Showing posts with label Algorithmic Pricing. Show all posts
Showing posts with label Algorithmic Pricing. Show all posts

Friday, July 12, 2024

ICT Macros & Quarterly Theory | Michael J. Huddleston & Daye

Algorithmic macros are timed directives for market maker price algorithms to seek and take out liquidity levels and imbalances in the market. Hence looking at a chart the first task is always to identify imbalances/inefficiencies, buy-side and sell-side liquidity levels. Look at previous day's highs and lows, session highs and lows, highs and lows in the last three days and the previous week. 
 
 
There are 8 macros during the trading day:
 
          #1  London Pre-Open Macro      02:33 - 03:00 EST/EDT
#2 London Open Macro               04:03 - 04:30
#3 New York AM Macro                 08:50 - 09:10
#4 London Close Macro               09:50 - 10:10
#5 London Fix Macro                    10:50 - 11:10
#6 New York AM Close Macro    11:50 - 12:10
#7 New York Lunch Macro          13:10 - 13:40
#8 New York PM Close Macro    15:15 - 15:45
 
ICT Killzones and Macros in the US Dollar Index 5 minute chart.
 
ICT Killzones and Macros in the S&P 500 E-mini Futures 5 minute chart.

Macros focus mainly on the first 20, 30, or 40 minutes of a trading hour (22.5 Minute Cycle). 
 
► There are no ICT macros during the Asian Session.  
► The macro between 9:50 and 10:10 is a time window where the market maker algorithm starts running for liquidity (look for ICT Silver Bullet setup).
► The period between 10:50 and 11:10 marks the end of the 3rd hour of the New York AM Session, and the first 90 minutes of floor trading (90 Minute Cycle). 
► The transition from the AM session to the lunch period leads either to consolidation, reversal or continuation (6 Hour AMDX/XAMD Cycle).
 
Divison of the trading day according to the Quarterly Theory:
6 Hour Sessions, 90 Minute Quarters & 22.5 Minute Micro Cycles/Quarters (EST/EDT).
 
6 Hour Sessions & 90 Minute Quarters in the S&P 500 E-mini Futures 15 minute chart.
 
90 minute Cycles & 22.5 Minute Micro Quarters in the S&P 500 E-mini Futures 1 minute chart.
 
Based on market structure and price action prior and during a macro, three categories can be classified:
 
(1.) Manipulation Macros sweep both buy-side and sell-side liquidity levels.
(2.) Expansion Macros sweep liquidity only on the buy-side OR the sell-side (trending price).
(3.) Accumulation Macros are characterized by ranging prices. 
 
Swing highs and lows of macro intervals can act as support and resistance.
 
Reference:
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Friday, May 10, 2024

ICT T.G.I.F. (Thank God It's Friday) Setup | Darya Filipenka

Algorithmic trading is a method of executing trades using pre-programmed instructions or algorithms that automatically trigger trades based on certain conditions. It's a fascinating approach that can help traders make more precise and efficient decisions. Now, let's focus on a specific algorithmic trading model called the TGIF (Thank God It's Friday) setup. This is a day-based algorithmic trading model that can be applied to all assets. As the name suggests, this model is designed to be used on Fridays. The TGIF setup focus is on a market pullback into the current weekly range. It is particularly effective when anchored against higher time frame analysis.

» In the last portion of Friday’s trading, if it hasn't occurred yet, you can expect some retracement of the weekly range. «

When using the TGIF setup it's crucial to approach from a top-down perspective. This means starting with higher time frame analysis, such as monthly or weekly charts, to get a broader view of the market's direction. In candlestick analysis, there is a concept called the ICT Power of 3. This refers to a specific pattern and distribution phase that can indicate a potential reversal or exhaustion in the market. By studying the one-month chart, you identify the weekly range and its key levels. You apply Fibonacci levels to pinpoint the sweet spot where the TGIF setup is likely to occur. You also conduct top-down analysis by examining higher time frame charts to get a broader view of the market's direction. Keep an eye out for the ICT Silver Bullet formation. 


To apply the TGIF setup, follow these steps:
  1. Start by analyzing the higher time frame charts, such as monthly or weekly charts, to get a broader view of the market's direction.
  2. Identify the Weekly Range Profile and its key levels, such as the High and the Low of the range.
  3. Use Fibonacci levels to pinpoint sweet spot where the TGIF setup is likely to occur.
  4. Look for the pullback into the weekly range.
  5. Pay attention to the ICT Power of 3 pattern in candlestick analysis, which can indicate potential reversals or exhaustion.
  6. Keep an eye out for the ICT Silver Bullet formation, a powerful pattern that provides valuable insights into market dynamics.
  7. Combine all these analysis techniques to make informed trading decisions using the TGIF setup.
 
