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  • #2,701
  • Aug 24, 2011 8:41pm Aug 24, 2011 8:41pm
Quoting PayTheLimit
morning..
morning..
  • #2,702
  • Aug 24, 2011 8:44pm Aug 24, 2011 8:44pm
Up 'till now the DOW futures and EUR have pretty much been marching in lockstep with one another. Now, for the first time in quite awhile there is a complete divergence. I threw up a Stochastic just to double check what I was seeing and it seems to corroborate. Have no idea if this means anything or not. Just found it interesting.

Still waiting to see what 10:00 AM Friday brings.

PS Very sad news regarding Steve Jobs. I sincerely hope all goes well with him. It's not often one gets to live life observing a true visionary. We were fortunate to have that in Steve Jobs.


http://i55.tinypic.com/2rrqbm8.png
  • #2,703
  • Aug 24, 2011 8:45pm Aug 24, 2011 8:45pm
Quoting darimik
no.. I have a timestamp, price level and the closing price for an hourly bar.

I calculated the stdev on the daily, but based on the hourly data, because one thing that I realized is that the stdev will be the highest at the top and the bottom by just using the daily close. therefore it will look similar to the e/u chart.

after that, I looked at the new stdev chart and filtered out abnormalities, and the levels were just corresponding them. it was really the first thing that popped in my mind.

i will be back in 15min or so
Let's review the bidding. You have a set of data (timestamped hourly closes, for example). You can calculate a mean and stdev of those straightforward, by taking the difference of the closes between one hour and the next. Or it could be between one day close or the next. Point is, to measure volatility (metric of the intensity of price change), the thing that enters the calculation has to be a sequence of changes in price over a fixed window (one hr to the next).

So, in light of that, what do you mean by "calculated the stdev on the daily, but based on the hourly data"?
  • #2,704
  • Aug 24, 2011 8:53pm Aug 24, 2011 8:53pm
Quoting OldQuant
Let's review the bidding. You have a set of data (timestamped hourly closes, for example). You can calculate a mean and stdev of those straightforward, by taking the difference of the closes between one hour and the next. Or it could be between one day close or the next. Point is, to measure volatility (metric of the intensity of price change), the thing that enters the calculation has to be a sequence of changes in price over a fixed window (one hr to the next).

So, in light of that, what do you mean by "calculated the stdev on the...
changes between the hourly closes over a period of a day. in other words, variability of price closes in a sample of 24 closes. I expressed it wrongly..
  • #2,705
  • Aug 24, 2011 8:54pm Aug 24, 2011 8:54pm
Quoting Turhovach
Up 'till now the DOW futures and EUR have pretty much been marching in lockstep with one another. Now, for the first time in quite awhile there is a complete divergence.
There's decoupling all over the place. For a brief time night last night, things seemed to be coming back to normal. By this morning, it was just more of the same crap.

The equity market is betting on kindly Uncle Ben to come riding in to save them. And it's not going to matter what he says, it's going to rally. He could say "Yellowstone caldera is going to erupt Tuesday, killing all life in North America" and the market would probably rally right up to the last 10 minutes of Monday.

And the same is true of the Europeans. Nobody can believe there aren't adults in the room who will make It All Better. I hate to sound like a zero hedge tin foil hat guy, but the real decouple seems to be happening: markets from realities.
  • #2,706
  • Aug 24, 2011 8:59pm Aug 24, 2011 8:59pm
Quoting darimik
changes between the hourly closes over a period of a day. in other words, variability of price closes in a sample of 24 closes. I expressed it wrongly..
Okay. Then for (all of) the daily close of 4402, you put that (those) vol value(s) on the bar marked 4402, right?
  • #2,707
  • Aug 24, 2011 9:01pm Aug 24, 2011 9:01pm
Quoting darimik
changes between the hourly closes over a period of a day. in other words, variability of price closes in a sample of 24 closes. I expressed it wrongly..
and your using 64,000 hourly closes as your data set, correct?
Look Sharp/Trade Tight
  • #2,708
  • Aug 24, 2011 9:03pm Aug 24, 2011 9:03pm
Quoting Turhovach
Up 'till now the DOW futures and EUR have pretty much been marching in lockstep with one another. Now, for the first time in quite awhile there is a complete divergence. I threw up a Stochastic just to double check what I was seeing and it seems to corroborate. Have no idea if this means anything or not. Just found it interesting.

Still waiting to see what 10:00 AM Friday brings.

PS Very sad news regarding Steve Jobs. I sincerely hope all goes well with him. It's not often one gets to live life observing a true visionary. We were fortunate...

yes,, one of the game changers of our time

Steve Jobs' Resignation Letter

“To the Apple Board of Directors and the Apple Community:

I have always said if there ever came a day when I could no longer meet my duties and expectations as Apple’s CEO, I would be the first to let you know. Unfortunately, that day has come.

I hereby resign as CEO of Apple. I would like to serve, if the Board sees fit, as Chairman of the Board, director and Apple employee.

