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I rarely have time for it but am having some growing interest in occasional day trading. I've been experimenting with ma's of the same time yet comparing the ema v sma. Interested in any comments. Thus far it's been a very simple yet somewhat profitable technique. I'd be interested in comments, suggestions, improvements. thanks.
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Registered User
Joined: 10/7/2004
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2nd line: meant to say "...same time frame..." . Thanks
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Joined: 10/4/2009
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scalping is good , catching a move at the open. its to bad the bats exchange is slow. i'd like making money in 20 minutes verses 2weeks.
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Joined: 2/3/2010
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Tobydad the exponential MA gives the most weight to the most current value. In a nut shell it maintains the value of the previous day's average rather than the data for the entire period being averaged, so it is very compact.
Using just one MA and price as a method may get you in some trouble to exit trades.
So you will need to use SMA's and DMA's to build an efficient method for your trading. Remember that MA's may give you good entry points, but lack on the exits. And also they do very poorly in trading consolidations (or trading ranges as you will). For ranges pick an oscillator - my preference is stochs (simple).
I have also discovered a long time ago that it is better to remove the price from the window and follow it on the level III window as well as your TOS. You will take the buy / sell signals from the window, and find a good entry point via TOS, and Totalview (there you can se them coming and going) to get your order in.
I have been trading for years, and my method of preference is using MA's for simplicity and quick adaptability to new conditions. Sophistication can be simple.
Good luck.
Thanks
B.
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Joined: 3/21/2006
Posts: 4,308
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Tobydad, you probably already know this but here it is anyway -
The exponential moving average is a type of moving average that gives more weight to recent prices in an attempt to make it more responsive to new information.
I will just share some basic things that I do when I daytrade. I do not use moving averages. I find a nice chart that I think will have a good day if the markets decide to move also, (I use daily and weekly time frames just to pick my charts). I then study intraday support and resistance levels for that chart.
I then trade on 5 minute charts for my set-ups and switch to the 1 minute charts for my entry and exits. It is almost like using a daily chart for your analysis only everything is moving in fast motion. I will still place my stops below obvious support levels and knowing this I try to buy on the break out as close to the support level as posible. If price is to far away I will not chase the price just to satisfy my desire to enter the stock. I want to be incontrol my risk.
If you want to meet up with me on skype than we can use Wordens "Best Free Charts.com" to trade live and I can demonstrate for you....
Good luck buddy
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Joined: 10/7/2004
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Thanks all for info thus far. Very much appreciated. Apsll, I'd love to meet up but my schedule is too difficult to predict. But, just in case, tell me how to find you on skype; I have no experience with it.
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Joined: 3/21/2006
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I get busy to Tobydad, I am listed as castleme21 you could find that out by right clicking on my charts. I look foward to talking to you soon.....
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Joined: 3/21/2006
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Almost forgot just add dot com after skype
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Joined: 4/23/2008
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bought IIG at 5.50 on a breakout yesterday before the close and sold today at 7.15 on a tsv failure. these are getting harder to find in this market but freestockcharts makes it easy.
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Joined: 2/5/2006
Posts: 1,148
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toby-
if your comfortable trading using daily charts, can't you simply apply your trading techniques to a shorter timeframe? say a 5 min bar chart? and just make sure you take some profit before the trading day ends?
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Joined: 1/1/2005
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The EMA and the SMA are both constructable, stable, realizable, linear time-invariant (CSR LTI) filters. (Whatever that means.) Please see:
http://forums.worden.com/Default.aspx?g=posts&t=5142
1) The EMA is a well-behaved filter uniquely characterized by the fact that it follows its input. This means that from one bar to the next, the output always moves in the direction of its new input and never overshoots. Its output sequence uniquely determines its input sequence.
2) The SMA is an ill-behaved filter whose recent input and recent output are independent of one another in the following sense:
Suppose the period of the SMA is P. Then, any sequence,
x_k, k = 0, 1, 2, ..., P-2,
and any sequence,
y_k, k = 0, 1, 2, ..., P-2,
can be the P-1 most recent values of the SMA input and output, respectively.
Its input sequence cannot be determined from its output sequence.
Any comments will be appreciated.
Thanks,
Jim Murphy
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Joined: 4/23/2008
Posts: 214
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very nice description bustermu.
