Jump to content

Welcome to the new Traders Laboratory! Please bear with us as we finish the migration over the next few days. If you find any issues, want to leave feedback, get in touch with us, or offer suggestions please post to the Support forum here.

  • Welcome Guests

    Welcome. You are currently viewing the forum as a guest which does not give you access to all the great features at Traders Laboratory such as interacting with members, access to all forums, downloading attachments, and eligibility to win free giveaways. Registration is fast, simple and absolutely free. Create a FREE Traders Laboratory account here.

jperl

Trading with Market Statistics XI. HUP

Recommended Posts

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

Edited by jperl

Share this post


Link to post
Share on other sites

excellent. I went and looked more at ensign after this, I see why you use it now. Thats really cool how it works with the previous time frame chart data.

 

Are you able to backfill data for the monthly/yearly vwap/pvp with IB/ensign?

I was thinking I would need software that can archive data and then get one of those new terrabyte drives but it seems I've made this much more complex than need be.

 

I found this on their site

http://ensign.editme.com/StdDev

Have they pretty much knocked off this stuff that I wouldn't have to program my own? I notice they mention this site in the response.

Share this post


Link to post
Share on other sites
Are you able to backfill data for the monthly/yearly vwap/pvp with IB/ensign?

 

Yes, no problem

 

 

I found this on their site

http://ensign.editme.com/StdDev

Have they pretty much knocked off this stuff that I wouldn't have to program my own? I notice they mention this site in the response.

 

Interesting....didn't know they were working on it. You should see the post by mp_trader whose has been working on this too. I don't know if he has completed it though.

Share this post


Link to post
Share on other sites

Jerry, I am working on it right now. To those who have downloaded that vwap_std template, the vwap is correct, but the stdev lines are off. I failed to weight the prices properly for a vwap. The stdev lines are shown with equally weighted prices, and they are different from Jerry's. My apologies to those who have tried it.

Share this post


Link to post
Share on other sites
I failed to weight the prices properly for a vwap. The stdev lines are shown with equally weighted prices,

 

How are you weighting the bands? I've been messing around with trying to get this going for ninjatrader but its just a mess. I've backed off and have been doing basic C# tutorials so hopefully i can get this going at some point. The nice thing with ninja is it would be free for anyone to use.

 

multiplier3 = 3

VWAPUpper3.Set(VWAPLine[0] + multiplier3 * vwapsd[0])

 

i take it thats the wrong way? The weighting would be 2nd std dev by .7 something and 3rd by .9 something?

Share this post


Link to post
Share on other sites

This is the ES price action from yesterday, excellent trading day, with 1,2,5,10 Days VWAP & SD and 1 Month (this is my history depth). Nice price action next to previous SD HUPs marked in ellipses. Todays statistics are solid lines and longer period are the dash lines.

 

 

Cheers

Karish

ES-1-Nov-07.thumb.png.9a8494e87d3d9b42fed05ebd40968eb4.png

Share this post


Link to post
Share on other sites
How are you weighting the bands? I've been messing around with trying to get this going for ninjatrader but its just a mess. I've backed off and have been doing basic C# tutorials so hopefully i can get this going at some point. The nice thing with ninja is it would be free for anyone to use.

 

multiplier3 = 3

VWAPUpper3.Set(VWAPLine[0] + multiplier3 * vwapsd[0])

 

i take it thats the wrong way? The weighting would be 2nd std dev by .7 something and 3rd by .9 something?

 

Hi darth weightings (and the maths for that matter) where discussed in one of the earlier threads....a quick review might be worthwhile :)

Share this post


Link to post
Share on other sites

did you ever get your code done in EZ? I didn't realize you use multicharts. Any chance you could post the code up for what you have? I can probly translate stuff to c# but damn i really need to work on my innumeracy.

Share this post


Link to post
Share on other sites
Thanks for this thread JPerl. I am unable to play the Flash presentation -- are others experiencing problems or is it my computer? Thanks for a reply.

 

Hey ticks, look back through the threads and you will find a couple of links to freeware to play the videos with. I think they are in threads II or III. Hope this helps.....

Share this post


Link to post
Share on other sites
Excuse me going slightly off topic How do you like Ninja?

 

you should check it out. I think its absolutely fantastic. To me all it needs is for more people to start using it to build up the library of stuff for it. It can basically draw anything on a chart because its just using MS .net drawing tools. I messed around with the finalg market delta demo, the guy completely knocked off the entire market delta footprint and all the ways of displaying data with the .net drawing classes. I think right now you could use any heavy duty math/stat class thats available for C# with it if you wanted to get heavy into data analysis. Maybe the only downside is its a bit heavy on resources with all the graphics anti aliased but it looks very pretty. :)

Another cool thing is if you learn C# it would be an easy transition to neoticker or openquant. Its just crazy they are giving away everything but the super DOM for free right now.

