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Strategies & Market Trends : Systems, Strategies and Resources for Trading Futures -- Ignore unavailable to you. Want to Upgrade?

To: F Robert Simms who wrote (40015)	11/30/1999 7:10:00 PM
From: Matthew L. Jones	Respond to of 44573

Futures Thread: I thought some of you might be interested in the following statistics regarding S&P futures contracts using different time frames: 1) Extent. By extent I mean the amount of movement in an intraday trend (in points) from bottom to top or top to bottom. 2) Duration. By duration I mean the number of bars (periods) of time in an intraday trend from bottom to top or top to bottom. 3) Odds. Odds is a ratio of probabilities of trend continuation to trend reversal (if positive) or trend reversal to trend continuation (if negative). For example, +3:1 odds means that there is a 75% probability or chance of trend continuation and a 25% probability or chance of trend reversal. Expressed in odds it would be 75/25 or +3:1. 30 minute bars Odds Extent Duration +3:1 15 points 8 bars (2.5 hours) +1:1 25 points 10 bars (5 hours) --3:1 35 points 15 bars (7.5 hours) 15 minute bars Odds Extent Duration +3:1 9 points 5 bars (1.25 hours) +1:1 16 points 10 bars (2.5 hours) --3:1 23 points 15 bars (3.75 hours) 5 minute bars Odds Extent Duration +3:1 5 points 4 bars (20 minutes) +1:1 9 points 10 bars (50 minutes) --3:1 13 points 16 bars (80 minutes) I personally use 3:1 as a range because I am interested in entering a trade only when the odds are 3:1 or greater in my favor. If I am trading on a 15 minute chart and we are 45 minutes into an uptrend, and we have moved less than 5 points up, I have sufficient odds to enter the trade long. When the odds are even (or +1:1) I begin looking for the exit. I may hold a position but tighten stops to that point for example. When the odds of reversal are greater than 3:1 (--3:1), I will look to exit all or part of my position because the reversal will be very sudden when it does begin. I hope some of you find this information useful in your trading of the S&P's. Matt