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MP Spoos Feb 8th




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In reply to your questions DayTrader about my MP Courses:

CBOT manual. Well have you read it recently? it is 340 odd pages and although it is comprehensible it gets how shall I put it...boring..
The MPCourse is designed to specifically cut it down to be more mangeable & understandable.
Mind over Markets. The most comprehensible tomb on MP and used by many as a bible. I constantly read mine and that's the point. You dip in and out and therefore leave a lot on the table.
The MPCourse is designed to concentrate the mind and take you from A-Z
Steidlmayer on Markets. The entry point for anyone wanting to learn MP. but people seem to find that Pete can be on a differnt plane.
The MPCourse is designed to explain with graphic detail which for many they cannot see in the written word

The Video course that I am re-releasing this Easter weekend is designed as an alternative but also compatible with the MPCourse and is delivered in video format in a series of lessons covering beginner // Intermediate // Advanced // I show amongst other stuff how to be able to do without the LDB (ie in non CBOT markets) as well as full explantion of entry and more importantly exit points. Pete never ever talked exits.

The courses come with 2 hours of my personal attention in a hotcomm room and thereafter full support via email to questions.

I additionally offer whatever you want to call it: coaching, teaching, mentorship on a bespoke basis.

The chapter on MP in John Carter's Mastering the Trade was written by me. I have delivered MP to live courses as well as within their trading room run by John Carter /Hubert Senters of TradeTheMarkets. The CBOT has recognised my work in MP101 and MP102 by showcasing it on their website MP education page.
I have the most comprehensive library of MP written work that is to be found in one place including much of the Market Logic School work that I also make available to Members of my website. I am closely associated with Billy Duryea and he has conferred upon me the title Professor at the IOAMT university and on most days I am to be found in his room commentating on the markets. I am associated with TheMarketVuShow and post daily MP comments on their website and lastly I post within these forums. I have my own hotcomm room as well. I trade for a living but I also enjoy teaching mainly when the markets are not active.

Either of the courses above but in reality although they complement each other there is value to be had from taking both would be beneficial to those whom wish to take their understanding onto a higher plane. It is through frequently demonstrated analysis that people gain knowledge and understanding that just by reading the written sometimes is not enough. That is the difference between my work and the available open forum / books / cbot stuff that is out there. I offer help, training, motivation, support, continuation all on MP and at a price that frankly most people would charge 10 times for.

You are very hot on your questions of many about back testing and black and white entries . I don't need to back test something that I have been using and test with real money in real time every day since 1987. MP is the most powerful methodology I have ever witnessed and whenever I deviate into other forms of technical analyis and I come up lacking then I always say the same thing. Alex read the profile for that is what you are good at. I make it talk to me to figure out the why // who // when // and what next //. Black and white is a bit like the following

http://www.careerbuilder.com/monk-e-mail/Default.aspx?mid=5497676&cbRecu=&cbRecursionCnt=4&cbsid=4a23fa1531af4ddca5fe72e421b4631a-198272145-WT-2

unlike the monkey in that web link
MP is about figuring out the dominant trader and then playing alongside. MP is about probabilities. MP requires continual assessment and analysis and frankly hard work. Most fall by the way side because they don't understand that MP = Price + Time = Volume = Standard Deviations withing the bell curve = Value= Understanding = knowledge = $$$$ and frankly the majority of people that I have come across over the years that say that MP does not work in any timeframe are after the holy grail. Well MP is as close to the holy grail that you will get delivering in real time a methodology that anticipates market moves with understanding rather than being some form of lagging indicator

I hope that in some way I have demonstrated via my chart postings and commentary (posted in advance with clear logic and levels - despite your claim once that the comments were ambiguous) that the old MP of the 1980s is (contrary to Pete's recent magazine interview) still a very viable methodolgy which has stood the test of time in all markets and has daily application that can help many transition from beginner to average to advanced trader

Did you know these stats before they were published?
Some Market Profile stats
MP is in fact a data warehouse from which with the power of computers one can extract far faster (rather than manually) the information as to if there is a non trend day what is the probability of it being followed by a trend day or a normal variation day
If a Neutral day what does that beget etc.
if a letter rotation is of x tics what is the probabilty that when it extends that it extends by y number of tics

and so to your question the answer is that I have the information manually rather than inside a computer algorithm which would of course make life much easier and quicker.

The point of your question and link was what exactly?

Are you prepared to release the source?
is the source capable of being interrogated?

