davem1979

Looking back at it now, it could be interesting to run scans on stocks with this indicator intraday, combining this with other info, such as stocks that are at 10 day lows, but in an uptrend and near a good support zone correlating with a major moving average. Also, could be interesting to look at how the NYSE TICK is behaving around the spikes. For buy signals, you'd want the NYSE TICK to be showing a divergence, meaning the signal would be showing a less weak TICK than previously even though price moved lower or tested VWAP or previous lows or another type of support area.

Wouldn't recommend using the indicator, but the concepts the indicator are based on are worth looking at. I'd check out material about market profile, market delta, cumulative delta etc. and see if you can find a way to incorporate volume information into your trading. I'm not trading, but I always found the market internals, and volume based information much more helpful than tradional lagging price based indicators.

Hi Guys, I think a discussion on the Sigma Boundary would be better served by moving to the Market Statistics forum. I am going to start a new thread over there that starts with a discussion of the Sigma Boundary and the probability cone as published in this PDF: https://secure.barchart.com/crb/images/emini/CRB-EMini-sample.pdf I think any other discussions of the Sigma Bands for CQG should continue in this thread. Best, David

I watched a video of Dean Mouscher's I found online and he mentioned he spoke with Robert Whaley, the guy who developed the VIX for the CME in 1990, and he got an equation from him for calculating the Median Daily Range for the S&P 500 as implied by the VIX . That equation is: (% Implied Volatilty/SQRT 365)*(Stock Price)*2*.675 I am pretty sure the 2*.675 is the IQR which is explained here: Interquartile range - Wikipedia, the free encyclopedia Best, David

Here's another article I found that goes further in depth about how to calculate the daily range implied by volatility. http://www.ivolatility.com/news/Volatility_to_work.pdf Check out the formula on page 7 and page 8. Also, as most people seem to use 252 days, some also use 365 days, so it might be worth experimenting a little a see what makes sense to use. The same goes for plotting the standard deviation around the closing price or the opening price and seeing which seems more accurate. Best, David

Recently I have been looking into this and I found some links online that explain more about what the Sigma Boundary is: https://secure.barchart.com/crb/images/emini/CRB-EMini-sample.pdf http://bcs.barchart.com/pdf/MFG_OptionsResearch2.pdf http://www.oir.com/sample/FX-VL-CH.PDF ----------- I started thinking about using different calculations to find "statistical extremes" from Brett Steenbarger. He says that he uses volatility adjusted pivots. Maybe he uses ATR, or maybe even something similar to the Sigma Boundary using Implied Volatility in his pivot calculations. http://traderfeed.blogspot.com/2009/08/volatility-adjusted-price-targets-for.html ---------- For the Sigma Bands, my initial thought was to plot these bands around either the typical price, the close, the open of the new day, or even the prior days VWAP http://www.precisioncapmgt.com/2009/09/30/using-prior-days-closing-vwap-as-supportresistance/ I think the original intention of the Sigma bands is to just look at closing prices, so they say that 68% of the time the next days price will close within the 1st Standard deviation, and 95% of the time, the next days price will close within the 2nd Standard deviation etc. I think it will be very interesting to look at the Sigma Boundary vs. using an ATR to define "statistical extremes". I like the idea of the Sigma Boundary because it seems to me like it's a "market internal" since options traders are always in tune with Implied Volatility, since it is used for the pricing of options. I could see using the Sigma Boundaries similar to the 10 day ATR, when given the market structure, internals, volume, one can look to fade them or look for breakouts. Thoughts? All the Best, David

