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Don,
Based on the same idea, I have good results with my TOSC (tick oscillator) &
Bollinger
Bands (attached) which I apply to NQ tickbar charts.
It is tuned to the most common dominant cycle of any time frame - 20 bars
and smoothed
out exponentially.
Jan Philipp
----- Original Message -----
From: "Don Thompson" <detomps@xxxxxxxxxxx>
To: <realtraders@xxxxxxxxxxxxxxx>
Sent: Friday, March 22, 2002 2:15 PM
Subject: Re: [RT] S&P Day Trading
> Jerry,
> Actully the ES is traded by quite a few people with a knowledge of
> statistical relevancy. You have to remember that
> the Black Scholes equation won a Noble Price in economics in its method of
> determining value. The Market Profile
> is a concept that takes each half hour and asks, "What is the distribution
> of the transactions by price in this half hour"
> Infer what you will from that.
>
> I think for me the thing that really tells it, is the volume, where does
> volume come into play at key resistance and supports.
> I run, off of a one minute bar chart of ES, a 60 minute average volume. I
> plot one and two deviations of this 60 period
> average. I alarm with a yellow any bar that has tick volume > than +2
> deviations, blue dot any bar that exceeds one deviation
> and white arrow any bar that has less than -1 deviation. So then you have
> to ask yourself... what happened at the high of the day?
> It was running into the 50% of a two day range with each successive thrust
> being made on less volume, it was a two yellow terminating with a blue dot
> at the high. Then a ton of stops were hit when the bulls realized they
> couldn't sustain a usually bullish .382 retracement of a the
> previous swing and today's OPEN. Major Yellow arrows .. then notice the
the
> rally back up to yestedays close did not make it up on any volume,
> (Not even a blue dot!) hence it is only traders who were short covering..
> Then every bear out there is thinking, HEY, if it can't close up above
> Thursday's close where is it going to go?.. Hence you see the fatal white
> arrow(exhaustion of buying) followed by a yellow arrow of all the sell
stops
> and mkt orders being hit.
> Then another yellow arrow as all the stops are hit on one of the classic
> pivots. finally a capitulation volume at 1148.50.. I haven't figured out
> yet why it stopped at 1148.50.. Probably because it made 80% of the range
of
> the day??? Brighter minds than I know..
>
> Don Thompson
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