BlowFish

Interesting you should bring up edge and probability. It might be worth mentioning,if you want to collect statistics to evaluates performance and you are a scaler it is important (imho) to evaluate each scale as a separate trade. You will inevitably find that the % winners on the first leg will be higher than the second and subsequent legs. Obviously it can be no other way as you can't have the second scale win while the first loses. Also the first leg will have a worse R:R. (First exits are closer then subsequent ones). Hence one of the potential benefits of scaling, you smooth the equity curve (usually at the expense of bottom line profit). A pretty fair trade off. In some cases (usually rare) you might find the % that score drops off so quickly on later legs that the early legs are not only smoother equity but more profitable too. I have found this seems to happen if you are liberal with drawing S/R (i.e. yu include miner areas) and if don't wait for much in the way of confirmation triggering of them. Adequate capitalisation is a function of what risk of ruin you are comfortable with. Sure if you trade instruments that are very volatile and also move in $100 ticks your RoR is likely to be high if you trade the DAX with a $500 account well you don't need maths to tell you what will happen. Personally I just like to be conservative, but these things can be calculated precisely.

For intraday you could do worse than Ninjatrader. It has an OK simulator (the fills are somewhat realistic). The real bonus is you get free intraday data and free charting if you sign up for a demo with Mirus or Amp. If forex is your bag there are a variety of 'brokers' (most are not real brokers) that offer simulation, data and charts (many offer metatrader which is not bad at all though I hate the order entry and management). Alpari (a sponsor here) are as good as any it seems to me. EoD can't really comment.

Absolutely! I really like the 'look and fee'l of IB's 'pseudo' ticks and find them 'reliable'. In a fast market I would far rather have a 200ms sample with timely information than a full tick feed lagging by x seconds. I really don't believe its a big a deal as some people make out though I guess some black boxes or quantitative systems might function better with an un-aggregated feed. I guessed that was the point of your question about application. I really can't imagine too many that would be impaired using IB's data despite its compromises.

Errm that was already answered at the start of the thread.

Ahh but the chances are if price consolidates in an area the volume profile will grow in that area also. Seems to me most times the two go hand in hand anyway. Having said that neither are tools I use day in day out. What is perhaps surprising (or not) is the edge of the profile. At price extremes (where you might expect single prints as price is quickly rejected) you often see large climactic volume on a regular chart. Despite this you still get tails on a volume profile. In short there seems to be a pretty strong correlation between time spent at a level and the volume transacted at that price. Again rather stating the obvious but what the heck. Seems an argument could be advanced that value has more likely been accepted at a price if trades roll along the tape rather than sitting there with few trades. That's not one for me though.

Constant Volume might do you then? If you are going to use indicators on top CV (arguably) produce smoother results.

On some instruments you can clearly see orders come in at places like VAH & VAL just as you often can at say yesterdays pivot point or mid point or close or H or L etc. etc. Sdoma I could certainly buy into the idea that time is an as important component i guess its like the time based bar/candle chart versus constant volume chart debate. Just a different way of sampling data so no real 'secret sauce".

You might want to look at John Ehlers work if you have a mathematical bias. A lot of his stuff is based on separating the cyclical component of a 'signal' (he was an engineer and applies signal processing techniques) from the non cyclical (trend). He nearly always uses the Hilbert transform for this. Fast Fourier transforms are another popular way. Quite a few of his algorithms have been coded and are in the public domain. Personally I'd just stick to HH's and HL's. If you have those you have a trend. In the long term being able to identify a trend by glancing at a chart is likely to serve you best. (Unless you have some other objectives like automation?) Cheers.

Pretty fascinating. I like how they match changes to show bids being moved down. I wonder if there matching algorithm has tolerances on size to link. Looks like a great scalping tool. The only thing is you don't really get a feel for price changes without looking at the numbers (or chart). I guess the little triangles might be something to do with that? I still think a graphical display perhaps similar to the old paddle game breakout showing orders being chewed or pulled might be a good way of assimilating this type of data. Do you think pulled limits are more significant than hit limits in determining short term price movement?