Hi Guys, 1. I believe this video from Market Delta encompasses the idea behind this thread. [ame=http://www.youtube.com/watch?v=8C1pH50FhGw]YouTube - Using the Cumulative Delta in MarketDelta[/ame] 2. Here is a thread on Cumulative Delta and splitting out large and small lot traders that I thought would contribute nicely to this thread. Read Bolter's 4th post down on the page: Forums - Market Delta by bolter 3. Here is a MACD constructed on Market Delta----Read the 5th and 6th posts down by Bolter: Forums - Market Delta by bolter 4. Here is the post from Bolter on filtering the MACD based on delta for large lot traders: Forums - Market Delta by bolter 5. Sentiment I feel is incredibly important and one can track the NYSE TICK, and get a good proxy of the overall market for the day---this I think is important for a market like the ES---Brett Steenbarger has many posts about it in his blog: Here are a few: TraderFeed: Trading With the NYSE TICK TraderFeed: Trading With the NYSE TICK - Part Two TraderFeed: Trading With the NYSE TICK - Part Three TraderFeed: NYSE TICK: Using Sentiment to Trade Trend Days TraderFeed: Identifying the Trend of Market Sentiment With the NYSE TICK: A Best Practice in Trading And, as well I found a neat creative use of NYSE TICK with market profile overlayed on it posted here---just click on the pictures in the first few posts: Forums - Trading with Market Profile 6. EOT Pro has one another video on a special indicator that combines the volume of the NQ, Russel, YM, and ES together combined into one indicator---Since this thread is about splitting up volume, I thought this video might contribute nicely: [ame=http://www.youtube.com/watch?v=ZzSDyRk3HpE]YouTube - Shelly volume 4[/ame] 7. Lastly one can use moving averages of cumulative delta that may help smooth the data, and you can even use a fast and a slower one to show potential turning points. Hope this helps, Best, David

I have been studying volume as an indicator of price movement and although I am not trading live, I see many potential patterns of price and volume and market delta possible to create trading setups. These are my observations... 1. High Volume climaxes at support or resistance many times can create price rejection, shown through hammers, or inverted hammers, or narrow range bars. This can be an indication of possibly more strength or weakness coming into the market. 2. When price returns to a previous High Volume area at a prior High or Low, and there is low volume, maybe the delta is becoming less positive, fading these extremes based on the volume/delta information seems like one is using a more complete understanding of the market to make those kinds of trades. 3. When a market makes a new low and the next few bars close above that low, many times you see a candle with low or high volume test the lows again and close near its' highs. A high volume test and a positive delta volume could be used to confirm a further up move. A low volume test could also mean that sellers are not hitting bids, but this is also at times an indication to traders that if lows are tested and nobody is hitting the bid, then buyers don't have to worry so much about pushing through a heavy supply essentially making it easier for them to take prices higher. 4. Delta Divergence (which is outlined on Market Delta website) = Higher Highs or Lower Lows made on a delta which is less than the previous bars. For instance, let's say that price reaches a prior resistance level, and the delta is becoming less and less positive, and turning negative at resistance, meaning more and more people are selling, and less buyers are aggressively lifting the offer, this could be an indication that the market is not interesting in trading above resistance and that the market will return lower. 5. Looking at trading ranges---pretend we're in an uptrend, and the ES dropped in the morning, from 912 to 900 and a now it's a few hours later and there's a 4 point range developing between 904 and 908. Why not look at volume as it is traded near 904 vs. 908, and if we see more volume and positive delta around 904's vs. 908's and that at the 908's the delta is not strongly negative, we could form an opinion that the buyers are supporting the market, but aren't yet ready to take price higher, and buyers can either hold on to longs, or try to enter on a failed selling test of the 904's.... 6. if you just look at a volume at price chart, without looking at the volume of each bar, you can get good ideas of where the market is finding value, and where trades make sense to be entered--- -------- On another note, for those who enjoy learning about volume and market internals, and market psychology, a trader and psychologist named Brett Steenbarger has a blog here TraderFeed And correct me if I am wrong, but he uses volume, volume at price, VWAP, as well as the market internals such as NYSE TICK, to form not only an opinion of what the market is attempting to do, but to create his trade setups. ------------ To me, undertanding volume and how price is being affected by it seems like one of the best tools for gaining an edge and understanding why the market is doing what it's doing. Best, David

