How markets move

If you're looking for tools to help you Trading the Economic Reports, Treasuries, and Understanding the Yield Curve", presented by Jack Bouroudjian.

Thanks hippie for the link and Err for the vid, I will post it soon!

http://mediaserver.thinkorswim.com/demos/2008/TOSDemoPlayer.html?vidSource=/transcripts/2009/20090701.swf

Trading Rules

Rules for taking a long position (reverse the rules for a short):
1) Enter the trade below the Scalper channel mid line (cyan line) to reduce draw down.
2) If close of bar equals midline of Scalper channel, then you must fade the entry by 2 ticks.
3) Volume Tracker must be positive i.e. above the zero line.
4) Trend Analyzer must be greater than the previous value.
5) One or both of these indicators $TICK or the ROBOT TRACKER should be bullish.
6) First profit target is at 3 ticks, second profit target is at 5 ticks.
7) First stop is at 4 ticks.
8) If first profit target of 3 ticks is achieved, immediately move stop to break even i.e. entry.
9) Price must touch the bottom channel.

Trading Notes:
Trade quanity must be divisible by two for scaling out.
Best trade setups occur when price consolidates for ~3 bars below the Scalper channel midline.
Do not trade if price gaps.
Do not trade if the range bar is large ~>1.50 points on the ES.

High Probability Trading Friday 6/26

Today there were 8 trades to be taken of them 1 was break even and a small profit and the other price gaped so we don't take the trade.

All indicators are self tuning to the cycles of the market. This allows for faster and more accurate indicator performance.

Some of the rules for taking a long position (reverse the rules for a short):
1) Enter the trade below the Scalper channel mid line (cyan line) to reduce draw down.
2) If close of bar equals midline of Scalper channel, then you must fade the entry by 2 ticks.
3) Volume Tracker must be positive i.e. above the zero line.
4) Trend Analyzer must be greater than the previous value.
5) One or both of these indicators $TICK or the ROBOT TRACKER should be bullish.

Trading Notes:
Best trade setups occur when price consolidates for ~3 bars below the Scalper channel midline.
Do not trade if price gaps.
Do not trade if the range bar is large ~>1.50 points on the ES.


The Volume Tracker indicator uses a very unique approach to view the participants. It plots liquidity entering and leaving the market that can't other wise be seen. We are looking inside the indicator to find patterns.

The trend indicator monitors the cycling of price. I use hysteresis to clean up the signal.

The Robot Tracker is monitoring program trading, which is about 9% of the ES volume.

The Tick Tracker is monitoring the short term sentiment of the market.

High Probability Trading

All DSP (digital signal processing) code has been upgraded as well as the functions or logic to plot the curves.

A quick snap shot of Thursday June 25, 2009 signals.

High probability trade indicators:
$TICK TRACKER gauge's the market bias, it's derived from $TICK index.
ROBOT TRACKER monitors program buying and selling, it's derived from the $ESINX.
TREND ANALYZER is a price cycle oscillator incorporating hysteresis as a signal filter.
VOLUME TRACKER monitors the intrabar volume direction.
SCALPERS CHANNEL gauge's the volatility by looking at the statical distribution of price or volume.

Volume Control

This is a dynamic volume indicator which self tunes its self to the market. I've added volatility bands to help me find extreme amplitude. When the histogram changes direction that's your buy signal. I've also added a volatility alarm. This indicators works on all time frames, but the daily charts. But if you use a minute chart and set it to 405 minutes that's very close to a daily chart, then it will plot a daily bar correctly.

Scalper Value Chart

If you like the TTM Value Chart, then you definitely should check this one out.

Scalper Value Chart is in the same class of indicators as the TTM Value Chart and that's where the similarity ends.

DSP (digital signal processing) and MarketProfile comprise the back bone of this new value chart indicator. Dynamically the variables are constantly being updated to plot the relationship of price to the point of control. It is possible to select different signal ratios to customize the plotted display.

There is also the ability to turn on/off Bollinger bands. This allows you to find statistical extremes. The Bollinger bands can also be interpreted as a dynamic over sold, over bought lines.

Trend Analyzer

This indicator is fast at identifying trend reversals!!

The Trend Analyzer indicates when the current trend has changed, if the trend is choppy and the trend direction.

When you see the histogram above and below the zero line at the same time the current price move is not very strong. The plotted line indicates price direction. Notice how accurate the signal is even through the chop!

Now we have the option to view the swings with the Bollinger band. In the above picture I have identified every location that the indicator touched the Bollinger bands with an up or down arrow. Depending upon your trading style there is a maximum of 15 points or 8 points/trades (June 8,2009).

Robot Tracker

A leading indicator!
Robot Tracker plots the sentiment or the participation of program tradings involvement.
Setup for TradeStation symbol: $ESINX or any of the PREM (premium) type indices.

Program traders buy when the market is not at fair value. This provides us a fantastic divergence indication of a trend reversal!!

On average 30% of the trading on the NYSE is program trading. Estimates for 2008 range as high as an 80% proportion of all trades in some markets. Here computers make the decision to initiate orders based on information that is received electronically, before human traders are even aware of the information. Some program trading strategies are subject to regulatory restrictions. For instance, NYSE Rule 80A requires index arbitrage trades to be marked when submitted. index arbitrage accounts for about 9% of all program trading.

