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CISCO Futures
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Background: History Application for the CISCO Day Trading Engine(tm)

January 14, 2010

CISCO Futures©

The CISCO DayTradingEngine (DTE) gives day traders the trade timing and market flow direction information necessary for fast intra-day trading. A Pause Alert can arise in a matter of minutes or less, with an ensuing breakout as quickly, requiring close attention to the changing market. It is only later, in retrospect, that the trader might ask what was the market behvior pattern during the balance and breakout process? The Pause Alert and market patterns can be researched at the trader's leisure with the DTE History Study (DTE_HS). DTE_HS takes a delivery, date and time and presents a Pause Alert display for that situation. The user can move time either backward or forward to explore market behavior around the critical Pause Alert time frame. A set of 'Screen Shots' from 6 to 11 track an active period in the eMini SP for about an hour. During this time price moved a great deal:

        Time       Last      Pause Alert
       09:01     113475  113475 - 113275
       09:07     113625  113525 - 113375
       09:10     113525  113550 - 113500
       09:21     113275  113450 - 113450
       09:23     113025  113450 - 113450
       09:57     112100      none

DayTradingEngine's job is to find trade location, i.e. Pause Alert's upper and lower limits. It is pretty clear that in the first part of the period there was opportunity on the up side, while the latter part of the period offered opportunity on the down side. Quite often a day will contain one trade that is a barn burner. A search of CMaPS for active markets will confirm this statement. Today, for eminiSP, that exceptional trade took place in the half-hour after 09:23.

The inquiring trader will ask: "If I have the Pause Alert (from DayTradingEngine or CMaPS), is there anything else I can know to help my trading"? The answer is yes, you can track the market development before, during and after a Pause Alert. Such tracking will familiarize you with that markets behavior through a Pause Alert. You can come to realize that a given market behaves in certain ways at one time and differently at others. Experience will help you differentiate between the various situations (e.g. quiet markets, active markets, hyper-active markets).

Market behavior can be studied with the DayTradingEngine History application. This tool permits as extensive a search of a market's behavior for the time frame desired and in as much detail as needed. This simple History tool puts a powerful research capability into the hands of the ordinary trader. Now anyone can select a market, a general trading time frame and examine that market's behavior in detail.

Procedure
A DTE History Study may be made of a past period in the current day, or anytime in the recent fifteen days.

1. The user logs into the DTE History function and selects the delivery and date.
2. Then a time of day is inserted, followed by a return/enter.
3. To get the next time (ahead or back) change the time and return/enter.
In this way the desired time period can be quickly traversed.

An observer viewing the ebb and flow of the markets around a critical area (Pause Alert) will see the appearance of green balance areas followed by price flows in which the color disappears. In many markets a trader will observe a certain behavior pattern in the development/disappearance of the (green) Pause Alerts and the (yellow) pre-Pause Alert Anticipation. Studying this behavior in real time is difficult. The market moves too fast.

Needed is the ability to go back in time and study the Pause Alert development in detail. Filling this need is the DayTradingEngine History Study application. The advantage of Pause Alert analysis over other methodologies (point figure, one minute bars, etc.) is that Pause Alert derives from a basic market behavior pattern, it's run pause character. Pause Alert is the pause part of the equation. When a pause occurs it does so because the two market competitors (bulls and bears) are at an impasse at this point in time. If a trader's chosen time frame is 5 minutes, the definition of a Pause Alert is that the same prices are traded over 3 time frames, or 15 minutes. Or, the market is seen to stay in the neighborhood for 15 minutes. Such stability rarely lasts for long: there is a breakout from the Pause and the market runs (in response to either the bull or bear gaining the upper hand). Then a new Pause Alert appears and the whole process starts all over again. (This is the fundamental auction market process, constantly seeking value.)

Now the utility of the history becomes apparent. It is a way of finding market condition on small time scales. A given market will vary from day to day, depending on mostly unknown (and likely unknowable) variables. But the day's general condition, fast or slow, wide swinging or narrow, can be evaluated by examining the Pause Alerts that have happened so far. For the day trader then, intelligent use of the history tool is like a microscope for a scientist; it brings into view an otherwise hidden world.

A Sequence of CMaPS Meta-Profiles: UUH (ESH): Date 2010-0121

A starting point for each day's trading is the CISCO Visual Graphic (VG) which summarizes the reference points at the end of day for the latest completed day. For this day (close of Jan 20) VG shows 5 day, 10 day and 20 day balances (the 3 graphics) and to the right of that the half-hour bars show fairly active day. So going into Jan 21, a change of the 5 day balance to run would occur at 114550 for an upside breakout and at 112650 for a downside breakout. There are numerous other reference points used in the DTE Single for prediction of flow direction.

Screen Shot 1: Full Screen Visual Graphic of Jan 20


The next four Screen Shots provide an overview of UUH as seen on CMaPS as of 08:31, 09:01, 09:31 and 10:01; the period of interest in this demonstration of the History Application.

Screen Shot 2 is CMaPS from 06:00 to 08:31. Note the Pause Alert balance from 113525 to 113450. Recall the 5 day balance from Visual Graphic (114550 - 112650). So, the Alert balance lies within the 5 day balance. Note the B period upside breakout.

