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.
BlowFish
Market Wizard-
Content Count
3308 -
Joined
-
Last visited
Content Type
Profiles
Forums
Calendar
Articles
Everything posted by BlowFish
-
Bid/Ask Indicator Similar to TradeFlow in CQG
BlowFish replied to Soultrader's topic in Coding Forum
The delta footprint code I posted has a 'self calibrating' feature for colouring if anyone is interested in including it. -
The Most Unbelievable and Controversial Techniques
BlowFish replied to romek222's topic in Technical Analysis
You will find that range and volume are 'fairly well' correlated Of course run the numbers for yourself though. Heavy instrument (e.g. ES) seem to be more so than thinner ones (Z). I only ever looked at a couple of indexes. -
[VSA] Volume Spread Analysis Part II
BlowFish replied to Soultrader's topic in Volume Spread Analysis
Glad you enjoyed it. Did you go to the Wycoff event Pruden put together too? That one sounded a lot of fun.- 2244 replies
-
- technical analysis
- volume spread analysis
-
(and 2 more)
Tagged with:
-
Trading with Market Statistics. IV Standard Deviation
BlowFish replied to jperl's topic in Market Profile
Good point Steve. I think it was made some where on one of the threads but it is worth remembering:) I also believe it can be used as a measure of trader performance working a large order? I guess you would compare the VWAP of that traders trades against that of the general market? The bigger the difference the better the trader providing he is the right side of course! Glad you 'got' Jerrys system. Personally I think its both novel (very rare) and elegant, great stuff. -
You essentially get a tick for each trade there will be volume associated with that trade. Some exchanges might aggregate trades in heavy markets. I don't think most exchanges filter high volume ticks. In theory there should be no 'bad ticks'. If you have a fat fingered trader somewhere you might get a trade for 10,000 lots rather than 10. You do get busted trades occasionally if a fat finger trade goes off spiking well outside the 'normal' market (causing lots of stops and limits to be filled). You also get block trades on most exchanges (Globex and Eurex for sure). These are large trades negotiated outside the auction process. They will be reported as a single trade (tick). You can find out details of order matching & preferencing, reporting, general rules regulations etc. at the exchanges web site. There are small differences exchange to exchange.
-
Well I read the paper and I think I was probably right to feel something wasn't quite right about its conclusions. I'm not saying there is not interesting and valuable data there btw. Here's the thing (the way I understand it). In a nutshell they asked people to record there mood using a mood test. (UWIST mood adjective test list). The huge leap is that in the conclusion they have made the assumption that peoples mood is in response to 'monetary gains and losses'. As far as I can see that was not tested for. Hell the sample where paper trading so the mood outcomes could hardly have been in response to monetary gains and losses could it? Or have I just mis understood the test. There is also a strong argument that the samples mood at the end of the day (when results where actually recorded) are effected by performance rather than the other way round. I am not suggesting that is the case but the possibility should not be ignored. You could conclude that people that perform poorly have greater emotional response to there trading? It's a chicken and egg deal. Guess I am just being picky (yeah again) but I think potentially good work is being tarnished here. I would expect more rigour from academics.
-
Not John Carters work, but the same sort of deal. TTM's stuff is usually just 'borrowed' (some would say stolen) from the tradestation forums or elsewhere.
-
Looking for a Concept of How to Detect Swing Highs and Swing Lows
BlowFish replied to a topic in Beginners Forum
Clyde has a Yahoo group called the swing machine. You should be able to find it in the files section there. LOS_2003 should have it in -
Indeed Januson. Mind you can understand the confusion with so many incorrect sources on the interweb:) That's the trouble, erroneous information gets picked up quoted and spread.
-
Yes, perhaps not much help to a scalper:). Reminiscences is another good read. You get lines like (paraphrased) 'I let the market have 200 shares to see how it took it'. I love that book. One lesson it provides is the perils of over leverage and using un-realised profits to 'upside down' pyramid.
-
Haven't read the paper Flojomo but from your quotes I got a couple of alarm bells going off. They talk of " the survey data indicate that subjects whose emotional reactions to monetary gains and losses". They then appear (from the quotes) to go on and make there conclusions on emotional reactivity in general. Guess I should read it before jumping to conclusions. They seem have statistical evidence that "scared money doesn't win". I enjoyed Payzan's article btw.
-
Indeed, looking forward to that an inexpensive (free) alternative to NeoTicker. Mind you I fond both a bit fussy to program. I tried to get the guys at TSSuport (producer of MultiCharts) to grasp the concept....waste of time really they just didn't get it. Davla you might be intrested in JPerls trading with market statistics threads in this section.
