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I have traded the SP for a long time and I saw a comment that Perry Kaufman
made in his book Smarter Trading where he states that most any thing under a
one hour time frame is just noise. I had never tried to think about a time
frame setting the threshold for noise, I had always considered volatility
and range to determine noise. So I have been heading this rule of hourly
for a while now and it seems to be a viable theory. I do not like specific
time frames in trading models rather I like to build models that use price
levels instead. That way there is no need for a time frame, the decision is
made on something other than current price action. This way I have no fear
of slippage, bad ticks, ect. I have plenty of time to enter a market and it
works many times to my advantage if I'm slower on a fill. I think once
noise and noise levels are identified a trader can get on with trading and
not worry about erratic moves that would disrupt an otherwise harmonic
market.
Mark Brown
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My research has shown that every tick traded has some value in determining
the probability of a future event being a tradebale one. Also I can
mathematically prove that infact it only tackes 1 tick to reverse a trend
100% of the time. Having said that what most pepeole regrad as noise
actually can reveal underling structure by which all markets obey the
physical laws of nature.
>Perry Kaufman made in his book Smarter Trading where he states that most
any thing under a one hour time frame >is just noise. I had never tried to
think about a time frame setting the threshold for noise
Noise for one trader may be trading opportunity for another. (e.g. Short
term scalpers) Time and price comprressions (1, 10, 30 ,60min etc) determine
risk and quality. Therefore the amount of time compression filtering should
be determined by the traders goals, risk tollerance and the validity of the
trading approach in that time frame.
RJP
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