CISCO Futures
1-303 306 1521 1-800 800 7227 Fax 1-303 306 1572
Internet http//www.cisco-futures.com
Email dljones@cisco-futures.com
1. Day 1: Sep 96 Bonds on August 21st 1996
- Visual Graphic
- Overlay Reference Points
- Alert to a Trend
- Commercial Support/Resistance
- General Questions
- Questions on 5 Reference Points
- Answers to General Questions
- Answers to Questions on 5 Reference Points
2. Day 2: Sep 96 Bonds on August 22nd 1996
- Visual Graphic
- Overlay Reference Points
- Alert to a Trend
- Commercial Support/Resistance
- General Questions and Answers
- Questions and Answers on 5 Reference Points
3. Day 3: Sep 96 Bonds on August 23rd 1996
4. Legend on Visual Graphics
5. Getting Visual Graphics off the internet
R1. Reference points (5 day)
Limits 11116 11010
Octants 11107 11019
Mid 11029
Overlay (tm) Distributions for Sep T-bonds: From the graphic above.
DY Condition UPPER LOWER CLOSE $RNG
05 Bracket 11110 11016 11020 812
10 Bracket 11208 11016 11020 1750
20 No Bracket n/a n/a n/a n/a
(DISTRIBUTION Definition: Minimum Dist = 4 Prices, 3 TPOs. Latest day symbol = 9) There is 1 Distribution in this Overlay (5 day)
R2. Alert to Trend:
Internal Trend is Down (lower r-h corner of VG, labeled IT)
R3. Commercial Support/Resistance From last 10 days
08 16 Lower Comml Action: 11030
08 13 Lower Comml Action: 11028
08 08 Upper Comml Action: 11124
08 08 Lower Comml Action: 11104
There was relatively little commercial activity at the extremes. Lower cap prices dropped slightly from 8/08 (11104) to 8/16 (11030), indicating some downward pressure.
1A. There are three Overlays available today for the T-bonds, 5, 10
& 20 days.
Balances are shown for 10 and 5 days.
From this evidence
alone, why do you suppose there is no 20 day Overlay balance?
____________________________________________
2A. Although there are three different time frames (5, 10 & 20 days), we
have selected the 5 day to examine. Why did we use the 5 day
instead of one of the others? ____________________________________
3A. Name/list the 5 primary reference points associated with the 5 day Overlay.
______________
______________
______________
______________
______________
4A. There is 1 more primary reference point potentially available in the data above. Name it.
______________________________________________
(for the 5 day Overlay)
1B. Where would an upside breakout begin? __________
Locate the stop. ______ .
What is the dollar value of the stop? ___________
What effect would today's commercial activity have on your answer?
____________________________________________________________
2B. If there is no upside breakout, where would you (responsive)) short? ________
If you (responsive) shorted the market where is your protective stop? _______
If you (responsive) shorted the market where is your target? _______
3B. Where is price when the probability of either up or down movement is equal? _____
4B. If there is no downside breakout, where would you (responsive) go long? ________
If you (responsive) bought the market where is your protective stop? _______
If you (responsive) bought the market where is your target? _______
Answers to General Questions for Day 1
1A. There are three Overlays available today for the T-bonds, 5, 10 & 20
days. From this evidence alone, why do you suppose there is no 20
day Overlay listed? Periods a (20 days back) through f (15 days back)
were from a different distribution, with different values; the market has changed.
2A. Although there are three different time frames (5, 10 & 20 days), we
have selected the 5 day to examine. Why did we use the 5 day
instead of one of the others? With T-bonds, a 5 day Overlay is usually
trustworthy; other markets usually need at least 10 days.
3A. Name the 5 main reference points associated with the 5 day Overlay.
Limits (2)
Octants (2)
Middle
Internal Trend
Commercials
4A. There is 1 more primary reference point potentially
available in the data above. Name it.
Nodes (if market is trending and pausing)
Answers to Questions on Five Primary Reference Points for Day 1
1B. Where would an upside breakout begin? 11110 + 1 = 11111
Locate the stop. 11107, the Octant
What is the dollar value of the stop? $125 (4 ticks)
What effect would today's commercial activity have on your answer?
There is no record of a recent Upper Commercial; so, no effect.
2B. If no upside breakout, where is the (responsive)) short? 11107 – 1
If you (responsive) shorted the market where is your protective stop? 11110
If you (responsive) shorted the market where is your target? 11029
3B. Where is price when the probability of either up or down is equal? 11029
4B. If no downside breakout, where is the (responsive) long? 11019 + 1
If you (responsive) bought the market where is your protective stop? 11016
If you (responsive) bought the market where is your target?
11029
Breakout Trade of Aug 22
R1. Overlay Reference points 8/21: Limits 11110 & 11016, Octants 11107 & 11019, Mid 11029Using VG half-hour bars, Short 11015 (C period), stop 11019 (L Period), loss 4 ticks.
