SPY/PHI
Posted: Mon Mar 14, 2016 1:16 am
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Re: SPY/PHI
Posted: Tue Mar 15, 2016 10:26 pm
Hi All,
I got a request from one of our members to do a little explication re the charts here. The first chart shows SPY charted with monthly bars, the second with daily bars. The extensions are all 1.618, or Phi. In my practice, 1.6 makes more sense, but Phi is close enough for illustration and widely used, and besides it rhymes with SPY
. We know that fractal invariance shows up all the time in markets. My intent here was to suggest that the market has been using the Phi expansion fractal as a delineator of the larger moves. Of course we need to focus on the internals for confirmation. This does not always happen in S&P, but this market, since 2007, likes this fractal. Self-similar fractals to within certain symmetries moving from the large to the small always telescope larger moves. But that's a topic for another time!
Good trading to everyone,
ToddS.
I got a request from one of our members to do a little explication re the charts here. The first chart shows SPY charted with monthly bars, the second with daily bars. The extensions are all 1.618, or Phi. In my practice, 1.6 makes more sense, but Phi is close enough for illustration and widely used, and besides it rhymes with SPY
. We know that fractal invariance shows up all the time in markets. My intent here was to suggest that the market has been using the Phi expansion fractal as a delineator of the larger moves. Of course we need to focus on the internals for confirmation. This does not always happen in S&P, but this market, since 2007, likes this fractal. Self-similar fractals to within certain symmetries moving from the large to the small always telescope larger moves. But that's a topic for another time!Good trading to everyone,
ToddS.
Re: SPY/PHI
Posted: Thu Mar 17, 2016 3:18 pm
Hi Todd,
Nice charts.
Does 1.6/62.5 make more sense to you in SPY or they are more useful in general? I would have guessed that you would use certain ratios with certain markets as every market has a different blueprint. Please correct me If I am wrong.
I remember seeing Gann using 1/8 divisions as retracements somewhere. Your take reminded of me of that.
Good trading.
Baha
Nice charts.
Does 1.6/62.5 make more sense to you in SPY or they are more useful in general? I would have guessed that you would use certain ratios with certain markets as every market has a different blueprint. Please correct me If I am wrong.
I remember seeing Gann using 1/8 divisions as retracements somewhere. Your take reminded of me of that.
Good trading.
Baha
Re: SPY/PHI
Posted: Thu Mar 17, 2016 4:56 pm
Hi Todd,
A few years back I did a lot of work with self-similar fractal patterns. My guess is you have probably studied them also so are aware of the complexities of them but for those of you who have never looked at the subject let me tell you, “it ain’t easy!” My own theory is that they are born in low energy environments. Because of this low energy state they are subject to sharp, short, energy bursts that cause a sort of echo within the market that eventually dissipates over time.
Back in the day when I was working with these sorts of patterns one of the things I would try to do was match as many points to the pattern as I could. In the two charts below you see an example of what I mean. The first is a 16 minute chart of the YM on 031016 and the second a 4 minute chart from today … note the harmonic. I was actually looking at these two charts this morning however not in the context of a self-similar fractal. I was only looking at it as a pattern match and there is a huge difference in the two. Could they be self-similar fractals? Perhaps, there is certainly a solid foundation from which to start but more work would be needed before you could declare them as such.
Best,
Joe
A few years back I did a lot of work with self-similar fractal patterns. My guess is you have probably studied them also so are aware of the complexities of them but for those of you who have never looked at the subject let me tell you, “it ain’t easy!” My own theory is that they are born in low energy environments. Because of this low energy state they are subject to sharp, short, energy bursts that cause a sort of echo within the market that eventually dissipates over time.
Back in the day when I was working with these sorts of patterns one of the things I would try to do was match as many points to the pattern as I could. In the two charts below you see an example of what I mean. The first is a 16 minute chart of the YM on 031016 and the second a 4 minute chart from today … note the harmonic. I was actually looking at these two charts this morning however not in the context of a self-similar fractal. I was only looking at it as a pattern match and there is a huge difference in the two. Could they be self-similar fractals? Perhaps, there is certainly a solid foundation from which to start but more work would be needed before you could declare them as such.
Best,
Joe
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- SelfSim_2.png (29.98 KiB) Viewed 13092 times
Re: SPY/PHI
Posted: Fri Mar 18, 2016 1:23 am
Hi guys,
Baha -- I wouldn't say 1.6/1.625 are more useful in SPY than anywhere else. I think it's fair to say that all markets (or at least the ones I'm aware of!)have the same blueprint, but different characters. The numbers 1.6 and 1.625 are lower level Fib ratios (5/8, 13/8) and come from a harmonic rather than golden section model. I'm not a Gann scholar or decipherer, but will say that that is the basis of most of Gann's material. Although unattributed, he modeled his techniques on Pythagorean harmonic theory, which is actually pretty useful. The Gann fan, for instance, is directly derived from rays proceeding from the omega point through a lambdoma matrix, which will yield the tunings of the monochord. That's also where the division by eighths idea comes from.
Joe -- I guess I was being off the cuff with "self-similar fractals." Formally of course a real SSF is literally recursive all the way down, like the Julia set. What these resemble more are quasi self similarity or multi fractal scaling. To me, your two charts present the same profile, "to within" certain invariant measurements. They are tradeable in the same way, and articulate the change in state in the same way. It's remarkable how much our work when measuring price and time resembles the geometries of, I hate to say it, quantum physics, in establishing possible/probable states of say, a hydrogen nucleus within a symmetry group. But I agree with you, merely seeing two similar swings spaced apart like this doesn't provide much beyond a "gee whiz" factor. Now if the second was imbedded in the first, say in swing number 8, things would start to get interesting!
Happy trading,
Todd
Baha -- I wouldn't say 1.6/1.625 are more useful in SPY than anywhere else. I think it's fair to say that all markets (or at least the ones I'm aware of!)have the same blueprint, but different characters. The numbers 1.6 and 1.625 are lower level Fib ratios (5/8, 13/8) and come from a harmonic rather than golden section model. I'm not a Gann scholar or decipherer, but will say that that is the basis of most of Gann's material. Although unattributed, he modeled his techniques on Pythagorean harmonic theory, which is actually pretty useful. The Gann fan, for instance, is directly derived from rays proceeding from the omega point through a lambdoma matrix, which will yield the tunings of the monochord. That's also where the division by eighths idea comes from.
Joe -- I guess I was being off the cuff with "self-similar fractals." Formally of course a real SSF is literally recursive all the way down, like the Julia set. What these resemble more are quasi self similarity or multi fractal scaling. To me, your two charts present the same profile, "to within" certain invariant measurements. They are tradeable in the same way, and articulate the change in state in the same way. It's remarkable how much our work when measuring price and time resembles the geometries of, I hate to say it, quantum physics, in establishing possible/probable states of say, a hydrogen nucleus within a symmetry group. But I agree with you, merely seeing two similar swings spaced apart like this doesn't provide much beyond a "gee whiz" factor. Now if the second was imbedded in the first, say in swing number 8, things would start to get interesting!
Happy trading,
Todd
Re: SPY/PHI
Posted: Fri Mar 18, 2016 5:42 pm
Hi Todd,
Great reply. Thank you.
Looking forward to asking you more questions in future.
Baha
Great reply. Thank you.
Looking forward to asking you more questions in future.
Baha