Thread: ed-in Range Analysis (LRA)

Originally Posted by ;

quote Perhaps you have studied the method before making similar conclusions? LRA technique is fully explained in the book called ed-in Range Analysis: Why most traders must drop money in the futures market (Forex) by Tom Leksey. Capabilities of Market Makers To understand the capacities of market manufacturers, one should understand the restricted market thickness available to any participant: 1) Information featuring the nearest (best) placed 10 bid and 10 ask limit orders shows the price and number of contracts (Level 2). 2) Data containing each trade made shows...

No. You are not perfect. After the range breakout the locked-in range still has open positions and it isn't profitable for a market maker to reunite the price into LR, so that loss-making positions cannot close at break-even levels.

==gt; Traders on the incorrect side are secured in just up to their stop levels... then it is a new sport. There is absolutely no advantage in waiting to see what happens at the TPSL levels.
Overall, the egy includes merits, however, the execution is faulty.

First imbalance is essential.

Originally Posted by ;

quote No. You are not perfect. After the range breakout the locked-in range still has open positions and it isn't profitable for a market maker to return the price into LR, so that loss-making positions can't close at break-even levels. ==gt; Traders on the incorrect side are secured in just up to their stop levels... then it's a new sport. Therefore there's no advantage in waiting to find out what happens at the TPSL levels. All in all, the egy has merits, however, the execution is faulty. Initial imbalance is essential.

I have to admit that is sort of true, since market is several auctions, even if we move from one to another there's obviously quite modest space until we rich another auction/balance that for sure we don't know what will happen. And there's also that the Risk/Reward, in order to make profit in any market you want to buy market large. However, if we exchange following TPSL1 which is above the high of the market we now essentially trading like breakout trades and we buy large and we market low.

Originally Posted by ;

t8936

I am just skeptical about one thing. If we reach the TPSL1 with volume and what is as it must be using the LR principles, what's that, that informs me the price will last (so I can profit), I mean why some stops have been take we out others will continue that drive?

I think we need a couple real world examples to analyze together. On tuesday markets will start I will post some screenshots of how LR I find so we analyze them.

Happy new year to everyone!

Originally Posted by ;

quote I am only skeptical about a single thing. If we achieve the TPSL1 with quantity and everything is as it must be using the LR principles, what's that, that tells me that the price will last (so I can profit),

It's very straightforward and also follows from the logic of price changes in the futures markets, in which liquidity is provided by market makers

The logic means it's not profitable for a market maker to reunite the price into LR if there's remaining prevailing open positions until they be closed by stop-losses or current volume imbalance be altered into reverse.

Nothing tells you that the price will last, but you can make sure that the price will be found and gathered new open positions above support LR and below resistance LR. That is effect and the cause of price formation.

ed-in Range Analysis looks like below:

Instance: E-mini SP 500 Stage: December 2017

Example: E-mini NASDAQ 100 Phase: December 2017





So, we Utilize ed-in Range as support or resistance zone to Start new positions or to Shield our stop-losses

Why Can Price Change Occur?

Instead of creating liquidity, by definition of CME Group, a market maker earns the disperse, but making the bid-ask disperse is only possible using the exact same quantity of ask and bid trades at a steady price; the limit of the designated period of futures trading period increases the condition that half of the trades at ask/bid price should be the launching of new positions and the other half should be the final of the previously opened positions. Continuously providing liquidity, the market maker can't reach such a ratio. Therefore, market manufacturer climbs the principle of making the spread from a continuous price to a trading range, and directed by open positions, their potential take-profits and stop-losses, the market manufacturer accumulates open positions in precisely the exact same price range, and locks the prevailing open positions (by changing the price in the direction opposite to the range and quoting the price within market manufacturer' break-even zone) when there is an imbalance or loss of interest of market participants in current prices, hence insuring against losses in the event of simultaneous closure of open positions.

This principle of price change is the foundation for futures using a market maker. LRA allows to ascertain the locked-in ranges and the future price changes which are profitable and permissible for the market maker.

Originally Posted by ;

quote Traders on the wrong side are secured in only up to their stop levels... then it's a new game. Therefore there is no advantage in waiting to find out what happens at the TPSL levels.

ed in only up to their stop levels you are correct so we use this to determine the prevailing side of open positions, but not all of positions closes at TPSL 1 Levels, since the part can close later. And that is the reason why LRA has Amount of Imbalance.

Properties of this locked-in range depending on the degree of imbalance

Why Can Instruments Correlate?

Market correlation is a statistical measure that determines how assets proceed in relation to each other (positive correlation -- same direction; adverse correlation -- opposite direction).

Correlation is not permanent and is due to the fact that market participants make decisions on entering a separate trading instrument based on the value of many others (they buy index futures forecasting the growth of different indices; they also sell currency futures predicting the strengthening of the dollar against other currencies), or even open positions concurrently on many instruments in precisely the exact same direction.

2018-01-05 LRA of Canadian Dollar Futures (CAD/USD)

Preference:
Long positions above support LR 80035-0.79770 support LR 0.79285-0.79100 with TPSL 2 High as target.