trendisyourfriend 

You might want to check what Fat Tails suggests for the opening range using the ACD method. It's interesting but i don't really understand why the length of the opening range is different for each instrument maybe some ACD expert can shed some light on this: ACD Indicator ACD is based on an opening range. The opening range is shown as the area between high and low of the price action during the first N minutes after the session start. For example these are opening range used: 6E: from 7:20 to 7:50 AM CT CL: from 9:00 …

Mark Fisher has kept his little secrets. I do not know either

- why he uses a different opening period for each instrument
- how he determines the number of ticks used for his A and C values

I guess he wants to sell his ACD Daily subscription at $ 525 per quarter.

The Logical Trader: Applying a Method to the Madness

The fact that he sells it does not discredit the method. I do not use this approach.

Surly 

Different markets have different trading hours and different "activity periods" (i.e., what hours on Globex they are most active). For instance I trade mainly soybeans (ZS) and I use an IB of 15 minutes. This seems to work best although it may be changing because the CBOT changed the pit hours of of the grain complex a couple months ago. I'm going to start trading the euro so wanted to get some opinions. For me it comes down to what period of time works best to give one an understanding of what's going on as the market opens up and settles the initial orders that have come into the market.

If you want to trade breakouts, you want to make sure that volatility rises, when you trade them. Volatility can be measured via the average ranges per time unit. Let us first have a look at the average 30-min ranges per weekday. The chart below uses a session template which divides the day into three sections

- Asian Session 5:00 PM Central - 1:00 AM Central
- European Session 1:00 AM Central - 7:20 AM Central
- US Session 7:20 AM Central - 4:00 PM Central

The ranges are the average ranges over the last 20 weeks. For Monday the average 30-min ranges of the last 20 Mondays are plotted, etc.. The red bars shows volatility which is higher than usual. Those are actually the period where it is interesting to trade breakouts.





Asian Session: The only time where you may expect a range expansion is Sunday between 5:00 PM and 6:00 PM
Central.
European Session: I have used 8:00 AM CET (Frankfurt) as the Europen open, volatility already picks up considerably (orange bars), but the market only drives at full speed after the London open at 8:00 AM BST (2:00 AM Central), so you could either place your opening range between after the Frankfurt or the London open.
US Session: The selected start of the US session at 7:20 AM Central matches well with the rise in volatility on Mondays, Tuesday, Wednesday and Friday. However, on Thursdays, the volatility picks up one hour earlier,
due to news releases. An experiment with an earlier opening range on Thursday would make sense.

To locate the breakout points for the opening range breakout trades, I use a statistical measure, which I call noise. Noise is the average of the failed moves over the last N days. This is how it is calculated for each of the sessions or the entire trading day:

Move shifting value : The larger of (High - Open) and (Open - Low)
Current session noise : The smaller of (High - Open) and (Open-Low)

The noise bands calculate the average range of those failed moves over the last M and N day. Shown below for the US session.

Traderji 

How does your strategy account for unprecedented soverign risk in the Eurozone at present? Greek elections on the weekend, spanish yields etc EDIT: I re-read your post again to see if I could make any sense of it but I am going to call shenanigans on this. First of all the situation in Europe is so volatile, so out of the ordinary, that I don't see how any multi-year cycle could possibly be a valid trade signal at this present time. Second of all I am looking at the monthly chart for the Euro and I can't see anything like what you are saying. I see a downtrend for the past 5 years with clear Lower Highs and Lower Lows - see chart below. There is big support level coming up at 1.16xx. Surely you are not suggesting that folks keeping buying lows with a potential 1000pip drawdown?

Looks like I called it

Astrology : 0
Technical Analysis : 1

Can I get some opinions on this local top at 2340 or so being the high in a triple top pullback (in a daily downtrend)?

I took a longer term swing short in the M6E so I can keep my position small and hold for a few days/weeks. There's a daily trendline that looks like a test of 1.2000 is possible over the next couple weeks if this high is, in fact, a triple top pullback.

Surly 

Can I get some opinions on this local top at 2340 or so being the high in a triple top pullback (in a daily downtrend)?

And make no mistake, I'm just looking for some smart people to tell me I'll make a fortune!

Surly 

Can I get some opinions on this local top at 2340 or so being the high in a triple top pullback (in a daily downtrend)? I took a longer term swing short in the M6E so I can keep my position small and hold for a few days/weeks. There's a daily trendline that looks like a test of 1.2000 is possible over the next couple weeks if this high is, in fact, a triple top pullback.

Definitely a good place for a short trade. I think this rally is floating on air. The fundamentals have not changed. Unless Merkel comes out and says "We agree with the ECB and we'll do whatever it takes to support periphery sovereign debt".

