[BlowFish]

I can't help feeling that it could be useful. Knowing that the high/low of the day is put in during the first 15 minutes of trading 75% of the time (figures made up on the spot) should be exploitable. Knowing that price trades withing 5 ticks of yesterdays floor pivot 70% of the time likewise. Knowing that if price travels yy points above last weeks high that it is likely to go on and close (daily) above this value xx% of the time etc. etc. etc.

I guess what I am saying is things should be statisticaly significant (i.e. a good high number personally I'd like to see 70% or even 80%+). And that the 'thing' you are measuring should make some sense based on market structure. I guess you have to be pretty careful that you are uncovering some fundamental structure rather than curve fitting some random numbers of course.

I have only ever tried a data mining exercise once as the tools are a little unwieldy (I used Excel). If there where simple tools I might be inclined to try more.

Cheers.

[torero]

I am not saying you shouldn't look into it. I encourage it and find the answers for yourself. Just my limited observation on this area that steered me to other approaches.

[darthtrader]

blowfish, thats absolutely the type of stuff i'm interested in. I would think it would be interesting for extra confirmation as opposed to trying to use things like that outright in and of itself.

you guys ever try trade ideas? I believe thats what Brett Steenbarger uses to do stuff kind of like this, i'm not sure how deep that gets though as far as on more microstructure type stuff.
http://www.trade-ideas.com/DOSA/

i would also think this type of stuff would work better if you had a decent measure of volatility and some rough measure if the market is trending or range bound. if you had something like that you could at least make sure your in the ball park for current conditions vs past conditions.

candlesticks were really just an example i threw out. i agree with looking at 5 bars or what have you. i soppose the problem there would be how fuzzy the patterns would be and would probly be quite hard to program anything usefull in that area.

[rvlv]

Thank you Blowfish.
I have recently started with tradestation 2000i . Still confused about what indicators to use,what guidelines to follow.

Your suggestion of pivots is good and I begin to explore that.

As related to formulae, I found two things really interesting to me which I like to share with experienced people over here. I like to swing trade.
1. Jim berg formula
ref link
http://www.traders.com/Documentation/FEEDbk_docs/ Archive/022005/TradersTips/TradersTips.html

2.support-resistance formula
Support and resistance levels using RSI.
BY Graham Kavanagh May 2003 Ref Amibroker library
I dont have this written in easy language yet, trying still.
The concept is as I see

Go for the easiest AND simple formula there in, Wait for the mkt to come to support levels AND Buy, wait for the mkt to reach resistance level AND Sell
take your bucks.
The point I keep wondering is- do I chase the market? or do I wait till market comes to my choice levels of support and resistance?

I am a newbie and looking forward to seeing useful,dependable indicators and formule that can be applied in tradestation. My friends tell me go for JMA ,ASC trend etc.
Please advise ways to shorten learning curve in TS application-
advance thanks for your time
rvlv

[BlowFish]

A couple of random thoughts.

Someone once told me that in the ES traded at the floor pivot about 70% of the time (within a tick or two on a within the day basis). I got 68% when I put the numbers in Excel. Now that same person also used the pivot as a crude directional indicator above the pivot bullish below bearish. Fair enough but this clearly is not behaviour that could be expected from the test. (We would need to measure something like where the close would be compared to the open compared to the pivot)

Seems to me that a strategy could be built to trade a return to the pivot based on the fact that 68% of the time you would get there.

Opening range break outs are a strategy that hopes to capitalise on a certain market behaviour (un-confirmed by me) and that is that the high or low is 'often' put in in the first xx minutes of trading.

Still no real thoughts on tools - Excel will do the job to a degree but it would be nice to have something simple and fairly non programmatic to use.

[cajam]

Not sure if this thread is still active but in case someone wanders in. I have done quite a bit of data mining with easylanguage. Developing mechanical systems based on EOD data. From my experiences I found a few tendencies that can be turned into decent mechanical systems (that meet my own criteria anyway!). The key I found was keeping it as simple as possible. For example the best I found was not using any indicators and just looking at the HLOC relative to each other over 2 to 5 days (eg. Gaps). Other interesting tendencies come from volatility analysis (range expansion or contraction). IMO you need results that give you >50-60 occurrences per year and that work without too much variance for 10 years + or even 20 years (Gaps).

I also agree there are many traps but a little bit of research can overcome this (check the link below!).

There are some successul traders using this approach at http://www.thechartist.com.au/forum/ubbthreads.php and a wealth of info.

Cam