Tasuki

Actually, I am using my brain, and these "meaningless" approaches are making me money. Your theoretical objections notwithstanding, these approaches work, and pretty darn well, too. Out of curiousity, AgeKay, how do you take money out of the markets? That's not a facetious question, but a serious one. What is your methodology? In an earlier post, I was encouraging an interdisciplinary approach to the markets. So, what has meaning for you?

Db, Thanks for your reply. Yes, I agree, such a small interval is not conducive to VSA--I started these charts at midnight last night, when trading was thin, and I wanted to see *something* so I used a very small interval. This is only an initial test. Tomorrow I will put this on longer charts to see how/whether it works. Today's posting was just sort of a "proof of principle" test. Yes, please do enlighten us on Wyckoff's approach to the chart I've posted. The whole reason I posted on the VSA thread was to encourage a multi-disciplinary approach. Being off topic is a bad thing when you start mentioning fairies and cupboards (see my VSA posting for what not to do), but a synergistic approach to the markets, melding two or more valid techniques, can be extremely helpful to understanding the markets.

Sorry, just can't resist---*savvy* southern England, you mean like the fairy twinklers in Glastonbury? Again, apologies, it's been a tough morning---the phrase, I believe, is "skeletons in the *closet*, unless you Brits have expanded your cupboard space dramatically since I was last there. OK, enough foolishness. I have a serious invitation. I'd like all you VSA experts to please visit the Volume Splitter thread in the coding forum, and check out my latest post (permalink #311). The fourth chart is the one I want you to look at. For a little background, the entire point of the Volume Splitter thread is to see visual proof on your charts of the actions of the big traders. VSA has always said, "if you see big volume, it has to come from big traders." Yup, makes perfect sense, but maybe you could gain some additional information if you had an indicator that visually showed you what they were doing, and how strongly they were doing it. Then again, maybe you couldn't gain additional information---the volume splitter thread is a work in progress, and maybe we're all wet. It's been tough sledding in the Volume Splitter thread, but I think that we have finally done it. Then again, maybe not, which is why I'd really like you folks to check it out. Yeah, yeah, I know, it's a squiggly line, but maybe this one is not a lagging indicator. Just for the record, the indicator says VS_MACD2---however, it doesn't look like a MACD, nor does it behave like one. VSA purists will turn up their royal noses at the idea that a squiggly line could give them information about the big traders, but I urge you to keep an open mind. You know what they say, minds are like parachutes--they only work when open.

With all the time I spend going out on a limb, you've got to wonder when the branch is gonna break. So, I'm going out on a limb--- Sliced Bread has officially been replaced as humankind's best invention---the new champion is phall's indicators. OK, so I've only been looking at them, in combination, this morning, but dangit they seem to be good. Chart 1 simply shows that there are indeed differences between the VS_MACD1 and VS_MACD2. Yawn. Chart 2 shows how the VS_MACD2 and VS_Volume can work together to give you a clearer picture of what the big traders are doing (and if you care, what the small traders are doing too). Chart 3 shows another example of divergence backed by volume--this positive, bullish divergence is coming after a nasty bear move this morning, and the quality of this bullish divergence suggests that maybe the bulls are gaining a bit of traction in the afternoon session. Chart 4 is why I got into this Volume Splitter thread in the first place. It took me years to finally get the principles of VSA sufficiently stuck in my head that I believed them and saw them working in real time. As some of you know. VSA is based on Wyckoff's work, but neither Wyckoff nor his modern counterparts have ever been able to see direct evidence of the influence of the big traders--that influence has always been implied. Well, the whole point of this volume splitters thread has been to try to see visual proof on our charts of the actions of the big traders. If phall's indicators are really working properly, we should be able to take the principles of VSA and visually observe them on the chart, and here is one such *possible* example. I think I have identified an example of the infamous "upthrust" from the VSA thread. The scenario makes sense--the big traders are short, but price has come down so far that every monkey and his/her uncle is short, and the big traders need to convince some suckers to go long so they can wash them out and make the market go down again. So, they create an upthrust--they buy against their own positions with moderate volume--not enough to screw themselves, but enough to spook the shorts, and convince the unwary to go long. Then, they take them all to the cleaners, driving the market down again. Sorry to be so longwinded with that above explanation, but this has the potential to be very exciting. If I am right, we can use phall's excellent indicators to observe VSA principles at work, thereby giving retail traders a clarity they've never had before (except, perhaps, with that very expensive Market Delta software).

phall, For VS_MACD1, my experience has been that tick and volume-based charts defininitely tell a clearer story than time-based charts, at least the 1 minute and 5 minute charts that I studied. I've got alot more work to do, but so far, my 7777 volume chart on the ES has definitely been the winner in terms of useful information and clear divergences. You might not want to extrapolate that observation too far, however, because I've only collected two full days of data. Let's look at it next week.