Source: Draghi Boxes Himself Into a Corner With Bond Signal: Euro Credit - Bloomberg

Quoting 

European Central Bank President Mario Draghi may have boxed himself into a corner. Spanish and Italian bond markets rallied yesterday as investors cheered Draghi’s signal that the ECB is prepared to intervene to reduce soaring yields. Now he has to deliver, or face deep disappointment on financial markets, analysts said. The risk in doing so is alienating key policy makers on the ECB council, such as Bundesbank President Jens Weidmann. “Draghi is damned if he does and damned if he doesn’t,” said Carsten Brzeski, senior economist at ING Group in Brussels. “He maneuvered himself into an extremely difficult situation. Expectations are very high.” The ECB is under pressure to lower borrowing costs after three interest-rate cuts since November failed to stop bond yields rising to records in Spain and Italy, threatening the survival of the euro. The Frankfurt-based central bank shelved its bond-purchase program in March amid opposition from council members including Weidmann, and some economists doubt it will be revived any time soon. “I don’t believe you will see government bond purchases yet,” said Jacques Cailloux, chief European economist at Nomura International Plc in London. “But there are other things they can do that will help, such as lowering the haircut on sovereign bonds they accept as collateral or buying private sector securities.” Rate Cuts ECB policy makers next meet on Aug. 2. They cut the benchmark rate to a record low of 0.75 percent this month and took the rate on overnight deposits to zero. Since then, Spanish debt fell 3.2 percent, the biggest decline after Greece, while French and Austrian bonds delivered the best returns in the euro area. Yields on Spanish securities that mature between two and 30 years rose above the 7 percent level that prompted bailouts for Greece, Ireland and Portugal, before plunging after Draghi’s speech yesterday. “To the extent that the size of these sovereign premia hamper the functioning of the monetary policy transmission channel, they come within our mandate,” Draghi said in a speech at the Global Investment Conference in London. “Within our mandate, the ECB is ready to do whatever it takes to preserve the euro. And believe me, it will be enough.” Euro Jumps The euro jumped almost 2 cents against the dollar on the comments and stocks rose. Spain’s 10-year bond yield fell as much as 45 basis points to 6.93 percent, dropping below 7 percent for the first time since July 19. Italy’s 10-year rate declined as much as 41 basis points to 6.03 percent. “It will be difficult to hold these gains without any actual action,” said Christoph Kind, head of asset allocation at Frankfurt Trust, which manages about $20 billion. “There’s still pressure on the spreads of the peripheral countries and I fear this is only a temporary narrowing.” The ECB had limited success the last time it waded into the market to help Spain and Italy. As bonds tumbled in an earlier phase of the crisis in August last year, the central bank started buying their bonds for the first time and initially succeeded in stemming the immediate turmoil. Less than three months later, Spanish and Italian yields were hitting new euro-era records as some governments dragged their feet on pushing through new measures to get their budgets under control. Three-Year Loans That forced the ECB to turn to unlimited three-year cash offerings as a tool to fight the crisis and it mothballed the bond-buying policy, called the Securities Markets Program. Spain’s two-year yield fell to as low as 2.15 percent on March 1 as banks used some of the 1 trillion euros ($1.21 trillion) of three-year cash to buy debt, while Italy’s reached 1.68 percent. It proved a short-lived respite. On July 24, investors demanded 3.69 percent to lend to Spain for six months. Meanwhile, two-year yields in Austria, Germany, Finland and the Netherlands fell below zero this month. “We still don’t think policy makers have done enough to make the market sit up and take note,” said Richard Urwin, head of investments at BlackRock Inc.’s Fiduciary Mandate Investment Team in London. That has left bond yields in weaker countries “too high to be sustainable,” he said. ‘Bazooka’ “The ECB appears to be running out of conventional ammunition,” said Marius Daheim, a senior fixed-income strategist at Bayerische Landesbank in Munich. “What is left, however, is the ‘bazooka’,” he said, referring to large-scale interventions in troubled bond markets. Renewed bond purchases may buy European crisis-fighters time as they face months of political limbo. With a Dutch election due in two months and a German court decision holding up the start of the permanent bailout fund until at least September, leaders will find it difficult to make decisions on issues such as giving Spain a full bailout or finding more money for Greece. Still, government bond purchases have seen two German policy makers quit the ECB. Vocal opponent Axel Weber stepped down as Bundesbank president last year and ECB Chief Economist Juergen Stark retired at the end of 2011. Both complained that the bond program blurred the line between fiscal and monetary policy and relieved pressure on governments to enact reforms. Bundesbank Stance “The thing we wonder here is exactly where the Bundesbank stands,” said Julian Callow, chief international economist at Barclays Capital in London. “The Bundesbank has historically been resisting the reactivation of the SMP. In the view of most economists, the ECB is justified in reactivating the SMP.” Other options may include allowing the region’s bailout fund to borrow from the ECB to buy the bonds of distressed governments. ECB council member Ewald Nowotny said in an interview published July 25 that there are arguments in favor of giving the European Stability Mechanism a banking license. Draghi has rejected that proposal in the past and didn’t refer to it yesterday. Either way, “the crisis response looks likely to focus on direct intervention in the government bond market,” said Nick Kounis, head of macro research at ABN Amro in Amsterdam. “We have some doubts about whether the interventions will be of the required scale. It therefore seems likely that the bond purchases will just allow policy makers to muddle through unless much more financial firepower is put on the table.”

Mike

Looks like Merkel and Hollande are backing the ECB. Gravy train has reversed direction. One ticket on the Long train please.

Surly 

I took a longer term swing short in the M6E so I can keep my position small and hold for a few days/weeks. There's a daily trendline that looks like a test of 1.2000 is possible over the next couple weeks if this high is, in fact, a triple top pullback.

I moved my stop to just above 2300 on this trade and was stopped out overnight (in case anyone was curious). My triple top premise is invalidated so now I'm waiting...

Latest COT report:

CFTC Commitment of Traders in FX Futures Report



Net shorts remain near YTD low.

Mike