TradeStation

TradeStation Wiki | Most Recent Forum Posts | My Forum Subscriptions | Forum Help | Quick Forum Search 
 
| Advanced Forum Search

Home > All Forums >
 Trade & Money Management  > Intraday Volatility Method. Target $500 profit.
25 Pages      1 2 3 4 5 6 7 8 9 10.. 20..  
Previous Page   Next Page
Author
Topic  
kevinkdog
2597 Posts
Posted - 02/17/2012 18:52:09    
If I use 21 length for the Average Range, RGLD shows up. If I use 34, it drops off. If I use 27, the midpoint of the range given in the first post, RGLD does not show up. Only ALXN, EW, NFLX, PRGO and RRC.
theHook
3721 Posts
Posted - 02/17/2012 18:58:35    
I just did a scan and came up with:

ALK
ALXN
ESI
GOLD
MWIV
NFLX
PRGO
RGLD
RRC
STRA
TDG
V

Scan parameters:

 13112 bytes
AdmiralF
53 Posts
Posted - 02/17/2012 19:07:05    
Interesting how we all have slightly differnt lists. My criteria are 3 mo average volume > 800,000, close between 35 and 125, and beta <= 0.7. Tachy, thanks for listing your grandfathered symbols as well...

AF
theHook
3721 Posts
Posted - 02/17/2012 19:49:20    
If I change to 34 for AvgRange then I get this list:

ALXN
ESI
GOLD
MWIV
NFLX
PRGO
QCOR
RRC
STRA
TDG
kevinkdog
2597 Posts
Posted - 02/17/2012 19:52:06    
I've seen a few people mention the good trade in AXLN today, and it does look like there was a good one around 10:25 ET. But what about entries at times shown below? What were reasons against entering on close of bar 1, or bar 2, or bar 3?

Thanks


theHook
3721 Posts
Posted - 02/17/2012 20:04:13    
My excuse is I got to busy looking at NFLX. Good thing, lol! Then I got in at 10:25 but I should have waited so I got out after price recovered just in time to miss the run up. Made a little however and got lucky to boot!

The more I look at this the more I think price may need to penitrate the Keltner Channell and %R needs to have gone below 20 and then recovered above for an entry. Still just guessing.

Looking at a porprietary RSI in place of the %R too.

 31281 bytes

One of the other suggestion by tach in his first post is:

"- Often the lowest prices of the morning are between 9:30 AM CDT and 10:30 AM CDT. Study the history of each symbol to see if there is a recent repeated pattern of such lows. Often the highest price is at 12:35 PM CDT followed by a decline."

So maybe we should not trade before 10:30 AM EDT or ....

bwjr
132 Posts
Posted - 02/17/2012 20:06:44    
I was using AvgTrueRange instead of AvgRange using a length of 34, so I fixed that. Now I've only got four symbols: ALXN, NFLX, PRGO, and RRC. I noticed some of you are using VolAvg(3 Mon) in the scanner, which I believe is a monthly average, not a daily average, which explains why the larger number of symbols. Kevin, I entered AXLN at 10:45 when the %R was turning up, just got lucky.
theHook
3721 Posts
Posted - 02/17/2012 20:26:28    
quote:
Originally posted by bwjr
I was using AvgTrueRange instead of AvgRange using a length of 34, so I fixed that. Now I've only got four symbols: ALXN, NFLX, PRGO, and RRC. I noticed some of you are using VolAvg(3 Mon) in the scanner, which I believe is a monthly average, not a daily average, which explains why the larger number of symbols. Kevin, I entered AXLN at 10:45 when the %R was turning up, just got lucky.


I think you are right on the VolAvg(3 Mon) based on TS's definition:

"This is the monthly average of the cumulative trading volume during the last 3 months. It is calculated by dividing the cumulative trading volume of the last 91 days by 3."

When I use a 91 volume daily average I get the following:

ALXN
NFLX
PRGO
QCOR
RRC
bwjr
132 Posts
Posted - 02/17/2012 20:47:28    
It also looks like yahoo is returning a different value for Beta than tradestation's scanner. I haven't found how either one is calculated. I think tachyonv is using yahoo for his beta value.
kevinkdog
2597 Posts
Posted - 02/17/2012 21:20:26    
Since so far in this thread I have been taking, I thought I'd give a little...

Maybe it is useful to know the "average" time that the low of the morning (before 12 PM ET) is made. This little strategy does it. It assumes Eastern time zone. I used "1" for maximum bars back, so that it picks up the first day. It assumes 5 minute bars. Here is code, followed by some results:




I ran this for the last 100 days for the scan stocks, here is the output:


ALXN On average, low occurs at 1022.00
EW On average, low occurs at 1014.00
NFLX On average, low occurs at 1014.00
PRGO On average, low occurs at 1023.00
RRC On average, low occurs at 1031.00


This says, at least for these stocks recently, to look for a low around 10:15 to 10:30 Eastern on average.

"Average" may not be the best thing to use. Maybe a median time, or most frequent time, would be better. I'll leave improvements up to each individual.

Thanks again to tachyonv for starting this thread!
Tom47
4161 Posts
Posted - 02/17/2012 21:41:05    

ALXN chart for the past three days.

There is much to be recommended for pattern repetition in the short term.

My scan produces the following: AEM,ALXN,EW,IDCC,MAKO,NFLX,PRGO,RRC,VRTX




theHook
3721 Posts
Posted - 02/17/2012 23:07:39    
quote:
Originally posted by kevinkdog
Since so far in this thread I have been taking, I thought I'd give a little...