Distributions for Sep T-bonds: From the graphic above.
DY Condition UPPER LOWER CLOSE $RNG
05 Bracket 11110 11010 11018 1000
10 Bracket 11110 11012 11018 937
20 Bracket 11206 11012 11018 1812 (Ignores early data from other distribution)
Overlay Reference points (5 day):
Limit 11110 &
11010, Octant 11106, & 11014, Mid 11026
(DISTRIBUTION Definition: Minimum Dist = 4 Prices, 3 TPOs. Latest day symbol = 9)
There is 1 Distribution in this Overlay
R2. Alert to Trend:
Internal Trend is neutral (lower r-h corner of VG, labeled IT)
R3. Commercial Support/Resistance : From last 10 days
There was relatively little commercial activity at the extremes. The calculated cap at 11028 is near the middle of the Overlay suggesting that value may be dropping. This may be a tip-off of an downward price bias.
08 22 Upper Comml Action: 11028
08 16 Lower Comml Action: 11030
08 13 Lower Comml Action: 11028
1A. There are three Overlays available today for the T-bonds.
Which one (s) would we generally use? 5 Day.
2A. What is a 'false breakout'? Do you see one in the Day 2 data?
Explain: In C period (9 to 9:30 AM) price dropped to 11015 to trigger a
short. An immediate buy stop was placed at 11019. The price
11019 was touched for an exit at a loss of 4 ticks ($125).
(On occasion the timing is not clear from the half-hour bars. Then you turn to
the tick data (included with the course).)
3A. Name the 5 primary reference points for tomorrow.
Limits 11110 & 11010
Octants 11106 and 11014
Middle 11026
Internal Trend none
Commercials may be signaling lower value
4A. There is 1 more primary reference point potentially available in
the data above. Name it. Any reservations?
Nodes in a trend
We would not be happy with an upside breakout because of the commercial
upside cap in the middle of the distribution
Questions and Answers on Five Primary Reference Points for Day 2
R1. Overlay Reference points: Limits 11110 & 11010, Octants 11106, &11014, Mid 11026
1B. Where would an upside breakout begin? 11110 + 1 tick = 11111
Locate the stop. 11106
What is the dollar value of the stop? $157
What effect would today's commercial activity have on your answer?
We would be uneasy with an upside breakout.
2B. If there was no upside breakout, where would you short? 11106 – 1 tick If you (responsive) shorted the market where is your protective stop? 11110
If you (responsive)shorted the market where is your target? 11026
3B. Where is price when the probability of either up or down movement is equal? 11026
4B. Where would an downside breakout begin? 11010 – 1 Tick = 11009
Locate the stop. 11014
What is the dollar value of the stop? $157
What effect would the commercial activity have on your answer?
A downside breakout would confirm the commercial information.
5B. If no downside breakout, where would you go long? 11014 + 1 Tick
If you (responsive) bought the market where is your protective stop? 11010
If you (responsive) bought the market where is your target? 11026
Legend: Tabulated in the Appendix
The Breakout Trade of Aug 23
R1. Reference points from the close of Aug 22:
Limits 11110, & 11010, Octants 11106 & 11014, Mid 11026
The market opened at 11016, two ticks above the lower limit. Price immediately fell through 11013, the short entry point. The stop at 11014 remained out of range for the rest of the day.
The close at 10916 left a profit 34 ticks, or $1062, before provision for slip and commission. The commercial tip-off of a downward price bias proved correct.
The first line of the graphic gives the contract and the date of the data.
For example U206 05/19/98 is the June (06) T-bonds (day) (U2) contract
for the trading date May 19th 1998 (05/19/98).
The Visual Graphic is in two parts: UPPER graphics and LOWER tables.
The upper part of the VG consists of 6 graphics with a common price strip on the
extreme left.
From left to right, the 6 graphics are:
(U1) Last 20 day Rotation profile 'Rotprof'
symbols a thru t represent the prices traded during each day
a=20 days ago; k=10 days ago; p=5 days ago; t=current day
this is like a market profile with each period equal to one day
(U2) '20 day Overlay'
the histogram represents the # of TPOS's at each price
dashes enclose a distribution/bracket
RotProf symbols: a = 20 days back, t = latest day
a b c d e f g h i j k l m n o p q r s t
(U3) '10 day Overlay'
the histogram represents the # of TPOS's at each price
dashes enclose a distribution/bracket
RotProf symbols: k = 10 days back, t = latest day
k l m n o p q r s t
(U4) '5 day Overlay'
the histogram represents the # of TPOS's at each price
horizontal dashes pairs enclose a distribution/bracket
RotProf symbols: p = 5 days back, t = latest day
p q r s t
All three Overlay histograms have the same horizontal scale.