I do too. The ignore feature is pretty comprehensive here for those uninterested. The community here is pretty mature and shenanigans are not tolerated. There is very seldom any drama. Not sure about your chart issues I think the site resizes them (presumably to preserve message widths) a click restores them.

No need to look for a book. You can download the Law of charts from his web site. Joe uses a 'measuring bar' to define congestion...all the time subsequent bars have an open or close within the measuring bar you have congestion. His definitions are pretty robust actually.

When god was a boy, I used to write code. I was pretty good at hacking something quick and dirty together. I got things done, usually PDQ. Over that particular career I came across one or two people that not only wrote beautiful, elegant code, they would often accomplish things even quicker than me! Of course I paid particular attention to their methods and over time picked up little tricks and techniques they used. My code was still quick but far less dirty. Its a great thread don't let me sway you from the path!

Without wanting to be pedantic 'twas not I that asked I just highlighted them. (though I am interested in sensitivity) The same questions crop up time and again, people clearly have difficulty in this area. (they naturally lead to another set of questions If the individual peruses things further I would bet they will follow shortly) Ooo thats a low blow (about VSA) :boxing: coming from a high priest of Wycoff I recall messing around with 1 tick range charts with volume that you subsequently re posted to illustrate an answer to a question you where fielding. It was around that time that you became an advocate of the 10 second chart, perhaps all my efforts are not completely wasted? Absolutely, quoted for truth. it could be argued that volume is not absolutely vital. As I mentioned previously I seem to be doing pretty well with USD/JPY though I certainly miss the volume information. It took me many many hours (you might have noticed I like to question things hehe) but when you get it, it's so simple. I can't help wondering does it really need as long as most spend to learn to draw lines that have contained price in the past and then take a trade if price bounces off (or breaks out) of them? It really is simple. I still sometimes change stuff around like entering in anticipation of the bounce or on the re-bounce or different size bounces. It all 'works' it's largely just preference. On the subject of indicators I try one every now and then (market delta seemed to have promise but ended up looking like just any other squiggly line to me) I have noticed that my hand drawn lines on JPY often coincide with fib levels, I found it kind of amusing that somewhere, someone, is selling yards (slang for a billion units) of yen off fib levels. Assuming that people have learnt how to recognise an egg (the highlighted passage above is the egg) its time to get cracking (terrible pun) and talk recipes and make omelettes. This is why (I think) this is a great thread it dosen't just talk about eggs it talks about how one might use a recipe to make an omelette. Anyway I enjoyed your recipe Atto more interesting (to me) than another analysis of eggs!

DB thank you for indulging me Really I mean that sincerely. Also I do apologise if I have de-railed Atto's excellent thread. Imho potential 'answers' lie in what Atto is presenting here. In a nutshell 'analysis' only gets you so far, how you manage a trade in response to what you are seeing is every bit (or more) important. Having said that I do think the whole idea of 'sensitivity' to what is happening is a pretty big deal, (as an aside anyone ever read the intuitive trader) I guess it is in my nature to want to try quantify it. I have done a lot of work trying to do so. I have lots of 'rules of thumb' <shrug>. Last couple of weeks I traded the USD/JPY and sorely missed volume information. Having said that I have done as well as on indexes (probablly better). One can see changes of 'pace' very well in real time. I think it is possibly more pronounced. How do you quantify pace in real-time? perhaps I should give up and go with the flow. Anyway Atto great stuff you are doing here beautifully clear charts and concise commentary. If you are up to it I'd love to see one with the whole scale in + scale out. I promise I wont dilute the thread anymore

OK, but price was not at resistance it was at support in fact it had just stopped virtually sitting on support it could barely manage a bounce before going 'boxy'. It was also well under the previous ellipse. I am not a 'hard right edge' facist but you have to be particularly careful annotating when you have the benefit of knowing the outcome. I wonder if that was your thoughts at the time? This is only a 1 minute chart (which is simply a trigger chart for me) so hard to know the context (had we just had a 50 point drop) based on that alone, I would have bet (wrongly) on resumption down. As for the test that was kind of the point of Hakunas question how do you know if a test is successful without waiting for the outcome Perhaps the short answer is you don't? If price rises with good interest it was successful if it falls it failed. Now the Wycoff 'model' gives a pretty plausible framework to anticipate what might happen and to monitor what is happening that in itself can be valuable. However it seems to me that more often than not climactic action is not a climax and that tests fail as often as they are successful. I hope you don't mind me being devils advocate I think the answer lies in this 'sensitivity' that DB talks about. Seems a tough thing to quantify but certainly worth having a a go. I am not sure its something you can see on static charts to be honest hehe perhaps thats why I got that breakout wrong (good excuse eh!)

