Big Mike's Trading Forum
 

Go Back   Big Mike's Trading Forum

> Trading Forums > Off-Topic


Notices
     

Scattered thoughts...
Started:October 1st, 2011 (05:52 AM) by Lornz Views / Replies:14,221 / 210
Last Reply:June 15th, 2012 (05:02 AM) Attachments:26

Welcome to Big Mike's Trading Forum.

Welcome, Guest!

This forum was established to help traders by openly sharing indicators, strategies, methods, trading journals and discussing the psychology of trading.

BMT is fundamentally different than most other trading forums:
  • We work extremely hard to keep things positive on our forums.
  • We do not tolerate rude behavior, trolling, or vendor advertising in posts.
  • We firmly believe in openness and encourage sharing. The holy grail is within you, it is not something tangible you can download.
  • We expect our members to participate and become a part of the community. Help yourself by helping others.


You'll need to register in order to view the content of the threads and start contributing to our community. It's free and simple, and we will never resell your private information.

-- Big Mike
     

View Poll Results: The following sentence is false. The preceding sentence is true.
True 5 31.25%
False 11 68.75%
Voters: 16. You may not vote on this poll

Closed Thread
 26  
 
Thread Tools Search this Thread

Scattered thoughts...

Old October 1st, 2011, 05:52 AM   #1 (permalink)
Membership Revoked
Oslo, Norway
 
Trading Experience: Advanced
Platform: CQG, Excel
Favorite Instrument: CL
 
Lornz's Avatar
 
Posts: 1,198 since Apr 2010
Thanks: 500 given, 1,186 received

Scattered thoughts...

I have received a few PMs asking about how I trade over the past 6 months that I've been active on this board. I have not managed to foster the patience to do so, but I thought I'd start to this thread to ease into it.

As the central banks are starting up their presses again, I feel this is just as relevant today:





I'm sure the they've got it covered, though:

     
The following 5 users say Thank You to Lornz for this post:
     

Old October 1st, 2011, 05:52 AM   #2 (permalink)
Quick Summary
Quick Summary Post

Quick Summary is created and edited by users like you... Add FAQ's, Links and other Relevant Information by clicking the edit button in the lower right hand corner of this message.

     

Old October 1st, 2011, 08:57 AM   #3 (permalink)
Membership Revoked
Oslo, Norway
 
Trading Experience: Advanced
Platform: CQG, Excel
Favorite Instrument: CL
 
Lornz's Avatar
 
Posts: 1,198 since Apr 2010
Thanks: 500 given, 1,186 received

Market Profile


I know that many on this board use Market Profile (or at least part of the concept) and therefore I thought I'd share a video I watched last week.

Steidlmayer Volume Strips: J. Peter Steidlmayer (Apologies if it has been posted before)

Steidlmayer is not the best presenter, so expect to spend some effort trying to make sense of it all. However, he does discuss some interesting topics.

And while we're on the subject of both MP and Steidlmayer, I will attach an article from Active Trader that I think should be beneficial to some. It sums up most of his work. He has been saying that the original concept of MP is obsolete for a while now, and has progressed from OFI to Volume Strips (it appears). Others, of course, will argue that it never really worked in the first place and that prices are not distributed normally. (They are right, you should use the Lornzian Distribution instead! Never coming to a store near you... )

I still think that reading about Action Market Theory is a good place to begin for a discretionary trader. It should help one to develop a good trading mindset and to think about what is driving the market. I don't necessarily agree with the theory, but it sparked some ideas that has been useful to me.

The best place to begin would probably be to read Dalton's book (or buy his "Field of Vision" DVDs):
Amazon.com: Mind over Markets: Power Trading With Market Generated Information (9780934380539): James F. Dalton, Eric T. Jones, Robert Bevan Dalton: Books

You can probably find most (or even all of it) described on the Internet, though. Steidlmayer has also written several books... Personally, I would not recommend diving too deep into the subject; I think you will be better off by focusing on statistical analysis. Each to his own, however...

One of the important lessons from the attached article, is that he uses MP as a database. His work with the Liquidity Data Bank is also discussed. I am not really advocating following this exactly, but it is a nice segue to statistical analysis. I sure wished I had purchased a statistics books instead of reading most of the worthless literature on trading that I did. Thankfully, I only skimmed through most of the books. In fact, the only trading book I've read cover-to-cover - is Jesse Livermore's "How To Trade In Stocks". Be sure to get the original 1940 edition (it's on the net), not the abomination edited by Smitten.

