms of a generalized concept which I call HUP. HUP stands for Hold Up Prices. As the name implies, HUP are those prices where the price action tends to hold up, that is where the market slows down, pauses, then either reverses (read rotates) or continues in the same direction. There are two kinds of HUP, static and dynamic. Static HUP are those prices which are fixed for the day. They don't change with market development. In contrast dynamic HUP change as the day progresses. As new data is added, dynamic HUP will readjust to reflect the new data. Below are some examples of HUP that can be used in daily trading STATIC HUP Yesterdays High,Low,Close Overnight High,Low Any computations based on these such as classic pivot points DYNAMIC HUP Yesterdays PVP,VWAP and SD's 2 day PVP, VWAP and SD's 1 week(5day) PVP, VWAP and SD's 2 week PVP, VWAP and SD's 1 month(4 week) PVP, VWAP and SD's 2 month PVP, VWAP and SD's 1 year PVP, VWAP and SD's You can of course come up with other examples of HUP, such as previous bars highs and lows, or 2 day or longer static HUP, or dynamic HUP that are in between the ones I have listed. It really doesn't matter. More important is to realize that these HUP points are prices where the market will tend to hold up. What HUP doesn't tell you of course, is how long the market will hold up and/or how far it will continue in the same direction or if it reverses, how large the reversal will be. Getting the direction correct doesn't mean you can sit back and do nothing. You still have to manage the trade. In the video that follows you will see a 15 second chart with HUP lines drawn on it.. Green lines are SD's above a VWAP. Red lines are SD's below a VWAP. VWAP are dotted blue. PVP are purple lines Now watch this video to see where these HUP lines come from and how the market reacts to them. ER2HUPlinesOct24
Hi guys, Can anyone help me out by porting the following code originally made to ThinkorSwim to NinjaTrader? Here it is: declare lower; input length = 20; def closeLog = Log(close / close); def SDev = stdev(closeLog, length)* Sqrt(length / (length – 1)); def m= SDev * close; plot spike = (close – close) / m; spike.setPaintingStrategy(PaintingStrategy.HISTOGRAM); spike.AssignValueColor(if close > close then Color.UPTICK else if close < close then Color.DOWNTICK else GetColor(1)); Thanks a lot!
as far as i know, most traders prefer EMA (or anything other) than SMA. but Bollinger Bands used SMA and i never seen Modified BB that usign other moving averages. is there any special reason that BB should have made with SMA?
Is there an eSignal efs program that draws the 1 and 2 standard deviation bands on the VWAP. I have looked at Chris Kryza's Volume Profiles but does not seem to have this feature. Alex Montenegro the eSignal moderator has discussed this implementation and discussed the coding for this -but that needs some efs coding experience which I do not have. Is there such code that can be implemented straight away on my charts?