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Every now and then something chart wise sort of grabs your attention and
makes the viewer think there is something useful there, but expressing it in
a tradeable Buy/Sell fashion is illusive. The key has to be representing
price in a certain way and applying system logic such that it can be used
with the tradeables options, futures, underlying. That is no mean task when
price behaves as though it were a smoke particle rising in heated air and
buffeted by crosswinds. Perhaps this chart shows the fractal nature of
price that operates intraday as it does on end of day charts when
considering one third, one half, two thirds retracements. It appears that
prices are anything but random and have structure that could be capitalized
on, at least that is the dream of day traders. In the lower subgraph the
straight red line is the detrended dynamic midpoint of the daily high and
low. The yellow lines are 0.33 and 0.667 of the daily dynamic range
centered on the dynamic midpoint. The green lines are the detrended high
and low. They illustrate the birth of each new trading day followed by
range expansion and a seeking of a rest spot until the profittakers and
losers make an exchange. Thursday, Friday, Sunday show how the ES has an
attraction for the dynamic midpoint and the .33 and .667 levels on a 24 hour
basis. The challenge here is in coding the "if then do this" logic. Either
price has to be smoothed(detestable) or represented by the least smoothed
but best proxy for an appropriate time period. Then some support/resistance
and crossover code would have to be applied. Clyde Lee did some work on
such a system and it appeared to have some value. Am just wondering this
morning if he has revisited this and has anything to add.
BobR
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