Maybe it is useful to know the "average" time that the low of the morning (before 12 PM ET) is made. This little strategy does it. It assumes Eastern time zone. I used "1" for maximum bars back, so that it picks up the first day. It assumes 5 minute bars. Here is code, followed by some results:

I ran this for the last 100 days for the scan stocks, here is the output:

ALXN On average, low occurs at 1022.00
EW On average, low occurs at 1014.00
NFLX On average, low occurs at 1014.00
PRGO On average, low occurs at 1023.00
RRC On average, low occurs at 1031.00


This says, at least for these stocks recently, to look for a low around 10:15 to 10:30 Eastern on average.

"Average" may not be the best thing to use. Maybe a median time, or most frequent time, would be better. I'll leave improvements up to each individual.

Thanks again to tachyonv for starting this thread!



Kevin,

I took the liberity to change your code to plot a yellow dot on the chart on the bar closest to the calculated average time to that point created by your code. Let me know if this is OK -- if not I will remove.


 43282 bytes

KJDTimeAvgLow for TS 9.0 and >:

Attachment:DATA/20120217230518KJDTIMEAVGLOW_1_0.ELD 12707 bytes



kevinkdog
2597 Posts
Posted - 02/18/2012 00:16:40    
Love it, Hook!
4trading
3431 Posts
Posted - 02/18/2012 00:19:19    
quote:
Originally posted by kevinkdog
I've seen a few people mention the good trade in AXLN today, and it does look like there was a good one around 10:25 ET. But what about entries at times shown below? What were reasons against entering on close of bar 1, or bar 2, or bar 3?

Thanks




Hi Kevin:

You're missing tachyonv's ShowMes on your chart (included with "Keltner Channels All") that occur on Keltner crossovers.
P.S. Thanks for the code.




stockstrader
5665 Posts
Posted - 02/18/2012 04:43:37    
Hi Tach, it is great to hear from you. I wish you the best in everything ! :-)
split
108 Posts
Posted - 02/19/2012 11:54:03    
quote:
Originally posted by theHook
I just did a scan and came up with:

ALK
ALXN
ESI
GOLD
MWIV
NFLX
PRGO
RGLD
RRC
STRA
TDG
V

Scan parameters:

 13112 bytes



Hi theHook

Where did you get the AvgRange indicator from, did you create it yourself ? I dont believe there is one in TS
TradingDude
18643 Posts
Posted - 02/19/2012 12:03:10    
if you wanted to use an Intraday AverageRange for current day market volatiltiy, AverageRange can be reset for new day to:

https://community.tradestation.com/Discussions/Topic.aspx?Topic_ID=112793

Compare Current day BarRanges to historical AverageRanges to measure trade potential


Range is a Tradestation default function,

MyAvgRange = Average(Range, RngLen);

where Range function is (High - Low) for each bar
ant___
247 Posts
Posted - 02/19/2012 12:08:11    
split,
Try this indicator; it's named Avg_Daily_PriceRange:
inputs:
Length( 26 );
variables:
AvgRange1( 0 ) ;

Value1 = h - l ;
AvgRange1=average(value1,length);
Plot1( AvgRange1, "AvgRange1" ) ;

EDIT: the above was provided by kevinkdog on 2/14 this thread.
theHook
3721 Posts
Posted - 02/19/2012 12:24:47    
quote:
Originally posted by split[br}Hi theHook

Where did you get the AvgRange indicator from, did you create it yourself ? I dont believe there is one in TS



It was supplied earlier in this thread by kevin:


theHook
3721 Posts
Posted - 02/19/2012 13:28:59    
quote:
Originally posted by tachyonv
Went back and edited my first post in this thread. Probably worth re-reading this newly edited first post.


Thanks tach for the update.

I looked at several sites to compare beta and here are the results:

 9815 bytes

If anyone has other fin sites to add to the compare here is the spreadsheet:

Attachment:DATA/20120219132649BetaCompare.xls
binthere
362 Posts
Posted - 02/19/2012 13:46:23    
tach, thx for sharing and updating!
having trouble with my RadarScreen, would someone share a screenshot of how the RadarScreen looks with the updated conditions?
it seems that i'm getting to many symbols, here is mine

thx!!, binthereAttachment:DATA/20120219134603scanner.PNG 19605 bytes
theHook
3721 Posts
Posted - 02/19/2012 13:59:42    
quote:
Originally posted by binthere
tach, thx for sharing and updating!
having trouble with my RadarScreen, would someone share a screenshot of how the RadarScreen looks with the updated conditions?
it seems that i'm getting to many symbols, here is mine

thx!!, binthere



here is what my scan inputs look like -- at the moment:

 15957 bytes

Note: I used .8 on beta and tach says use .7!
binthere
362 Posts
Posted - 02/19/2012 14:06:26    
thx Hook
binthere
362 Posts
Posted - 02/19/2012 14:18:02    
Tachynov, thx for following up,
sory i dont understand what do you mean by "latter indicator" could you explain further
thx, binthere
theHook
3721 Posts
Posted - 02/19/2012 14:22:42    
Here is a cute video on Beta:

http://www.investopedia.com/video/play/understanding-beta#axzz1mrC08wA4
Previous Page   Next Page
25 Pages      1 2 3 4 5 6 7 8 9 10.. 20..  
Quick Reply
Message:

 
       



TradeStation.com Discussion
This page was generated in 0.33 seconds. 2003-2014 TradeStation.com.