BlowFish

Another xxcellent thread. Thanks Future. This is a subject dear to my heart. I think determining potential areas of S/R (which to be honest is trivial) and then monitoring order flow at these levels to see if they are actually being respected is as close to the golden goose as you can get. Of course if you can monitor order flow with good proficiency these potential areas need not be determined in advance as the order flow will tell you anyway. Looking forward to seeing where this goes. May the flow be with you.

Ahh Ok thats good. However it would be neat to have a way to be able to clear the 'threads that have not been updated since your last visit but still contain unread posts'. If you cant read all the threads that interest you in one sitting you will still have to go through this section. Once you have caught up you want to get rid of all the 'junk' threads (no offence meant) other wise next time you get behind (and can't catch up in a single sitting) you will have to go through them again. Hope I am being clear...and more to the point making sense. As I say no biggy. Apart from that it bothers me aesthetically having all those threads there:cool: Cheers, Nick

Hi Dog, There's the thing - there was no gap to speak of yesterday! (chart a page or so back). Good observation for today however. The DAX is open now for the full European and US (main) sessions. Personally I think gaps occur in index futures for a couple of reasons. For example if there is key global economic news and if that happens when a market is shut (or in its overnight electronic session) when it opens it is gonna open more in line with its overseas counterparts. There is key news before the US opens (even US news) and that moves markets (or gives an excuse for them to be moved around!). And as you say it is the best time to jerk around the un informed investor especially if they have market on open orders to be exploited! To be honest I am more interested in the characteristics of the PvP in certain situations (like the one I mentioned) rather than the fundamental 'macro' stuff that caused them (those conditions). For example if you get a strong directional day (whatever the cause) you are not going to have much basing action to build a solid PvP. The basing could have occurred one or more days before. Incidentally as the PvP starts anew each day it is gap neutral. Cheers.

As an example lets say you have been on vacation for a couple of weeks (or just not dropped by for a while) you end up with lots of threads that have lots of posts that are unread. Once you have gone through the ones that look interesting and read all you want to, it would be nice to tell the software OK I am up to date only flag messages arriving from now on as unread/new. Its not that big of a deal but new stuff (after your holiday lets say) gets tangled up with all the old stuff that you aren't interested in anyway. basically its one button that marks everything as read. Gives you a clean slate regarding new messages if you like. Functionally it would tell the forum software that you have no new un-read messages any more. It becomes more of an issue the less frequently you visit and the more volume of messages you have. For example elitetrader I visit seldom but it has masses of messages. I Maybe visit once a month and see if there are any interesting threads. I then mark everything read. I know next time I go back I am not going to be scanning all the old stuff. Not that big of a deal but a nice feature. The sun is out and everything is good Cheers, Nick.

This chart beautifully illustrates the behaviour that I was talking about (and trying to ensure I understood) a few posts back. This mornings DAX again. From the session open it just dropped with no base to build any sort of volume for the PvP. Volume increased on the fall and so PvP led the Vwap the whole way down. Now according to Newbies (ok my) understanding of things so far, the skew is up technically so Newbie and even Trader would stand aside. But, having watched this behaviour for a couple of days in a strong down push they are wondering if Advanced Trader might be taking some other action? At least they remember 'when in doubt stay out' and don't trade against the Skew.There patience is rewarded with a text book trade (shown on the chart). However they resolve to find out a little more about this phenomenon in a strongly trending market. Cheers!!:beer:

Well the strangest thing all seems fine today.:wohoo: Many thanks to you and your web guy for incorperating the changes. Cheers.

Dbntina, Any place that had the sense to ban me would be the sort of community I'd like to join! Actually no such bad boy behaviour. I used to use TS2000i (TS8 has only recently became available in the UK due to brokerage issues). I switched to Multicharts a while back but am not completely happy with that. It does compile most easy language natively though. I think you need a current TS8 account now to access the forums. Would you mind sending me the PvP code? I would happily make suggestions and am a reasonably proficient code monkey. (albeit with little time at the moment). You also might like to look at the ghkramer code for ideas http://www.enthios.com/FrontPage.htm There are a couple of tricks he uses that are quite neat but he re-builds the arrays on every bar! Not needed for our purposes. I have a fair understanding of how it works but there is too much going on to write you notes. If you do take a look and want to talk about anything PM me and we can talk on Skype or something. Cheers.

As to whether the indicator is available ...well its a bit quirky I took ghkramer's volume profile and severely hacked it about. Its a bit 'fragile' to let out in the wild. There seem to be a couple of problems that need sorting. Having said that I learnt enough about he he did his volume profile to be able to attempt a simple PvP using his concepts. Its just finding the time. To be honest I was just messing while hoping Dbtina or someone else came up with something a bit more elegant, and more to the point with PvP in mind from the start. Cheers,

Here's an interesting thing. This mornings DAX. The trend is down but as it just started and went with no base today to work from the PvP is jumping ahead of the VWAP which eventually catches up and overtakes. This causes a flip however it is clearly (to me) quite a different type of flip to that caused by a new base being built. Essentially we are going down on ever increasing volume with no base in the background (not a base today at least) for reference. A couple of pictures that illustrate. I cant help feel this is exploitable, but I am trying hard not to second guess you Jerry! Actually I have a bit but would rather wait before going off in the wrong direction. Any comments? I guess things like this will be covered in 'flips' and perhaps the section looking at longer time profiles. Comments welcome, appreciation growing. Cheers.

