FWIW, if you live in the US or Canada, you can get a free subscription to "Futures" magazine by following this link:
http://www.submag.com/sub/fz?wp=free&pk=INFRN3
ljey
http://www.submag.com/sub/fz?wp=free&pk=INFRN3
ljey
Price, (Volume), Support, Resistance, Demand, Supply . . .
I'm not sure whether this news snippet falls into the category of useful information, confusing disinformation or both but I will present it for the consideration of whomever might so wish to do so. For those who don't know, Mr. Cohen's daily activities account for a not insubstantial portion of what happens to the price of certain equities on any given day in the market.
Cohen SACs It To The Hedge Fund Industry
09/18/06
DailyII.com
A dire prophecy has come from someone whose words bear listening to. STEVEN COHEN has predicted in a Wall Street Journal interview, "We're entering a new environment. The days of big returns are gone." As he sees it, the trouble is what has been spoken about for some time now: Too many hedge funds are spoiling the industry. "There will be a real decline [in the stock market] that may devastate hedge funds that have crowded into the same stocks" - including the ones he's favored and have helped him make his billions. "It's hard to find ideas that aren't picked over, and harder to get real returns and differentiate yourself," Cohen lamented. For his part, according to The WSJ, Cohen is "making bigger bets and holding the stocks longer," which could spell trouble. "I worry that if everyone were to sell, could we get out?" Cohen told the paper. Worry he does indeed. Last week, The WSJ reports, his firm, SAC CAPITAL ADVISORS, lost about $150 million, representing 1.5% of its assets, on one particularly bad day. But while the old Cohen would have gobbled up sinking stock - a technique, which reportedly inspired other hedge fund wannabes to follow his example - the multibillionaire HF manager uses the drop to prove his point that times have indeed a-changed.
Cohen SACs It To The Hedge Fund Industry
09/18/06
DailyII.com
A dire prophecy has come from someone whose words bear listening to. STEVEN COHEN has predicted in a Wall Street Journal interview, "We're entering a new environment. The days of big returns are gone." As he sees it, the trouble is what has been spoken about for some time now: Too many hedge funds are spoiling the industry. "There will be a real decline [in the stock market] that may devastate hedge funds that have crowded into the same stocks" - including the ones he's favored and have helped him make his billions. "It's hard to find ideas that aren't picked over, and harder to get real returns and differentiate yourself," Cohen lamented. For his part, according to The WSJ, Cohen is "making bigger bets and holding the stocks longer," which could spell trouble. "I worry that if everyone were to sell, could we get out?" Cohen told the paper. Worry he does indeed. Last week, The WSJ reports, his firm, SAC CAPITAL ADVISORS, lost about $150 million, representing 1.5% of its assets, on one particularly bad day. But while the old Cohen would have gobbled up sinking stock - a technique, which reportedly inspired other hedge fund wannabes to follow his example - the multibillionaire HF manager uses the drop to prove his point that times have indeed a-changed.
Cohen is a real billion dollar moaner. I have no simpathy. Life's and the stock market is TOUGH!
DEAL WITH IT!
He should retire at the top if he doesn't have the stomach for it!
Sounds like he wants to SELL, but is scared that there won't be any BUYERS! Hence price will FALL as he trys to sell. That's his problem.
DEAL WITH IT!
He should retire at the top if he doesn't have the stomach for it!
Sounds like he wants to SELL, but is scared that there won't be any BUYERS! Hence price will FALL as he trys to sell. That's his problem.
A multi-part question about price for anyone who might wish to comment:
When one looks at a T&S table and does not know what the best bid/best ask quotes for some moment in time are, is it still possible to ascertain whether a particular entry represents a short? If it is possible then how does one know this? If it is not possible, then what else does one need in order to be able to know this?
I can think of a number of reasonable answers to this question but in truth I don't which one, if any, are correct. TIA.
ljy (the trader formerly known as ljey)
A little bit of knowledge etc.
When one looks at a T&S table and does not know what the best bid/best ask quotes for some moment in time are, is it still possible to ascertain whether a particular entry represents a short? If it is possible then how does one know this? If it is not possible, then what else does one need in order to be able to know this?
