carltonp

Hello Traders, I've been doing a fair amount of research on Wilders DMI / ADX Indicator and I'm thinking of programming Excel to provide signals as described by the Indicator. My goal is to compile a program that will tell me when the majority of the stocks which comprise the DJIA have crossed over. By crossover I mean when the +DMI line has crossed over the -DMI line and the ADX is above say 40. The following is a brief description of the indicator General Overview of the Directional Movement (ADX / DMI) Tool The ADX-DMI combines three indicators that describe the relative strength of trends, as well as provide exit signals for exhausted patterns. Like stochastics, it is used in both entry and crossover exit trading strategies. The three components of the ADX/DMI include: The red ADX line, which indicates the trend of the market. ADX assumes trading significance once it gets over 40. The +DMI measures the strength of upside pressure. The -DMI measures the strength of downward pressure. Note that the Step Parameter may also be varied; the eSignal default of 14 is preferred. You may experiment with this value for curve-fitting purposes, much like the MA Step Parameter. A basic +DMI / -DMI buy signal occurs when the (green) +DMI line crosses up over the (blue) -DMI line. A basic +DMI / -DMI sell signal occurs when the (blue) -DMI line crosses down over the (green) +DMI line. In addition, the ADX is used to measure the relative strength of the current trend, known as the directional change. When the ADX is rising over 40, the issue is in a strong trend; when it is in the 10 - 30 range, the trend is weak. The aim here is to use the signals from the stocks to enter into a trade on YM. For example, let's say 24 of the 30 stocks have crossed over for the individual stocks and the ADX is above 40 for the individual stocks thereby indicating that at that moment in time we are in an very good trending environment. I will use that indication to gauge whether I should go long/short on YM. I intend to use to system to trade intraday. Before I go full steam ahead with programming Excel I would very much appreciate your comments on: A. Do you think it's better to use the indicator solely on YM and forget about combining it with the rest of the stocks on the DJIA? B. The advantages/disadvantages in using the underlying stocks in this way? As always, really appreciate your comments. Cheers Carlton

Hi traders I love this forum but it's not the best for searching for posts on particular topics of interest. I tried doing a advanced search on DMI and Directional Movement Index, however the search brings up everything imaginable. Therefore,I was wondering if someone could point me to threads on Wilders DMI, Directional Movement Index? Cheers Carlton

Thanks all for responding, I will answer you questions when I get back to my desk. In the meantime, I welcome more suggestions/comments. One thing I would love to hear your comments on is if you guys thinks its a good strategy to use the underlying stocks of the DJIA to trade YM? The comments from this forum are really insightful. Cheers Carlotn

Hello Traders, Would some of you experienced traders please provide comments on my bid ask strategy that I have compiled using Excel. Let me give you a brief explanation. The strategies goal is to help me determine who the major players are at any given moment by looking at the bid/ask price and bid/ask size for the stocks of the DJIA. The following caption was taken from http://www.tradetrek.com Bid/ask prices are always posted with corresponding bid and ask sizes, which serve as measures of the strength and depth of the bid/ask prices. They tell us about the supply/demand pressures on a stock at a given moment. We can summarize important Bid/Ask size concerns as follows: A large bid size indicates a strong demand for the stock. A large ask size shows that there’s a large supply of the stock. If the bid size is significantly larger than the ask size, then the demand for the stock is larger than the supply of the stock; therefore, the stock price is likely to go up. If the ask size is significantly larger than the bid size, then the supply of the stock is larger than the demand for the stock; therefore, the stock price is likely to drop. Because bid/ask prices and sizes change quickly in real-time, supply and demand also change quickly in real-time. Experienced traders always pay very close attention to the bid/ask sizes of a stock to monitor the supply-demand dynamic. Short-term traders usually buy a stock only when the demand is higher and sell a stock if demand suddenly becomes lower relative to supply. With that said I have compiled a spreadsheet which does the following for each stock and makes a tally of the numbers. The formula is as follows: If bid prices for the majority of the stocks of the DJIA are greater than ask price and bid size is greater than ask size and the current prices are greater than previous prices for the majority of the stocks then the underlying sentiment is bullish. For bearish sentiment the formula is as follows: If the ask price for the majority of stocks of the DJIA are greater than the bid price and ask size is greater than the bid size and the current price is less than the previous price then the general sentiment is bearish. The overall aim is to assess the bid/ask prices/sizes of the stocks of the DJIA to trade the mini-dow. So if I see large bidding in for the 30 stocks I will go long YM (mini-dow). But there is one thing I haven't included in the formula which is volume. Can someone please first comment on the strategy, secondly let me know if I should take volume into account (I think not because I'm already looking at bid / ask sizes, but would like you're suggestions. Cheers Carlton P.S. Sorry for the bad grammar.

