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Dogpile

Taylor Trading Technique

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Let me provide some data to support what I am saying.

 

I took all full trading days since November 2007 and divided the market into two buckets: 1) if price made its low or high for the day (low if low first, high if high first) in first 90 minutes of trading or 2) high or low made in any other time period past the opening 90 minutes. Note that there are usually 20-22 trading days per month so I am trying to show that the Taylor Cycle 'should' kick in during those first 3 bars about 75%+ of the time. In March, it was 19/22 (higher than normal).

 

personally, I find these statistics to be quite powerful for more than just their face value. for example, if you know that the first 30-minutes often makes the low for the day, many times you can go long during that timeframe and get a nice trade on -- and price will end up reversing later on and the first 30-minutes won't be the low for the day -- but you made money on your trade anyway simply because there was enough buy-pressure to create a squeeze for those fearing that it 'could' be the low of the day.

 

attachment.php?attachmentid=10147&stc=1&d=1239628525

5aa70ec3c00d3_TaylorMadeFirstPriceBar.thumb.png.b8cb31a1245b8091aca4cd0c8209b24c.png

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Great insight Frank,

BTW do you keep a book as per Taylor on the instruments that you trade. ie. avg. decline, avg. penetration, avg rally etc.

Presume your primary focus is on ESmini, if so what cycle are you on, I mean what is today as per your count, a Buy, Sell or SS day or you term them Day 1, Day 2 and Day 3 respectively.

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the taylor day count is just a subset to how I think about it.... I may lean that way should it fit my overall concepts or I may not.

 

I prefer the framework of the market profile 'auction' --- as in, an auction CAN end when there is a high or low violation --- and I may look for that --- but the auction can also continue until a 'morning low or high' is violated.

 

so today, we came in after low made first on Thursday. therefore, the 'auction' is up -- until a good morning low is taken out.

 

But the market made its low during first 30-minutes today -- consistent with the statistics saying where it should. therefore, no matter what the day Taylor called it, I am not going to short and will try to find a spot to go long.

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the taylor day count is just a subset to how I think about it.... I may lean that way should it fit my overall concepts or I may not.

 

I prefer the framework of the market profile 'auction' --- as in, an auction CAN end when there is a high or low violation --- and I may look for that --- but the auction can also continue until a 'morning low or high' is violated.

 

so today, we came in after low made first on Thursday. therefore, the 'auction' is up -- until a good morning low is taken out.

 

But the market made its low during first 30-minutes today -- consistent with the statistics saying where it should. therefore, no matter what the day Taylor called it, I am not going to short and will try to find a spot to go long.

I can see that this is a great way to blend Market Profile with Taylor.

 

1. Hence I take it you do not keep a book.

2. How would you now set out strategies and tactics for today without calling today as a sell or ss day etc.

Say market opened up low ie. with a gap down but still above yesterday's low, what would you be looking to do, then say once it gets above yesterdays high, again what is the strategy.

 

3. OTOH, if it opened low and kept going south what is the plan of action.

 

4. Obviously if it opened high above yesterdays high, you will be looking to short.

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The way I think about it is that my statistical tendencies and market profile concepts are 'my book'. Taylors book calculations allowed him freedom to go long on sell days and short buy days etc... so to Taylor, its the calculations that matter much more than the label of the day.

 

----

 

right, if price opened high today, would be a traditional ss-day --- with a penetration of the previous high or a test of the previous high (failure to penetrate) marking the location for a good short.

 

if the move instead happens overnight then the location is no longer favorable and have to re-think using the concepts:

 

1. Inside days are rare -- so market will very likely take out either Mondays High or Mondays Low at some point today. This offers a directional target to shoot for.

 

2. 3 low-first days in a row argue for a 'high-first' day --- so one bias would be for price to take out any morning low it forms by the end of the day --- which would then trigger a reversal in the market profile auction from up to down. you can anticipate this if you find a pattern that makes sense.

 

3. If the high of the first 3 30-minutes is penetrated, then the statistical odds then favor are on the side of low first.

 

4. If the high is not made in first 30 minutes -- then odds drop that you will close really far away from previous days close.

 

5. Once the morning high or low is set, you can do high-odds range calculations for a high-odds price target.

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so idea is that if you know that most of the time market is going to make a key high or low in first ~3 bars - figure out if the high or low is being made first and find a trade that is consistent with that intraday move.