Note: (Balance defn: Single distribution, close inside dist.)
A balance starts in some day as a congestion. It grows day-by-day. We
only list 5, 10, 15 and 20 day Overlays on the TCP (5, 10 and 20 on
the VG). Clearly there can be a 6 day balance or a 19 day balance, etc.
A rule: If the latest 6 days are in balance, a 10 day Overlay will
report a balance, ignoring the old four days of the previous
distribution. 15 day Overlays must have at least the latest 11 days
in balance, 20 day Overlays must have at least the latest 16 days
in balance. 5 day Overlays must have 5 days in balance. However,
you can eyeball the 5 day display to find shorter balances.
Using RotProf, you can tell exactly how many days are in balance.
(U5) Last 10 day Commercial Analysis 'cti2' for CBOT and CME only
high-low dashed vertical line bars cover the last 10 days
latest day is on right
* indicates commercial action at high and/or low
the single horizontal dashes on the vertical bars are the closes
(U6) 30 minute high-low bars for latest day '30m bars'
last period on right
(U7) Also, between the Rotation Profile and the 20 day Overlay:
Current day close 'cl'
Commercial action at current day high (if any) 'uc' for CBOT and CME only
Commercial action at current day low (if any) 'lc' for CBOT and CME only
(U8) Trading Units:
Markets are initiated by exchanges to serve a particular 'trade' or
area of commerce. Trading units selected are those in use by that trade.
While many units are decimal fractions, some are not, such as grains
which are traded in pennies and eighths per bushel. A price of 2406 for
corn means 240 and 6/8 cents for a bushel. Other exceptions are the
30 year bond in the Visual Graphic display, which trades in 32nds, 10
year notes and 5 year notes, in 64ths, and 2 year notes in 128ths.
Any questions can be resolved by visiting the exchange's Contract
Specifications.
Example: The 5 day Overlay limits are 12020 to 11930. Range in 32nds
is: 11930 - 11931 - 11200 - 11201 - 11202 ....... 112020 or 23 32nds.
Rounding off to 24 32nds, an octant is 3 32nds.
The LOWER (tabular) PART consists of 5 tables of data.
From left to right, these 5 tables are:
(L1) Below the Rotation Profile:
(L1.1 )'O' is the Open for latest and previous trading day*
(L1.2 )'H' is the High for latest and previous trading day*
(L1.3 )'L' is the Low for latest and previous trading day*
(L1.4 )'C' is the Close for latest and previous trading day*
(L1.5 )'Tf' is the Trade Facilitation Factor for latest and previous trading day*
Smaller TF implies better trade.
(L1.6 )'Vo' is the Price Tick Volatility for latest and previous trading day*
Very Low Volatility implies lack of interest
Very High Volatility implies overheating
(L1.7 )'Sf' is the Shape Factor for latest and previous trading day*
Smaller is better.
(L1.8 )'HL' for the two front months, gives the % of the current close from the 60 day low
also gives the days (in last 10 days) when new highs ('NH') or new lows ('NL')were established
* is a separator
e.g. 81* NH 3 4 means there was a new 60 day high established 3 (and 4 days) back
and close today is 81% of 60 day range (from 60 day low)
(L1.9 )'Tv' is the Total Contract Volume for latest and previous trading day*
(L1.10)'Cv' is the Commercial Contract Volume for latest and previous trading day*
(L1.11)'Pv' is the Public Contract Volume for latest and previous trading day*
(L1.12)'CUL' is the Commercial Action and Type for latest/previous trading day
First is the action at the current days high for each measure
Separating the high and low actions is a ':'
Second is the action at the current days low for each measure
Separating the current day from the previous day is a '/'
Third is the action at the previous days high for each measure
Separating the high and low actions is a ':'
Fourth is the action at the previous days low for each measure
Types: Q=quadrant measure, A=value-area measure, V=volume/price measure
For example: Q--:-A-/QAV:--- means:
Q-- commercial activity at latest days high with Q measure
: seperates activity at high from low
-A- commercial activity at latest days low with A measure
/ separates current from previous day
QAV commercial activity at previous days high with QAV measures
: seperates activity at high from low
--- NO commercial activity at previous day low
The Commercial, Public and Total Contract Volume and the Commercial Action
analysis is derived from the Liquidity Data Bank which is released
by the CBOT and CME exchanges only. It is same day cleared trading volume
and excludes spreads.