Regarding MT4---I am not aware that volume information reported in MT4 is truly accurate or valid. I know for currencies that the volume in MT4 is only the volume reported by each individual broker, thus it is not really an accurate representation of what is really happening. There are many forum posts that talk about this issue of forex and volume... Since this indicator needs an accurate volume picture, I'm not sure that porting this to MT4 is the best idea unless you know that the volume in the MT4 feed is truly accurate... Best, David

Thanks Daedalus, Zdo and Cooper59 for your continued interest in this indicator... Zdo---you brought up some good questions. My answers are below your questions. 1. "Why is this testing last bar instead of current bar for the volume condition?" I originally was just looking at the bar with the High Volume then checking to see if the bar after the high volume showed a price reversal. I think we could add another condition that would reduce the amount of signals by qualifying the type of volume needed in the current bar. Also, this indicator is testing the bar one bar ago because it needs the current bar to show a price reversal. If the price reversal doesn't come, then the indicator won't give a signal. Hopefully this answers what you are asking. 2. What is the purpose of absvalue(O-C)<(H-L) ? o and c not at h and l's ?? (sevensa asked the same thing a few posts back) Thanks." Your point is valid and your logic better than mine---I just wanted to make sure that the close was not on the low---it should just say Close does not equal Low...Much simpler---We could go further depending on what time frame you are using to trade, for instance on a 1 min chart---Close does not equal Low may be sufficient as the range of the bars are generally small, but on larger time frames, we could stipulate where the close must be in relationship to the low etc... Lastly, maybe someone could code in for Ninja Trader and Tradestation the option to use High Volume based on something like 1.5x or some user defined multiplier of the average X bars of volume... Best, David

Hi Guys, I ended up getting three 24 inch HP LP2475W monitors. I chose them for the high quality H-IPS screen which is known for it's good viewing angles, a great base which allows for easy pivoting, and they are great for editing photos as well. Very happy with them. I found a deal here in Spain from http://www.misco.es and they were only 430 euros each. Compared to 30 inch monitors, they cost about 1/3 the price of the 30 inch Dell monitors in Spain. When I start making big bucks trading, maybe I'll find the need to upgrade, but for now, I'm happy. By the way, HP service is great. One of the stands on one of the monitors was not holding it perfectly horizontal. I called HP up at 4pm on Wednesday, and at 2pm the next afternoon, I had the brand new stand, and they took care of all the shipping costs. Top rate service... Happy Trading!

Hi Hunter1, Thanks for the recommendation. So for trading, I guess having that 1920x1200 resolution is really nice... Is the reason you like the 24" monitors because you can see more of the chart in one view, rather than zooming or scrolling around the chart as much? I'm still thinking about getting those 1600x1200 LG's, but maybe I'll check around now and see if there are some deals on 24" screens---the other thing is that the LG's are so much cheaper than a high quality 24" that I could just buy more 20's over time if I need them.... Thanks Again, David

Hi Folks, I am looking to create an LCD monitor array, and would love some opinions as to what your favorite setup is. At the moment I found a great deal on some 20" LG L2000CP LCD's with a resolution of 1600x1200. Since I would like to buy good quality panels as I also do photographic editing, these seem to be the best choice here in Spain as I can get them for 280 Euros each. I was thinking of getting three of them. My question is for those who have used both 24" and 20" monitors. Will I be happy with this array to start out with, or should I consider getting 24" monitors that have a resolution of 1920x1200 which would allow more bars on the screen looking left to right, and for the market profiles? Getting high quality 24" screens will cost quite a bit more as well, and I'm not sure it's worth it... At first sight the 24" panels seemed a bit big to put 3 across a desk, but am curious if anyone has a recommendation about this. I have a feeling I'll be able to more easily monitor things happening on the 20" screens which will take up less space and not be so wide. Any help would be appreciated! Thanks, David PS. I mostly focus on scalping the Euro Bund with charts open of the DAX, DJ EuroStoxx, Schatz, S&P, Market Profile, etc...and currently I'm just using a laptop. I'll be relegating the laptop to extraneous tasks and will be getting another PC for the monitor array.