I would like to comment on the sms being an ill-behaved filter. on a daily time frame the 200 sma can be a very good trend filter. when in an uptrend (price above the 200 sma) and price has a lower swing high; it can often signify a change in trend. that is usually when price changes to a downtrend (below the 200 sma).
this is not always true, but is true more times than not and is a good barometer. because of the lagging nature of the 200 sma; it is better suited than using a numerical value of the ema.
so sometimes a lag is better and I would label the 200 sma as well-behaved in that respect.
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Joined: 2/21/2007
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TD: Kathy Lien wrote an article for SFO Magazine using an 8 exponential MA and a 2 simple MA cross. I'll see if i can find the article to add some more info.
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Joined: 1/28/2005
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Its probably not going to matter much.
If you've used something and its ok. I would probably
just stick to it.
You will hear things like more weight on recent bars in the EMA.
However I'm not sure how important that is.
If it was really important we would probably be using
weighted averages. (or non-linear weights)
==============================
I agree with funnymony and would try to move what you are used to
on a daily into the intra day.
(unless you want the "fun" of trading )
==============================
bustermu,
When you call the filters "ill-behaved" "well-behaved".
Is that simply as a truthful description or is it to imply inferior, superior results.
I would imagine there are situations where the ill-behaved filter
can give superior performance and the well-behaved inferior performance.
Thanks
diceman
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Joined: 2/3/2010
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QUOTE (bustermu) The EMA and the SMA are both constructable, stable, realizable, linear time-invariant (CSR LTI) filters. (Whatever that means.) Please see:
http://forums.worden.com/Default.aspx?g=posts&t=5142
1) The EMA is a well-behaved filter uniquely characterized by the fact that it follows its input. This means that from one bar to the next, the output always moves in the direction of its new input and never overshoots. Its output sequence uniquely determines its input sequence.
2) The SMA is an ill-behaved filter whose recent input and recent output are independent of one another in the following sense:
Suppose the period of the SMA is P. Then, any sequence,
x_k, k = 0, 1, 2, ..., P-2,
and any sequence,
y_k, k = 0, 1, 2, ..., P-2,
can be the P-1 most recent values of the SMA input and output, respectively.
Its input sequence cannot be determined from its output sequence.
Any comments will be appreciated.
Thanks,
Jim Murphy
I am not sure what you imply by ill-behaved or well behaved. Each MA has its place in a method. A drawback of the exponential for example is that it is more liable to whisaws. On the other hand, you may need EMA as part of a method to initiate signal without confirmation.
Usually well behaved trading methods use a combination or SMA, EMA, and DMA to minimize lag.
In regards to your concept of P = SMA then P-2 is a DMA unless I am misunderstanding your logic.
Thanks
B.
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Joined: 12/2/2004
Posts: 1,775
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EMA vs. SMA is a good topic to discuss and here's how I now handle it. My basic default chart is the daily on zoom 3. One of the few indicators I use religiously is the 50-day ema in top price pane. When flipping through charts for consideration I pay particular attention to past history of how traders have reacted when price hits or comes close to hitting the 50-day ema, whether it be as support or resistance. If price tends to disregard that particular moving average as if it didn't exist, I then do a quick looksee to see if maybe the 50-day sma might be more appropriate. If neither then maybe another such as the common 20-sma and/or 200 ema/sma. Those new to charting might be amazed at the high number of stocks whose price action closely aligns to one or more common m.a.'s.
An example recent stock that has reacted very well to the 50 ema is KTCC going back to June 09. Note the numerous times the 50-ema has acted as extremely strong support since then, and thus a pretty obvious reference point for future trading decisions. In this example the sma happens to follow the ema very closely. But always check out both I say.
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Joined: 10/7/2004
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All; Thanks for the great remarks and comments; always learning. funnymony, great suggestion; I set up my own setup and had a great day. I also found that I learned a lot about my trading by day trading. Using my regular indicators in a 5min time frame gave me opportunity to see the exact same patterns but without having to wait days for it all to occur. I highly recommend that everyone take a day now and then and daytrade, even if using no money. (of course, the money adds the emotional component but I think I know how to handle that at this point). Thanks again.
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Joined: 2/5/2006
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thanks toby-
as you say, everyone should at least "paper trade" the intradays. its a great way to test and practice your techniques for trading the dailys. it does require your total attention though, things happen very fast, and you'll have to reduce exposure by the end of the day, a morning gap could wipe you out. i do find intraday data to be a little less reliable though.
cheers
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Good comments. One other thought from my own very limited experience thus far; when trading the intradays (whether paper trading or trading with real money), I find it best to focus on one or two stocks, etfs or what have you. There is so much to look at; you can really get confused and pulled in a lot of different directions.