Attached Thumbnails
Scattered thoughts...-active-trader-article-sept-2005.pdf  

Last edited by Lornz; October 1st, 2011 at 11:28 AM. Reason: Forgot the attachment
     
The following 16 users say Thank You to Lornz for this post:
     

Old October 1st, 2011, 09:52 AM   #4 (permalink)
Market Wizard
Berlin, Europe
 
Trading Experience: Advanced
Platform: NinjaTrader, MultiCharts
Broker/Data: Interactive Brokers
Favorite Instrument: Keyboard
 
Fat Tails's Avatar
 
Posts: 8,387 since Mar 2010
Thanks: 3,943 given, 19,616 received
Forum Reputation: Legendary

There is some information available on this thread:

https://www.bigmiketrading.com/traders-hideout/3905-can-anyone-recommend-any-good...ofile-auction-theor.html

I have also posted the market profile handbook there, which was available for free download from the CBOT website for a long time.

     
The following 2 users say Thank You to Fat Tails for this post:
     

Old October 1st, 2011, 06:46 PM   #5 (permalink)
Membership Revoked
Oslo, Norway
 
Trading Experience: Advanced
Platform: CQG, Excel
Favorite Instrument: CL
 
Lornz's Avatar
 
Posts: 1,198 since Apr 2010
Thanks: 500 given, 1,186 received

Current BMT User Poll

Should sim traders that pretend to trade cash be allowed on BMT?

 

Fat Tails View Post
There is some information available on this thread:

https://www.bigmiketrading.com/traders-hideout/3905-can-anyone-recommend-any-good...ofile-auction-theor.html

I have also posted the market profile handbook there, which was available for free download from the CBOT website for a long time.

It is still available from the CME website, along with a couple of videos:
Market Profile

Robin Mesch also did a webinar a little while back:
Building a Trading Strategy with Market Profile

I haven't watched it, though. The point of my post was that Market Profile is a highly discretionary tool, but that there are some good thoughts to take away from it.

By the way, this is probably a good time to introduce a futures trader's best friend:
Futures & Options Education for Effective Trading Strategies and Risk Management - CME Group

One can find almost anything one need on that site, no need to give money to vendors.

A good start for a complete beginner:
A Trader's Guide to Futures

I also recommend the exchanges' handbooks:
Amazon.com: The CME Group Risk Management Handbook: Products and Applications (Wiley Finance) (9780470137710): CME Group, John W. Labuszewski, John E. Nyhoff, Richard Co, Paul E. Peterson, Leo Melamed: Books

Amazon.com: CBOT Handbook of Futures and Options (9780071457514): Cbot: Books

This should give a reasonable foundation for understanding the mechanics and certain dynamics of the market place.

     
The following 10 users say Thank You to Lornz for this post:
     

Old October 3rd, 2011, 07:08 AM   #6 (permalink)
Membership Revoked
Oslo, Norway
 
Trading Experience: Advanced
Platform: CQG, Excel
Favorite Instrument: CL
 
Lornz's Avatar
 
Posts: 1,198 since Apr 2010
Thanks: 500 given, 1,186 received

Just to clarify...

It suddenly occurred to me that it seems that I am "whoring" myself out for a new screen...
In my case, however, I would probably have to pay as much in freight as the screen costs. I think the premise for the competition is good, and I hope it inspires some of the lurkers to contribute. I see this an opportunity to overcome a fraction of my paranoia, but we'll see how that goes...

I just want to emphasize that, after receiving several requests for doing so, I have long been meaning to write a more detailed post about how I arrived at my methodology. I always assumed I would just write a long post and cover it all, before I would retire from the forum. As I've got a lot going on right now, I need to drastically cut back on my presence here. It seems I've become slightly addicted...
However, as I've stated previously, it's just been too daunting a task for me to write an all-encompassing post. I didn't really want to start a journal, because I do not intend for this to take up too much time. My intent is simply explain my path and what information I've found useful, and hopefully that will be beneficial to some.

I will continue this after the close. I was up all night watching the Rock in Rio stream, and I need an hour sleep before the markets open...