Thanks Midnight! I agree, your method of determining High Volume makes sense. I noticed in the VSA text file on Squat Bars listed in the No Demand/No Supply Indicator that they normalize volume using a 30 MA and put 1,2,3, and 4 Standard deviations around the MA to determine when there is high volume. Are you using this type of indicator for auto-trading or as a discretionary tool? Regards, David

Thanks Blu-Ray and Spyro! I am looking for some possible uses of this indicator now. So far, it has taught me quite a bit about price action and volumes affect on price, like I have learned from the VSA threads. However, at the moment, this indicator although at times it gives very precise signals, it also gives very imprecise signals. I am assuming there is some use for an indicator like this one in potential auto-trading systems, however one would need to somehow indicate support and resistance levels or give some sort of context for it to operate on, such as swing highs and lows. So far, I just take notice of high volume when it enters the market, but the context around the volume is the most important thing. So, as for using this indicator other than a learning tool, I don't really see it being useful in discretionary trading as you can pick out the volume spikes visually on the chart on your own, without another indicator clouding your view. For discretionary trading, I think this indicator lacks usefulness, as I would much rather just see Price, S/R, Bid/Ask Volume, and Delta and make the direction judgments myself. But, I now see how people are starting to use combinations of volume and price action to develop auto-trading systems, because systems can react much faster to Volume and Price than to moving averages or other lagging indicators. If any of you have some ideas that you'd like to share about the usefulness or ability of this indicator to be developed further, I would love to hear from you. Regards, David

Thank you JustLurkin! Nice Work! I will load up the indicator and see if I can come up with some other conditions regarding delta or bid/ask volume that may improve its effectiveness. Please feel free to experiment. I'd love to know if you find some other conditions or have some ideas that may improve it. Regards, David PS. Regarding your comment on entering on breakouts from pullbacks, one setup I personally am looking for is declining volume on the pullback and for the pullback to be into prices that previously had higher volume. Think, low volume coming back to a high volume area. As well, if I am looking to go short on a pullback, I look at the Bid/Ask volume, and determine if the pullback is seeing more volume at the bid, or declining ask volume and for price to basically stop at a previous high volume area. For me, I like to enter on the pullbacks, and not wait for price to breakout. I think it really all depends on the context and what the current s/r and high and low volume areas are telling you. I am learning to trade the Euro Bund now, and with that I also look what's happening on the DAX, DJ EuroStoxx50 and Schatz as well. Generally, when equities are at important s/r levels, this may at times, act as confirmation to a trade in the opposite direction on the BUND....

