Friday, May 30, 2014

RANsquawk - Weekly Wrap 30th May 2014


Searching the blog for information

I try to tag everything I add or link from the blog. You can use the tag cloud in the side-bar to find entries on specific tags.

For example...

Market Profile (for posts / articles / webinars about Market Profile)

Educational (for educational posts / articles / webinars, generally from other sources)

Development (for posts about the latest developments for my tools, and release notifications)

Currency Strength Meter (for articles and charts about the Currency Strength Meter)

You can also try the search tool in the side-bar for more specific searches.

Monday, May 26, 2014

Good morning DAX!

With London and US closed for holidays, volumes are expected to be thin today. This is the perfect environment to gap-up and gun some stops on the DAX! That's just what happened.

Gap-up, and continues in that direction taking out previous all-time highs, R2 (which now becomes support), and finally settling (for now) at R3 and IBXH1 (150% Initial Balance Extension).

I'm not playing this game today though. When the markets are this thin and being pushed around it is easy to get on the wrong side of a trade very quickly.

Thursday, May 22, 2014

FTSE100 trade

Couple of small trades today. Shorted failed test of R2, for some reason I had this as a scalp and only took 2 pips, it went for 30 or so in the end. Next trade was long at test of previous high, close and IBL1 (150% IB extension). Had another entry on the daily pivot, but didn't get a fill and market rallied somewhat - didn't want to chase.

Initial Balance Extensions

I implemented Initial Balance extensions for the Session Lines indicator recently. The Initial Balance (IB) is the 1st 60 mins of trading, and the IB extensions are generally taken to be 150%, 200% and 300% of the IB.

These are psychological levels... basically if you imagine that price managed to move say 25 pips in the 60 mins, it doesn't seem unreasonable that it might move 25 pips or 50 pips in the rest of the day. They just give a feel for the possible amount of range extension that might happen. Statistically 150% range extension is quite normal, 200% is a pretty big day, 300% range extension is a really big day. Of course, each day is different, and some days start with a very small range which go into break-out mode and exceed their extensions easily, whereas other times the IB can be large and trading is contained within the IB all day.

Like floor trader pivot levels, they only "work" (if indeed they do) because multiple people use them.

Here's chart of yeserday's S&P500 trade, which was a strange day (open drive followed by slow grind up, FOMC, more grind up). The 150% and 200% extensions came into play. The 200% extension was also R2 level.

Wednesday, May 21, 2014

Currency Strength Meter

Less than 30 mins to go before BoE minutes regarding possible future rate hike.

Tuesday, May 20, 2014

Market Profile 101 - Learn the Basic Methods of Applying Market Profile

PREVIEW: FOMC Minutes - 21st May 2014

Zig-Zag indicator developments

Working on a couple of changes for the Zig-Zag wave indicator.

Firstly, there is the "automatic" mode. The up/down direction of the zig-zag changes when the price has retraced by a certain number of pips... but how many? By trial and error you can adjust the "delta" to give a reasonable looking zig-zag (we want to "tune" it to capture the main swings and ignore the noise). The exact amount varies with different instruments and time-frames. With the "automatic"mode, I employ an in-built ATR (Average True Range) function to use as a basis for calculating the "delta". A further multiplier is then used to set the value. For example, "delta" can be 1.5 x ATR, or 0.5 x ATR, etc. This seems to work out quite well in practise, and reduces the amount of "tuning" required. A further advantage is that the indicator will automatically adjust for changes in trading, e.g. small range days, over-night sessions, etc.

The other change is something I've had on my "to-do" list for some time, which is to optionally allow the zig-zag to use high/low values instead of the close value.

Both changes are implemented, and currently under testing. I will announce on the blog when they are ready.

In the screenshot below the upper zig-zag (black) is using "close" and the lower zig-zag (pink) is using "high/low". Both are using the "automatic mode", and I've slightly tweaked the multiplier in the case of the lower indicator to handle the bigger range.

Morning DAX trade

Using 15min chart today - was finding that with the 5min chart I was trading the chop zone too much. Trying to stick to trading levels (pivots, profile levels, VWAP, etc.)

Here's a nice trade this morning which I took after the UK inflation numbers had passed. Long on the daily pivot and scaled out.

Monday, May 19, 2014

Strategy Video: Inflation Data May Tempt GBPUSD Reversal

S&P500 trade

Attempt at long on pull-back to Friday's POC, S1, VWAP. But European markets (DAX and FTSE) looking very soft this morning, and it threatened to break lower, so I closed for small loss. Would have been a perfect trade. Need to have more faith.

Market Profile Webinar Series

Just found this great multi-part webinar series on MarketProfile.

Part 1

Sunday, May 18, 2014

Initial Balance Range Extensions

The Initial Balance (IB) is the first 60 minutes of the trading day. It usually only applies where there is a balance, i.e. if the market opens and trends instantly the IB is not valid. It also only applies where there is a definite "open" to the market (e.g. for stock market). For 24 hour forex market, there is some debate about what the best times to use - or even if the technique is applicable at all.

My Session Lines indicator was developed to show key intraday trading levels for session-based instruments (such as S&P500, DAX, FTSE100). I have recently modified this to show the Initial Balance Range Extensions too. These range extensions are generally shown at +/- 150%, 200% and 300% of the IB.

These levels are price projections, and just give an indication of how far a move outside of the IB could potentially go. Of course, they should not be traded blindly, but should be used in conjunction with other techniques and levels.


The changes are currently under testing. I will announce the update on the blog when it is ready.