 
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Wednesday, April 3, 2024

ICT NY Midnight Open and the Previous Day's High and Low | Darya Filipenka

This is how I incorporate the New York Midnight Open (NMO) level when I prepare my premarket plan. This also helps me to predict possible trend day. Previous highs and lows are important in trading as they can indicate potential market reversals or continuation of a trend. When the market has a predisposed bias or trend, you want to focus on the previous day's high or low. If the market reaches the previous day's high and you're bullish, you want to see if it creates an optimal trade entry. Many times, this formation forms throughout the week in various currencies and assets. There are instances where the market raids the previous day's highs for buy stops and previous day's lows for sell stops. Not every previous day's high or low is the same in terms of opportunity, but there's a criteria to look for when seeking liquidity resting above or below these levels. Understanding the conditions that lead to a raid on buy stops above the previous day's high or sell stops below the previous day's low can help you identify potential market reversals.
 
PDH = Previous Day's High
PDL = Previous Day's Low 
PDA = Premium and Discount Arrays as a guide to determine where to buy and sell
 
Quoted from:
 
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Wednesday, March 27, 2024

ICT Silver Bullet Strategy | Darya Filipenka

The ICT Silver Bullet Strategy is a time-based algorithmic trading model for all assets. For the 10 AM Silver Bullet strategy, focus on 10-11 AM, using fair value gaps and Fibonacci levels for entry/stop adjustments, aiming for a minimum 3R risk-reward, and exit by 11 AM to maximize profits and minimize risks. 
 

3:00 AM - 4:00 AM New York Time
  1. A Silver Bullet trade begins with a directional move either up or down.
  2. Fair Value Gap (FVG): After the directional move, a Fair Value Gap is left behind. This gap is an important indicator for the Silver Bullet trade.
  3. Market Structure Shift (MSS) after taking liquidity. A Market Structure Shift is a shift in direction of price delivery. When price is going in a direction and shifts to the exactly opposite. It occurs when price takes out previous short-term lows or highs within a trend. Identifying these shifts allows for an understanding on which side of the market to be trading with. A Market Structure Shift must be energetic and leave behind displacement to ensure that market is looking to reverse.
  4. Displacement is a location in price where someone with a lot of money comes into the marketplace with a strong conviction to move price higher or lower very quickly. Displacement is characterized by strong and quick price movement that leave behind Fair Value Gaps.
  5. Entering the Fair Value Gap: Once the Fair Value Gap is identified, we enter inside it. This means we take a position in the market.
  6. Target and Exit: I aim for Asian Session Liquidity Level or Higher Time Frame Premium/Discount levels.
10:00 AM - 11:00 AM New York Time
The first thing we think about is the previous New York PM session. If, within the first 30 minutes after the market opens, we're not close to the PM range, we focus on the London Session Raid. This refers to the time between 2:00 AM and 5:00 AM, which is shown on the ETH chart. During the first 30 minutes after the market opens at 9:30 AM, we check where we stand compared to the previous PM session or London session. The market might go up or down, or it might stay stable. Then we wait for the Displacement between 10:00 AM and 11:00 AM, which sets the stage for the Silver Bullet setup.
  1. Every day between 10 AM and 11 AM EST, identify an obvious pool of liquidity that has not been tapped into or engaged.
  2. Wait for displacement (use 1-3-5 minute charts) towards liquidity pool between that time. Find a Fair Value Gap (FVG) on the opposite of the targeted liquidity pool.
  3. Wait for price to trade back into the Fair Value Gap and then reprice out of the FVG towards the targeted pool of liquidity.
After identifying the Market Structure Shift (MSS), I recommend drawing an Optimal Trade Entry (OTE) retracement from the Swing Low (High) to the Swing High (Low). The optimal entry point for trades is typically at the 62% retracement level of that range. Once the trade is entered, the first target is typically set at the -27% extension level, and the second target is set at the -62% extension level.

2:00 PM - 3:00 PM New York Time
The first thing we focus on is the morning and lunch time trading sessions. Our goal is to identify the AM Session Buy Side and Sell Side Liquidity (BSL/SSL) or Lunch BSL/SSL once the PM Session starts (from 1:30 PM to 4:00 PM). This will serve as our reversal point during the afternoon Silver Bullet, where our target will be the opposite liquidity of the lunch/AM session. If it's Friday, our target can be 20-30% of the weekly range. This is known as the T.G.I.F. setup according to ICT.
  1. We wait for the Displacement between 2 PM and 3 PM EST, which sets the stage for the Silver Bullet setup.
  2. We look for a clear pool of untapped liquidity. It's recommended to pay attention to the liquidity levels during the AM and Lunch sessions.
  3. Find a Fair Value Gap.
  4. Wait for the price to trade back into the FVG and then move out of the FVG towards the targeted pool of liquidity.
Once again, we usually consider the AM Session BSL/SSL or NY Lunch BSL/SSL as our clear liquidity pool that has been taken. Then we wait for Market Structure Shift (MSS) and displacement.
 