-
One problem with having order book (or just bid ask) changes as part of your historical analysis is that I know of no one that provides an historical database of that data. Of course that doesn't mean such a thing doesn't exists.
-
Trading with Market Statistics. IV Standard Deviation
BlowFish replied to jperl's topic in Market Profile
It is probably worth making a couple of points. A distribution does not have to be Gaussian to have a valid variance. The squares (for the variance calculation) are weighted in the same fashion (by volume) as the VWAP. -
The Most Unbelievable and Controversial Techniques
BlowFish replied to romek222's topic in Technical Analysis
And candlesticks are clear cut mmkay. BDD have a search for a thread called VSA crock or not? Or something like that. -
Trading with Market Statistics. IV Standard Deviation
BlowFish replied to jperl's topic in Market Profile
Darth, from your last couple of posts it seems you have missed a couple of the key premises that Jerry's stuff is built on. There is no assumption about the distribution being normal, quite the contrary. In fact Jerry relies on scewedness (asymmetry in the distribution) to define trend. Theres a couple of really neat ideas presented quite elgantly, it's certainly worth a review. -
You might want to take a look at 'Phantom of the Pits' if this interests you. It's a free ebook. There is a short version and a long version.
-
That was not what was under discussion, a common logical fallacy. But to answer your questions anyway. I have no clue how many people loose trading futures each year, do you? ..... I didn't thing so, no one does really. No, I don't think sharing a system would be any help whatsoever to those that are failling. Quite the reverse. The fact something is sold does not ensure quality of the information. There are many simple, profitable, methods in the public domain. You still have to "do the work" as DB would say. Silly, I loose lots of money each year in the store if I could just put the odd turkey under my coat and slip out without paying it would be a big help. I'll try your excuse next time I'm sure they'll understand. I have shared DvD's and done a lot worse in my life (I once walked on the grass despite the notice clearly instructing me not too). Some stuff I am not too proud of. However whatever I, or anyone else does has no effect on whether its stealing or not. (another logical fallacy ) Just to be clear I am passing no judgement on sharing stuff. Most of us have done it. I was just pointing out some fallacious statements for a bit of fun. As an aside fostering a mind set of brutal honesty and clear observation coupled with sound logical reasoning is likely to have much more profound effects on your trading than this paper.
-
I guess you would consider sharing music movies books etc. the same? Perhaps I could share the fruits of your labour?
-
Just to re-iterate it does not need price changes to form bars it just needs a trade/transaction to record a tick. You could get 500 trades at the same price and that would cause a new 500 tick bar. If the article says different it is wrong! OK Just checked and it is wrong. It's by Austin Passamonte too he should know better To be clear 700.00 700.00 700.00 will cause 3 ticks too. It is nothing to do with price change. Constant range charts require price changes..thats a whole other ballgame.
-
Thread necromancy to make a point that had already been 'done' hmmmm. That wasn't' directed at the last two posters by the way. A thread necromancy emoticon would be great!!!
-
[VSA] Volume Spread Analysis Part II
BlowFish replied to Soultrader's topic in Volume Spread Analysis
Actually I think 'creek' was adopted at a later stage. (possibly by SMI?) You'd have to ask someone from the 'orthodox church of Wycoff' or the young SMI upstarts (only joking guys). The way I understand it (which may be flawed) is it simply describes a break out, price jumping across a creek. I have never understood why people come up with 'memory aides' for things that are simple to remember if you make an effort to actually understand them. Imho it's one of those things that obfuscates rather than clarifies.- 2244 replies
-
- technical analysis
- volume spread analysis
-
(and 2 more)
Tagged with:
-
Great job. You really seem to have made quite a journey in a remarkably short time!
-
Thats not quite right EJ . Each tick represents a transaction. So a 150 tick chart will have 150 transactions a bar. There is nothing stopping you adding a volume histogram to a tick chart. Using the same 150 tick chart example, if you add a volume histogram it will show volume for each group (bar) of 150 transactions. This tends to give a fairly flat volume histogram as usually higher volume is accompanied by more transactions causing more bars. An interesting study is constant volume bars with a time histogram representing how long it took the volume bar to form. As always it depends on what you are trying to achieve.
-
Thanks for reminding me about the book. O'Hara is still on the list too. Did you know that Ninjatrader now will allow you to have order book changes trigger events in scripts? I haven't messed with it yet. Too lazy to write code at the moment.