As to trend days there is a simple definition. you state that trend days are usually normal variation but can be neutral days. A trend day can never be a neutral day by definition. a trend day is a day where the other time frame trader ie the dominant trader ie the guy with the longer term time horizon is continuously active throughout the day pressuring one side and one side only. It is a day where this dominant trader is in excess of 60% of the market volume. IE The direction is continously making lower highs and lower lows or in a rising market higher lows and high highs. It is possible to have a minor counter rotation where it appears that the directional trade has stopped but in reality when you look at trend days you find that broadly speaking they open on one extreme and close on the other with minor opportunity in terms of trade location because by definition a trend day is about foresaking trade location and jumping on board. ie it is an initiative trade . A neutral day is a responsive trade fade the rotations and therefore creating the up and down two way traffic. Normal variation days as Pete described them being an extenion of approximately 15% outside the initial balance are not really effectively NVD days anymore and haven't been in fact for over 10 years. All day types display a variation of 1 2 3 standard deviations within the profile. The key is early identification of day type because the trading response is different in terms of trade for a trend day vs a neutral day vs a normal day vs a non trend day vs etc
quote:
Originally posted by alleyb

...the information as to if there is a non trend day what is the probability of it being followed by a trend day or a normal variation day
If a Neutral day what does that beget etc...

As an aside: Have you found that the day type is influenced by the previous day type? (My testing shows that it is not.)

quote:
...and so to your question the answer is that I have the information manually rather than inside a computer algorithm which would of course make life much easier and quicker...

When you say that you have it manually, do you mean that (1) you've jotted down observations in your journal, or (2) it's in your memory, or(3) it's on a rough spreadsheet, or (4) other...?

quote:
The point of your question and link was what exactly?

To show how I can get answers to common probability questions with a few clicks of a mouse. If I think that the market has skewed this year and that those days types aren't holding up anymore I can select just days from this year and rerun it and 10 seconds later I have the answer which means that I can do this in real time if I have a question about the developing market.

quote:
Are you prepared to release the source?

Yes, as soon as it's on a public server I'll show it to you.

quote:
is the source capable of being interrogated?

Can you adjust the parameters and run your own stats? Yes.

quote:
As to trend days there is a simple definition. you state that trend days are usually normal variation but can be neutral days. A trend day can never be a neutral day by definition...

As I mentioned, there are many definitions for a trend day. For example, the TPO's are not very wide during a trend day. I've heard people quote that the TPO's should be no wider than 4 at any point for it to be a trend day. Do you know how many days the ES has seen since inception where it has had a max of 4 TPO's wide? It's been 6.

I could argue that a market that trades in a tight IB and 1 ticks below the IB low (once it's formed) and then rallies for the rest of the day is a trend day - especially if it opened 1 tick from the LOD and closes at the HOD and has an exceptionally larger range than normal. Technically that would be a neutral day but I don't know many people that would not say that it was a trend day.

The point that I'm making here is that a computer algorithm cannot ignore technically neutral days as potential trend days because you would be excluding a lot of profit potential by doing so.
to take your points in order:
Influence of previous day: Its not the influence per see of the previous day but the probability of for example a neutral day being followed by a neutral.
Data warehouse: I have the data on paper
Your Link: you make an interesting point. think about what you wrote: "If I think that the market has skewed this year and that those days types aren't holding up anymore". For your preprogrammed software that you are working on how exactly would you input your thought process?? or is the concept to use it a bit like the Trademaven accordian where you turn it on and turn it off when you want. For your information this is already actually being done by hedge funds and creates the spike surges on bandwidth at crucial timepoints
Public server: I look forward to it. do you have a timeline
Further on Trends: Your argument of 1 tic below the IB misses one of THE most important aspects of MP. That is a genuine single print and garners more information than anything else put together. Under no circumstances could what you describe be called a neutral day if the 1 tic the opposite side is taken out. A trend day has one simple definition. It is a directional trade where the longer term guy IS ACTIVE THROUGHOUT the range and takes roughly 60% of the volume.It is vertical day. On normal days Horizontal for example the local takes 60%. The local these days has to include the day trader flippers. From there you can build Pete's concept of capital flow within the vertical and horizontal.
As to concepts of 4 TPOs again you have to be more flexible. It is not the quantity that counts but where your inflexibility comes in is to use what was applicable and is still applicable to the Big S&P contract and place it in context of the ES which trades for 23.5 hours per day vs 6.75. You may also not realise that the overnight trade is not about trading ES or S&Ps per see but about trading Europe and the opportunity that gives the funds. IE I want to move a piece of stock but until there is activity in that market noone is showing interest therefore I create the activity in ES or S&P because everyone watches it. Cost to me nothing in terms of say a 2 point loss on 100 big cars vs shifting 100 million dollars worth of stock.
As to your last point of opportunity loss...You seem to want to concentrate on defining trend but from your own stats you show that Normal variation days take the bulk.
If you dig a bit deeper the stats work along the lines of
an average sample size as to:
50% Normal Variation, 25% Neutral, 16% Trend, 5% Normal, 5% Non Trend
Stats from my data warehouse
quote:
Originally posted by alleyb