Dunno what's going on perhaps its a cookie issue or something...I don't think so. I'll monitor the situation and see if I can work out what the deal is. It'll be easier to see when I have been away for a bit.

THis may be related url's that are mailed out such as this one:- http://www.traderslaboratory.com/forums/showthread.php?t=2189&goto=newpost Seem to take you (well they take me!) to the last post on the thread too. This might suggest something a bit weird with a more basic forum function? Cheers, Nick.

Still not sure on this...it still appears to be going to last post rather than last unread one. This could be because because I am visiting too often!!! Perhaps you could post half a dozen half (more than a screenful I guess) messages here then I can see for sure. Thanks for all the attention - I think its good for the board

Hi there I can't log in to TS forums (no account). The one I have has is by ghkramer. It has numerous parameters the most important is probably delta price which should be the tick size or larger if you try larger you may get more success because of how the array is indexed. It takes a little while to first display as it has quite a lot of stuff to do. The rest can be left on defaults. Every now and then it gives an array subscript error but oddly re-applying the indicator fixes it. I havent looked in to why yet though have taken the time to familiarise myself with the code. I'd very much like to shoot ghkramer an email a)thanking him for his great work and b) asking for the latest version. Anyone know how I canget in touch (just to say again I don't have a TS forum logon). Cheers.

Will do ....that means I'll have to stay away for a while to let a couple of messages build up!! Been quite captivated by some of the discussions recently

Yeah Id be inclined just to use single time frame to start out and worry about ADE later (if at all). AS Gerry points out the approximation using 2 minute bars is adequate for him (having said that Ensign probably accumulates volume in real time).

A sequence from today. One think I am asking myself is whether to wait for a close through the vwap and then a final kiss goodbye or whether to take the trade as price pulls through. Here is a sequence of DAX trades using the latter am I on the right track Jerry? a couple of inetresting areas the 'flip' (pvp and vwap) around 8.00 and then about an hours consolidation. Also 11 until curent time further consolidation with a nasty spike to our stop at PoC! Despite some unpleasantness I think it looks profitable on the morning. (thats assuming I have got things correct.) I am thinking you might not take the trade right after a flip or the one after when PvP and VWAP are pretty close (not much skew). Comments welcome. Cheers.

I've been messing around this morning (probably as an excuse not to trade). having said that the results are starting to look promising. Image attached.

Aha - I guess you are running through all the bars for the day and re accumulating each whenever a new bar comes in?

Don't you need to store the volume at every price level somwhere? I can't see how you can do that effectively without an array (but I can be pretty dumb sometimes). I guess you could have a variable for each price level or something? I'm being dense again here do you mean its taking forever to calculate or ages to code ?

I was going to answer your original question but I am feeling particularly lazy today . It does raise an interesting point. Assuming that you only risk ever risk 2% (i.e. it is fixed rather than variable). Then the only variable in the frame work that you have control of is your position size. Knowing where the PVP VWAP & 1SD are you can calculate the size for a single entry at the VWAP or a scaled in entry at SD1 & VWAP so that no more than 2% is put at risk correct? This seems a good point to raise a delicate question. I would quite like to know roughly what percentage of trade type a)VWAP and trade type b) SD1 get stopped out. (I am guessing fairly low as we are often putting quite a large amount at risk compared to the reward). That would give a better idea of whether 2% is a reasonable amount to risk, (and to calculate your risk of ruin, a more interesting statistic I think!). I appreciate it may not be valuable using this R:R value for arbitrary stops and targets however it is valuable looking at it historically to understand the performance of your system/method, the overall expectancy of your trading month to month, and finally what % to put at risk on any particular trade. Another splendid thread Jerry thanks.

I would focus on what jerry has to say and pretty much ignore everything else unless it 'resonates' with a question that you have. I am not sure it is neccasary to fully understand the maths to me it is of secondary importance over whether the tools work through empirical research. If they prove to (they certainly look as if they do) I will probably try to understand the maths better. It seems simple to me (if I understand it correctly) The relationship of the modal point (PVP) and the mean point (VWAP) gives you a bias for the market. This alone is pretty interesting to me and worthy of study. I have a hunch this may be turned on its head (a little) in the end when a market is statistically 'over extended' and we might expect a return to the mean. Maybe it'll be coupled with a switch in PvP....guess we'll see soon. The other 'simple' thing is that an arbitrary tool (though it is statistically derived) is offered for when volatility expands and we anticipate we might not get a revision to the mean. The think I like is that these provide straight forward lines (though I am always suspect of squiggly lines:eek:) to manage your trades from. So far it seems like all bases are being covered. Cheers.

Ahh Ok my bad... I havent used TS for a while. Does it support second based bars yet? A second I think would be a more than adequate sample frequency.

Fantastic! I had missed the new feature - recent threads (at the bottom of the page). It is still convenient to just click under your name and get threads with unread messages.

You would put the 1 tick series on the chart add the indicator on that series then, then hide the initial 1 tick series. Simply add a second 2 5 10 15 minute data series of the same instrument (whatever you want to trade from) to the chart. Cheers, PS. have you posted the PvP yet I could not see it PPS. Great work!! Thanks you (if I had not already thanked you).

Sorry let me be clear I click on 'unread posts' in the top right under my user name. That gives me a list of threads with new messages. In the old software you clicked on the little graph icon and that took you to that last unread post. Now there is a little arrow icon which takes you to the last post. Thats pretty inconvenient in comparison. Maybe theres another way to get to unread posts with this software that I am unaware of?