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> From: "david b. stanley" <davestan@xxxxxxxxxx> Tue 1:33 PM
> Subject: If I can stay awake....
> To: omega-list@xxxxxxxxxx
>
> ...and we have a couple more days of this, I might begin to ponder the
> possibility that the daily ranges in the index futures are reverting
> back to 80's and early 90's levels.
It *is* frustrating at times if you are an intra-day trader of index
futures, or even a swing trader waiting for confirmation of an entry
signal. Seems like all that happens all day long are the floor traders
playing "fill the gap" and moving price around in order to give them
something to do until the big fund managers want to put in an order.
(You can see this if you use the floor traders pivots, prior open &
close and todays opening, along with the previous High and Low.) The
really hard part is seeing price move so far overnight on such low
volume, yet this disapates the energy that would normally take place
during RTH. It's what makes most stock and futures day traders go broke
and we lose even more intra-day volume.
Here's an idea that might be helpful. Instead of looking at price
volatility, try looking at volume. More volume helps make the moves
intra-day go further. Less volume causes good entry signals to fall
flat (duh). Good momentum in intra-day price is a result of above
average flow in volume; even if the index opens and closes pretty close
to the same level. When I say "Volume", I actually mean "shares traded"
on a stock exchange and not tick volume.
Here's something I use that might be of help to someone that is "going
to sleep" waiting. It's just my own idea and I'm sure that there are
others that have some good ideas along the same lines. The code is
rough and could probably be simplified by using a user function, but
each one is self contained. Feel free to tear 'em apart and make them
your own. I additionally included a user function that was given to me
by Bob Fulks, that is a simplification of the LRV (LinearReg) function
and is much faster than the one by Omega. I renamed it although the
guts are the same, but wanted to give proper credit.
* I use TS2000i/PCQuote.
* I trade only the emini Nasdaq
* I will give a brief description and include the code and will then
post the unlocked .ela and .gif in separate posts (maybe, we'll see if
it works).
* The indicators are used in a chart that has 11 or more days of 5
minute data. Data1 (hidden) = $VOLQE (NASDAQ Total Volume), Data2
(hidden) = $VOLU (NYSE Total Volume).
* I have set up volume to be multiplied by .1 in GS which gives me the
commas in the right place but millions is actually billions. This, per
a post by Bill Wood in V101 #98 of the O-list. YMMV.
* You can change the arrays to look back longer, but they're currently
set up to only go back 10 days max.
* You can also rewrite the indicators to just do one market (see the
code).
* Although I'm happy to help, I don't have all the answers. You need to
do some work.
Bob Perry
San Jose, CA
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