Share this post


Link to post
Share on other sites

I just found Jerry's threads after watching him post his daily p&l for about the last year. Talk about an epiphany.

 

I read about 5 threads last night (many posts and 7 videos of newbie) and then watched the es bounce off the vwap about 7 times this am.

 

I have an 8 line dyo that calculates the vwap in ensign and i am looking for the standard deviation calc from a fellow ensign user if i can't figure it out.

 

I have written a 2600 line ensign espl program for backtesting a retrace setup but i don't find espl too stable for intraday signals.

 

Anyways i am really happy to have found a whole nests of posts by Jerry and even happier he has shared his knowledge.

 

Thanks Jerry.

Share this post


Link to post
Share on other sites

Jerry - what time do you start your vwap from for intraday?

 

Ensign currently starts from midnight, but that is not good for comparing to a market profile or pvp that starts at 9:30 est..

 

I think most market profilers/volume studies start or restart at mkt open

 

On the other hand i see some of your trading was already green by 9:30am meaning you must have done some trading during pre-market.

 

Questions like these would be good to address in voice.

 

I currently have done it both ways till Howard fixes it.

Share this post


Link to post
Share on other sites
Jerry - what time do you start your vwap from for intraday?

 

Ensign currently starts from midnight, but that is not good for comparing to a market profile or pvp that starts at 9:30 est..

 

I start my VWAP computation for today at the 9:30 open. But even if you start it at the beginning of the overnight session, it usually won't make much difference. Remember, VWAP is volume weighted and there is not much volume overnight compared to the 9:30 open.

 

On the other hand i see some of your trading was already green by 9:30am meaning you must have done some trading during pre-market.

Occaisionally, I will enter a trade premarket open using VWAP data from the previous day, but not too often.

Share this post


Link to post
Share on other sites

Hi, Jerry and the other traders.

I trade the Bund with the market profile and want more understand.

Too, sorry for my bad english language, sorry.

Someone can write a summary of the main lines of your method for a French newbie trader (to this fantastic method), advanced trader to the MP of steidlmayer.

i understand the vwap, the skew, the pvp, the trend, the SD but not exactly for the symetric distribution (rejection or acceptance of the 1SD, reverse or scale or ok) and when a normal distribution, the price close to 1SD and countertrend of the skew. (skew>0 and price < vwap).

A summary of all the posts of Jerry, will be the hightlight for me.

Best regards.

Alexandre.

Share this post


Link to post
Share on other sites

Hi Jerry,

In previous threads you mentioned that HUPs play an important role in the momentum of the trade and also offsetting the entry point for a trade from SD. Now that we are in the HUP business can you please explain it in more details.

Thx,

Karish

Share this post


Link to post
Share on other sites
Hi Jerry,

In previous threads you mentioned that HUPs play an important role in the momentum of the trade and also offsetting the entry point for a trade from SD. Now that we are in the HUP business can you please explain it in more details.

Thx,

Karish

 

Karish,

If you think of the HUP lines as pivot points, you will understand what I am referring to in the previous threads.

For example suppose you are thinking about entering a short trade at the 1st SD below the VWAP. As the price action approaches the 1st SD from below, you notice there is a HUP point just below the SD. What do you do? It would seem to me the only thing you should do is pull the short trigger at the HUP rather than wait to see if the SD is touched.

Similarly on trade exit. If you enter a long trade say at the VWAP with the intent of exiting at the 1st SD, but you notice there is a HUP line just below the SD, you should exit your trade at the HUP or at least remove some contracts at the HUP rather than wait to see if the SD will be touched.

These are just two examples that I use every day.

There is a rich variety of other things you can do at HUP lines, but I will leave it to you to discover these on your own.

Share this post


Link to post
Share on other sites
Hi, Jerry and the other traders.

I trade the Bund with the market profile and want more understand.

Too, sorry for my bad english language, sorry.

Someone can write a summary of the main lines of your method for a French newbie trader (to this fantastic method), advanced trader to the MP of steidlmayer.

iA summary of all the posts of Jerry, will be the hightlight for me.

Best regards.

Alexandre.

 

Alexamder.

This may help you;

Tale a look at the post by Blowfish and my response here

Share this post


Link to post
Share on other sites

Join the conversation

You can post now and register later. If you have an account, sign in now to post with your account.
Note: Your post will require moderator approval before it will be visible.

Guest
Reply to this topic...

×   Pasted as rich text.   Paste as plain text instead

  Only 75 emoji are allowed.

×   Your link has been automatically embedded.   Display as a link instead

×   Your previous content has been restored.   Clear editor

×   You cannot paste images directly. Upload or insert images from URL.