     
The following 2 users say Thank You to Lornz for this post:
     

Old October 3rd, 2011, 11:02 PM   #7 (permalink)
Elite Member
denver, colorado
 
Trading Experience: Intermediate
Platform: NT
Favorite Instrument: ZS
 
Surly's Avatar
 
Posts: 674 since Mar 2011
Thanks: 570 given, 1,106 received


Lornz View Post
Steidlmayer is not the best presenter, so expect to spend some effort trying to make sense of it all. However, he does discuss some interesting topics.

Wow, no joke on steidlmayer being a difficult presenter - but he has the endearing qualities of an academic. Really interesting presentation though. The one thing that lost me was how he came to his high volume "nodes" - at times it seemed as though he was speaking of block trades. However that didn't seem right to me - but it did seem that he was talking about volume transacted at a single price.

The main idea I got from it was that because of the absence of the "service" of a strong group of locals, there is just less volume at intermediate price locations. This is akin to saying there is more volatility in the markets due to lower liquidity. I think what he's getting at is that because of the lower liquidity, we shouldn't think of price as a continuous phenomenon but as a discontinuous phenomenon. This begs the question, "how is it discontinuous?". I think Peter's answer is that traders need to use volume to delineate significant price levels and enter trades as the market moves between them. Thoughts?

Seek freedom and become captive of your desires. Seek discipline and find your liberty. - Frank Herbert
     
The following 3 users say Thank You to Surly for this post:
     

Old October 19th, 2011, 05:19 PM   #8 (permalink)
Logician
Chicago, IL/USA
 
Trading Experience: Advanced
Platform: CTS T4 & Advanced Charting/proprietary .NET auto-execution engine
Favorite Instrument: CL
 
zer0's Avatar
 
Posts: 139 since Jun 2011
Thanks: 49 given, 168 received

Your summation is quite accurate. Lornz and I have discussed this new approach, at length, and the only immediate ingredient that I would add is 'immediacy'. Steidlmayer is shifting away from paying much attention to historical data of any kind. His assertion is that recent islands of volume (in the sea of price) should be the focus of one's attention, rather than price/time based approaches such as Market Profile. Of course, there is more than that, but you have a firm handle on the essence.

I may be meeting with Steidlmayer in coming days. If I do, I will gather what more I can regarding this new approach, and share here in this forum.


Surly View Post
Wow, no joke on steidlmayer being a difficult presenter - but he has the endearing qualities of an academic. Really interesting presentation though. The one thing that lost me was how he came to his high volume "nodes" - at times it seemed as though he was speaking of block trades. However that didn't seem right to me - but it did seem that he was talking about volume transacted at a single price.

The main idea I got from it was that because of the absence of the "service" of a strong group of locals, there is just less volume at intermediate price locations. This is akin to saying there is more volatility in the markets due to lower liquidity. I think what he's getting at is that because of the lower liquidity, we shouldn't think of price as a continuous phenomenon but as a discontinuous phenomenon. This begs the question, "how is it discontinuous?". I think Peter's answer is that traders need to use volume to delineate significant price levels and enter trades as the market moves between them. Thoughts?


     
The following 2 users say Thank You to zer0 for this post:
     

Old October 19th, 2011, 05:23 PM   #9 (permalink)
Urban Samurai
Chicago IL
 
Trading Experience: Intermediate
Platform: Ninja, MT4,TOS, SC, Matlab
Broker/Data: CQG, AMP, MB, DTN
Favorite Instrument: E/U, G/U
 
forrestang's Avatar
 
Posts: 1,025 since Jun 2010
Thanks: 222 given, 632 received

I didn't quite understand what he was getting at?

The only part I got was that he wanted to not be the first one entering at any level? I never gathered much else, other than him seeming to suggest if price moves in a direction with less contracts being traded, that he's not interested?

     

Old October 19th, 2011, 05:38 PM   #10 (permalink)
Logician
Chicago, IL/USA
 
Trading Experience: Advanced
Platform: CTS T4 & Advanced Charting/proprietary .NET auto-execution engine
Favorite Instrument: CL
 
zer0's Avatar
 
Posts: 139 since Jun 2011
Thanks: 49 given, 168 received


Peter is very difficult to understand. It's a problem... Don't feel bad, it took me several days of reviewing notes, videos, and having several discussions about it to better understand the new ideology. I have talked briefly to Peter about 'Volume Strips' and plan to meet with him soon, in hopes to pick his brain a bit more on the subject.