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todays daytrade:
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Joined: 10/7/2004
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I'd love as much explanation about your chart and as many details about the trade as you'd care to give. I've enjoyed the small bit of daytrading I've been doing.
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Joined: 4/23/2008
Posts: 214
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nice trade funnymony. that's the kind of trade I like. it shows up on a 15 min better than it does on a 5 min chart. I would have drawn it a little different though. for instance, I would have used the last 3 swing lows and made a horizontal line and in case it broke thru that line I would have bought qid. nice trade. congrats.
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just a simple triangle in an oversold market.
looking at the other timeframes and the declining volume pattern, convinced me to draw the lower trendline slanted so it formed a triangle. as they say, as much an art as a science.
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Joined: 10/7/2004
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Sweet! Simple, straightforward. Thanks for the comments and guidance.
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Joined: 4/23/2008
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I am curious about your using chaikin money flow as a divergence indicator. do you like that better than tsv?
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Joined: 3/21/2006
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Tobydad, another method to consider is to use stocks with very high volume and wide Average True Range. Here is the link from the Worden archives that will give you some PCF's to use.
http://forums.worden.com/default.aspx?g=posts&t=23460
These stocks generally move pretty fast. I would use 5 minute charts but that would be your call. I can share my easy scan if you want. There are a lot of good charts that will fit right in for you. Here is a chart that a friend traded today. "I did not"
These charts are not great looking but I like the intraday tools.
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QUOTE (agm32) I am curious about your using chaikin money flow as a divergence indicator. do you like that better than tsv?
i've had better luck with chalkin. tsv seems to act to much like macd. but i also like too watch tick and trin.
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Apsll, sure, I'd love to see anything that might help me with this.
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Joined: 3/21/2006
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Tobydad, here is the Easy Scan. For my volume filter I am looking for more than 300,000 shares traded per day. If you have any questions just let me know...
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Joined: 10/7/2004
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Apsll; I don't have the pcf's for the Volume-True and Average True Range criterion. Can you post? thanks
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Joined: 10/7/2004
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Apsll, sorry, I just realized you gave me the link for the pcf's. Don't I feel goofy.
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Registered User
Joined: 3/21/2006
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TB. Here is the formula that I am useing as a PCF. - It is the 14 day exponential average
