[Eric Johnson]

I wonder if others have observed this aspect of revised historical charts. I was trading the Nasdaq around Feb of '09. I was trying out a opening gap close trade. I took a small QQQQ option, and even had the futures feed to watch it 24 hours a day. The gap was never even near closed on the minute charts, but all sites like Yahoo and daily historical back fills showed the high and lows with a closed gap.

This is the idea that those who control the past history color the future, especially if they could shape technicals. Like I posted before, who controls what exact tick that reflects open, high, low, close? Could the formations like head and shoulders be sculpted to suck in dumb money then reverse? Also I have seen different price levels for the historical highs of the S+P, varying around 20 points.

To something more concrete. The statistical shaping of the past and market directing. Here is one of my favorite sites reporting the major upcoming revision of the way unemployment numbers will be accounted, coming up 2/5/10, yes Friday.

Mish's Global Economic Trend Analysis: 824,000 Will Disappear On February 5; BLS Admits Flawed Model But Plans No Changes

I do not know if it will matter to the markets. It does show the ways that stats are manipulated and things like the GDP figures are of suspect and constantly revised.

Of course there are an unlimited number of factors that drive the markets. This has directed my system building to focus on technical high probability scalps. I look for things like times when the markets are acting fairly normally, the 24 hour forex markets offer many hours when the markets are just coasting along. Then I look to isolate technical setups that may not be huge pip runs, and may only happen a few times a day, but are in the 80-90% probability of being effective trades. I would love to be a relaxed swing trader of day bars, but the stream of market directors has gotten so fast moving and hard to predict. Like when is an announcement out of China going to shake the markets? Never mind the meddling regulators and weekly game changers. Why would I want to bet my money on what the team of Bernake, Obama, and Geitner will spring on the markets next?

[DugDug]

Revised numbers - this has always been the case....I find it crazy, but that is why if looking at fundamental numbers you either need to look at the trend for those numbers - to make longer term fundamental decisions, or really focus on the expectations of those numbers, factor in the context of the market moves and trade off expectation v actual numbers on the days....there are some big global macro guys I know who combine both pretty well over the long term. But once they got whacked 15% in a month by a Swiss inflation number that caught everybody out....in the final analysis it was shoes that caused the issue and in the revised numbers, the shoes were taken out of the equation.... too late the market had moved and they were stopped out.
It seems you either need to be short short term and avoid the numbers, or longer term where the numbers make less impact....in between can hurt.

Re historical data.... this is a tough one for a retail trader. Some big quant houses collect their own data, I heard one of them spends $2mill a year collecting and storing. For the rest of us we have to make do. Thats why I have done some simple testing (I am not a programmer), whereby I use it to test the overall idea, the parameters that tweak the system and make sure that the numbers are reasonable.... however I never believe my numbers because I dont believe the data is real.....hence why real time paper trading something is vital with real data live time - not just walk through trading of historical data.
Overall I still dont think the technicals change that much, its just that some of the simpler patterns/ideas work in some markets better than others.....eg; any mean reversion system or support based system is more likely to fail, or not look good in a sustained downtrend. Its still all about context.

[DugDug]

Here is a good story regarding stocks - I can tell you there are days where one particular trade will move a market for no other reasons than they just cannot find volume on their opposite side. Yet they insist on and need to get set.
(I have plenty of these stories as I traded about ten stocks very closely for about 8 years)

example; (This involves option concepts, so hopefully I explain it clearly enough for most to understand.

a bank stock I was en equity option market maker in - one day somebody walked in and bought 1000 OTM call contracts (each contract was over 1000 shares) hence a potentially 1mil volume share trade. At the time these were out of the money and had a delta of about 6 (out of a possible 100) (average daily volume was 3mil shares a day in the underlying)

4-5 months later this person came back into the pit to sell their now deep in the money call options, 20 minutes before the close, the day before the stock went ex dividend - so they had to either excise, or sell or they lost the dividend value in the call. There were only three market makers here at the time normally 5, and we recognised the order coming back, so we organised with the broker to do this in the most orderly fashion possible...... so we sold the ended up selling about 1 mil shares (a third of avg vol) in 20 mins as our hedge, buying his calls back. A straight market maker arb, Anyway the stock got slammed about 5% in the last 15mins. He made about 1.7mil from a $100,000 investment.
We took our small clip off fair value.