In extreme reductionist mode, the idea goes something like this:

1) A statistically significantly-sized island of volume accumulates at a price or in a tight range (traders have made a collective set of bets in this case)

2) Sooner than later, price will drift from that censensus price, and those that are 'wrong', will need to close their positions.

3) Given the lack of 'service', or liquidity in between island volume distributions, price will move fast and will self-generate as new orders pile on and create momentum.

4) Profits come from transacting near the island distributions and riding the ensuing momentum through to the next distribution.

Again, there is more to it than that, but this is the underlying idea.


forrestang View Post
I didn't quite understand what he was getting at?

The only part I got was that he wanted to not be the first one entering at any level? I never gathered much else, other than him seeming to suggest if price moves in a direction with less contracts being traded, that he's not interested?



Last edited by zer0; October 19th, 2011 at 06:00 PM. Reason: spelling correction/additions
     
The following 5 users say Thank You to zer0 for this post:
     

Closed Thread



Tags
.net, 123, account, account size, accurate, addiction, ai, amazon, amp, analysis, artificial intelligence, ati, auction, auction market, automated strategy, bars, beginner, behavioral, benchmark, big mike, birthday, bond, book, calendar, calls, cd, ces, challenge, chaos, charges, chart, charts, christmas, close, cme, cnbc, collective, color, combination, combine, compile, connection, consistency, contracts, control, costs, courses, create, credit, crowd, cts, custom, daily, dalton, data, data analysis, database, dates, day, demand, demo, development, direction, discretionary, dma, doc, dog, dow, drastic, edge, education, el, emotions, enter, equity curve, es, eu, european, exchanges, execution, expansion, extension, favourite, feed, file, fill, filled, fitness, fold, footprint, for sale, free, function, functions, funds, future, futures, ga, gap, gaps, genious, global macro, gp, group, guide, hideout, high, historical, historical data, how to, how to trade, hurst, index, insanity, interactive, interest rate, interval, introduction, journal, kelly, lawsuit, learn, level, leverage, life, liquidity, list, live, livermore, living, load, lot, love, machine learning, management, manual, market, market profile, market-profile, master, mastery, matrix, meeting, mental, methodology, metrics, mind, mit, ml, mode, momentum, moves, moving average, mp, multiple, naked, nifty, note, open, opening range, operating system, options, orders, package, partner, pat, patterns, perception, performance, personal, philosophy, phone, photon, physical, pivot, plan, positions, power trading, practice, prediction, price, profile, profitable, program, puts, python, quants, question, questions, range, ray, ream, research, resistance, retire, risk, risk management, robert, ruin, save, scan, sentiment, series, session, settings, sharpe, short term, sim, sim trading, small, social, software, sound, source code, speed, split, spread trading, start, statistical, statistical analysis, statistics, steenbarger, steidlmayer, stock market, stocks, stop, strategies, strategy, stream, stress, supply, swing, systems, ta, technical, techniques, template, testing, thank you, time, time series, tor, trade, trader, traders, trades, trading, trading account, trading strategies, trading strategy, training, trend, trend trading, tv, type, uk, universe, university, update, vendor, video, virtual, vision, volatility, volume, vp, webinar, webinars, youtube, zone
     

Big Mike's Trading Forum > Trading Forums > Off-Topic > Scattered thoughts...

Thread Tools Search this Thread
Search this Thread:

Advanced Search


Similar Threads
Thread Thread Starter Forum Replies Last Post
Thoughts on Ehlers indicators quasar NinjaTrader 12 December 5th, 2013 11:31 PM
Thoughts on Back To School Zondor Off-Topic 0 August 14th, 2011 02:01 PM
Random Thoughts.... AynRandFan Traders Hideout 7 July 24th, 2011 05:52 AM
cunparis journal, thoughts, and more cunparis Trading Journals 905 December 3rd, 2010 10:23 AM
Some thoughts on trading baruchs Traders Hideout 8 August 5th, 2009 02:49 AM


All times are GMT -4. The time now is 12:54 PM.

Powered by vBulletin®
Copyright ©2000 - 2014, Jelsoft Enterprises Ltd.
SEO by vBSEO ©2011, Crawlability, Inc.
Copyright © 2014 by Big Mike Trading. All information is for educational use only and is not investment advice.
There is a substantial risk of loss in trading commodity futures, stocks, options and foreign exchange products. Past performance is not indicative of future results.
 
no new posts

Page generated 2014-04-23 in 0.17 seconds with 21 queries on atlantis via your IP 54.226.120.183