As far as my successor goes, I strongly recommend that we execute our succession plan and name Tim Cook as CEO of Apple.

I believe Apple’s brightest and most innovative days are ahead of it. And I look forward to watching and contributing to its success in a new role.

I have made some of the best friends of my life at Apple, and I thank you all for the many years of being able to work alongside you. Steve”

http://www.forbes.com/sites/nicolepe...nation-letter/
  • #2,709
  • Aug 24, 2011 9:04pm Aug 24, 2011 9:04pm
See, darimik? It's why I suggested we have this discussion in PM. Start talking about numbers, and everyone's eyes glaze over, and they go hang out in the E/U thread or go watch cat videos or something more interesting.

Even Venice is gone, and he was the one talked me into having this discussion in public yesterday.
  • #2,710
  • Aug 24, 2011 9:07pm Aug 24, 2011 9:07pm
Quoting OldQuant
See, darimik? It's why I suggested we have this discussion in PM. Start talking about numbers, and everyone's eyes glaze over, and they go hang out in the E/U thread or go watch cat videos or something more interesting.

Even Venice is gone, and he was the one talked me into having this discussion in public yesterday.
its cool dude, I might even learn something...
Look Sharp/Trade Tight
  • #2,711
  • Aug 24, 2011 9:07pm Aug 24, 2011 9:07pm
Quoting OldQuant
Okay. Then for (all of) the daily close of 4402, you put that (those) vol value(s) on the bar marked 4402, right?
hmm.. why would you add them ? it measures the variability in price..I would have to think about adding the stdevs and the outcome that it would give. seems like in theory, a price levels would carry a certain volatility and the number of occurrences should not matter.

I took all the stdev and filtered out the highest ones. went up high enough so only a few came out.
  • #2,712
  • Aug 24, 2011 9:08pm Aug 24, 2011 9:08pm
Quoting PayTheLimit
and your using 64,000 hourly closes as your data set, correct?
yes.. 10 years ish. I wish I could record the data real-time.. or get a historical feed from MT4 or something
  • #2,713
  • Aug 24, 2011 9:08pm Aug 24, 2011 9:08pm
Quoting OldQuant
See, darimik? It's why I suggested we have this discussion in PM. Start talking about numbers, and everyone's eyes glaze over, and they go hang out in the E/U thread or go watch cat videos or something more interesting.

Even Venice is gone, and he was the one talked me into having this discussion in public yesterday.
I messaged you, but you didnt respond!
  • #2,714
  • Aug 24, 2011 9:13pm Aug 24, 2011 9:13pm
Quoting darimik
yes.. 10 years ish.
so let me ask you this...could you then use say 1yrs worth of those numbers to get that years levels, or could you use the data of like one leg, ie, like the 2008 break, and get the levels for just that leg?
Look Sharp/Trade Tight
  • #2,715
  • Aug 24, 2011 9:13pm Aug 24, 2011 9:13pm
Quoting PayTheLimit
morning..
I think I'm going phase down EUR and ramp up bonds. This PoS is just not real any more, if it ever was. Refitting software for handling them has started.
  • #2,716
  • Aug 24, 2011 9:16pm Aug 24, 2011 9:16pm
Quoting darimik
I messaged you, but you didnt respond!
Oh. Yeah, I did notice the number of unread incremented by one. Sorry.
  • #2,717
  • Aug 24, 2011 9:16pm Aug 24, 2011 9:16pm
Quoting PayTheLimit
so let me ask you this...could you then use say 1yrs worth of those numbers to get that years levels, or could you use the data of like one leg, ie, like the 2008 break, and get the levels for just that leg?
anything you want. you can choose any period. there are multiple ways of doing it as well. I am using the close in this case..
  • #2,718
  • Aug 24, 2011 9:17pm Aug 24, 2011 9:17pm
Quoting OldQuant
Oh. Yeah, I did notice the number of unread incremented by one. Sorry.
we are covered up until this point. we can carry this via pm or here or skype or anything..
  • #2,719
  • Aug 24, 2011 9:18pm Aug 24, 2011 9:18pm
Quoting OldQuant
I think I'm going phase down EUR and ramp up bonds. This PoS is just not real any more, if it ever was. Refitting software for handling them has started.
well I cant say I blame you, I've been trading some silver, and lira, as of late..started more as an experiment, thing is I wanted to see how my levels acted in a different environmet, ie, one without barriers, CB's, etc..
Attached Image (click to enlarge)
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Look Sharp/Trade Tight
  • #2,720
  • Aug 24, 2011 9:25pm Aug 24, 2011 9:25pm
Quoting darimik
anything you want. you can choose any period. there are multiple ways of doing it as well. I am using the close in this case..
ok, I'll send you a PM later,before I forget, my thought was this..if you use the levels of a certain leg, would you be able to use your levels as a filter against say some fibs on the retrace..
Look Sharp/Trade Tight
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