High Volume Spike Reversal Indicator Development: Dear Trader's Lab Coders, My Idea for this indicator began when I started noticing that when significant volume enters the market, many times this occurs at or near market turning points. In order to more easily see volume's impact on price, I set out to start developing an indicator that would show greater volume than previous bars and confirmation of a pause and potential reversal by using a price pattern that would show potential weakness when the Volume Spike is at highs and strength when the Volume Spike is at lows. I'm not trying to design this indicator to be traded solely on it's own without regard to trend, S/R, High and Low Volume areas, but it does many times pinpoint the start of the reversal. As well, I believe that by adding a few other conditions to this indicator that would take into account other volume indications based on Bid/Ask volume, such as the Delta (Buy Volume - Sell Volume) it would be possible to get some very nice trade setups that would work in conjunction with our own understanding of volume's affect on price. The Parts of the Indicator: Firstly, I am trying to determine what should signify high volume. I believe that volume is relative, and therefore some days 10,000 contracts in 5 minutes is a lot, and other days 20,000 contracts in 5 minutes is a lot. So, as of now I came up with the condition that if Volume is greater than the previous 6 bars, this should signify great volume. One can use whatever number they like, if one looks back 10 bars, you'll get fewer the signals, and if you look back only 2 bars, you'll get many more signals. 1. My first question to you is: How would you determine that a High Volume Spike is with "High Volume"? Do you have a method that would improve my very basic definition of High Volume that would weed out the high volume bars more reliably? Secondly, I am trying to show a price pattern that shows rejection of the prices in the direction of the High Volume Spike. For Instance: For a "buy signal", I'm looking for price on the bar after the High Volume Spike to close at or above the close of the High Volume Spike bar. As well, I am looking for a close on the bar after the High Volume Spike that is higher or equal to the open, and for the bar to close off of the lows. I basically ensure closing off the lows by this function (Close-Open)<(High-Low). Here's the indicator as I have it now. I programmed it for Pro Real Time Charts, but am currently using a Ninja Trader Demo and have no idea how to program in C#. If any of you are interested in helping out, I am sure that everyone would really benefit as well... Here's what I have so far: -------------------------------------------------------- HIGH VOLUME SPIKE LONG SIGNAL VolSpike=Low<=Low[1] AND Low<=Low[2] AND Close>=Close[1] AND Close>=Open AND (Close-Open)<(High-Low) AND Volume[1]>Volume[2] AND Volume[1]>Volume[3] AND Volume[1]>Volume[4] AND Volume[1]>Volume[5] AND Volume[1]>Volume[6] VolSpike2=Low>=Low[1] AND Low<=Low[2] AND Close>=Close[1] AND Close>=Open AND (Close-Open)<(High-Low) AND Volume[1]>Volume[2] AND Volume[1]>Volume[3] AND Volume[1]>Volume[4] AND Volume[1]>Volume[5] AND Volume[1]>Volume[6] IF VolSpike OR VolSpike2 THEN structure=1 ELSE structure=0 ENDIF RETURN structure AS "VolSpike" HIGH VOLUME SPIKE SHORT SIGNAL VolSpike=High>=High[1] AND High>=High[2] AND Close<=Close[1] AND Close<=Open AND (Open-Close)<(High-Low) AND Volume[1]>Volume[2] AND Volume[1]>Volume[3] AND Volume[1]>Volume[4] AND Volume[1]>Volume[5] AND Volume[1]>Volume[6] VolSpike2=High<=High[1] AND High>=High[2] AND Close<=Close[1] AND Close<=Open AND (Open-Close)<(High-Low) AND Volume[1]>Volume[2] AND Volume[1]>Volume[3] AND Volume[1]>Volume[4] AND Volume[1]>Volume[5] AND Volume[1]>Volume[6] IF VolSpike OR VolSpike2 THEN structure=1 ELSE structure=0 ENDIF RETURN structure AS "VolSpike" --------------------------------------------------------- Lastly, I believe this indicator can be improved by including conditions that would show either Delta Divergence, or Delta shift from negative to positive for instance, for Long Trades. If we are looking for Long Signals, Delta Divergence could be added by requiring the Delta to be increasing positively into the signal bar, or a Delta shift would be for the Delta to go from negative to positive in the signal bar. If any of you are interested in improving this indicator for Ninja Trader or any trading platform, and sharing, I would greatly appreciate it.... Regards, David