Consistency is not just a day to day and month to month thing it's a year to year thing. If you take Shwagers market wizards as a sample of some of the 'best' traders of our time it is sad and somewhat worrying that a large number of them have 'blown up' since the publication of the book. Many not for the first time. Actually I suspect its the same 80/20 ratio as supposedly occurs amongst newer traders. Perhaps it is to protect themselves from this eventuality.

It is pretty clear to me that GH has no interest in VSA, trading or traders beyond how it/they can generate revenue for tradeguider. Tasuki wake up and smell the TG BS hehe:)

A couple of questions if I may. Your last comment at the right of the chart. What lead you to expect an upside breakout? (i.e. 'accumulation' had finished and that a further test was not required) Wsa it the fact that there had been a couple of tests already? What differentiated the first test from the second? (it looked to me as if it might have had more selling interest, certainly seemed no less). This was part of Hakunas question 1. Thanks for sharing the chart btw:)

These are good questions and I'd also be interested in experienced Wycoffians views. You could also add how do you distinguish a preliminary climax from a 'real' trend stopping one? I guess this is where you have to deliver a "sensitivity for climatic action"?

Yes, as far as I can tell its is a volume delta that has been smoothed with an ema (maybe double smoothed?). The problem with getting it to work with historic data is if you are using say minute bars you would need to build these with tick by tick data for bid ask and trade data to build the delta. Neoticker allows this I believe and Ninja are promising something like this for version 7. Investor RT can probably cope with it somehow but not sure of the details as I have never used it.

No it takes actual trades. It compares volume traded @ bid against volume traded @ ask. Aggressive sellers vs aggressive buyers. Marketdelta.com & Investor RT are the sites to go to find out more.

Hmmm intresting article but is it really new and innovative? Amongst "buy side money managers" perhaps. Guess its all new to Irene Aldridge. An article I would have expected to read in the late eighties or early nineties (similar economic climate then too)

Your options are 1) use IB's .2 seconds snapshots you will find a size that has the same look and feel as the tick size that you are used too. 2) Use constant volume, time or range charts (different look and feel). Constant volume is likely to be closest to what you are used to and some would argue better for some purposes. 3) Use another data provider (Zen Fire, Esignal, DTNIQ) spring to mind. Be aware that some exchanges will aggregate ticks certain circumstances. I'm pretty sure (from memory) Globex is one so essentially its impossible to get absolutely full tick data for instruments trading there.

VSA samples the data and makes comparison to previous samples. Lots of trading approaches do this in some way or other. So for example at one extreme you would compare this months (or years) volume and spread with the last couple. VSA does not deal with absolute values but relative values. Tick by tick data has no range, but VSA absolutely requires range. Of course what size sample period makes sense to each trader is another matter. You would need to ask 'is an X period sample sensible to look at with regards to drawing meaningful conclusions about range and volume'. Not many would disagree that a daily or weekly sample period is 'meaningful'. P.S. youve been kinda quite lately Darth what have you been working on?

I wonder if using stops based on market structure fair any better? I always like how Tim Morge manages his trades (though there is nothing new or revolutionary there). Higher % winners with lower RR tends to produce smoother equity curves and lower risk of ruin. Those first contracts off will exhibit this characteristic. If running some sort of trailing stop smooths the curve I'd personally go with that rather than the higher return. My hunch is that exiting too early is a more common malaise. I guess scaling out can help on this, it gives the feeling of playing with the banks money though strictly speaking this is not true. That last paragraph really sums it up though I am sure DB would say that the main reason people have trouble executing is inadequate planning. "failing to plan is planning to fail" to trot out another popular adage. I wonder if people purposely (maybe at some deep inner level) leave loopholes in their plans to give themselves an 'out'?