Update on position. Market did open higher in NJ today as I was expecting. I also Have a few more statistics to add the the mix tonight for tonight’s position. Going to back test it to determine how to read them. Will be back in a few hours to close the trade and post results.
My short decision on the NJ did not pan out. If I had chose to close the position, I would have lost 14 pips. I’m really reading into these statistics to make sense of what is happening in the market. NJ Stats for 12/13-12/15
Total Money Invested
$7,390,385,577,000.00
Buy Money Cancellation Rate
89.37730%
Sell Money Cancellation Rate:
90.2571%
Day Average Money Cancellation per minute rate
90.70434%
Sell CM
$13,472,742,570.57
Buy CM
$14,922,956,253.98
Sell Non cancelled Money
$1,860,527,493.77
Buy Non Cancelled Money
$1,593,729,034.86
Difference Between Buy and Sell cancellation rates: 0.879795733%
Difference between Buy Cancellation rate and Day Cancellation rate: 1.32704%
Higher Extreme (Upper candlewick) Money
$10,274,062,220.00
Lower Extreme (Lower Candlewick) Money
$12,829,074,500.00
Reason to go long:
I have a few rates not posted which are the main rates I am trading off of tonight. I will post them in the morning. Basically I saw a rate of change of 1.58% up in the sell cancellation rate from yesterday. What this means is when the market was selling on 12/13 and 12/15 compared to 12/12, more long money was there to replace the short money per minute and is growing at a faster rate than the short money to replace the long money when the market is longing each minute… Very deep stuff. Will post the stats in the am so it will be easier to see the connection.
Trade update. down 45 pips from open on friday. Since I mainly trade the difference between the BCMR and SCMR It might be my rules so to speak that need to change. Instead of trading a less than 1% difference between the two going in the direction of the lowest rate, It may be that I need to trade 1% or greater in the direction of the lowest rate. Otherwise If the difference is less than 1%, I will go with the larger rate and add rules as necessary. Seeing as I am constantly updating trying to find the right setup this could take some time to choose the best values to place the trades off of. My logic made sense last night, but the market doesn’t always follow good logic. It reverses and bounces etc. Anyways, I will be back on later with the final results. If the market continues to sell, I expect it to hit 84.78 today.
Update I am only down 30 pips from friday open. After organizing my sheet a little better, I was able to make more sense of what is going on monetarily speaking in the market. I feel good about my long position in NJ, Considering it is only down 10 pips from today’s open, Today’s long signal is really starting to follow through.
Looking into AU, I noticed similar characteristics as NJ. BCM (Buy Cancelled Money) has been decreasing over the past few days, and SCM (Sell Cancelled Money) is on the rise. Same thing is going on with the uncancelled money. Also, It appears the market is rejecting price to go short more so than it is when it is going long. This is evident in the Lower Extreme Money Increasing and the Higher Extreme Money decreasing. I feel confident AU will long today. Since its below today open, It would be a good time to buy, however, i am sticking with just NJ today.
Will be back around midnight to post trade results and Today’s Stats for tomorrows trade.
Tonights trade:
NJ long. Will be back in am to discuss yesterday. Really upset with the internet atm.
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Post Deleted.
Mathematics is all I have for now, I can’t give up on the system because I lost a day and wasn’t correct on my AU call yesterday. However. I did notice something quite interesting. This is the data from NJ from yesterday:
AVG CANCEL
90.40565%
BCRA
89.24346%
SCRA
89.9164%
BCM
$11,251,549,017.25
SCM
$12,329,156,682.17
BNCM
$1,504,650,556.73
SNCM
$1,348,723,576.41
Total Money Invested:
$562,612,869,600.00 or $5,626,128,696,000.00 if 1 unit of volume does in fact equal 1 million yen.
HE $
$9,038,735,660.00
LE $
$10,603,101,480.00
New stats I have been using:
Total CM
$23,580,705,699.42
B CM Percentage
12/16: 47.71506%
12/13-15: 47.43404%
Difference
0.28102%
S CM Percent
12/16: 52.28494%
12/13-15: 52.56596%
Difference: -0.28102%
B NCM Percent
12/16: 52.73233%
12/13-15: 53.95100%
Difference: -1.21868%
S NCM Percent
12/16: 47.26767%
12/13-15: 46.04900%
Difference: 1.21868%
Okay that’s a lot of statistics I agree. I am going to really think about what I am will explain before I post it. Be back in a bit.
