Being wrong and the 3 DAR !!
Today in the day trading threads I mentioned a concept that I've used for a few years as a guide. It is the 3 day average range. While it isn't a perfect method it will serve you well over time to make projections for a daily , weekly or monthly range.
It is simply the average of the last 3 days range from the real time session. You only use the prices that trade between 9:30 and 4:15 E.S.T for the emini S&P. Once you have the average you take 80% of that number as a minimum target. Coming into today we had the following ranges:
Fridays Range : 28.25
Mondays 23.75
Tuesdays 22.00
_______________________
Total 74 points
Divide by 3 = 24.6 Points ( round down to 24.5) = Max range
80% = 19.6 ( Round down to 19.5) Minimum range
With all projection methods we are constantly looking for swing highs and lows and trying to fiqure out if a high or low has been put in yet for the day. After 90 minutes you have a good feel and probability for the day so that is a great time to run the numbers.
We had what I thought was a possible low today at 1063. So adding the Minimum and maximum to that would get you to 1082.5 and 1087.5. This I thought went well with the big volume area up at 1084 that I have been watching.
I was wrong ! My mistake was not figuring out gap points when calculating the targets. Thursdays close was 1059.25 so we would have to add our minimum and maximum numbers to that just to be conservative as some like to use 3 day ATR. I find using the actual trade prices without gaps to be more accurate. But by including gap units we would have the following:
Thursdays Close of 1059.25
Plus Minimum range 19.5
= 1078.75
You would also have to add the Max target of 24.5 points so that would be a target of 1083.75
Upper target Zone of 1078.75 - 1083.5
I mentioned in the day trading thread that the market stilled owed us 5 points of actual trading range. Here is the thread link: You can also read about my failure as I was blindsided by a trendline that never broke but pulled out of that thinking after some losses. We need to be accountable, be responsible and most of all LEARN form our bad trades/thinking! Ok , Speech is over...back to this 3DAR idea.
http://www.mypivots.com/Board/Topic/5795/-1/es-short-term-trading-6-09-10
So the market starts selling off from 1077.75 and we need to start thinking about gap fills etc....so we need to start SUBTRACTING the min and max range amounts from the current high and at least thinking about the downside and a gap fill.
So we have a 1077.75 high and we subtract our min and max ranges of 19.5 and 24.5 points.
It gives us a target range of 1058.25 and 1053.25...Todays low was 1051.25 so we missed the low by two points. The point is that we can use this method to give some additional reference for targets.
You will find that this method will call the Range about 80% of the time according to my buddy who I shared this with. On daily and weekly ranges.
This week has a 3 WAR ( a 3 week averge range of 55 - 68.5 points). So this method utilizing the Lows and highs from the first three days this week has the following projections:
If the 1041.25 low holds as the weekly low then we should trade to 1096 - 1109.75.
If 1077.75 ends up being the High for the week then we should see 1022.75 - 1009.75.
I prefer the 3 DAR as it is most immediate and I just incorporate this into the other ideas and key areas. We'll see !
On Thursday which is Rollover we have a 3 DAR of 24 points and 80% of that is 19.25. Incorporating this with other methods ( specifically the Ratchets) can set up some excellent targets. You know how many Ratchet levels MUST trade in order to achieve your range projections! So I expect 3 Ratchets minimum tomorrow.
I hope some find this useful.
BruceM
It is simply the average of the last 3 days range from the real time session. You only use the prices that trade between 9:30 and 4:15 E.S.T for the emini S&P. Once you have the average you take 80% of that number as a minimum target. Coming into today we had the following ranges:
Fridays Range : 28.25
Mondays 23.75
Tuesdays 22.00
_______________________
Total 74 points
Divide by 3 = 24.6 Points ( round down to 24.5) = Max range
80% = 19.6 ( Round down to 19.5) Minimum range
With all projection methods we are constantly looking for swing highs and lows and trying to fiqure out if a high or low has been put in yet for the day. After 90 minutes you have a good feel and probability for the day so that is a great time to run the numbers.
We had what I thought was a possible low today at 1063. So adding the Minimum and maximum to that would get you to 1082.5 and 1087.5. This I thought went well with the big volume area up at 1084 that I have been watching.