  • Topics

  • Posts

    • Wow.  Yes.  Hi - hows America? I'll let Mk let me know when it happens. Also trade just HSI but keep telling myself I should also trade a variant on your style on fx. 
    • Howdy Doody!   I haven't been here in years. Dre gave me a nudge about your post otherwise I would never have Known... I'm keen to catch up will PM you and get in touch with Kiwi   Trading Hang Seng Futures. Mostly very short-term combined with index option swing trades.   With kind regards, MK
    • Gold Is Trapped In A Narrowing Price Band Lacking In Directional Bias XAUUSD Price Analysis – February 14 Gold did not have a strong directional inclination and traded in a limited exchanging band around the $ 1,575 level during the early European session on Friday. The blend of separating powers couldn’t give any new catalyst or support the valuable metal to build up a positive shift of the previous session to the tops in a week. Key Levels Resistance Levels: $ 1611, $ 1595, $ 1585 Support Levels: $ 1550, $ 1540, $ 1517 XAUUSD Long term Trend: Bullish The metal has printed lower highs and higher lows since it reached $ 1,611.49 level in early January. This took the form of a tapering price band or a declining triangle. Marvin Steinberg und seine Sicht auf den STO-Markt: https://coincierge.de/2020/marvin-steinberg-und-seine-sicht-auf-den-sto-markt/ Admitting past the upper limit may mean the resumption of the uptrend from November lows of about $ 1455.70 level and may lead to a move past the recent high of $ 1611.49 level. XAUUSD Short term Trend: Ranging The day after a slight decrease in price, gold came back to the resistance region of $1575 – $1578 levels. With the RSI indicating a potential move higher, we could see some expansion in force. However, gold requires to get through the barrier zone to affirm further advancement and besides, it additionally needs to break past the recent highs to keep up an upswing. Instrument: XAUUSD Order: Buy Entry price: $1,575 Stop: $ 1,563 Target: $1,580 Note: Learn2Trade.com is not a financial advisor. Do your research before investing your funds in any financial asset or presented product or event. We are not responsible for your investing results.   Source: https://learn2.trade   
    • Ripple (XRP) Starts New Uptrend, Battles Next Resistance At $0.34 Key Resistance Levels: $0.30, $0.40, $0.45 Key Support Levels: $0.25, $0.20, $0.15 XRP/USD Long-term Trend: Bullish On February 11, Ripple slumped to the low of $0.26 and rebounded as the coin reached a new high of $0.32. Before this time, the bulls have been finding it difficult to break the resistance at $0.28. Analysts are of the view that a break above $0.28 will push XRP to a high of $0.31. Today the market has reached a high of $0.34 but has pulled back to the support of $0.32. The upward move has been temporarily put on hold because of the minor resistance at $0.34. Nonetheless, the bulls have to make efforts to break the current resistance. From the price action, if the bulls succeed in breaking the resistance at $0.34, XRP will rally above $0.40. This is because there will be little or no resistance between $0.34 and $0.40. Therefore, we shall lookout for the next price between $40 and $0.45. Daily Chart Indicators Reading: As Ripple appreciated to a high of $0.32, the Relative Strength Index period 14 has risen to level 80. This implies that Ripple is in the overbought region of the market. The implication is that once the coin is overbought, sellers will be generated in the region to push the coin downward. Buyers are not available in the region to push the coin upward. However, in exceptional cases price will linger in the overbought region before the downward move. Marvin Steinberg und seine Sicht auf den STO-Markt: https://coincierge.de/2020/marvin-steinberg-und-seine-sicht-auf-den-sto-markt/ XRP/USD Medium-term Trend: Bullish On the 4-hour chart, the upward move was as a result of a bounce on the trend line. The rally reached a high of $0.34 but the price found support above $0.32. Thereafter the bulls made two attempts at the resistance without a success. The coin is fluctuating below the resistance. 4-hour Chart Indicators Reading Ripple is trading below 80% range of the daily stochastic. This means that XRP is in bearish momentum. The coin is likely to fall. Meanwhile, 21-day SMA and 50-day SMA are sloping upward indicating that uptrend is ongoing General Outlook for Ripple (XRP) Ripple is currently fluctuating above $0.32 support but below the $0.34 resistance. The bulls have one more hurdle at $0.34 resistance to jump over. Ripple will be out of the downtrend zone if the bulls are successful above the resistance. There is also the possibility of a new uptrend as soon as the resistance at $0.34 is breached. Ripple (XRP) Trade Signal Instrument: XRPUSD Order: Buy Entry price: $0.33 Stop: $0.32 Target: $0.45 Note: Learn2Trade.com is not a financial advisor. Do your research before investing your funds in any financial asset or presented product or event. We are not responsible for your investing results.   Source: https://learn2.trade   
    • I am keen - will pm an email ..   No Forex only ES and NQ for me  
×
×
  • Create New...

Important Information

By using this site, you agree to our Terms of Use.