Welcome to the new Traders Laboratory! Please bear with us as we finish the migration over the next few days. If you find any issues, want to leave feedback, get in touch with us, or offer suggestions please post to the Support forum here.
Head2k
-
Content Count
315 -
Joined
-
Last visited
Everything posted by Head2k
-
Exactly. (The volume distribution function could be called Distribution of volume in sample of prices, to make it more obvious.)
-
For computation of mode, mean or median of the volume distribution function you need to keep an array with volume at each price. Such an array needs to have exactly that number of elements as how many different prices are there in evaluated period (in this case in one day). So if tick size is 0.25 and current daily range is 10 you need to maintain an array of 41 elements. You dont need to care about concrete trades. To calculate median of such an array you need to order its elements by size and find the middle one in this sequence. If there is an even number of them you can take any number between and including the middle two. Search Wikipedia for median.
-
Just to complete your post to BlowFish: If we are talking about median of the volume distribution function, you are not concerned about single trades, but about volume at each price. So you take that array that blowfish was talking about and order all its elements, i.e. volumes at each price.
-
Trading with Market Statistics. IV Standard Deviation
Head2k replied to jperl's topic in Market Profile
It is 10:38 am here and I am sober. Taking trades in direction of skew (at certain area) assumes that skewed distribution tends to apprach a symetric state. Now to quantifying a day. What VWAP and SD's do is not particulary quantifying a day, but rather presenting some structure to the daily data. I guess that if you want to trade you need to organize the data you trade so it shows some structure. You need to define a trend, where you are in that trend and what is potential support and resistance. There are more ways to do that. Drawing trend channels and S/R lines is a way. Plotting VWAP and SD's is another. Wathing the Volume Distribution tells you also something about the inner dynamics of that day. If nothing else, VWAP and its SD's can serve as an objective reference or confirmation of the daily trend and to where we are in that trend. My 0.02 -
Even if it wasnt roll-over period I would say No. Volume represents active effort to move price. Spread and close of a bar represents the result of this effort. Now if you have low volume but the spread is wide and close is near the top of the bar, what does it tell you? To me it says that with little effort buyers were able to push prices far high. That means they met only little resistance on the way up. Does this sound like weakness? To me it doesnt. If the spread was narrow and close lower it would mean that buyers showed little effort and there was little result. That could be a sign of weakness.
-
I came to conclusion that I cannot develop the proper mindset without consistently profitable strategy. I think that the proper strategy and proper mindset are closely bound together. The proper strategy is the one you develop yourself, specify it to the least point and thoroughly test it. With this procedure you build the proper mindset - the confidnce in the strategy, flexibilty, readiness, sense for nuances. I think that wrong mindset is often caused by laziness during building a strategy.
-
Trading with Market Statistics. IV Standard Deviation
Head2k replied to jperl's topic in Market Profile
Yes, my fault. You are correct. And I am glad I was able to offer you some new insight, though I probably dont understand its full meaning -
Trading with Market Statistics. IV Standard Deviation
Head2k replied to jperl's topic in Market Profile
IMO there is something. Using skew to detrmine direction of a trade you actually assume that the skewed distribution should converge to the normal one. I came to the same conclusion as Blowfish when I papertraded your system. IMHO skew alone is not a good way to determine direction. And I wasnt able to properly judge price action, so I left the paper trading and now I am studying price action. Yet I definitely wouldnt be as harsh as Darth, these threads learned me a lot of useful things and I appreciate the effort you put into them. But I came to a conclusion that the only system that really works for somebody is the system that the person develops on his/her own. But I believe that these threads can serve as a base for development of a system, better base than most. -
Trading with Market Statistics. IV Standard Deviation
Head2k replied to jperl's topic in Market Profile
I came to this suspicion too. -
Thank you for advices. I use AmiBroker and it has a poor T&S window. It is not configurable at all and it shows not only trades but also every new bid and offer. Way too fast then. I recently downloaded NinjaTrader so I use T&S from Ninja instead. Also I found T&S in IB TWS quite interesting. Since they aggregate ticks the T&S is in fact compressed and inaccurate but on the other side the aggregation acts like a moving average in some way. But I guess I will just stick with Ninja and IQfeed. For the last month I have been focusing on NQ when studying price action.I am at the beginning of this all, because I spent a few months hunting for indicators and different systems. I change the things I watch quite frequently, but right now it is T&S, a 3 tick bar chart with wolume (because I am not yet able to mentally project a chart from T&S, and to see the sequenced orders), a 1 minute bar chart with wolume for a bigger intraday picture and finally a 15 min chart for bigger picture of the last few days. Yesterday I experimantally added a 100V chart. I might add Nasdaq Tick as well, I already studied it a bit... I need to find what charts, intervals and internals provide (for me) the best representation of what is happening. I listened to Db's advice (from his book, I think), and I am not trying to trade, I just observe. Not frustrated at all (yet ), and not in a hurry.