Very good point, kh. Richard doesn't seem to be using it as a divergence indicator, as I've been trying to do (with some success I might add). He seems to look at his vol splitter as just an indicator of the commitment (or lack of it) by big traders to a given move. For everyone's consideration: I think we should look into the difference between phall's Vol Splitter MACD (VS-MACD) version 1 and 2. I did a quickie analysis on friday, and there did seem to be some differences. I think phall was saying that the first version had a glitch, so theoretically, the second version *should* be better. It might also be profitable (in the general sense) to look at the difference in the VS-MACD between the small (1-5 contracts) and large (100-9999 contract) traders. Is the same nearly-inverse relationship present, as in the original EOTPro Volume Splitter? For anyone who is taking the EOTPro trial, it might also be useful to see whether the new VS-MACD version 2 tracks the EOTPro version any more closely than the first version (which didn't do too bad of a job). Finally, for anyone who understands the coding discussion regarding the thin line vs thick line (weak participation vs strong participation) and can find a way to include that in the code of the VS-MACD, that might make it even more useful.

I'm going to go out on a limb here and disagree with you, kh, just for the sake of discussion. This might be a case of the amateur criticizing the expert, but I don't THINK that you're interpretation is correct. From what I could tell after my week long trial in EOTPro's very interesting room, my impression was that the thickness of their vol splitter line was simply a function of how many contracts were being traded. If you look at the thickness of the line compared to time, there IS a correlation--in the morning and the afternoon, you'll see that their Vol Splitter line is more often thick, and during lunch, it is more often thin, indicating less participation by the large traders during lunch. Of course, there are two (at least) possible interpretations--perhaps, as you said, the ratio of large/small traders could change (or large/total traders), or alternatively, my theory could be correct that the absolute value of large trades could change over the lunchtime period. I'm not enough of a mathematician to figure this out, but it seems less likely (to me) that a ratio would change than an absolute value. Think about it--don't small traders need to grab a lunch too? Why would small traders continue trading during lunch while the big boys went to Minskys for steak and martinis?

Well said, sevensa! Just let it go! The points made are important, no doubt about it, but they've been said over and over for three threads now. Personally, I want to get back to VSA for trading. I tried to convince soultrader that we needed a thread where you could only post if you shared a chart. He didn't buy it, but I still think it's a good idea. You know the old saying, "say it with flowers"? Well, I suggest that we "Say it with charts". The attached chart is of DXO, a proxy for crude oil. Nobody has ever posted a chart of DXO on this forum, which brings up a point I want to make--there are thousands upon thousands of interesting charts from all manner of trading vehicles that we could be sharing. Here I go quoting a well-known saying again---remember that old line from World War II, "smoke 'em if ya got'em" (famously quoted by the protagonist played by Bruce Willis in the movie "Die Hard")--- well, I say, "Post 'em if ya got 'em!" Tasuki

Please, folks, let's not let this thread degenerate into name-calling or Tradeguider-bashing. We've been down that road on the previous VSA threads, and I think we've pretty much covered the bases already. What we should be doing, IMHO, is watching the market, which is giving us some classic signs of weakness. See attached.

pimind, Have I got this right? The purple is the volume splitter from the EOTPro room? The white is the VS MACD that phall put together? Thanks, Tasuki

Suri, I think you're still missing the psychology of the WW. I think I've gone over some of this somewhere in a previous post on this thread, but a brief example---point #2 is supposed to the lowest low or highest high for quite some time---it's a "fear-factor" pivot that drives traders to unwillingly get out of their positions at exactly the wrong moment. Whenever I'm looking for a WW, pivot #2 is the "sore thumb" I look for--it sticks out as plain as day. I don't see that "sore thumb" look in the potential WW you have shown for the ES. Hope this helps, Tasuki