(L2) Below the 20 day Overlay is bracket/distribution info for this Overlay
(L3) " " 10 day
(L4) " " 5 day
If the Overlay IS bracketing:
'U ' is the upper limit
'UO' is the upper octant price; the number to the right is the $ gain for
a responsive short going from the octant to the center M
'UQ' is the upper quadrant price; the number to the right is the $ gain for
a responsive short going from the quadrant to the center M
'M ' is the bracket center
'LQ' is the lower quadrant price; the number to the right is the $ gain for
a responsive long going from the qudrant to the center M
'LO' is the lower octant price; the number to the right is the $ gain for
a responsive long going from the octant to the center M
'L ' is the lower limit
Below the U-UO-UQ-M-LQ-LO-L lines are the responsive trade gains (again) and
the $ risk of the responsive trades. The risk/reward ratio is 1 to 3
for the octant. The $ risk on the responsive trade is the same as the
$ risk for a breakout trade (octant is the stop).
Below is the $ gain and $ loss for the quadrant (The risk/reward ratio is 1 to 1.)
If the Overlay does NOT show bracketing:
The number of distributions is listed ('distr'; max 4 shown), with:
The Upper ('U') and Lower ('L') Prices for each distribution
(L5) Below the commercial analysis vertical dashed (if any) and 30 minute solid bars
(L5.1 )'VA U' is the Value Area high price for current and previous day*
(L5.2 )'VA C' is the Value Area center price for current and previous day (POC)*
(L5.3 )'VA L' is the Value Area low price for current and previous day*
(L5.4 )'VA R' is the Value Area range for current and previous day*
(L5.5 )'TPOT' is the # of TPO's total for current and previous day*
(L5.6 )'TPOA' is the # of TPO's above maximum TPO line for current/previous day*
(L5.7 )'TPOB' is the # of TPO's below maximum TPO line for current/previous day*
In a totally balanced market TPOA will equal TPOB
The TPO counts in a perfectly balanced market would be symmetrical, a perfect
bell shaped curve. There would be as many TPOs above the center as below.
If the market is just coming into balance the symmetry will not yet be there.
So long as the market stays in balance you would expect the TPO counts to
approach symmetry. If TPOA is greater than TPOB you would expect more trading
in the lower region to add TPOs.
For non-balanced markets, the TPO counts add little information.
(L5.8 )'Att Dir' is the attempted direction for current and previous day*
The possible values are: n for none, U for Up or D for Down. A rule of thumb for
Att Dir, after the close, measures F% (the close - POC distance) as a fraction of the day's
range. If F% is 20% or more above POC Att Dir = U, 20% below POC and Att Dir = D.
(L5.9 )'IB' is the high and low price of the Initial Balance for current day
The Initial Balance is the first two 30 minute trading periods
(L5.10)'IBR%C' is for the current trading day. It consists of:
'IBR' is the Initial Balance range
'%' is the Initial Balance range as a % of total range
'C' is Location of close relative to Initial Balance: ABV, BLO, INS
ABV when the close is above the Initial Balance
BLO when the close is below the Initial Balance
INS when the close is inside the Initial Balance
(L5.11)'RiQc' is todays Rotation Index/Quadrant of Close using last 4 and 8 days
For example: 0.67/1 .7/4 means Rotation Index for last 4 days is .67
Quadrant of Close for last 4 days is 1
Rotation Index for last 8 days is .7
Quadrant of Close for last 8 days is 4
(L5.12)'VADir' is the Value Area Direction for current day vs the previous day
The possible values are H, A, Z, L or n
'H '= higher
'A' = overlapping higher
'Z' = overlapping lower
'L' = lower
'n' = none (inside or outside)
Preferred direction is up if close above Overlay midpoint, down if below.
(L5.13)'ITDir' is the Internal Trend Direction based on RiQC for last 4 & 8 days.
The possible values are n for none, U for Up or D for Down
This is not in the text version of the TCP data- only on Visual Graphic
* The previous day data value is to the right of the '/'
Getting Visual Graphic Information from the Internet
1). Go to the CISCO home page http://www.cisco-futures.com
2). Go down to "CISCO Futures Data".
3). Click on "paid-for-or-trial-data".
4). Click on "get summary bracket screen for today".
or "get regular bracket screen for today".
Examine the screen for markets in balance (5 day, 10 day, etc.).
Note: The 5 day balance is required for a balanced market.
Select your list of trading candidates for this day.
5). Enter your username (e.g. 499mmm) and password (e.g. genie).
Select your first commodity from the "Select One Commodity" box.
Click on "Send".
Click on the "Select delivery" box for the delivery month.
Click on "Send".
Jot down your trading parameters in your trading journal.
Print the graphic you have chosen. You may want to make notes on it.
6). Go back to the page with your log-in information.
Select your next commodity from the "Select One Commodity" box.
Click on "Send".
Click on the "Select delivery" box for the delivery month.
Click on "Send".
Jot down your trading parameters in your trading journal.
Print the graphic you have chosen.
Go through the 6). process for all futures you selected.
7). When finished, exit.
CISCO Futures
1-303 306 1521 1-800 800 7227 Fax 1-303 306 1572
Internet http//www.cisco-futures.com