Hello traders, Can someone please tell me how does one go about creating an index? For example, if I followed 10 of my favourite stocks, how would I go about creating an index of those stocks? Cheers Carlton

Ahhhhh, Tams, are you saying that because most data providers aggregate trade volume and this indicator relies on Tick information the results won't be reliable? BTW, I use Interactive Brokers as both data provider and broker, and I know they aggregate their data.

Tams, Thanks for replying. Can you explain what you mean. The inventor of the indicator is Steve B Achelis. However, he doesn't give a very good explanation of the indicator in his books.

Hello Traders, I have commissioned a developer to compile an indicator called the Trade Volume Index. However, in order to use it I need to fully appreciate all aspects of the indicator. The most important aspect of the indicator is the Minimum Tick Value, MTV. I've read a lot about it but I just can't grasp the concept. So I thought if I pasted a brief explanation of the indicator with a few people would provide comments on what the MTV is in plain English and may be the penny will drop. So the following is a brief explanation. I look forward to hearing your explanations on the MTV. The trade volume index is a trader’s crystal ball. It has a predictive power when assessing a stock, especially on flat liners. Say, you want to purchase a stock on a break of a certain amount, but it has been idle for about 1-½ hours to 3 hours, you might want to think twice on making a call. The market being dull for hours before the breakout is a bad omen. But if you notice that the trade volume index ballooned after the 2 hour period, it could be an indication that the traders are accruing the stock at the ask price. Therefore, this momentum increases the likelihood that the stock will move when it clears the resistance. Know the direction of accumulation and distribution. First of all, you must be familiar yourself with the term, minimum tick value. The minimum tick value is a specified amount that is used to compare the rate of change, indicating whether the stock is in an accumulate or distribute pattern. The change is the price less the extreme price since the time the direction was last changed. If the change is more than the minimum tick value, then the direction indicates accumulate. If the change is less than the minimum tick value, then the indication is to distribute. If the change is less than or equal to the minimum tick value, then the direction will still be the last direction, accumulate or distribute. Learn to calculate the trade volume index. This will be very simple once direction is known. If the direction is to accumulate, then the trade volume index is the sum of the previous trade volume index and the volume. Otherwise, if the direction is to distribute, then the trade volume index should be the previous trade volume index minus the volume. In particular, can someone please explain the following: The Minimum Tick Value controls when volume switches from the buy side to the sell side. If the absolute value of the uptick or downtick is less than the Minimum Tick Value, MetaStock Pro will continue to assign the volume to the current side (i.e., buy or sell side). If the absolute value is greater than the Minimum Tick Value and the price changes direction, MetaStock Pro will switch and begin assigning volume to the opposite side. Although the TVI will plot on any chart, it was originally designed to analyze intraday tick charts. Therefore, you may want to use On Balance Volume for non-tick charts (i.e., 5-minute, hourly, daily, weekly, monthly). I understand the above. Can you please explain the following: TVI can be used with non-tick data by increasing the Minimum Tick Value. For example, you could set the Minimum Tick Value to a large value (e.g., 1, 2, 3, 4 points or more) on a daily stock chart. This produces a smoothing effect when compared to On Balance Volume. Volume will cumulate in the direction of the trend until the price reverses by the specified number of points from a previous trough or peak. When this occurs, volume will then begin to cumulate in the opposite direction. I eagerly await your explanations ladies, and gents. Cheers Carlton

Oops, My apologies. Here is the link: Trade Volume Index - Technical Indicator

This was very helpful Cheers mate

David, Thanks for that mate. I have a fair understanding of market internals. How does the indicator track all 500 stocks of the S&P? Does it account for bid/ask? What is the name of the indicator? Cheers