Sebastian, My sincere apologies if I did indeed say that, but you do realize that this quote you quoted was from monad, not me, right? I don't THINK I said that. It doesn't sound like me. Maybe we should continue this conversation by PM, but I wanted to publicly apologize if indeed I was daft enough to say something like that, but it really doesn't sound like the sort of thing I'd say, or even think. I'm curious as a cat where that quote by monad came from. Sincerely, Tasuki

One more thing to remember is that the time horizon for small vs big traders is very different. Traders trading small lots almost invariably have small stops because, as a general rule, their account size is relatively small. By contrast, traders trading large lots generally have, or can tolerate, much wider stops because their account sizes can tolerate larger losses. They will frequently engage in campaigns of accumulation and distribution, holding their positions over drawdowns which would wipe out the bank accounts of smaller traders. As a consquence, their trading style is very different from those of us with moderate sized bank accounts, and this needs to be taken into consideration when assessing the actions of these big traders. 1) They may drag the price around simply for the purpose of catching stops--this is something that small traders cannot do, and this behavior by large traders should be reflected in any functional volume splitter. 2) They may hold fast when price dips because they believe that higher prices lie ahead and they are using a drop in price to accumulate further shares/contracts. In this instance, one might see price dive, but large traders holding firm. 3) I presume the opposite would be true for distribution at the tops of a market---the vol splitter should show the big traders selling eagerly while price stalls at a high. Basically, the vol splitter (set for big traders) should reflect the principles outliined by Wyckoff. The two techniques for reading the market should dovetail because they are both looking at the same thing--the actions of the large traders. They're just using different methods of displaying the same information...that is, if the vol splitter is working properly. Those of you who have followed the VSA thread will know that it is based on Wyckoff's principles, and also that VSA seems to work best on longer time-based charts, such as 15 minute charts. The incredible drag of the vol splitters is that they don't seem to be able to handle historical data, but maybe even an intraday 15 minute chart of the vol splitter, coupled with a volume indicator and Wyckoff/VSA analysis, would be instructive. Worth looking at, anyway.

sevensa et al, Compare the chart I've attached here to the chart of the ES 233 tick from my previous post (permalink #280). Indeed, both the RSI and the MACD did pick up the second divergence, but they were MUCH less clear than the beauty created by the VS MACD. However, neither the RSI nor the MACD picked up that first little gem of a divergence. I will be the first to admit that phall's new VS MACD needs alot more testing that what I was able to give it today, but it's initial test beat the pants off the two oscillators. Once upon a time I had a trading friend who told me that no trader should use an indicator unless he understood the math behind it. Looking at the code for the MACD or RSI, and comparing it to the code for the VS MACD, you'll find very little similarity. Most glaringly absent from the regular MACD is anything to do with volume. The regular MACD is just a standard lagging oscillator. The size of the trades being placed does not influence the math of the regular MACD at all. Philosophers like to joke that there are only two types of people, lumpers and splitters. Lumpers are always grouping things together, saying, "This is similar to that", whereas splitters are always saying, "No, these two things are different." Well, sevensa, I'm a splitter. I say that, just because indicator A and indicator B both are able to create divergences does NOT mean they have a damn thing in common. One thing we should do is to alter the block size on the VS MACD and see how the indicator changes. That's something else the regular MACD can't do. So, I appreciate your note of caution, sevensa, but I think (current working hypothesis) that you're way wrong here. Further testing will tell!

As requested, here's a very short snapshot of the VS_MACD by phall, from permalink #278. Just found it 40 minutes before the close, so the charts don't have much on them, but I'll do another one on Monday. Both charts ES, first is 1 min, second is 233 tick. Geez, looks like you got something here, phall! I'm groovin' on those divergences. Your hippie turned trader, Tasuki

phall, On your indicator which I called "271", I can't seem to change the colors of the open and close (DO and DC). I've looked at the code, but I'm not good enough to figure out what to do. Is there an easy fix for this? Of course there are two places where color is addressed in the indicator, one in the Inputs section (and the values here seem to override) and one in the colors tab, which seems to have been de-activated somehow. I'm sure it's in the code, but I don't know what to do. My reason for asking is that it's often very useful to put DC as Red, so that you can easily see where the bar closes, or where it is currently if the bar is still active. I just saw your VS_MACD a few minutes ago, so I'll only get about 40 minutes of data for today, Friday June 12. I put it on two charts, a 1 minute and a 233 tick, hoping to see some kind of action before today's close. So far, after 10 minutes, I can't tell a thing. I'll post after the close. Tasuki