...Its not the influence per see of the previous day but the probability of for example a neutral day being followed by a neutral.

My apologies - that is what I meant and that is what I measured. I will need to run it again to confirm but from the initial run it confirmed that the day type (e.g. neutral) did not beget a neutral day the following day. i.e. the occurrence of a neutral day following a neutral day was as likely as a neutral day happening irrespective of the previous day type.
I did this by expanding the previously reference stats on day type into a matrix of what day type follows what.

quote:
Your Link: you make an interesting point. think about what you wrote: "If I think that the market has skewed this year and that those days types aren't holding up anymore". For your preprogrammed software that you are working on how exactly would you input your thought process??

If I've understood your question correctly: I look at date ranges to see if a strategy currently is no longer viable. For example in the quarter end markups analysis that I did, it appears that the strategy is an 80's hangover: Quarter End Markups

quote:
...or is the concept to use it a bit like the Trademaven accordian where you turn it on and turn it off when you want.

I'm not familiar with accordian. How does it work?

quote:
For your information this is already actually being done by hedge funds and creates the spike surges on bandwidth at crucial timepoints

I've worked for hedge funds before. For example I was involved in the development of this AI system:
http://www.wired.com/wired/archive/4.12/esrobotrader.html
I am just pointing out that I understand and know what they are doing.

quote:
Public server: I look forward to it. do you have a timeline

I'm hoping for June 15.

quote:
Further on Trends: ...A trend day has one simple definition. It is a directional trade where the longer term guy IS ACTIVE THROUGHOUT the range and takes roughly 60% of the volume.It is vertical day...
...As to concepts of 4 TPOs again you have to be more flexible.

You see, the problem with those definitions and the "flexibility" that you need to give the definitions creates ambiguity and disagreement about what is what. You may interpret the definition for trend differently to Trader X or to me.
By setting out hard solid rules to define a trend day (or any other market concept) it means two things:
1. Agreement on when that structure happens in the market.
2. The ability for an algorithm to analyse that structure and verify its merits.

quote:
It is not the quantity that counts but where your inflexibility...

If you're trying to teach someone to use MP through courses or any other means and you tell them that they have to be flexible in their interpretations of certain structures then you are teaching people to be subjective. If you see a certain trade setup developing you may not take the trade because there is another development that warns you to stay off it. Say for example there is a buy at a Single Print. You don't take the long because the EIA is about to issue a report. You are not being flexible - although you may think that you are. You are in fact incorporating another rule into your strategy decision process. The problem is that the rule exists in your head and you haven't written it down and included it as a filter or weighed it as a positive factor in the written strategy of your teachings. In the link I posted above about the AI system that I worked on we incorporated over 1,500 rules from the star trader so that each trading decision had to traverse 1,500 interlinked rules in order to come up with the best plan. The hard and fast rules used in MP are supplemented with "flexible" subsets of rules that haven't been incorporated on paper but exist in the minds of the traders. What you call flexibility is in fact an unwritten rule that could be used to define a trend, for example.

quote:
...50% Normal Variation, 25% Neutral, 16% Trend, 5% Normal, 5% Non Trend
Stats from my data warehouse


Another person would come up with different figures depending on their definition. So if you're discussing strategies with me then we may have detrimental advice for each other because my figures under my definitions have different results.
actually i see parralels in our stats. I said: ...50% Normal Variation, 25% Neutral, 16% Trend, 5% Normal, 5% Non Trend

You said:
Here are the facts:
Neutral: 32% (662 days)
Normal: 2% (42 days)
Normal Variation: 65% (1341 days)

Total: 100% (2045 days)

So there are very few Normal days and Normal Variation days outnumber Neutral days by 2 to 1.