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ES short term trading 6-2-10


Lots matching up again


86 - 87.5 rat and POC

81.25 Rat and Va low

75 - 77 Rat, weekly PV and current O/N high, breakdown point from YD aftrenoon *******

67 - 68 rat and current O/N low - YD low****

the MP players wll be watching to see if price is brought back uo into value today or if new value will be established lower from that late day spike. Usually after a consolidation and run out in the afternoon that closes on it's lows we get follow thorugh...so many will be trying to get short up in the 76 - 77 area in the O/N and target lows below YD's low

We know we will probably print at least two ratchets so we can watch which one prints first to try and establish which one will print second. This is being done in attempt to hold runner contracts longer with a good signal. My bias is short untill we trade below YD's lows, then we need to be thinking about the possible GAP AND RAT down at the 61 - 62 area. Below there is 56 area and another RAT. That may be an agressive goal. Goodluck today
Hey Phileo, good info. Where'd ya get that seasonality chart/table? I've been trying to hunt down a good statistics service that provided combined info for for days/weeks/months of seasonality, daily directional bias from open to close etc. etc. etc. all in a one-stop-shop.
Originally posted by phileo

hey crew,

O/N Market has been boxed in by 1077.5-1078.5 and 1067.5-1068.5 areas. I will be watching those two lvls for breakout - should be good for 2pts IMO.

gap fill is 1070, YD lo 1068.5, and O/N session reversed in this area 3x.

o/n bias was initially up, but European selloff resulted in a more range bound, neutral p/a.

What I'm looking for today is gap fill attempt (down to 1068), and then breakout attempt (1078).

something else I found useful:


Woo... flat now and watching
Originally posted by phileo

hey crew,

O/N Market has been boxed in by 1077.5-1078.5 and 1067.5-1068.5 areas. I will be watching those two lvls for breakout - should be good for 2pts IMO.

gap fill is 1070, YD lo 1068.5, and O/N session reversed in this area 3x.

o/n bias was initially up, but European selloff resulted in a more range bound, neutral p/a.

What I'm looking for today is gap fill attempt (down to 1068), and then breakout attempt (1078).



went long 1073, original target 1078, but exited too early 1076.5
done for the day.
Originally posted by MonkeyMeat

Hey Phileo, good info. Where'd ya get that seasonality chart/table? I've been trying to hunt down a good statistics service that provided combined info for for days/weeks/months of seasonality, daily directional bias from open to close etc. etc. etc. all in a one-stop-shop.
Originally posted by phileo

hey crew,

O/N Market has been boxed in by 1077.5-1078.5 and 1067.5-1068.5 areas. I will be watching those two lvls for breakout - should be good for 2pts IMO.

gap fill is 1070, YD lo 1068.5, and O/N session reversed in this area 3x.

o/n bias was initially up, but European selloff resulted in a more range bound, neutral p/a.

What I'm looking for today is gap fill attempt (down to 1068), and then breakout attempt (1078).




http://marketsci.wordpress.com/

It's a quant research blog on SPY/ES. Lots of statistical studies and useful info on probabilities of ES/SPY behaviour.
I've been trying to lobby them to include mutual fund monday's in their seasonality map, but they do not recognize that pattern.
But they are going to incorporate FOMC events into their seasonality map, and I am going to lobby them to include NFP days also.
Originally posted by feng456

went long 75.75


I would have have waited for the gap fill attempt.
but it should hit 77.75 eventually, so you should be able to do well today....
i have a 1 hour stop and at one point i was one nearly 5 points. im out now thankfully as my time stop is coming up fast.
Originally posted by phileo

Originally posted by feng456

went long 75.75


I would have have waited for the gap fill attempt.
but it should hit 77.75 eventually, so you should be able to do well today....


feng,

did you get hit?
Originally posted by feng456

i have a 1 hour stop and at one point i was one nearly 5 points. im out now thankfully as my time stop is coming up fast.


Hi Feng,

In my opinion, your strategy criteria of entering right at the open is a restrictive criteria.
Today, I was watching ES preMkt, and just from watching the P/A, I got a sense that it would attempt to fill gap, but then reverse to retest O/N hi. Therefore, i did not enter off the open.

Unfortunately, my method is discretionary, I don't have a mechanical method to suggest to you to try and get a better entry for your gap fill / time stop strategy.
the reason i pick the open is this way when i backtest i can have 99% the same results as i would if it were live trading since i know exactly where im going to enter, exactly where the exits are, and exactly where the stops are. to me it makes the backtesting more reliable and raises my confidence more.
Originally posted by phileo

Originally posted by feng456

i have a 1 hour stop and at one point i was one nearly 5 points. im out now thankfully as my time stop is coming up fast.


Hi Feng,

In my opinion, your strategy criteria of entering right at the open is a restrictive criteria.
Today, I was watching ES preMkt, and just from watching the P/A, I got a sense that it would attempt to fill gap, but then reverse to retest O/N hi. Therefore, i did not enter off the open.

Unfortunately, my method is discretionary, I don't have a mechanical method to suggest to you to try and get a better entry for your gap fill / time stop strategy.


Hi Feng,

Have you ever considered using the 5IB strategy to confirm your bias at open? Perhaps delaying trade entry until after 1st 5min. may give you a better win rate.
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