GREY1 P/L daily

[gulam]

Hi

The best entry always has to be when the exhaustion engine is OS in both DOW AND STOCK .. This is an ideal situation . How ever if you have a market OS but Stock not OS yet then you can still consider to go LONG


Reverse every thing for SHORT


PS:--

Remember this . Exhaustion engine is your best mate. People including myself always used to go long after second pull back from the high . Now a days we have moved on to more pro approach as described above

Grey1

Where would you put your stop if you took the trade on the above scenario ?

 

[kako]

Hi

imho S/L has to be relevant to Volatility and The Timeframe of the trade. i believe using Exhaustion Engine(Multi TF analysis) along with a volatility based S/L(like a Multiplier * ATR) could give a good estimation of a good S/L. what is a good S/L? i believe good S/L is tightest possible S/L with a reasonable probability of hit(losing the trade). i'm also eager and waiting for Grey's answer.

Regards
........................
Kako

 

[leovirgo]

Hi Grey1,

You said in 2004 that you traded Dow with 1,3,10,30 mins MACCIs. I presume you are not trading Dow anymore. Is there any reason for that? If I am not wrong, using Dow as a market benchmark and trading stocks with VWAP has more rewards than risk. You must have chosen the path of least resistance for yourself imho. The reason I am asking you is because I trade Dow and I hope to hear from your perspective. regards,..

 

[samtron]

Hi

imho S/L has to be relevant to Volatility and The Timeframe of the trade. i believe using Exhaustion Engine(Multi TF analysis) along with a volatility based S/L(like a Multiplier * ATR) could give a good estimation of a good S/L. what is a good S/L? i believe good S/L is tightest possible S/L with a reasonable probability of hit(losing the trade). i'm also eager and waiting for Grey's answer.

Regards
........................
Kako

kako, that was my conclusion/assumption aswell

 

[Grey1]

grey1 kicked butt again with $2269 up in no time . Catch me if you can Mr market.

My thanks to awesome VWAP engine signal on JOYG ..

I be trading on and off as this house is crowded . Muchas Gracias Mr Market

 

[gulam]

grey1 kicked butt again with $2269 up in no time . Catch me if you can Mr market.

My thanks to awesome VWAP engine signal on JOYG ..

I be trading on and off as this house is crowded . Muchas Gracias Mr Market

Grey 1

The way your creaming JOYG everytime Nasdaq might ban you from trading it, does that remind anyone of CMC????

 

[Trader333]

Grey 1

The way your creaming JOYG everytime Nasdaq might ban you from trading it, does that remind anyone of CMC????

There is no need because brokers for the Nasdaq are not like CMC which is a spreadbetting company where any trade you take is against CMC although there are those who think that this is not the case.


Paul

 

[moreagr]

Hi Kako,

If you dont mind telling us which time frame you use for a volatiltiy stop ATR? is it 2x on the 1 min settings 14 periods?? or is it based on a higher time frmae like 5 min or day?

thanks

Hi

imho S/L has to be relevant to Volatility and The Timeframe of the trade. i believe using Exhaustion Engine(Multi TF analysis) along with a volatility based S/L(like a Multiplier * ATR) could give a good estimation of a good S/L. what is a good S/L? i believe good S/L is tightest possible S/L with a reasonable probability of hit(losing the trade). i'm also eager and waiting for Grey's answer.

Regards
........................
Kako

 

[Grey1]

Missed the open but traded the after noon with testing this new system called EDS ( early detection system ) which is a sub set of the VWAP engine . I traded all its signals with with only two bad signals AMZN and SNDK ( HR was a over night mess with LTD order in force @ open ) .

My position size was tiny compare to my usual and this is what i like about this system .

I made $1633.75 and I am dead happy about the number of the signals which was issued to confirm the birth of trend . I think JIM cramer should stop yelling and use my system lol

By the way , There is a thread on the manin BB about Price/Volume with 1000's of gurus making comments which are all outdated and most of them are so so wrong . Ask them this simple question ..

IF on T&S 10 000 share of AAPL ( as buy ) went though is this bullish ? What does it mean in ur analysis ? I bet with you none knows what it means ... NO insult to any of them . It just bothers me newbies come here to learn and end up being more lost than ever , miss guided by so called gurus who are dead scared of posting their P/L and they all have other incomes from other sources.