FWIW, here's a comparison of phall's ELD (which I've renamed "271" because his post is permalink #271 in this thread) and the Blowfish #4 (from permalink #162 of this thread). The first two charts are 1 minute charts which include volume. The second pair of charts are 233 tick. All four are of the @ES. In each case, the upper indicator is set to large contracts (100-9999) and the lower indicator is set to small contracts (1-5). Clear, but not dramatic, differences can be seen, but I'm not sure what this tells us. What I should have done was to create multiple instances of phall's new indicator on identical charts and see if they all track the same or not. That would be a valuable test for consistency.

Looks like you've got it right regarding the contract sizes. The indicator will plot on a tick chart and a volume chart as well, but not on a momentum or range bar chart. Not sure why. See for yourself. I should clarify that it will plot, meaning you'll see something, but it never seems to advance properly on mom and range charts. The real question is whether it is giving correct or incorrect information. If you put this indicator on multiple types of charts, you'll get widely divergent information. One chart will suggest that the big traders are buying, while another chart will show that they're selling. So, basically it's untrustworthy as it is, and possibly will do more harm than good to your trading. Caveat emptor.

Richard, thanks for the insights. I don't suppose your previous "day job" would have included programming for Tradestation? You obviously understand its idiosyncracies intimately. Tasuki

Richard, thanks for your explanations. Whether it's the "intrabarpersist" or something else, the bottom line for the trader is that the indicator gives different results on different charts which are set to the same parameters. As a trader, this is untenable because it is unreliable. If I'm basing my trading, even in part, on signals that are unreliable, what's going to happen to my bottom line? The question is, what could one do to remedy this problem? As an EasyLanguage newbie, I wouldn't have a clue, and from what little I can gather from the discussion of Tradestation data vs. Ninjatrader vs. Neoticker, the problem is unfixable on Tradestation. Of course, I could be wrong.

Just this morning I looked at Blowfish #4 on two one minute charts of the ES on two different workspaces--the indicator patterns looked very different. So, if "intrabarpersist" works as advertised, then it must be advertised to give random results! For completeness sake, those two charts have been on my workspaces several days, so they started up at exactly the same time this morning, when I turned on my computer and logged into Tradestation. So the differences between them were not due to different start times. I understand how that could be a potential problem, but was not the case here.

But guys/gals, If this "intrabarpersist" business is bogus, doesn't that mean that the Blowfish indicator is unreliable? It's got that reserved word 9 times in its code. I've been noticing some strange differences in my charts when I put the Blowfish #4 indicator on different timeframes, and wondered what was going on. If this caveat that thrunner and the folks on the TS forum are talking about is true, then we may be barking up the wrong tree. Tasuki

Unfortunately, my trial with EOT is over, and I doubt they're going to give me a second week. Can anyone else help us out here? I really think Phall's got the right idea. Tasuki

Two interesting charts to post today. Both charts are @ES, the first is 144 tick, the second is 7777 volume. For these charts, I created 6 copies of the Blowfish#4 Vol Splitter indicator, then I assigned each copy to a different group of traders, as follows: red: 1-5 contracts yellow: 6-49 contracts green: 50-99 contracts cyan: 100-199 contracts blue: 200-299 contracts magenta: 300-9999 contracts For the 144 tick chart, notice that all classes of traders are going up---every monkey and his uncle is buying. I've noticed this before---when you get multiple types of traders all buying at the same time, for heaven's sake don't go the other way! For the 7777 volume chart, it looks like a very colorful mess, but if you take the time to follow the colors, you can learn stuff. Notice first that the magenta line, the biggest traders, wer pretty consistently buying throughout this portion of the afternoon (I only created this chart after 11:30 AM Pacific time). There are other lessons to be learned from studying this chart, but I'll let you suss them out yourself. Tasuki

Bruce/Cooper et al, The code for the Blowfish Vol Splitter #4 is shown in permalink #162, on p. 16 of this thread. The quote, above, was from my first post in this series---I just realized now that I had a typo--that should have been #162, not dollar sign 162--oops. In order to turn this indicator into a bar (it's not actually a histogram), go to Format Indicator, Style, then assign DO as "left tic", DH as "bar high", DL as "bar low" and DC as "right tic." Tasuki