 

today, the market traded up FIRST for its key high and then went directionally to take out the morning low and previous day low.

 

so you usually have 2-3 pivots to think about -- the previous days close and the previous days high and low. the market does 'usually' like to trade towards the previous days close for a few bars at some point... so if it does this, don't be fooled that it has chosen its direction for the day -- this is normal action.

 

so its like a puzzle every day. the last 2 days (prior to today), the correction that lasted a few bars towards the previous close still wasn't enough to take out the opening 30-min bar low and did not really threaten the previous days low --- when that happens the previous days high (or the morning high) now becomes a directional pivot for the remainder of the days direction. today, the market corrected towards the previous days close (at 854) but never really threatened to take out the previous days high... thus, the previous days low became a target --- which lined up because we were due to take out the morning low after so many consecutive days of NOT taking out the morning low (3 straight low made first's -- where a morning high is set and then subsequently taken out -- today the opening 3-bar high was set and never again violated)

 

attachment.php?attachmentid=10172&stc=1&d=1239748887

5aa70ec4c3fe6_20090414.thumb.png.d031b1be3ce15332b8a4dff26819ddf3.png

Edited by Frank

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Frank,

Would you say yesterday 15th April, the market opened low, traded towards the close of the previous day, and then took out the morning High later in the session.

 

OTOH today the market has opened higher as the high was made Last yesterday, and then traded towards yesterdays close. Infact this would be a classic Buy Day short on a High made Last on SS day as per Taylor

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..... i don't understand what you meant....

 

....are you saying a short on BUY DAY....

... or are you saying a short on a SS day ?

 

.... if a buy day .... any short would have to be made first .... and it could only be for a reaction play

.... if a short sell day .... the high would still have to be made first in order to take the short....

 

.... maybe i misread what you wrote....

Frank,

OTOH today the market has opened higher as the high was made Last yesterday, and then traded towards yesterdays close.

 

Infact this would be a classic Buy Day short on a High made Last on SS day as per Taylor

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Frank,

Wonder if you have made a study of failure to penetrate Buying or Selling Objectives, for in Taylor's time they occurred 40% of the time.

 

Part of my statistics say that in the last 19 months, since this bear market began, We have more Violations than Penetrations. This fluctuates based on the day of the cycle, however 55% of the time we had Violations of the previous day's low , compare to 45% of the days we had a Penetration of the previous day's high.

 

That makes sense considering that we have been in a bear market.

 

I would anticipate the opposite to occur in Bull markets and I can see that holds true if I use only the last 20 cycles.

 

PS: these stats are based on ES day session only

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elovemer,

Frank does not employ terms Buy Day, Sell day etc,

however as per the count in here 16th April would be Buy Day and on my chart, the market opened above previous day high, hence first play was a short as per taylor albeit a reaction play

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...thanks for your explanation... i wasn't following....

 

... man this thread has come a ways... too bad dogpile ain't around to see his baby grow up....

elovemer,

Frank does not employ terms Buy Day, Sell day etc,

however as per the count in here 16th April would be Buy Day and on my chart, the market opened above previous day high, hence first play was a short as per taylor albeit a reaction play

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...monday high made first....

... tuesday ... low made first

 

.... wednesday ... ??

 

.... on friday .... full swing size was reached .... compared to last two swings...

.... full swing retracement size is at about 816.5 ... which was not reached...

....3rd day in a row....

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.... pivot occurred at noon.... which tends to happen rarely.....

.... tuesday ..... is my buy day .....

 

.... looking for a low made first anytime before 10.30 am

..... although a few times the pivot has occurred around 11.15 am ... it does not happen as much .....

 

.... another occurrence which has happened quite a bit is that the low is made last ... but that price action is so stretched out .... that it is almost like a low being made first for the following day .....

 

...another possible play on a buy day is a high made first for a reaction short.... where at some point the more important play is to switch to long in order to play the much stronger up trend.....

 

.... it has been interesting recently when considering Frank's new perspective...

.... to see when and if the market can take out the previous LOW-MADE-FIRST....

 

.... a few times we have seen where the pivot time stretched out to be very late in the session .... in which cases there have been snap-backs to the main trend which continue the next session....