I can think of a number of reasonable answers to this question but in truth I don't which one, if any, are correct. TIA.
ljy (the trader formerly known as ljey)
A little bit of knowledge etc.
FWIW, some progress has been made in answering my query of a few days ago. The particular scenario which was proposed had to do with the INET (now NASDAQ/INET) T&S for GOOG in the premarket (see attachment for this A.M.'s data).
Before proceeding further, might I say I am appreciative of the fact that this thread is not about T&S but "Price", however as best I can put things together, the T&S table is the best record of price that is available and is in fact the closest thing to what one would call "the tape". I am not proposing trading protocols based on T&S but rather using it as an adjunct to developing a strategy based on price movement in different time zones in the market.
Since the premarket is the time period I am talking about, there can be no "Market" orders and thus the "B" designation for a trade must be a buyer lifting or buying from an existing sell (best offer) and the "S" designation must be for a seller hitting or selling to an existing buy (best bid). I did not think of this interpretation when I originally asked the question. If this is correct, then, as before, the next question would be if one can determine from these data when a short sale had been made.
TIA for any thoughts, comments, etc.
ljy
Note: The MS Word file has been scrubbed with Norton AV.
Before proceeding further, might I say I am appreciative of the fact that this thread is not about T&S but "Price", however as best I can put things together, the T&S table is the best record of price that is available and is in fact the closest thing to what one would call "the tape". I am not proposing trading protocols based on T&S but rather using it as an adjunct to developing a strategy based on price movement in different time zones in the market.
Since the premarket is the time period I am talking about, there can be no "Market" orders and thus the "B" designation for a trade must be a buyer lifting or buying from an existing sell (best offer) and the "S" designation must be for a seller hitting or selling to an existing buy (best bid). I did not think of this interpretation when I originally asked the question. If this is correct, then, as before, the next question would be if one can determine from these data when a short sale had been made.
TIA for any thoughts, comments, etc.
ljy
Note: The MS Word file has been scrubbed with Norton AV.
HIgh Probability
I'm trying to come up with a plan that will incorporate volume to increase my probabilities.
At 12:10, heavy supply came in at a lower price(76.30) point then the day's high(76.40). I shorted a break of the 12:05 hammer.Price went down to $75.95 on increasing volume below what I considered support.( a good thing or so I thought). I was stopped out a little later.
My question is , in theory was that a high probabilty trade?
Also, judging by today's open was there any p/v relationship that would have told me to wait for more confirmation before initiating a short?
I'm trying to come up with a plan that will incorporate volume to increase my probabilities.
At 12:10, heavy supply came in at a lower price(76.30) point then the day's high(76.40). I shorted a break of the 12:05 hammer.Price went down to $75.95 on increasing volume below what I considered support.( a good thing or so I thought). I was stopped out a little later.
My question is , in theory was that a high probabilty trade?
Also, judging by today's open was there any p/v relationship that would have told me to wait for more confirmation before initiating a short?
Attachments
erierambler
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rainman2 said:
Rainman
For me , volume just represents activity. I tried to determine volume in my strategy , but to no avail, even divergence can become a non-issue if there is enough buying pressure. Price will just go. So I am focussing more and more on price only. Less to keep track of and makes things simpler.
erie
erierambler said:
One of the problems with P and V is demonstrated in the attachment. The problem is that unless you do a "continuing" refresh of your data, what you can (and frequently do) end up with is a mess. Has anyone ever noticed a "funny" candle or OHLC/HLC bar? One that for some reason seemed to change from one trace to another. The legend for the attachment is:
(SC = Sierra Charts; IB = Interactive Brokers; TWS = Traders Workstation)
1. SC chart before refresh (to do a refresh with SC you must go the "Edit" tab, scroll to the "Edit Data" line and then set the parameters for a "delete and reload".
2. SC chart after refresh. Check the volume bars and candles closely. There are some major differences between the data sets.
3. IB TWS chart "refreshed" to compare it to the refreshed SC chart of 2. One can do a refresh with IB by simply clicking the "refresh" icon.
