Determining direction of the day

Hi All,

Perhaps someone has some ideas to offer on this question:
"If the direction of the day is defined as the general trend from open to close, what might be a good formula or way to determine it?"

notes to clarify:
Up Direction:
1. Today (22 Jul 10) was strongly up (to 1093 area) from the open (1078.25), then flat along the top, and then a dip down at the close (1086 area). So today I call a long "T top" day. For my question, then I don't really mean include the dip down at the end. That is I would ignore the move to 1086 area. (Close was 1088.50 ES Sept contract).

Examples of Flat direction:
2. Some days are "V" days and some "^" (caret) days. These open and close roughly even with a peak trough around the middle of the day.
Some days are "Up N" or "Down N" so for this question I would consider them flat days. (up N will be positive from O:C and Down N negative from O:C -nut there is no consistent trend.

So at this point in the question I'm not sure if adding more blocks possible ideas or adds to them but I'll give one area I am looking at:

Pre open midarea (e.g. Vwap 7:30am to 8:30am) compared to the O/n mid point (H+L/2).

(as a cavet to those who feel they must answer with things like "There is no way to determine it", etc. PLEASE DO NOT POST! Others who might be more timid about offering me an idea for investigation might not post for fear of sounding foolish.
Also: People who don't think and answer off the cuff - PLEASE DO NOT POST.)

I am looking for any ideas from positive people - don't worry if it is eccentric (you can PM me if you like!).

Many thanks in advance to all positive, helpful replies.

I'm a big fan of tracking 15 min volume and comparing it to a 5 day average and then use VWAP to determine a bullish or bearish bias for the day. When volume is above average I'm looking for bigger price moves in any given direction, when volume is below average I'm looking for the range day where price either oscillates around VWAP or consolidates above/below it.

Here is a great discussion of Dr. Steenbarger's idea on Day Structure.

http://traderfeed.blogspot.com/2009/12/trading-process-day-structure.html

Many thanks for the thoughts Lorn!

Wednesday is my "no-trading" day and I'll read the link and reflect upon your ideas.

Best of trades to you!

re:
"I'm a big fan of tracking 15 min volume and comparing it to a 5 day average and then use VWAP to determine a bullish or bearish bias for the day."

Does this mean that you have a 15 min chart with the average volume and current volume for the day session, or do you keep a spreadsheet with the volume in fifteen minute intervals for the day session and compute a five day average?

thanks

I have a spreadsheet I use to keep track of volume and averages. That way I can do other studies if I want to at a moments notice.

And I start my count at 8:00am so some O/N volume is included.

Originally posted by blue

re:
"I'm a big fan of tracking 15 min volume and comparing it to a 5 day average and then use VWAP to determine a bullish or bearish bias for the day."

Does this mean that you have a 15 min chart with the average volume and current volume for the day session, or do you keep a spreadsheet with the volume in fifteen minute intervals for the day session and compute a five day average?

thanks

Thanks Lorn.

I couldn't make a 5day average volume on Ninja as they include o/n so this was a work around.

You can see during the range how volume shrank, giving a good indication to keep targets reasonable.

Lorn,

Here's an average of the daily averages
(used 29 period to catch 8am to 15:15 and took reading at 15;15)

I don't think it is the same as your number would be but could you look at your spreadsheet for the close of 7/27 and tell me what the 5 d average was?

Thanks.

Do you mean for the 15:15 period?

5-day average would be 86601

Originally posted by Lorn

Do you mean for the 15:15 period?

5-day average would be 86601

I was trying to replicate your number
I assumed you have 15 min volume for 29 periods per day for 5 days or 145 observations. And that you sum the 145 15min volume observations and divide by 145.

No, I do a 5-day average for each 15 min period. So the 15:15 period I will use the average of the last 5 days for that period only.

Does that make sense?

Your description would certainly be another way to look at it.

Originally posted by redsixspeed

Margaret Brennan wearing red

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Margaret Brennan wearing red