 

.... in this case.... being in on the reaction trade.... gives one the confidence to take risk of reversing to be on the side of the main trend....

.... even when the price action of most all of the session has been against the direction of the main trend....

 

..... just in case anyone forgot..... i wrote a condensed version of Taylor's book on here.... which only occupies about one paragraph.... :0) ... but which... of course... is no substitute for slogging thru the (entire) actual work at least a few times....

 

.... yesterday can still be considered a valid short day .... as the low was made last... even if ever-so-slightly....

.... not bad now...

.....................

.....................

Edited by elovemer

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today traded to high in middle of day, attempted down and petered out. this is rare occurence -- but how rare? (btw, today was also narrow range day at 15.25 pts -- equaling the lowest range in past 7 days)

 

elovemer, don't want you to be the only guy keeping this thread alive so I will show some data.

 

1) this shows how often a high of day and low of day is made using data for ES up to today (starting 12/31/97)

 

http://4.bp.blogspot.com/_5h-SWVGx6Ms/SfZqrfdC-hI/AAAAAAAABA0/qYjxxPvs568/s1600-h/April+2009+30-Min+Bars+2.png

 

(today was just 12th time in last 329 trading days that the high was made during that 30-min 'time slot')

 

2) this breaks out just when the 'made first' part occurs (if low first day, when was low made -- if high first day, when is high made). coming into today, this month had seen the key pivot 'made first' in opening 30-mins 9 times and during the next 2 30-min bars 7 times --- for a combined 16 of 18. today made it 16-3.

 

http://3.bp.blogspot.com/_5h-SWVGx6Ms/SfZqxKI6IKI/AAAAAAAABA8/Ib6p_0VoSbU/s1600-h/April+2009+30-Min+Bars.png

 

So although we've had a few days that didn't make hight first in first 90 minutes this month (ie, today high was made during 6th bar), the number of days that do this is running 'normal' this month --- usually get about 5 or 6 of those a month, currently running at 3.

Edited by Frank

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.... thanks Frank.... great to read your contributions....

 

... one more thing i forgot to add to my post.... with monday as my short day .... it was a failure to penetrate the high of middle day (sell day) .....

.... has a bearish implication......

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..

..... just in case anyone forgot..... i wrote a condensed version of Taylor's book on here.... which only occupies about one paragraph.... :0) ... but which... of course... is no substitute for slogging thru the (entire) actual work at least a few times....

.......

 

Could not find your condensed version, perhaps you could point it out or paste it again, would be of interest as I have plodded through Taylor over 20 times and more now.

 

Frank's take on the subject is always of interest, so was his initial detailed version on Taylor with PowerBuy and PowerSell concepts.

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today traded to high in middle of day, attempted down and petered out. this is rare occurence -- but how rare? (btw, today was also narrow range day at 15.25 pts -- equaling the lowest range in past 7 days)

 

elovemer, don't want you to be the only guy keeping this thread alive so I will show some data.

 

1) this shows how often a high of day and low of day is made using data for ES up to today (starting 12/31/97)

 

April+2009+30-Min+Bars+2.png (image)

 

(today was just 12th time in last 329 trading days that the high was made during that 30-min 'time slot')

 

2) this breaks out just when the 'made first' part occurs (if low first day, when was low made -- if high first day, when is high made). coming into today, this month had seen the key pivot 'made first' in opening 30-mins 9 times and during the next 2 30-min bars 7 times --- for a combined 16 of 18. today made it 16-3.

 

April+2009+30-Min+Bars.png (image)

 

So although we've had a few days that didn't make hight first in first 90 minutes this month (ie, today high was made during 6th bar), the number of days that do this is running 'normal' this month --- usually get about 5 or 6 of those a month, currently running at 3.

 

Great post Frank,

It was also an INSIDE DAY. With a weak close envisage a weak market at least in the Globex session to start with.

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here are a few power buy examples that have shown up lately.

 

the idea is that if the market doesn't gap in the direction of the previous days high to low/low to high move --- there is a strong tendency to continue early the next morning in same direction. if the market gaps, then the location is not good and instead the overnight hold was the right play so don't chase the trade.

 

attachment.php?attachmentid=10337&stc=1&d=1240922361

5aa70ec941e95_PowerBuyExamples.thumb.png.c5814fac84ced75e51d41cfa3a7bdb5a.png

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