Consider the 6 hour, the 90 minute, and the 22.5 minute cycles.
Expect highs and lows on the 1 minute chart around Micro-Quarter turns.

Reference: 

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Monday, March 18, 2024

ICT Algorithmic Price Delivery & Time Macros Intro | Darya Filipenka

Algorithmic macros are short lists of directives that trading algorithms follow to seek out liquidity and inefficiencies in the market. These macros are like a fishing rod, casting out into the market to identify and capture opportunities. These price action segments typically occur in 20 minute intervals. They involve a set of instructions that algorithms use to search for liquidity or market inefficiencies. They focus mainly on the first 20, 30, or 40 minutes of the trading hour, which starts at 9:30 EST/EDT.


The macro between 9:50 and 10:10 am is a time window where the algorithm starts its run for liquidity. One important aspect to note is the role of macros or specific time windows in the market. These macros provide us with valuable insights into when the market is likely to exhibit certain behaviors, such as running for liquidity or inefficiency.

The period between 10:50 am and 11:10 am marks the end of the 10:00 am to 11:00 em hour, which ls the first 90 minutes of trading. This transition from the morning session to the New York lunch period often leads to consolidation or a reversal in the market. Traders can anticipate this consolidation of reversal and adjust their trading strategies accordingly.

To effectively utilize algorithmic macros, traders need to analyze the daily chart and identify key levels (Order Block (OB), Breaker Block (BB), Fair Value Gap (FVG), etc.). In the given context, the ICT mentions a daily bullish order block. This order block consists of the high, the wick, and the opening of the daily propulsion block. Additionally, the ICT highlights the importance of fair value gaps within order blocks. These gaps represent areas of inefficiency or liquidity in the market.

In the world of trading. there are certain events that have a significant impact on market performance. One such event is the non-farm Payroll release. This event, which occurs on a monthly basic, provides crucial data on the number of jobs added or lost in the United States, excluding the farming industry. The non-farm payroll release is closely watched by traders and investors as it provides insights into the strength of the economy and can potentially move the markets. When the data is released, it often triggers orally or a decline in prices, depending on whether the numbers are better or worse than expected. During a non-farm payroll event, we can observe & specific pattern in price action. The market typically experiences sn initial rally, followed by s retracement or a drop to take out stops. This retracement is a strategic move to shake out traders who entered the market based on the initial rally. After the retracement, the market often resumes its upward trajectory.
 
Reference: 
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Saturday, March 2, 2024

ICT Seasonality | Michael J. Huddleston

 
 
We are in the quiet part of the year still.
Spring is coming to the markets very soon.

The year, if viewed as a single range ... we are in the Accumulation phase still.
Don't blow your equity before the salad days return.

January to April is the yearly Accumulation.
April to May is the Manipulation.
May to November is the Distribution.
December resets the yearly range.

Power of 3

Now go lose sleep over it in your charts.

You won't appreciate this until you pour
over all markets and asset classes and then your ass will hit the floor.
 
 Michael J. Huddleston
 
 Michael J. Huddleston (2017) - ICT Private Mentorship Core Content 
- Month 05 - Ideal Seasonal Tendencies. (video)
 
Time is more important than Price.

 
 
Accumulation - Manipulation - Distribution
 
 
There are two sets of instructions that the algorithm follows:  

AMD-X and X-AMD
 
A = Accumulation (required for a cycle to occur)
M = Manipulation
D = Distribution
X = Reversal or Continuation
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Thursday, January 18, 2024

Quarterly Theory - London and New York AM & PM Setups | Darya Filipenka

 
A 90 minute cycle either plays out as an AMD-X or as a X-AMD pattern:
A = Accumulation/Consolidation (required for a cycle to occur)
M = Manipulation/Expansion
D = Distribution/Expansion
X = Reversal or Continuation
 
Q1 dictates Q2, Q3 and Q4.
If Q1 accumulates (A), Q2 expands (M).
If Q2 accumulates (A), Q4 expands (D).
If Q1 expands, Q2 accumulates, Q3 expands and Q4 accumulates.
If Q2 expands, Q3 accumulates.
If Q2 expands, Q3 accumulates.
If Asia expands, skip London, trade NY and skip the PM session.
If Asia consolidates, trade London, skip NY, then trade the PM Session.
London is more prone to make the high/low of the day whenever Asia consolidates. 
Anticipate price to run the high if you are bearish or the low if you are bullish.
Tuesday is more prone to make the high/low of the week whenever Monday consolidates.
Best trading days will have consolidation during the Asian Session. 
 