David, I intend to use it on emini 500

Hi David, Thanks for responding. The following Is the best description of the Trade Volume Index. I have also included a link to the site that the developer of the index is using to compile the index for me. BTW, he is charging $125. The trade volume index is used primarily by day trading professionals.* This is because active traders are most concerned with how stocks perform at key levels and have to make swift decisions.* Long-term investors are less concerned with intraday data and focus their attention on how a stock closes at the end of the day. How to use the Trade Volume Index The TVI shows its predictive power when assessing a stock that is flat lining at a particular level.* How many times have you been watching a stock at a particular level and wonder whether it has the juice to get through a certain level.* The trade volume index will peel back the onion and show you what traders are doing.* For example, if you want to buy a stock on a break of $100, and it has been flat lining for 2 hours, you may hesitate on pulling the trigger due to the flatness in the market before the breakout.* However, if you see that the TVI has been rising over this 2-hour period, it is a sign that traders are accumulating the stock at the ask price, thus increasing the odds that the stock will have legs when it clears resistance. How to Calculate the TVI The trade volume index is calculated by using the following formula MTV = Minimum Tick Value Change = Price minus the extreme price since direction changed If Change is greater than MTV, then Direction = Accumulate If Change is less than MTV, then Direction = Distribute If Change is less than or equal to MTV and Change is greater than or equal to MTV, then Direction = Last Direction Lastly, we must calculate the TVI, which is simple once you know the Direction. If Direction is Accumulate, then TVI = previous TVI + Volume If Direction is Distribute, then TVI = previous TVI – Volume *Cheers

Ahhhhhhh ..... thanks Tams Cheers mate..

Tams I checked the following page E-mini Dow ($5) Cheers

Oops. I accidentally a replied to a wrong thread....

Hi I've checked the following sites Trade Volume Index (TVI) – Technical Indicator Stockworm - Manual > Trade Volume Index The most informative was the following TradeVolumeIndex Cheers

Hello Traders I'm in the process of commissioning the development of an indicator called the Trade Volume Index. I've read much about it but I haven't come across anyone that has used it in a live environment. I was wondering if any of you traders have heard of it, or better still used it with any success? Cheers Carlton

Hi Tams, That's great mate. I've tried finding similar information on that site for the min-Dow, but without much luck. Can you point me in the direction where I can find information for the min-Dow ? Cheers

Hello Traders, I'm based in London, and I wonder if someone could tell me the exact trading hours for the mini-Dow and the E-mini S&P 500? I accept they both trade virtually 24 hours, but I would like to someone to clearly set out the exact times they are available for electronic trading. I visited http://www.cmegroup.com/trading_hours and I still can't get a definitive time. For the mini-dow I understand that they're available for trading 8:15 p.m. - 4:00 p.m. Sun - Fri. Well that's not exactly 24Hours. It's also said that the e-mini s&p 500 trades virtually 24hours, but I think it actually trades 23:25 hours. I would like someone to kindly tell me the exact time(s).? I also read that one either the mini-dow or emini 500 closes for 15mins of the day. I wonder if someone could tell when that actually is? Thanks in advance for your comments Cheers Carlton

MMS I looking to forward to checking it out. Thanks

MMS, That is great mate. Can also get information on mini-dow from the website you mentioned above? The main reason I asked the question was because I've been doing extremely well trading the mini-dow. My style of trading involves assessing the strenth of the 30 stocks that comprise the DJIA and buying, say, two mini-dow contracts when the strength of my trading system and 30 stocks are moving in the direction of my entry point. Now, clearly I won't be ability to make any realistic assessment on the strength of the 30 stocks at, say midnight, or indeed anytime outside normal trading hours. However, by what you've mentioned on the liquidity of the e-mini, if that also applies to the mini-dow, would I be correct in saying that I need not worry too much about not being able to use price movement on stocks outside trading hours to help with my decision to purchase a e-mini or mini-dow contract. Also, thanks for mentioning, agreeing that there is no such thing as a dumb question. Cheers mate....

I learned a long time ago that is no such thing as dumb questions .... someone somewhere at sometime had to ask the questions. The dumb thing is not asking the question in the first place for fear of being rebuked, or fear of being made to look a fool.

Wow, I'm surprised no one has replied with any comments/suggestions

Hello Traders, I'm thinking about trading the Mini-Dow (and may be the e-mini) out of normal trading hours. Can I please get your opinion on the type of activity/volatility I can expect? I fully appreciate that neither the mini-dow or emini are going to be as active out-of-hours as they are during normal trading hours. I would love to hear from traders that trade these instruments electronically out-of-hours and what times they have found to be most active. I'm based in England so its not always going to be easy for me to trade 14:30pm to 9pm GMT - which is 9:30 am - 4:00pm EST I really appreciate your suggestions. Cheers P.S. I'm popping out for a while so I won't be able to answer any questions you may have immediately, however I will answer your questions when I get back to my desk. Carlton