On the charts it looked a bit abnormal, the press and brokers reasoning the next day were - "possible rights issues", "bad loans", "big investor bailing", blah blah blah.... when in reality we knew what it was....none of the above (one reason I am a sceptic)

However, it took about a month before the price rebounded..... make of that what you like.

[Kiwi]

Agreed.

If you don't stay above or below the noise timeframe then its going to be a challenge.

[felix36]

To get reliable results, we have to go down to the elementary level and the elementary data perform calculations for longer time intervals.
We assume that we have two completely identical OHLC bar in duration from one minute to complete the same volume.
Rights size distribution of capital will be different for both because it depends on each individual element within that interval, which does not and usually is not the same.
If you performed the calculation based on data the two minute bar and the same corresponding volume, get the same result, but it would be inaccurate.

So we actually get for pre-encrypted information.I when we see bullish engulfing or what so it means nothing.
When analyzing candelsticks even that does not mean anything.
Under each candelstick and two completely identical with the same volume in an interval, no matter whatever it was is special and unique story.
Nothing can be more plain reading with technical analysis.

OHLC nor any volume that belongs to him is not enough.
We can not find anything with that information because it is already "under the surface" formed.
It is logical.
If T.A. based on price and volume, and price is manipulated, the relative volume also grinding to extremes in HIGH FREQ.TRADING.
Complete T.A. what most use is also MANIPULATED not worth anything
What Elliot Wave, Fibonacci?
Do you think that a computer program has embedded itself in the subconscious sense of aesthetics, such as people?
Sometimes there were, and still do not.

[jaygo]

Originally Posted by felix36 »

To get reliable results, we have to go down to the elementary level and the elementary data perform calculations for longer time intervals.
We assume that we have two completely identical OHLC bar in duration from one minute to complete the same volume.
Rights size distribution of capital will be different for both because it depends on each individual element within that interval, which does not and usually is not the same.
If you performed the calculation based on data the two minute bar and the same corresponding volume, get the same result, but it would be inaccurate.

So we actually get for pre-encrypted information.I when we see bullish engulfing or what so it means nothing.
When analyzing candelsticks even that does not mean anything.
Under each candelstick and two completely identical with the same volume in an interval, no matter whatever it was is special and unique story.
Nothing can be more plain reading with technical analysis.

OHLC nor any volume that belongs to him is not enough.
We can not find anything with that information because it is already "under the surface" formed.
It is logical.
If T.A. based on price and volume, and price is manipulated, the relative volume also grinding to extremes in HIGH FREQ.TRADING.
Complete T.A. what most use is also MANIPULATED not worth anything
What Elliot Wave, Fibonacci?
Do you think that a computer program has embedded itself in the subconscious sense of aesthetics, such as people?
Sometimes there were, and still do not.

?... im sorry, I understand that english wasn't your first language but i didn't understand a word of that.

[felix36]

I'm sorry.I will try again here ...

To get reliable results, we have to go down to the elementary level (PRICE / SALES) and elementary data perform calculations for longer time intervals. If we have two completely identical bar OHLC a period of one minute with the same volume.

Rights size distribution of capital will be different for both because it depends on each individual element within that interval, which does not and usually is not the same.

So we actually get for pre-encrypted data. When you see the bullish engulfing or anything like it means nothing.

We can see nothing with simple technical analysis. OHLC and volume is not enough. We can not find anything with that information because it is already "under the surface" formed.

Thus with high frequency trading, not only to cut the order of millions of small, but bring noise and can manipulate prices by the combination of an incredible amount of volume to bid on 3 and four decimals ...

[DugDug]

I dont understand either.....
but I think Felix is saying,
"as everyones OHLC and time will be different - everyone can see different patterns - which makes them largely irrelevant to test"