Any way , next time you saw 10 000 share going through this is due to a delay mechanism inherent in a buy program to hide avoiding the market impact as trade has already taken place hours ago .( The trade was executed @ vwap by a buy program ) it is like OLD NEWS posted for traders lol

Grey PS :-- watch the number of the winning trades on the screeen shot

 

[Trader333]

.....traded the after noon with testing this new system called EDS ( early detection system ) which is a sub set of the VWAP engine......

Looks promising so well done and I do have some questions:

1) Is the intention to trade your new EDS with large size ? ie similar to your current style
2) What is the typical duration of a trade ?
3) What is the typical number of cents profit ?

Thanks


Paul

 

[Grey1]

Looks promising so well done and I do have some questions:

1) Is the intention to trade your new EDS with large size ? ie similar to your current style
2) What is the typical duration of a trade ?
3) What is the typical number of cents profit ?

Thanks


Paul

The intention is to catch the trend at early stages which should result in a bigger gain .

The duration of the trade is any thing from few min to 10 min depending on the stock's momentum .

A typical profit depends on too many factors. I cannot answer this question


Grey1

 

[evostik]

Hi Grey1

You explained before that, amongst other things, the ATR of a stock forms part of the trade criteria right? Could you possibly expand on which 'timeframe' of ATR - what I mean is... if you are planning to be in a trade for a few minutes to 10 minutes or so, then using the daily ATR doesn't seem to make sense - so would you look at the ATR of a stock in terms of the 'in the trade' timeframe? I hope my question makes sense (but fear it may not!).

Thanks

Steve

 

[Trader333]

The intention is to catch the trend at early stages which should result in a bigger gain .

The duration of the trade is any thing from few min to 10 min depending on the stock's momentum .

A typical profit depends on too many factors. I cannot answer this question


Grey1

Grey1,

Thanks for your reply and based on this it would seem EDS is not a huge distance away from your current duration of trades.


Paul

 

[Grey1]

Hi Grey1

You explained before that, amongst other things, the ATR of a stock forms part of the trade criteria right? Could you possibly expand on which 'time frame' of ATR - what I mean is... if you are planning to be in a trade for a few minutes to 10 minutes or so, then using the daily ATR doesn't seem to make sense - so would you look at the ATR of a stock in terms of the 'in the trade' time frame? I hope my question makes sense (but fear it may not!).

Thanks

Steve

Steve

The ATR of the stock is the most important criteria as it is directly proportional to your position size.


let say you have a signal confirmed in three time frames 1,3 ,5 as BUY , BUY , BUY .. you open the position based on ATR of the 1 min . The trade then goes against you in the 1 min time frame , you then reduce position size proportional to ( ATR 1 min - ATR3 min ). Now you realise that the 3 min time frame gone against you , you then reduce the pos size by ( ATR 3 min - ATR 5 min ) and finally your 5 min BUY signal goes against you which you must close ur position completely . This algorithm is the foundation of your risk management .

Is that clear? I know many people on this BB are using exactly the same algorithm in position sizing including Trader333, IanA, LevII,Bluechip ,Julian and few other people .

You must learn risk management and how to control risk of the trade . If you do then you be having a consistant win day in and out

Grey1

 

[evostik]

Thanks for that Grey1. I really want to try and understand properly. Can I paint an example picture to see if I am starting to grasp it?....

So, using the 1% of account 'rule' you have described before, lets say we have $1000 to "go shopping".

We are trading on the 1,3 and 5 minute timeframe analysis.

Lets say the 1 minute ATR of stock A is 10c
Lets say the 3 minute ATR of stock A is 30c
Lets say the 5 minute ATR of stock A is 50c

So, one can afford to $1000 divided by 50c = 2000 shares?

So, market is strong (+50?) and stock is strong (+ve from open?)

We then get (using your MACCI engine) OS in each of three timeframes (DOW or stock or both? still unsure here?).

We therefore buy 2000 shares of stock A.

However, if price continues to fall by another 10C then we sell one fifth (10c/50c) of the shares = sell 400 shares.

If price fall by another 20c (by total 30c) we sell another 800 shares.