Thursday, May 15, 2014

Suri Duddella Pivots, Volatility, Scalping, Patterns

Down day today

Pretty much everything down today.

S&P500 trades today

Don't often do it, but I made some small overnight trades on the S&P, which worked out for a small number of pips. I also had a trade on the S1 support level, which trigged mid-day in Europe session. However, the price action this morning was very bearish, so I closed the trade at just over break-even.

Then there was the break-down. I guess this was expected, numbers from US being the catalyst. I ignored trade at S2 since it looked like price would move a lot lower. I entered at S3 - it hit pip-perfect to the tick. Was looking good, and scaled out averaging 16 pips, but price eventually went lower and my last runner was taken out for a few pips loss. S4 was the next level, but this was getting very close to a key low from 9th May, and with possible stops below so I stayed clear.

Daily floor pivots really working out nicely here.

Posted later: there go those stops I was worried about. I knew that low wasn't safe yet.

Morning DAX trade

There was a late-night move down yesterday, and the markets opened near the lows. Nothing much happened in DAX until London opened.

I took a small trade long at the London open, but there was a big wick on the candle, and I closed at just above break even. Shortly after there was a huge move up to new highs - wish I'd left the trade on! I was tempted to go long again at the test of the broken R1 and previous high (resistance becomes support), but the market was really flat, and then suddenly broke down. I next tried a long at the daily pivot, but this also failed. I next tried a long on the current POC, and got some profit, but took it off too early (fear of losing again). Market was looking very bearish, so I went for break-down trade below the low of day, and here I finally had things go my way and made final scale at R2. Was very tempted to buy R2, but didn't take it.

The daily pivots, and support/resistance lines really working well here today.

A bit of a mish-mash today, really didn't expect that big move up and reversal, and was struggling to understand the sentiment.

Wednesday, May 14, 2014

Session Lines and VWAP

By popular demand, I added VWAP bands to the Session Lines indicator. The indicator supports bands at +/- 1,2,3&4 standard deviations. You can see this chart of today's DAX, where a price channel is formed between VWAP and it's lower band 3.  It has pretty much being trading from those levels all day, although I expect it to move out of that channel now that US is open.

The chart is looking a little bit cluttered, but it's an option and you can turn it off. The change is under test, I will announce on the blog when it is ready.

Saturday, May 10, 2014

S&P chart setup

I created a special type of MarketScope indicator called a "View Indicator" - it allows non-standard duration for bars, e.g. based on ticks or different time base, etc. I created the "Session Bar Chart" indicator to allow specific session start times to be captured as single bars. This can also be used to create daily charts with specific start time (like 8h00) rather than using the FXCM daily start time (17h00 EST).

Here I use 2 sessions: Regular Trading Hours (RTH) for US starting at 9h30 EST, and Over-Night (ON) starting at 16h00 EST. This works well with other indicators, and in this chart I have Candle Profile which now shows the profile for each of these whole session candles.

The code for "Session Bar Chart" can be downloaded here. "View indicators" are not added to a chart like a regular indicator, you have to create the chart using it. After installing the indicator, use "File->Create View..." menu to create the chart.

There's no documentation with it, but hopefully it is simple enough to use. Select the instrument and date range. The "period" should be set according to the required time granularity. For example if you want to start a session or finish at 16:15 then you need to use "period" should be set to m15. If your session only requires hourly granularity then set period to H1, etc.

Thursday, May 8, 2014

Currency Strength Meter 8/5/2014

S&P500 trade

Disappointed with today. I had a good set up on the S&P, pull-back to Pivot Point and yesterday's POC, entered long. But this was right before Draghi was speaking at the ECB, and the volatility was uncomforable. I eventually bailed on the trade at +3 pips. The trade would have gone on to make 100 pips. The next trade was to fade the R1, but this did not move as fast as I hoped, and I feared it would pop, so I bailed on the trade at -3 pips. Break-even on S&P today. Missed opportunity. Need to have more faith.

Wednesday, May 7, 2014

Line Sync Tool for MarketScope 2.0

S&P500 trade today

Fed char Janet Yellen was speaking this morning in US, so markets were expected to be choppy. I took a nice trade in the afternoon though, a pull-back to mid/VWAP/support. I was hoping it would reach the highs of the day, and maybe break through. Unfortunately, it didn't make it on the first attempt and my final scale caught the trailing stop. Soon after it went on to meet my intended target.

RANsquawk Preview: BoE & ECB Rate Decision 8th May 2014

Tuesday, May 6, 2014

DAX morning trade

DAX opened with a gap-up right at R1 resistance level. Now, yesterday was very strange trading day and DAX traded down 150 pips or so, and then rallied and closed right back at the open. All those stops above the opening range were the target this morning, and so the gap-up was just short covering - i.e. no follow-through and price went down. I shorted at R1, and scaled out for an average of about 10 pips. I wanted to be fairly flat before FTSE opened because UK was on holiday yesterday and so I was expecting some volatility as the prices took into account the long weekend.

In the event, the DAX continued to trade down nicely, for 100 pips or so. I missed out on this. In hindsight, I should have kept my runner on.

Saturday, May 3, 2014

Volume Profile and Currency Strength Meter on FXCM Apps

I've got a number of indicators published on the FXCM Apps site. Two of my most popular indicators are doing very well there (see screenshot from FXCM Apps): Volume Profile and Currency Strength Meter.

I've also got Candle Profile (which is one of my personal favourites), and Multi-Compare.

All the indicators can also be purchased directly from my blog.

Trading Video: EURUSD and USDJPY Flash Extreme Contrarian Readings