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Daily Notes 242


This is the link to the Daily Notes page:
http://www.mypivots.com/DailyNotes/dailynotes.aspx

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Daily Notes have been updated.

Transcript from trading room yesterday (1 trade lost 1 ER2 point)

June’s single print strategy (1 trade lost 1 ER2 point)
(cumulative monthly loss of $390)
Daily Notes have been updated.

Transcript from trading room yesterday (1 trade made 0.3 ER2 point)
(Comms problems inhibited trading for the rest of the day.)

June’s single print strategy (no trades)
(cumulative monthly loss of $390)

Don't forget that today is rollover day. Change your contract letters from M to U.
The Daily Notes which has become like my Bible has not been updated.Thanks
Sometimes your browser will cache the page (which it shouldn't do because the page is set as a non-caching page). Try and hold down the Ctrl key and then click the Refresh button on your browser. This will force a refresh. Let me know if that doesn't work.

Looking at it from here I can see that it has been updated for today on the web.

Also, if it doesn't look like it has updated then go into the archives (link at bottom of Daily Notes page) and go to today. There will be a copy of it in the archives and so you can open it there and it should show you today's numbers - this is a good backup and verification that the Daily Notes have been published.

Hope this helps.
Guy, on the Daily Notes page - from what time to what time each day exactly, are the open/high/low/close based upon? And, are the 10, 20 and 40 day Avg Ranges based on true range (by true range I mean does it include gaps) or just the high-low's divided respectively for the 10, 20 and 40 day periods? Thank you.
Hi Tool,

The second button on the top of the Daily Notes page takes you to an Explanations page and the data used is explained here: Data Explanation

However, that does not appear to be as complete or explicit as exact times.

The ES, NQ, SP use the open/high/low/close from 09:30 to 16:15 ET (which is the RTH session for these contracts).
The ER2, YM use data from the whole trading day because neither of these contracts have an RTH session.
The ZB, QM and EC contracts use the default times for the pit traded contracts - I am not sure exactly what those are without looking them up on the exchange web sites.
$INDU is the cash DJIA and is calculated from 09:30 to 16:00 ET.

The 10, 20, 40 day average ranges are simply the HIGH-LOW (as defined in the time periods above) for each day averaged across that number of trading sessions. Because there are approximately 20 trading days per month this gives the 2 week, 1 month and 2 month averages.

Let me know if this answers your questions.

Guy - yes, that answers my questions thoroughly. Thank you very much for taking the time. I use Average True Range in my studies (which includes gaps), that I calculate by hand each night. With a cash Index it would be quickly accessed from various charting sites, but with Futures I have yet to discover a quicker method.

Thanks again.
So what is the calculation for Average True Range? And how would that figure differ for today's range in say the ES?
Daily Notes have been updated.

Transcript from trading room yesterday (3 trades lost 5 ER2 point)
(Worst day in I can't remember how long...)

June’s single print strategy (2 losing trades)
(cumulative monthly loss of $810)

All in all a very bad day trading yesterday.
Daily Notes have been updated.

Transcript from trading room yesterday (1 trades lost 1 ER2 point)
(Last 2 weeks have been very bad. A combination of bad trading, bad luck, and a period when the signals weren't great)

June’s single print strategy (no trades)
(cumulative monthly loss of $810)
Hey omni

The ER2 and YM don't have gap play figures because they do not have RTH sessions. Of course one could create RTH sessions for them by just looking at the 09:30 to 16:15/17:00 timeframe but the data that I use for those contracts is the all session data.

This has both advantages and disadvantages. The advatages are that you can compare all the averages and summary data between 2 pairs of index futures contracts that are RTH and all sessions. i.e. the NQ and ES are RTH and the YM and ER2 are all sessions. This often gives interesting comparisons at-a-glance as the all session pattern may have been very different to the RTH pattern and this can be quickly picked up in the summary figures, for example the Trend %.

Of course the disadvantage is that you cannot see a gap play figure for the YM and ER2 with this sort of data.