If price falls by another 20c (total 50c fall) we sell remainder (800 shares).

Does this make sense, Grey1? Is my understanding getting close to this aspect of your teaching?

I hope you have time to reply and correct me where necessary.

Thanks as always,

Steve

 

[gulam]

Missed the open but traded the after noon with testing this new system called EDS ( early detection system ) which is a sub set of the VWAP engine . I traded all its signals with with only two bad signals AMZN and SNDK ( HR was a over night mess with LTD order in force @ open ) .

My position size was tiny compare to my usual and this is what i like about this system .

I made $1633.75 and I am dead happy about the number of the signals which was issued to confirm the birth of trend . I think JIM cramer should stop yelling and use my system lol

By the way , There is a thread on the manin BB about Price/Volume with 1000's of gurus making comments which are all outdated and most of them are so so wrong . Ask them this simple question ..

IF on T&S 10 000 share of AAPL ( as buy ) went though is this bullish ? What does it mean in ur analysis ? I bet with you none knows what it means ... NO insult to any of them . It just bothers me newbies come here to learn and end up being more lost than ever , miss guided by so called gurus who are dead scared of posting their P/L and they all have other incomes from other sources.

Any way , next time you saw 10 000 share going through this is due to a delay mechanism inherent in a buy program to hide avoiding the market impact as trade has already taken place hours ago .( The trade was executed @ vwap by a buy program ) it is like OLD NEWS posted for traders lol

Grey PS :-- watch the number of the winning trades on the screeen shot

Grey1, Your EDS is one fire dude! Would it be ok to ask you to post the screen shot of the times you took the trades so we can review them and learn.

Thx

 

[evostik]

Nastrader - more knowledgeable members of this forum can correct me but my understanding is that you need to use 1 minute data compression; obviously from the start of the days session. If you think about it, the calculation of VWAP, by definition, should be on a per trade basis but this is usually impracticable. So, the average price per bar and the buy/sell volumes per same bar are used as a best approximation. Clearly, then, the smaller the granularity of the bar timefare the more accurate (but stll a comprimise) the calculation.

Make sense, or am I misunderstanding your question (quite possible)?

Cheers

Steve

 

[Nastrader]

VWAP using the most accurate Time Frame

Hi Gray1

I have a very elementary question – what time frame should I use for VWAP?

I would assume it starts with 1 day, the day we trade, and starting from the very first Tick during pre-market.

I am aware of the formula used for Tradestation, provided by you.

But, I have noticed with my Realtick (RT) platform that the most accurate VWAP prices only occur when I use a setting of 1 Day, using a Tick Chart (any number to ticks), set from Pre-Market. I’ve read all of the threads in this BB authored by you, but could not find any specific TF, I could be wrong.

In RT I found discrepancies in the 1 Min, 5 Min, Daily, etc. by larger & larger errors as the time frame (TF) was increased. I’ve tested from 10 to 5000 ticks, on my tick chart & all provided the exact same price.

Also, if I'm having this problem, then what are the MM's & large Brokerage houses using?

Thanks!

 

[Nastrader]

Nastrader - more knowledgeable members of this forum can correct me but my understanding is that you need to use 1 minute data compression; obviously from the start of the days session. If you think about it, the calculation of VWAP, by definition, should be on a per trade basis but this is usually impracticable. So, the average price per bar and the buy/sell volumes per same bar are used as a best approximation. Clearly, then, the smaller the granularity of the bar timefare the more accurate (but stll a comprimise) the calculation.

Make sense, or am I misunderstanding your question (quite possible)?

Cheers

Steve

Thanks Steve, you are right on. But after researching this, I've found that using TICK CHART data provides much more accurate data/Prices. Yes, I've discovered that the usual method is to use 1 min avg data, w/volumn. But I am not sure if this is accurate enough. My 1 Min chart have been off by as much as 0.10 C or even more. So perhaps, I'm not sure what the accuracy needs to be.

 

[Grey1]

MAS,

The most accurate way of measuring VWAP is tick data from open to close excluding the pre market as this wont be affecting the long term volume profile. There is a variation in vwap reading on many platforms such as real tick and bloomberg for variety of boring reasons.

The main thing is MPD bands and how to use them .

Grey1