Possible Quarterly Phase Transitions:
  • Accumulation → Expansion: The initial phase A often begins with Accumulation, where price movement remains within a narrow range. This will transition into an expansion phase M.
  • Expansion → Retracement or Reversal: Within the expansion phase, the market can either experience a retracement, where prices pull back temporarily before continuing in the same direction, or a reversal, where the trend changes direction entirely.
  • Retracement → Expansion or Reversal: A retracement, which involves a temporary pullback in prices, can be followed by either an expansion phase or a reversal, depending on how traders react to the retracement.
  • Reversal → Expansion or Retracement: Following a reversal, where the trend direction changes, the market can enter either an expansion phase or a retracement, as traders adapt to the new direction.
  • Expansion → Retracement → Another Leg Up/Down: After an expansion phase, a retracement may occur, followed by another price movement in the same direction, often resulting in another leg up or down in the overall trend.
  • Expansion → Reversal: In the expansion phase, a trend reversal can occur, leading to a shift in price direction.
 

Impossible Quarterly Phase Transitions:
  • Accumulation → Reversal: A direct transition from Accumulation to reversal is not likely, as Accumulation represents a phase of price stabilization, whereas reversal involves a significant change in trend direction.
  • Accumulation → Retracement: Similarly, a direct transition from Accumulation to retracement is unlikely, as Accumulation involves a range-bound price movement, while retracement implies a temporary pullback in an existing trend.
  • Accumulation → Expansion → Accumulation: After an expansion phase, transitioning directly back into another Accumulation is not a common occurrence. The expansion phase typically leads to further price movement or potential retracement/reversal.
  • Retracement → Reversal: Transitioning directly from a retracement to a reversal without an intermediate expansion phase is improbable, as retracement represents a temporary pause within a trend, whereas reversal involves a fundamental shift in trend direction.
 
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Monday, January 15, 2024

Quarterly Theory vs S&P 500 | Week January 15 - 19

Time-price relations are fractal and governed by algorithms. The trading week comprises four time quarters (Q1-Q4): Q1 is Monday, Q2 Tuesday, Q3 Wednesday and Q4 Thursday. Friday has a special function and is not part of this cycle. The market maker's time-price algorithm generates two Q1-Q4 patterns: AMD - X and X - AMD in which Q1-Q4 have the following functions: A   =  Accumulation phase; M  =  Manipulation phase; D  =  Distribution phase and X  =  Continuation or Reversal phase. In the weekly AMD - X pattern Q1 Monday is the Accumulation phase. Q2 Tuesday is the Manipulation phase and the first Q2 price is the weeks True Open. Q3 Wednesday has the 'distribution function' and produces the weeks largest directional move. Q3 is easiest and best to trade. X Thursday continues or reverses the Q3 trend. In the weekly X - AMD pattern Q1 Monday is the X day, Q2 accumulates, Q3 manipulates and Q4 Thursday produces the week's largest directional move; easiest and best to trade.    
 
S&P 500 (4 hour bars)
The Monthly Cycle is comprised of four quarters, one week each. 
Q1 is the first full week of the month, Q2 the second week, etc.
Week January 15 - 19 (Mon-Fri) =
 Q2 week with Accumulation function and AMD - X day pattern. 
 
 S&P 500 (30 minute bars)
 
Each trading day comprises four six hour quarters (EST/New York):
Q1 - 18:00 - 00:00 Asia Session
Q2 - 00:00 - 06:00 London Session (first Q2 price = True Open)
Q3 - 06:00 - 12:00 New York AM Session
Q4 - 12:00 - 18:00 New York PM Session
The algorithm generates two Q1-Q4 session patterns:
AMD - X and X - AMD

Each six hour session comprises four 90 minute quarters (EST/New York):
Q1 - 18:00 - 19:30
Q2 - 19:30 - 21:00 (first Q2 price = True Open)
Q3 - 21:00 - 22:30
Q4 - 22:30 - 00:00
The algorithm generates two Q1-Q4 90 minute patterns:
AMD - X and X - AMD

Each 90 minute cycle comprises four  22.5 minute micro-quarters (EST/New York):
Q1 - 18:00 - 18:22:30
Q2 - 18:22:30 - 18:45 (first Q2 price = True Open)
Q3 - 18:45 - 19:07:30
Q4 - 19:07:30 - 19:30 
The algorithm generates two Q1-Q4 22.5 minute patterns:
AMD - X and X - AM
 
Reference:
Daye (2023) - The Quarterly Theory.
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