4. A repeat of 3.
5. A Prophet chart "refreshed" to compare it to the refreshed SC chart of 2. One can do a refresh with Prophet by clicking the "GO" icon (not shown).
Charts 2, 3 and 5 are quite similar although not identical and are completely different from Chart 1. If your time bar for trading is the 1 minute bar and you don't refresh roughly every 1 minute, you're going to end up with spurious data.
I have spoken with Prophet, IB and SC about this problem and to date the basic answer is "Deal with it". Not surprising. I don't know if this artifact is universal. Try it yourselves. If your raw data vendor has some kind of "auto-refresh" in their software you may not have this problem. I also don't know to what extent tick data is affected by this phenomenon.
For me, this artifact is a total pain but at least if one knows about it one can devise a strategy to deal with it. One can make a decision to alter one's trading strategy if it appears that this problem coyld be affecting their current protocol.
Any input from anyone would be greatly appreciated. TIA.
lj
PS: The attachment has been checked with NAV and is clean.
This just in from SC:
Sierra Chart: Sierra Chart Support Board: IB-SC Data Differences
------------------------------------------------------------
Posted by Admin (Admin) on Friday, October 20, 2006 - 1:03 pm:
One way to make it easier right now it to right click over the point you want to refresh from and select Edit Intraday Data.
lj
Sierra Chart: Sierra Chart Support Board: IB-SC Data Differences
------------------------------------------------------------
Posted by Admin (Admin) on Friday, October 20, 2006 - 1:03 pm:
One way to make it easier right now it to right click over the point you want to refresh from and select Edit Intraday Data.
lj
ljyoung said:
And yet another message from the front:
Sierra Chart: Sierra Chart Support Board: IB-SC Data Differences
------------------------------------------------------------
Posted by Admin (Admin) on Friday, October 20, 2006 - 1:02 pm:
We do not plan to do an autorefresh because it will make a lot of problems due to IB backfill unreliability. However, we will look into making the "delete and refresh" easier.
My response to their 2 messages
Thank you for responding. Up to now I had you guys in the "Deal with it" camp along with IB and Prophet.
It is a non-trivial problem and anything you can do to make it easier to address will be greatly appreciated not only by me but by anyone who uses charts.
lj
For whatever reasons the 1:02 message arrived in my e-mail after the 1:03 message.
So perhaps something positive will come to pass. I hope so.
lj
timsk
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Hi lj,ljyoung said:
At first glance I could see numerous differences in the candles which is alarming enough, but the difference in the volume bars is really shocking. I don't have any useful suggestions other than to say that this could become another string to the bow of the swing traders when they exclaim its virtues in preference to trading the shorter timeframes
lj - it strikes me that this problem would be of interest to many more members beyond those who subscribe to this thread and I urge you to re-post on a brand new thread in 'The Day Trading & Scalping' 'forum.
Tim.
The way I understand things is that although one is looking at real-time data, there is a lag time involved when it is processed by the various providers. T&S data is as close to real "real-time" data as you can get but it comes in a form that most people can't relate to (like me for instance). So much data comes across the screen in a short period of time that it's very difficult to process unless you know exactly what to look for.
I have explained this in more detail in a thread on "Daytrading and Scalping". Just try that little experiment and if you don't see any difference you're probably OK and don't need to refresh.
lj
I have explained this in more detail in a thread on "Daytrading and Scalping". Just try that little experiment and if you don't see any difference you're probably OK and don't need to refresh.
lj
timsk
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Maybe of interest . . .
I'm currently reading 'Taming the Lion' by Richard Farleigh, published by Harriman House. He's the latest dragon to join the Dragon's Den and his book comprises 100 'strategies' that he has fashioned over the years and have helped to make him the top trader at Bankers Trust Australia.
The point of mentioning his book here is that 'strategy' number 47 entitled 'Some Markets are Driven by Supply' makes a simple and relevant observation. But, like many simple observations, the implications may be less so. He writes:
"The stock and property markets are mostly driven by demand. Housing supply in, say, London, does not change much or do unpredictable things. Therefore, it is the changes in demand that push the prices up or down.