Dear Trader's lab folks, After reading many of the great threads here such as the ones on Volume Spread Analysis, Market Profile, and Jerry's threads on Market Statistics, I started thinking more about volume's impact on price, and I began noticing that when significant volume enters the market, many times this occurs at or near market turning points. In order to more easily see volume's impact on price, I set out to start developing an indicator that would show greater volume than previous bars and confirmation of a pause and potential reversal by using a price pattern that would show potential weakness when the Volume Spike is at highs and strength when the Volume Spike is at lows. I'm not trying to design this indicator to be traded solely on it's own without regard to trend, S/R, High and Low Volume areas, but it does many times pinpoint the start of the reversal. As well, I believe that by adding a few other conditions to this indicator that would take into account other volume indications based on Bid/Ask volume, such as the Delta (Buy Volume - Sell Volume) it would be possible to get some very nice trade setups that would work in conjunction with our own understanding of volume's affect on price. The Parts of the Indicator: Firstly, I am trying to determine what should signify high volume. I believe that volume is relative, and therefore some days 10,000 contracts in 5 minutes is a lot, and other days 20,000 contracts in 5 minutes is a lot. So, as of now I came up with the condition that if Volume is greater than the previous 6 bars, this should signify great volume. You can use whatever number you like, if you look back 10 bars, you'll get fewer signals, and if you look back only 2 bars, you'll get many more signals. 1. My first question to you is: How would you determine that a High Volume Spike is with "High Volume"? Do you have a method that would improve my very basic definition of High Volume that would weed out the high volume bars more reliably? Secondly, I am trying to show a price pattern that shows rejection of the prices in the direction of the High Volume Spike. For Instance: For a "buy signal", I'm looking for price on the bar after the High Volume Spike to close at or above the close of the High Volume Spike bar. As well, I am looking for a close on the bar after the High Volume Spike that is higher or equal to the open, and for the bar to close off of the lows. I basically ensure closing off the lows by this function (Close-Open)<(High-Low). Here's the indicator as I have it now. I programmed it for Pro Real Time Charts, but am currently using a Ninja Trader Demo and have no idea how to program in Ninja Trader. Soon I will be using Investor RT or Market Delta which will make it easier for me to program. If any of you are interested in helping out programming for any charting package, it would be great, as well I am sure the Ninja Trader community would really benefit as well... Here's what I have so far: -------------------------------------------------------- HIGH VOLUME SPIKE LONG SIGNAL VolSpike=Low<=Low[1] AND Low<=Low[2] AND Close>=Close[1] AND Close>=Open AND (Close-Open)<(High-Low) AND Volume[1]>Volume[2] AND Volume[1]>Volume[3] AND Volume[1]>Volume[4] AND Volume[1]>Volume[5] AND Volume[1]>Volume[6] VolSpike2=Low>=Low[1] AND Low<=Low[2] AND Close>=Close[1] AND Close>=Open AND (Close-Open)<(High-Low) AND Volume[1]>Volume[2] AND Volume[1]>Volume[3] AND Volume[1]>Volume[4] AND Volume[1]>Volume[5] AND Volume[1]>Volume[6] IF VolSpike OR VolSpike2 THEN structure=1 ELSE structure=0 ENDIF RETURN structure AS "VolSpike" HIGH VOLUME SPIKE SHORT SIGNAL VolSpike=High>=High[1] AND High>=High[2] AND Close<=Close[1] AND Close<=Open AND (Open-Close)<(High-Low) AND Volume[1]>Volume[2] AND Volume[1]>Volume[3] AND Volume[1]>Volume[4] AND Volume[1]>Volume[5] AND Volume[1]>Volume[6] VolSpike2=High<=High[1] AND High>=High[2] AND Close<=Close[1] AND Close<=Open AND (Open-Close)<(High-Low) AND Volume[1]>Volume[2] AND Volume[1]>Volume[3] AND Volume[1]>Volume[4] AND Volume[1]>Volume[5] AND Volume[1]>Volume[6] IF VolSpike OR VolSpike2 THEN structure=1 ELSE structure=0 ENDIF RETURN structure AS "VolSpike" --------------------------------------------------------- Lastly, I believe this indicator can be improved by including conditions that would show either Delta Divergence, or Delta shift from negative to positive for instance, for Long Trades. If we are looking for Long Signals, Delta Divergence could be added by requiring the Delta to be increasing positively into the signal bar, or a Delta shift would be for the Delta to go from negative to positive in the signal bar. If any of you are interested in improving this indicator for any charting package, and sharing, I would greatly appreciate it.... Regards, David