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2,817 posts
msg #64140
Ignore chetron
6/21/2008 6:44:36 AM


6,358 posts
msg #64145
Ignore TheRumpledOne
6/21/2008 12:32:58 PM

B = BOUNCE ( low to close )

D = DROP ( open to low )

R = RUN ( open to high )

P or PB = PULLBACK ( high to close )

104 posts
msg #64148
Ignore jimhbutton
6/21/2008 2:00:59 PM

Thanks TRO & Chetron

15 posts
msg #64156
Ignore waldr
6/21/2008 6:31:35 PM

TRO, I was just wondering if you ever apply stats on the time axis.

Say I like to know what would be the best time to statistically to get in to SPF. I gues intraday historical data software and filter would be required but I was just wondering if you apply stat's to the time axis so I can better fine tune my entry.

thx. in advance.

6,358 posts
msg #64158
Ignore TheRumpledOne
6/21/2008 7:06:10 PM

I do NOT apply statistics to time when trading stocks, only FOREX.

The reason I don't is the stock market has an open and a close. You can look at a volume chart to see when stocks (usually) are most active... the first and last hour of the day.

If you look at 30 min charts, you'll see that SPF usually follows the common reversal periods.

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Reversal Periods

Reversal Period 1 9:50 - 10:10 Many stocks reverse their trends. When stocks open up with strong buying, specialists and market makers were forced to take the other side of the longs and sell short. They have no intention of riding losing positions forever, so they start "dropping the bid" so they can cover their shorts at a profit. Observe how open positions and possible new trades handle the 9:50 reversal period. This can be a good weeding technique for discarding weak trades and possibly beefing up strong ones.

Reversal Period 2 10:25 - 10:35 Here, strong stocks that didn't pull back around the 9:50 - 10:10 reversal period start topping out. This is an important period to be aware of. If you buy a stock before 10:00 am and it soars through the first reversal period, don't assume it's clear sailing for the rest of the morning. Chances are the stock will top out around 10:25 and then pull back or "come in" (retrace price movement back toward opening price or last support area) before it makes the next move.

Reversal Period 3 11:15 - 11:30 If you are using the short-term momentum strategy, you will also be looking for the lunchtime reversal that occurs fairly often. As in the early-morning reversal, stocks that have been moving up into this time period will often go through a sharp reversal during this time. Sometimes this occurs at 11:30, sometimes at noon, and sometimes it doesn't seem to occur at all, but keep your eye on this because it can be a great opportunity for scalping.

Deadzone 12:00 - 13:30 Institutional managers and the majority of players leave their desks for lunch; stock and overall market movement quiets down. Stocks tend to fall off, or slide down slightly or even steeply, depending on the morning's activity and strength . Go to lunch. This is not a time to be trading. You can only get into trouble. This is the time the market makers play games with inexperienced traders.

Reversal Period 4 13:30 - 13:45 Start scanning 5 minute charts for strong stocks in an uptrend that have pulled back a fraction of a point from their daily high before lunch and are forming a tight shelf of consolidation.
Focus on the best candidates by zeroing in on those with consolidation candlesticks closing on their highs.

Reversal Period 5 14:15 - 14:30 Short-term momentum traders should return from lunch around 2:00. This is when the volume returns to the market, and with it's return comes the momentum plays. It is critical to trade this strategy when there is sufficient volume in the market.

Reversal Period 6 15:00 - 15:15 Bond prices affect the stock market so when they cease trading, the market breathes a sign of relief as though it's shooed a cranky child outside to play.

Reversal Period 7 15:30 - 15:40 During this time, swing traders decide if there is a stock worth holding overnight in anticipation of a sharp increase overnight. If the market is strong at the very end of the day and if the individual stock is at it's day's high at the very end of the day, you need to decide whether to buy and hold the stock in anticipation of a gap occurring the following morning.

Other swing players that are already in a trade will use this time to decide whether the risk/reward relationship is strong enough to hold their stock overnight or whether they should exit their positions before 4:00.

Now all you have to do is couple the REVERSAL PERIOD KNOWLEDGE with what the TARGETS for the day are and you have your trading plan in place.

If SPF hits the DROP TARGET around 10:30 EST and stops/stalls then all you have to do is buy and have your TP set for the BOUNCE TARGET.

If SPF hits the RUN TARGET around 10:30 EST and hasn't hit the DROP TARGET, you can look for the PULLBACK TARGET, as well as, the DROP TARGET.

Had you bought SPF at 10:30 each day, you could have sold for a profit later in the day. IT'S TOO SIMPLE!!

Of course, ANYTHING CAN HAPPEN and that's what makes trading TRADING!!

6,358 posts
msg #64160
Ignore TheRumpledOne
6/21/2008 7:58:12 PM

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I wrote a simple TradeStation strategy to buy SPF at the close of the 10:30 bar if the price was below the open.





TP( 0.10 ); // profit target

If time = 0830
and close < OpenD(0)
then buy this bar on close ;

If time = 1400
then sell this bar on close;

setprofittarget( TP ) ;



The TP is 10 cents a share or exit at close of day.

It is a WINNING STRATEGY over the last year's worth of data.

Of course, you should be able to beat this strategy.

6,358 posts
msg #64161
Ignore TheRumpledOne
6/21/2008 8:40:54 PM

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Wrote an TS indicator to show what the profit would be if you buy at 10:30 and sell at High - .01

6,358 posts
msg #64174
Ignore TheRumpledOne
6/22/2008 1:22:32 PM

I just realized something after looking at the report... a 58% win rate with a 1:1 RR ratio means that if you COMPOUND, you will be doing much better than the casinos!

6,358 posts
msg #64184
Ignore TheRumpledOne
6/22/2008 6:53:38 PM


set{xRange, high - low}
set{AvgRng, cma(xRange,5) }

set{HiOp, High - Open }
set{RunPCT, HiOp/open }

set{OpLo, Open - low}
set{DropPCT, OpLo/open }
set{AvgDrop5, cma(OpLo 1 day ago,5) }
set{DropTgt, Open - round( AvgDrop5, -2) }
set{DropHit, count( Low <= DropTgt, 1) }

set{B10A, count(RunPCT > .10 , 100)}

set{A10A, count(RunPCT > .10 , 1)}
set{chg, sum( A10A - A10A 1 day ago ,5)}

set{ x1, Close - DropTgt }
set{ x2, x1 - 0.01 }
set{ Profit, x2 * DropHit }

add column Profit{(today)}
add column Profit 1 day ago{(-1)}
add column Profit 2 days ago{(-2)}
add column Profit 3 days ago{(-3)}
add column Profit 4 days ago{(-4)}
add column Profit 5 days ago{(-5)}
add column Profit 6 days ago{(-6)}
add column Profit 7 days ago{(-7)}
add column Profit 8 days ago{(-8)}

and add column separator


B10A above 10

close is between 1 and 15
average volume(10) above 1000000

sort column 5 descending

15 posts
msg #64197
Ignore waldr
6/22/2008 11:35:56 PM

Many many thx TRO,

Me and a friend was studing SPF for a while and he noticed that almost always around 10:30AM is the low for SPF.

That's the reason I have ask you for the stat's info. From your tests and reply I our observation was correct.

Many many thx again.

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