Some markets, however, are supply driven. I have in mind here some commodities (raw materials), especially foods and, to some extent, oil. Consider coffee for example. Unless there is something like a health scare about coffee, the demand around the world remains quite constant, and the main thing affecting the price is the changing supply from producers.
It is important to know if you are involved in a supply driven market, because these markets are more difficult. [Author's emphasis] Their price moves are harder to predict, because:
- they can be driven by the vagaries of the weather and the natural environment: and
- in some cases the commodities are coming from developing countries. These may be politically unstable and news flow may be unreliable."
I think this struck me as interesting because, to my mind at least, it does bring into question the notion that (stock) prices are driven up by buying pressure and down by selling pressure. If, as Mr. Farleigh asserts, the market is driven by demand, the obvious inference is that prices fall due to a lack of demand, rather than a surge in supply. If this is the case, then it may alter my mental construct of how the whole dynamic works. Rather than the two forces of supply and demand for ever being locked head to head in battle, perhaps price movement is a reflection of demand waxing and waning? The way one views volume might be affected as well. Volume which previously one might have attributed to strong selling pressure, may just reflect a lack of buyers at that particular price level.
As you can probably tell from the post, I'm not sure if Richard Farleigh's comments are useful or not or if they will change my view of the way the market works. And that, of course, is the reason for posting! Now, hit with a swathe of simple explanations that simple folk like wot I am can understand, if you please!
Cheers,
Tim.
I'm currently reading 'Taming the Lion' by Richard Farleigh, published by Harriman House. He's the latest dragon to join the Dragon's Den and his book comprises 100 'strategies' that he has fashioned over the years and have helped to make him the top trader at Bankers Trust Australia.
The point of mentioning his book here is that 'strategy' number 47 entitled 'Some Markets are Driven by Supply' makes a simple and relevant observation. But, like many simple observations, the implications may be less so. He writes:
"The stock and property markets are mostly driven by demand. Housing supply in, say, London, does not change much or do unpredictable things. Therefore, it is the changes in demand that push the prices up or down.
Some markets, however, are supply driven. I have in mind here some commodities (raw materials), especially foods and, to some extent, oil. Consider coffee for example. Unless there is something like a health scare about coffee, the demand around the world remains quite constant, and the main thing affecting the price is the changing supply from producers.
It is important to know if you are involved in a supply driven market, because these markets are more difficult. [Author's emphasis] Their price moves are harder to predict, because:
- they can be driven by the vagaries of the weather and the natural environment: and
- in some cases the commodities are coming from developing countries. These may be politically unstable and news flow may be unreliable."
I think this struck me as interesting because, to my mind at least, it does bring into question the notion that (stock) prices are driven up by buying pressure and down by selling pressure. If, as Mr. Farleigh asserts, the market is driven by demand, the obvious inference is that prices fall due to a lack of demand, rather than a surge in supply. If this is the case, then it may alter my mental construct of how the whole dynamic works. Rather than the two forces of supply and demand for ever being locked head to head in battle, perhaps price movement is a reflection of demand waxing and waning? The way one views volume might be affected as well. Volume which previously one might have attributed to strong selling pressure, may just reflect a lack of buyers at that particular price level.
As you can probably tell from the post, I'm not sure if Richard Farleigh's comments are useful or not or if they will change my view of the way the market works. And that, of course, is the reason for posting! Now, hit with a swathe of simple explanations that simple folk like wot I am can understand, if you please!
Cheers,
Tim.
Shifts in perception
You have raised some interesting points here. I think the dynamics of the stock market are completely different to property and commodities. Apart from new issues, splits and so on the number of shares available for a particular company is static, so in that sense the supply is static. What is moving is the distribution of those shares between various groups of weak and strong players. In the property and commodity markets you will generally remain on one side of the fence - a buyer or a seller, so you will have coffee producers (your Kencos !) and you will have coffee buyers - you and me. I would not expect to sell my coffee back to Kenco.
In the stockmarket, however, any one of the weak or strong holders may, at any point in time, be alternatively a buyer or a seller. It just depends on the price and our ability to act quickly enough to that price. So for any particular instrument the professional money will decide at any point in time whether there is selling pressure or buying pressure. Weaker hands will be fooled into responding to that pressure on the wrong side.