Examples:
1) My favorite use of the Robot Tracker is an event I call the Robot Stretch. I use it to identify when a strong reversal is about to occur. This event must be used when my other indicators are at an extreme over bought, over sold or high amplitude. When the distance between plots increase, I've noticed it's a very high probability trade.

2) After a big move down, if you see that the slope is moving up rapidly and price is moving sideways, expect a move up.

3) Side ways movement of price while Robot_Tracks is moving strongly in a direction, produces a lower risk trade.

4) The greater the amplitude the more likely price will change direction or to continue on it's present trajectory. Now this is a relative observation. I've added over sold/bought plots for those times that you notice the price is oscillating and respecting a threshold.

5) Divergence: If price moves down while Robot_Tracks is moving up, don't expect price to stay down for long. Price is likely to move up quickly.

Observations:
Works great on a 1 minute chart.
Because it's an oscillator, like all oscillators they don't work on strong trends. But it works fantastic for the trader who scalps or the swing trader to find the best entry.
Works from a little after the open to the close, but be careful of divergence in the morning and don't use it after 4:00pm eastern time.

List of TradeStation Premium Indices Symbols:
$ESINX : e-mini S&P 500 Premium Index
$NDIQX : NASDAQ 100 Premium Index
$NQIQX : e-mini NASDAQ 100 Premium Index
$DJDJI: Dow Jones Premium
$TFTOY: Mini Russell Premium
$SPINX: S&P Premium Index
$RLIUX : Russell 2000 Premium Index
$ER2IUX: e-mini Russell 2000 Premium Index

To learn more visit:
http://www.nyse.com/press/12_2009.html (News Release NYSE)
http://wapedia.mobi/en/Algorithmic_trading
http://en.wikipedia.org/wiki/Algorithmic_trading
http://www.investopedia.com/articles/trading/07/program_trading.asp
www.indexarb.com
www.programtrading.com

A video about how program trading affects the market (begin watching at 4:00 minutes):

Scalpers Channel

I call it the Scalpers Channel. It's good for the scalper, swing and the position traders. It even works on daily, weekly and monthly charts.

At a glance the Scalpers Channel provides clear, fast and meaningful indication of where the current point of control is of three different cycle lengths of volume or price distribution. In addition it shows previous and current support and resistance. There is a lot going on in this simple looking indicator.

I designed the scalper channel indicator to identify areas of extreme volatility based either on price or volume distribution (relative to the other).

Trading Rules:
The way I use the Scalper Channel is to wait for price to consolidate along one side of the channel, "that's my edge, price consolidation!" 3 bars is enough consolidation. Look at your favorite indicator has it changed direction during the consolidation? If yes take the trade in the direction of your indicator. For example the Volume Control/Bollinger indicator, the MACD Adaptive, Trend Analyzer , etc. My scalper channel is a lot faster or indicates more S/R areas for scalping or taking an ambush trade, than any other channel I have reviewed.

The channel is derived by calculating a statical distribution of price or volume respected to the other; I then I calculate the extrema of this distribution, this is being done with a self adaptive cycle recognition calculation. The channel can be modified with many parameters to accommodate your particular trading style.

Included with the Scalper Channel are Scalper Lines. They indicate an idealized entry point. Typically when you enter a trade at the Scalper line you will take very little heat! They are based on price or volume distribution as mentioned above but with a faster cycle calculation and a smaller distribution profile. This faster calculation and smaller distribution place the Scalper Lines closer to the real time action of the price. It might help you to think of the scalper lines as where is the real time POC (point of control) is located. The closer your entry point is to the scalper channel the less heat you will have to endure. But the reality is more often then not price will be near the mid point of the channel when your indicators fire off. This where the Scalper Value Chart indicator, the Robot Tracker or the Trend Analyzer come in handy. As they will indicate the direction and strength of the next move. Which will give you an edge to take the trade or to let it go.

The Scalpers Channels was also designed to gauge volatility contraction and expansion. I've coded in a volatility alarm which plots a magenta line whenever volatility is less than a user defined value. This is great for finding break out areas. If you are familiar with the TTM Squeeze indicator this and are frustrated with it's entry points then check out my volatility alarm. In addition when your primary oscillator indicator indicates a direction it's a great time to take a scalp and it could be a potential trend move. You can also integrate this alarm into your automated strategy. For example, if you have a break out strategy, setting the volatility alarm to a lower threshold will help you to identify when the market volatility has contracted to a level of where the potential is greatest for larger moves. The converse to this is when the volatility alarm is large and turns off, you have an indication that the market is either trending or range bound.

There is another use for the person who uses semi or fully automated strategies and that is it's ability to caution you of increasing or decreasing volatility. When back testing you can test at what volatility levels your strategy is best suited.

$Tick Tracker

AS_$TICK_TRACKER Trend Identifier.
This indicator plots the trend of the $TICK Index Sentiment.
The histogram offers interesting points of entry and exit.

Java Plugin

Write Java programs effortlessly for the TradeStation platform.

• Access all TradeStation data feeds directly in Java.
• Incorporate Java library's.
• Compile Java programs.
• Minimal configuration.
• Easy installer.
• Create Web hooks/Network enabled.
• Secure.
  

MACD Adaptive

This chart compares the traditional 12, 26, 9 MACD to our new Active Scaling MACD.
The vertical lines represent most of the histogram zero line cross over locations.