I was wrong ! My mistake was not figuring out gap points when calculating the targets. Thursdays close was 1059.25 so we would have to add our minimum and maximum numbers to that just to be conservative as some like to use 3 day ATR. I find using the actual trade prices without gaps to be more accurate. But by including gap units we would have the following:
Thursdays Close of 1059.25
Plus Minimum range 19.5
= 1078.75
You would also have to add the Max target of 24.5 points so that would be a target of 1083.75
Upper target Zone of 1078.75 - 1083.5
I mentioned in the day trading thread that the market stilled owed us 5 points of actual trading range. Here is the thread link: You can also read about my failure as I was blindsided by a trendline that never broke but pulled out of that thinking after some losses. We need to be accountable, be responsible and most of all LEARN form our bad trades/thinking! Ok , Speech is over...back to this 3DAR idea.
http://www.mypivots.com/Board/Topic/5795/-1/es-short-term-trading-6-09-10
So the market starts selling off from 1077.75 and we need to start thinking about gap fills etc....so we need to start SUBTRACTING the min and max range amounts from the current high and at least thinking about the downside and a gap fill.
So we have a 1077.75 high and we subtract our min and max ranges of 19.5 and 24.5 points.
It gives us a target range of 1058.25 and 1053.25...Todays low was 1051.25 so we missed the low by two points. The point is that we can use this method to give some additional reference for targets.
You will find that this method will call the Range about 80% of the time according to my buddy who I shared this with. On daily and weekly ranges.
This week has a 3 WAR ( a 3 week averge range of 55 - 68.5 points). So this method utilizing the Lows and highs from the first three days this week has the following projections:
If the 1041.25 low holds as the weekly low then we should trade to 1096 - 1109.75.
If 1077.75 ends up being the High for the week then we should see 1022.75 - 1009.75.
I prefer the 3 DAR as it is most immediate and I just incorporate this into the other ideas and key areas. We'll see !
On Thursday which is Rollover we have a 3 DAR of 24 points and 80% of that is 19.25. Incorporating this with other methods ( specifically the Ratchets) can set up some excellent targets. You know how many Ratchet levels MUST trade in order to achieve your range projections! So I expect 3 Ratchets minimum tomorrow.
I hope some find this useful.
BruceM
Bruce very interesting I'm going to start looking into this more often.
Thanks for taking the time to go over this concept!
Thanks for taking the time to go over this concept!
As an addendum, i have long used the info posted each day by D.T. on the daily notes page using the same concept. take the 5 day avg daily range which is 27.05 handles... call it 27. yesterdays high 1077.75- 27= 1050.75! pretty dam close. All the the info is posted here at my pivots daily! I might add that this includes the entire globex session, not the rth only, another reason i like it..
I had 1077.60 as Friday's POC, and since the open was outside of Friday's value area I believe a "standard" MP trade would be a short at that POC ?
I'm not sure if you're in the right thread Dom ?
Originally posted by dom993
I had 1077.60 as Friday's POC, and since the open was outside of Friday's value area I believe a "standard" MP trade would be a short at that POC ?
Originally posted by BruceM
I'm not sure if you're in the right thread Dom ?Originally posted by dom993
I had 1077.60 as Friday's POC, and since the open was outside of Friday's value area I believe a "standard" MP trade would be a short at that POC ?
I was trying anyway ... my point was that Friday's POC at 1077.60 was a potential top for the day, even though that was well under the forecasted highs
An interesting point regarding the various projections: You really need one that works for your style of trading. If you think 27 points of range is coming using Average True Range then what percent of that can you trade for if you mostly trade the RTH session or don't hold Overnight.
Today we gapped up and only traded 8 points between the open and the Upper 5 ATR range projection of 1077 which included gap units. Which is great if you hold Overnight or are real active Overnight. How much of that 8 points can you capture in the RTH session ? Eight points of range is left from the open so more than two thirds of that projection traded while you are sleeping.
The 3 DAR today failed to meet it's minimum projection of 19.5 points but we had 16 points of range in the day session....what percent is that of the 3 DAR ? 16/19.5...a huge percent offering you opportunity.
Just a thought. There's good and bad to all methods. The point being to chose one that fits your active trading hours.