XAVGH14 - XAVGL14 + 0.066726791351244 * (ABS(H - C1) + ABS(L - C1) - H + L + 13 / 15 * (ABS(H1 - C2) + ABS(L1 - C2) - H1 + L1 + 13 / 15 * (ABS(H2 - C3) + ABS(L2 - C3) - H2 + L2 + 13 / 15 * (ABS(H3 - C4) + ABS(L3 - C4) - H3 + L3 + 13 / 15 * (ABS(H4 - C5) + ABS(L4 - C5) - H4 + L4 + 13 / 15 * (ABS(H5 - C6) + ABS(L5 - C6) - H5 + L5 + 13 / 15 * (ABS(H6 - C7) + ABS(L6 - C7) - H6 + L6 + 13 / 15 * (ABS(H7 - C8) + ABS(L7 - C8) - H7 + L7 + 13 / 15 * (ABS(H8 - C9) + ABS(L8 - C9) - H8 + L8 + 13 / 15 * (ABS(H9 - C10) + ABS(L9 - C10) - H9 + L9 + 13 / 15 * (ABS(H10 - C11) + ABS(L10 - C11) - H10 + L10 + 13 / 15 * (ABS(H11 - C12) + ABS(L11 - C12) - H11 + L11 + 13 / 15 * (ABS(H12 - C13) + ABS(L12 - C13) - H12 + L12 + 13 / 15 * (ABS(H13 - C14) + ABS(L13 - C14) - H13 + L13 + 13 / 15 * (ABS(H14 - C15) + ABS(L14 - C15) - H14 + L14 + 13 / 15 * (ABS(H15 - C16) + ABS(L15 - C16) - H15 + L15 + 13 / 15 * (ABS(H16 - C17) + ABS(L16 - C17) - H16 + L16 + 13 / 15 * (ABS(H17 - C18) + ABS(L17 - C18) - H17 + L17 + 13 / 15 * (ABS(H18 - C19) + ABS(L18 - C19) - H18 + L18 + 13 / 15 * (ABS(H19 - C20) + ABS(L19 - C20) - H19 + L19 + 13 / 15 * (ABS(H20 - C21) + ABS(L20 - C21) - H20 + L20 + 13 / 15 * (ABS(H21 - C22) + ABS(L21 - C22) - H21 + L21 + 13 / 15 * (ABS(H22 - C23) + ABS(L22 - C23) - H22 + L22 + 13 / 15 * (ABS(H23 - C24) + ABS(L23 - C24) - H23 + L23 + 13 / 15 * (ABS(H24 - C25) + ABS(L24 - C25) - H24 + L24 + 13 / 15 * (ABS(H25 - C26) + ABS(L25 - C26) - H25 + L25 + 13 / 15 * (ABS(H26 - C27) + ABS(L26 - C27) - H26 + L26 + 13 / 15 * (ABS(H27 - C28) + ABS(L27 - C28) - H27 + L27 + 13 / 15 * (ABS(H28 - C29) + ABS(L28 - C29) - H28 + L28 + 13 / 15 * (ABS(H29 - C30) + ABS(L29 - C30) - H29 + L29 + 13 / 15 * (ABS(H30 - C31) + ABS(L30 - C31) - H30 + L30 + 13 / 15 * (ABS(H31 - C32) + ABS(L31 - C32) - H31 + L31 + 13 / 15 * (ABS(H32 - C33) + ABS(L32 - C33) - H32 + L32 + 13 / 15 * (ABS(H33 - C34) + ABS(L33 - C34) - H33 + L33 + 13 / 15 * (ABS(H34 - C35) + ABS(L34 - C35) - H34 + L34 + 13 / 15 * (ABS(H35 - C36) + ABS(L35 - C36) - H35 + L35 + 13 / 15 * (ABS(H36 - C37) + ABS(L36 - C37) - H36 + L36 + 13 / 15 * (ABS(H37 - C38) + ABS(L37 - C38) - H37 + L37 + 13 / 15 * (ABS(H38 - C39) + ABS(L38 - C39) - H38 + L38 + 13 / 15 * (ABS(H39 - C40) + ABS(L39 - C40) - H39 + L39 + 13 / 15 * (ABS(H40 - C41) + ABS(L40 - C41) - H40 + L40 + 13 / 15 * (ABS(H41 - C42) + ABS(L41 - C42) - H41 + L41 + 13 / 15 * (ABS(H42 - C43) + ABS(L42 - C43) - H42 + L42 + 13 / 15 * (ABS(H43 - C44) + ABS(L43 - C44) - H43 + L43 + 13 / 15 * (ABS(H44 - C45) + ABS(L44 - C45) - H44 + L44 + 13 / 15 * (ABS(H45 - C46) + ABS(L45 - C46) - H45 + L45 + 13 / 15 * (ABS(H46 - C47) + ABS(L46 - C47) - H46 + L46 + 13 / 15 * (ABS(H47 - C48) + ABS(L47 - C48) - H47 + L47 + 13 / 15 * (ABS(H48 - C49) + ABS(L48 - C49) - H48 + L48)))))))))))))))))))))))))))))))))))))))))))))))))
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Registered User
Joined: 3/21/2006
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Here is the link with more options. -
http://forums.worden.com/default.aspx?g=posts&t=14182
Let me know if you need more....
Apsll.
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Registered User
Joined: 2/21/2007
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TD : Avg. true range is on the TC drop down list for scans, no need for a pcf. Unless i;m not following what you need. Volume true , i think, is whatever vol. you require. for your scan. Plenty of vol. choices in the drop down menu. APS is using a pretty high ATR in his scan, alot of volatility going to the max. range. I don't take that much risk. (Good typing on my part, hit the wrong key , and changed the font)
maybe someone can tell me how to change it back
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Aps: what is the difference in that formula you posted for ATR and what is in the TC menu?
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Joined: 10/7/2004
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Thanks much. I'll investigate. I may have to come over to skype one day and you can show me how to work this.
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Joined: 3/21/2006
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Any time Tobydad. In skype you can do a screen share. In other words you can look at my screen as I am showing you the "how to". Slap on a pair of headsets for the audio and the fun begins.
John, I am not aware of this pre-set ATR pcf. It matters not though as there are plenty of threads on the subject and many, many different formulas. Do a search and you will be giddy with choices....
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