-
I have been thinking of the same stuff for the last few days. I think I am slowly coming to some foggy conclusions. Picture schemes that Mr_Black posted in another threads helped me a lot, together with concept of locked-in traders and Db's book.
-
Damn, I didnt notice I made that "typo" 3 times :rofl:. Funny because in Czech there is exactly the same difference so I cannot blame my poor English skills either.
-
NYSE Up Volume($UVOL)/Down Volume ($DVOL) Comparison
Head2k replied to MC's topic in Market Internals
I use AmiBroker and it could be easily programed in it. A code three lines long. -
Look at contract specification. Search for point value and tick size (= minimum increment size) in points. Multiply these two numbers and that is what you want. But I believe they have $ value of tick written there, too.
-
It was a typo
-
Could you please advise some resources for this?
-
Maybe I wasnt clear enough. Of course in the climatic moment there is extreme demand. But supply is able to swamp it. THEN there is only little supply left to continue the upward movement or even to support the price, at least for some time.In real time you can watch the candle to form, so you have an idea of the dynamics of the movement. Of course that I dont know if this potentially climatic struggle is actually really climatic or only a pause (i.e. there is still more demand left) and I dont know if those who bought near the highs will panic and add to the downward momentum, or they decide to hold... But there is a chance. Yet I am a newbie and I am in the beginning of learning the market dynamics, so I have no doubt that you have a deeper insight. Maybe really all these rationalizations and stories of interpretation one tries to develop are really irrelevant and one should focus only at the facts (or effects). Still you need to interpret facts to be able to take some action...
-
Those buying and selling surges that cunparis was writing about. A selling surge might be called a potential buying climax. If you have an established uptrend which is speeding up, that means increasing inbalance between supply and demand. There is increasing number of people willing to participate in the up move or/and less people willing to sell (they hold). Volume represents both sides of trade - both buyers and sellers. If volume spikes up on a wide range up bar which closes well off the high it means that this buying frenzy encountered heavy supply. The problem is that there are only little potential buyers left, because almost all of them already bought. So there is very little support for the price. If the supply is big enough and timed well, it swamps the remaining demand and as price has only a little support it can plumet down quite fast. Or at least stop the up move and move sideways. Vice versa for selling climax.
-
I really liked one particular definition of who the "smart money" is. I believe I read it in Master the Markets. Smart money is that which stands on the right side of the price movement That is the only definition I am willing to accept. I think the whole concept of the smart money is built on human need to personify. In this case, personify an enemy or somebody worth following, respectively. It doesnt really matter who stands behind supply, demand and volume. But the concept of buying and selling climaxes is logical with or without smart money.
-
When watching T&S do you use any filters? Do you watch only trades of size greater than some threshold, all trades only, or everything including bids and offers?
-
Retracement vs. Reversal is a question of scale. In both cases price turns and travels in the oposite direction. But the diference is that reversal changes the main trend while tetracement only pauses it. Thus to answer the REV vs. RET question you need to ask yourself what is a (main) trend for you, what is needed to recognize the trend and what is needed to recognize its termination or change. You must form a definition. Then you must define potential S/R levels, because those are places where the trend could change with higher probability. So the conclusion is that you must think about it a lot a define what is (potential) REV or RET yourself, based on how you define a trend and S/R.
-
Not exactly what I was talking about but thanks anyway. I didnt post NYSE TICK chart but 1 tick chart where every point represents one tick in Nasdaq 100 index futures. The pattern shows some kind of big institutional order, automaticaly sequenced so the size is not obvious. And I was asking how to interpret this order. I noticed a lot of similar sequences, but I find very hard to understand them (perhaps thats their purpose ). So I hoped for somebody more experienced.
-
I am a newbie who just recently got out from the Holy Grail Quest phase and I decided to start tape reading. But instead of using T&S I decided to watch 1 tick chart with volume. I don't know if some of you actually do it too, but anyway, I have a question (I guess a noob one). Could anyone give me a hint what the attached pattern means? Apparently it is a big order split into several sequences. Each sequence is made of 8 steps. 9 contracts @ 1875.00 4 contracts @ 1875.00 2 contracts @ 1875.00 1 contract @ 1875.25 4 contracts @ 1875.25 2 contracts @ 1875.25 1 contract @ 1875.00 1 contract @ 1875.00 What is buying and what selling? What is the interpretation of such a pattern? And I am interested if anybody else reads the tape this way. And if there is someone out there, what patterns is he/she looking for.
-
No. I had actually the same thought some time ago I see one main reason: While you can more or less program some simple pattern recognition or calculation based indicators to form some setup, it is imposible to fully program the context of the setup and different posible scenarios once the trade is taken.
-
I am a simple guy and not educated in statistics and probability at all. But I guess that P© > P(D) because although the absolute price change is the same, in case C the price declines 33%, while in case D it needs to advance 100%.