Today we gapped up and only traded 8 points between the open and the Upper 5 ATR range projection of 1077 which included gap units. Which is great if you hold Overnight or are real active Overnight. How much of that 8 points can you capture in the RTH session ? Eight points of range is left from the open so more than two thirds of that projection traded while you are sleeping.
The 3 DAR today failed to meet it's minimum projection of 19.5 points but we had 16 points of range in the day session....what percent is that of the 3 DAR ? 16/19.5...a huge percent offering you opportunity.
Just a thought. There's good and bad to all methods. The point being to chose one that fits your active trading hours.
Good point Dom... Thanks!!
Originally posted by dom993
Originally posted by BruceM
I'm not sure if you're in the right thread Dom ?Originally posted by dom993
I had 1077.60 as Friday's POC, and since the open was outside of Friday's value area I believe a "standard" MP trade would be a short at that POC ?
I was trying anyway ... my point was that Friday's POC at 1077.60 was a potential top for the day, even though that was well under the forecasted highs
The June contract had a final Friday High of 1092.75 so that was only 3.75 points below the projeted 1096 I gave on Wednesday. Pretty damn close considering it was rollover. There is an error in my previous post, as it implies that you need to wait until wednesday to fiqure out the targets. That simply is not true. You can calculate the 3 war after fridays close but the real key is fiquring out what low or high to add or subtract the 3 war range from/to.
Basically I look at Monday to be a continuation of Friday and then we see what happens during the week. If there is much interest we can go through an example next week. Even if it doesn't work as it should!
It's just a projection and I don't believe in too many prognostications , predictions etc....they fail too often and then nobody "steps up" when they get it wrong. When the gurus get it right you never hear the end of it though.I'm not going to beat anyone over the head with this as it is more of a guide as I don't hold long term anyway.
Today, 80 % of the 3 DAR was 17 points and we missed that target by two lousy ticks.....close enough!
Basically I look at Monday to be a continuation of Friday and then we see what happens during the week. If there is much interest we can go through an example next week. Even if it doesn't work as it should!
It's just a projection and I don't believe in too many prognostications , predictions etc....they fail too often and then nobody "steps up" when they get it wrong. When the gurus get it right you never hear the end of it though.I'm not going to beat anyone over the head with this as it is more of a guide as I don't hold long term anyway.
Today, 80 % of the 3 DAR was 17 points and we missed that target by two lousy ticks.....close enough!
Originally posted by BruceM
This week has a 3 WAR ( a 3 week averge range of 55 - 68.5 points). So this method utilizing the Lows and highs from the first three days this week has the following projections:
If the 1041.25 low holds as the weekly low then we should trade to 1096 - 1109.75.
If 1077.75 ends up being the High for the week then we should see 1022.75 - 1009.75.
BruceM
The fact that the market is not hitting full 3DAR and 3 wars means that this brief upleg may be labored...and over soon....
Looking for sells above last Fridays highs on Monday / Tuesday maybe the way to go. Extreme selling may even give us the elusive down OVB on the dailies. We can use the combined range of Monday and Tuesday to give us a clue as to where the 3WAR may trade...
Looking for sells above last Fridays highs on Monday / Tuesday maybe the way to go. Extreme selling may even give us the elusive down OVB on the dailies. We can use the combined range of Monday and Tuesday to give us a clue as to where the 3WAR may trade...
So far this is just plain wrong except for the fact that I expected Higher trade early in the week! The 3 WAR projects to 53.25 points this week so you can add 80% of that to the current low of 1084.25 to project above 1125..
My market profile work is hinting at lower trading on Friday so it will be an interesting day...Price action will always win for me over any projection method. Now a Gap up above 1125 would be cool and a nice sell signal...
My market profile work is hinting at lower trading on Friday so it will be an interesting day...Price action will always win for me over any projection method. Now a Gap up above 1125 would be cool and a nice sell signal...
Originally posted by BruceM
The fact that the market is not hitting full 3DAR and 3 wars means that this brief upleg may be labored...and over soon....
Looking for sells above last Fridays highs on Monday / Tuesday maybe the way to go. Extreme selling may even give us the elusive down OVB on the dailies. We can use the combined range of Monday and Tuesday to give us a clue as to where the 3WAR may trade...
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