Trade update. I had a stop on my NJ at 84.78 so I got stopped out this morning. But whats interesting is that NJ is longing like crazy and appears it may still long today. If It does I will be 2 for 2 this week on NJ. Maybe I am digging too deep into the statistics, although I do believe I figured out why the AU long I called yesterday shorted instead of longed. The Buy Non Cancelled Money rose over 3% from Thursday. In non cancelled money terms AU was overbought on Friday and Sunday thus it shorted yesterday instead of longed like I had previously projected. Tonight I am going to pull a few pairs, post only the stats I am trading off of and why I am trading them. Will be back in a bit
Will go over some logic on possible reasons NJ sold versus longed like expected. However, I feel like I do know some pretty easy to trade stats and to me it looks like EJ has them tonight. Most important stats
AVG CANCEL
94.97952% (Pretty high, which means some good movement today the 18th is expected)
BCRA (Buy Cancellation Rate Avg for day… gathered from 1m from 12/17)
93.79522%
SCRA (Sell Cancellation Rate Avg for day… same as buy, gathered from 1m)
94.9351%
Difference between BCRA and SCRA: 1.1399075488135600%
-Huge difference, means SCRA was very high and is due for reversal
BUY CM (Buy CM= Cancelled Money)
$7,320,110,982.92
BUY CM Percentage of Total Cancelled Money
12/17: 48.68146%
12/16: 48.38674%, Positive difference of 0.29472% (Buy Cancelled money is on the rise)
Buy NCM (NCM = Non Cancelled Money)
$865,682,207.95
BUY NCM Percentage
12/17: 51.54564%
12/16: 50.81974% Positive difference of 0.72590% ( Appears to be near peak of Range… typically is around 52%)
SELL CM
$7,716,642,840.30
SELL CM
12/17: 51.31854%
12/16: 51.61326% Negative difference of 0.29472% (Sell Cancelled money is on the decline)
Sell NCM
$813,765,840.07
Sell NCM Percentage of total NCM
12/17: 48.45436%
12/16: 49.18026%, Negative difference of 0.72590%
Trade: EJ SELL
My entry will hopefully be around yesterday’s high of 141.93, if not today’s opening price 141.784
Stop… I am learning how to implement this, 142.21 seems fair enough.
Tp: building up to this, no tp in mind yet. goal is to nail direction and work my way into tps etc.
Will probably post some more pairs tomorrow in the am if i get around to it. Posting one pairs stats takes some time, will work on getting better at posting more than one at midnight.
I am pretty thrilled. the trade is looking great. I put an order in at 141.91 and it just got hit just a little bit ago. I expect EJ to start selling for the day. Will be back with an update and another pair’s stats
Took a break after a rough week last week. Came back hitting harder than king kong at the data. Found a very unique relationship in the Cancellation rates and the Non-cancellation rate averages for the day. The latter of the two I just wrote the algorithm for yesterday and have been testing for several hours. I have no forward testing to confirm the legitimacy of the pattern but that’s what tonight/todays for. Due to the fact that there are hours missing from the 24th and 25th because trading was shut down for the holidays, I’m running on less than my desired minute count. I am trading by the rules I set into play yesterday and will be working towards a stop loss in the next few weeks as long as forward testing proves it is worth investing more time in.
With that in mind, I do not know what to expect from today the 26th, however, These are the trades I just entered and will be holding until the 27th…
AJ SHORT
AU LONG
EJ SHORT
EN SHORT
EU LONG
GN LONG
NU LONG
Will provide updates in the am. Happy trading and hope everyone had a great Christmas.
Trade updates:
AJ -13 pips
AU +9.9 pips
EJ -14.2 pips
EN -1st entry -45.7 pips
2nd entry +5.9 pips
EU +12.9 pips
GN +47.3 pips
NU -14.7 Pips
So far everything is looking good. I expect a 50 pip move in EN during Asian tonight epecting EN to finish short for the day. NU, AJ, and EJ are not far at all from open so they should easily flop by tonight’s close. AJ should short, EJ should short, and NU should long. Will be back tonight with the finals for the day and with tomorrows trades.
yesterdays trades:
EJ Lost
AU Won
EU Won
GN Won
AJ Lost
EN Lost
Learning what the markets rules are and dam am I excited. I’m very happy with the algo’s i’ve written. Everything has been building up to these next few weeks. 2014 is near.
Tonight’s Trades:
AJ Long
EJ Long
EN Long
EU Long
GN Long
NJ Long
NU Long
crazy amount of longs tonight. Will be adding more pairs soon. Be back tomorrow with the usual checkup
Good news. All trades are Green.
AJ +6 pips
EJ +79.5 pips
EN + 29.3 pips
EU + 63.8 pips
GN + 25.3 pips
NJ +23.6 pips
NU +15.7 pips
Update going into the weekend.
Friday the 27ths Close
AJ -10.4
EJ +54.3
EN +24.3
EU +4.4
GN +58.9
NJ -4.5
NU -33.3
Will close all trades Monday at 0000. At the moment the net total for the day is 93.7 pips total profit (In the future I could just close the trades Friday close?). I choose to hold these trades through the weekend in effort to capture the gaps but risk goes up… Could easily turn to losing pips by doing so, but to me this is the testing stages of the new calc. So I look forward to open on Sunday.
Super tired. Will post undates tomorrow of yesterdays trades. Took around 200-250 pips or so, so it was a good weekend.
tonight 12/30’s trades:
Nu (Holding trade from friday, -41.7 pips), Long
NJ Long
Gn Long
Eu Short
En Long
Ej Long
Aj Short
Trade updates:
Aj -33.9 pips
EJ +38.5 pips
EN -31.3 pips
EU -70 pips
GN -94.3 pips
NJ +41.9 pips
NU+19.5 pips,
2nd entry+52.4 pips
Couple of the trades are not look as good as the others, however, the market still has plenty of hours left in the day so will find out tonight what the results are.
I will be back with an update tomorrow of what i have been working on. Tonight I’m long EU, Short NU
Trade: EU Long
NU Short
I entered at 1.35907
and .82480
Trades where both green when I closed them.
EU +18.9 pips
NU + 3.4 pips
Total +22.3 pips