IMHO It's really a shift in perception that causes price movement in the stockmarket.
Charlton
Timtimsk said:
You have raised some interesting points here. I think the dynamics of the stock market are completely different to property and commodities. Apart from new issues, splits and so on the number of shares available for a particular company is static, so in that sense the supply is static. What is moving is the distribution of those shares between various groups of weak and strong players. In the property and commodity markets you will generally remain on one side of the fence - a buyer or a seller, so you will have coffee producers (your Kencos !) and you will have coffee buyers - you and me. I would not expect to sell my coffee back to Kenco.
In the stockmarket, however, any one of the weak or strong holders may, at any point in time, be alternatively a buyer or a seller. It just depends on the price and our ability to act quickly enough to that price. So for any particular instrument the professional money will decide at any point in time whether there is selling pressure or buying pressure. Weaker hands will be fooled into responding to that pressure on the wrong side.
IMHO It's really a shift in perception that causes price movement in the stockmarket.
Charlton
blackcab
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Would you mind describing what you mean by weak and strong players?Charlton said:
What do you mean by professional money - the big players, or something else?Charlton said:
So by weaker hands do you mean those (big or small) who are led/fooled/manipulated (for whatever reason - their own ignorance/gullibility/indecision/emotion/etc.) by stronger hands (presumably with the opposite characteristics)?Charlton said:
Liquidity and intent
Weak holders are easily flushed out of their positions. As price drops the weak holder feels more and more discomfort, panics, throws in the towel and finally leaves the market at a bottom. At this point the stronger players in the market can buy at a good price. In addition there are insufficient weak players left to sell in the next rally, thus the stocks have room to rally.
Weak players who allow themselves to get into this situation by being on the wrong side of the market are, generally speaking, the mass of the public, who have insufficient trading skills either technical or psychological.
Strong players are of course the opposite and will comprise largely the financial institutions. Amongst the large institutions there are various degrees of liquidity and intent. Pension funds or unit trusts, for example, have large asset bases, but there are restrictions placed upon how they trade and their intent is longer-term capital growth or income distribution.
Other institutions are commissioned to accumulate and distrbute large volumes of stock. As such their intent for example during an accumulation phase is the buy at the best price. If their activities become obvious then prices will rise against them, so they must use “smart techniques” to manipulate price. For example they could sell a large volume of stock they are in the process of accumulating especially on a day of adverse news to try to make the weak holders sell. Once the price is depressed they can continue to accumulate. It’s their liquidity and intent that allows them to switch quickly between buyer and seller.
That is the point that I was making to Tim – that the stock market is not exclusively demand driven or supply driven, but may turn very quickly as a result of the actions of the smart money.
Blackcabblackcab said:
Weak holders are easily flushed out of their positions. As price drops the weak holder feels more and more discomfort, panics, throws in the towel and finally leaves the market at a bottom. At this point the stronger players in the market can buy at a good price. In addition there are insufficient weak players left to sell in the next rally, thus the stocks have room to rally.
Weak players who allow themselves to get into this situation by being on the wrong side of the market are, generally speaking, the mass of the public, who have insufficient trading skills either technical or psychological.
Strong players are of course the opposite and will comprise largely the financial institutions. Amongst the large institutions there are various degrees of liquidity and intent. Pension funds or unit trusts, for example, have large asset bases, but there are restrictions placed upon how they trade and their intent is longer-term capital growth or income distribution.
Other institutions are commissioned to accumulate and distrbute large volumes of stock. As such their intent for example during an accumulation phase is the buy at the best price. If their activities become obvious then prices will rise against them, so they must use “smart techniques” to manipulate price. For example they could sell a large volume of stock they are in the process of accumulating especially on a day of adverse news to try to make the weak holders sell. Once the price is depressed they can continue to accumulate. It’s their liquidity and intent that allows them to switch quickly between buyer and seller.
That is the point that I was making to Tim – that the stock market is not exclusively demand driven or supply driven, but may turn very quickly as a result of the actions of the smart money.
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