Screen Shot 2: CMaPS: 08:31h: PA 113525 - 113450



Screen Shot 3 is CMaPS from 06:00 to 09:01. This (green) balance range also lies within the 5 day balance and is in overall equilibrium. Note the B period upside continuation and C period turn down to breakout on the downside.

Screen Shot 3: CMaPS: 09:01h: PA 113525 - 113275



Screen Shot 4 is CMaPS from 06:00 to 09:31. This (green) balance range also lies within the 5 day balance and is in overall equilibrium, however that is all within the past. The downside C period breakout seen in Shot 3 has turned into a rout, with D period data off the low end of the Shot.

Screen Shot 4: CMaPS: 09:31h: PA 113525 - 113275



Screen Shot 5 is CMaPS from 06:00 to 10:01. There is no (green) balance range D and E periods (09:30 to 10:00 and 10:00 to 10:30) are out of range, below the screen shot. As will be seen in the next 5 Screen Shots of the History app, the details of the very active period (09:01 - 09:57) are quite illuminating for a day trader.

Screen Shot 5: CMaPS: 10:01h: none (gap)



History Screen Shot 6, 09:01,

DayTradingEngine Displays from 09:01 thru 09:57:

At 09:01, the DTE History app is the ideal for a well balanced Pause Alert. There is a wide green area and the latest price, M, is within the green. The green area is within the 5 Day balance, although the low of the green balance is at the bottom of the 5 Day.

Screen Shot 6: 'History' at 09:01



At 09:07 there is still a fairly wide balance (green), but price has broken above both the short term Pause Alert and the 5 Day Balance. Most day traders would have gotten long during this move.

Screen Shot 7: 'History' at 09:07



It is now 09:10 and the balance region (green) is shrinking. The latest price, M, has moved back down to 113525. This move back to within the 5 Day Balance and the Pause Alert shows weakness and the long position would have likely been exited, probably at a loss.

Screen Shot 8: 'History' at 09:10



At 09:21 the Pause Alert is disappearing and the flow is clearly down. A day trader would likely have goten short somewhat earlier, when price came back down through the Pause Alert.

Screen Shot 9: 'History' at 09:21



It is now 09:23 and the drop is strong. Guided by the shrinking balance (green) the day trader was short well before the big drop. Now it is time to turn to looking for signs of consolidation, of a beginning balance.

Screen Shot 10: 'History' at 09:23



At 09:57 there may be the beginning of the start of a new balance, a Pause Alert. However, the news is all, as yet, down.

Screen Shot 11: 'History' at 09:57



There are many ways to use the DTE History app. Demonstrated here is something one might do as an adjunct to the DTE Single or Triple. To get the feel for a market, first locate a significant turning point and then use History to track market behavior before and after the event. With practice it is likely that a user can catalog a particular market, learning that market's behavior patterns.


DayTradingEngine Trading Support
Three Methodologies comprise the DayTradingEngine process. These are all reached from the CISCO main page, under the flag at:
Data
....DTE Flow Prediction

......DTE Single
........Background
......The Triple
........Background
......The History
........Background

Briefly, Single covers one future, with the back information: 3 day Overlay, Predicted flow direction, abbreviated CMaPS and the selected time frame and Pause Alert.

Triple presents DTE display on three separate deliveries for arbitrage information.

History is covered in this Background report.


Short Timeframe Directionality and Miscellaneous
Tick by tick data has a high random component. Longer timeframes (a minute, ten minutes, etc.) suppress some tick-by-tick randomness. An alternate method of tracking is to post the new price highs and lows. This gives a more trader-oriented view of the market's progress through time. As the new highs and lows develop they graphically show the run-pause nature of the market.
DayTradingEngine Directional Study

Pause Alert Example 1, a Working Paper (WP0)
Discusses run versus pause.
Pause Alert Example1 (WP1)

Pause Alert Example 2, a Working Paper
Describes auction markets, minimum requirements for success, the Pause Alert as a temporary market uncertainty and very short time frame trading.
Pause Alert Example2 (WP2)

Pause Alert Anticipation (WP3)
While the Pause Alert is defined as 3 timeframes at the same price, there are cases where the Anticipation (two timeframes at the same price) will certainly subsequently end as as a Pause Alert. A knowledgeable trader can use this information to get a (one timeframe) jump on the market.
Pause Alert Example3, Anticipation (WP3)

Pause Alert Anticipation: Speeding the Process (WP4)
Pause Alert Example3a,Anticipation (WP4)

Some Questions and Answers
Some DTE Questions and Answers

Market Continuity: Markets in motion tend to remain in motion.
Markets do NOT Turn on a Dime

The Pause Alert
Pause Alert: Background

Visual Graphic: A Source of Reference Points
Explanation of Visual Graphic

CISCO DayTradingEngine Flow, Introduction
DTE FLOW EXAMPLE1

CISCO DayTradingEngine Flow, Flow Study
DTE FLOW EXAMPLE2

Run-Pause: The Market Unit
The Market Unit

Customers Speak
CISCO Testimonials

The Run-Pause Profile
The Run Pause Profile (tm)

The Demand Curve Background: A Source for Value
Overlay Demand Curve Background

Auction Market Value Theory
Auction Market Value Theory