LS_Chad

A video of this webinar is now available (49 minutes): InvestorRT Webinar - October 9th - Multi-Pane Charts Chad

Title: Investor/RT Multi-Pane Charting Date: Friday, October 16, 2009 Time: 1:00 PM - 2:00 PM EDT After further consideration, I've decided to create a video which will cover many of these charting basics. This video will be a prerequisite for the Webinar and allow us to move quicker, get to questions faster, get to more advanced aspects, and get a lot more accomplished. The webinar will essentially serve to fill in any holes left by the video and to discuss more advanced charting-related topics not covered in the video. The video is 29 minutes and can be located at: Multi-Pane Charting Essentials If you'll take the time to watch the video prior to the Webinar, you should get much more out of the event. Also, please jot down any questions that may come to mind while watching the videos and bring them to the Webinar. Use the link below to register for the webinar: https://www2.gotomeeting.com/register/812534690 The webinar will be recorded and posted in our videos section in the event you are unable to attend. The list of topics below were covered in the video above. - Changing Symbols - Changing Periodicity - Instrument Drawing Style (update instrument window) - Zooming and Scrolling - Adding Indicators - Drawing Tools - Sharing Charts (charthub) - Chart Preferences (session, view period, colors, etc) - Duplicating Charts (templates) - Floating Windows During the Webinar, we will expand on what was demonstrated in the video, as well as cover more advanced topics such as: - adding multiple symbols to a chart - charting multiple periodicities - tabbing between elements - keyboard manipulation of indicators and drawing tools - exporting indicator data - duplicating indicators - element drawing order - recalculation frequency and statistics I look forward to seeing you there. If you have some questions regarding Multi-Pane charts that you would like answered during the webinar, please post them as comments below the blog at: http://linnsoft.blogspot.com/ Chad Payne

This webinar was recorded in case you missed it. To watch a playback of the webinar, go to: InvestorRT Webinar - October 9th (1h 7mins). Below are a few of the topics that were covered. - TPO Indicator and drawing bands (wiggle) around the DVAH and DVAL - Using Session Statistics to draw IBH, IBL, and IB multiples - Backtesting and use of the SHOW token - Using the Trading System Indicator to show historical V# values in a chart - VWAP Indicator and VWAP Bands - DTNMA and it's importance to users of brokerage feeds - Running two instance of I/RT on same computer - Using "Compact" Reference Lines - Toolbar placement and maintenance - Database Maintenance and purging vs deleting historical data Chad

Title: Investor/RT Charting Basics Date: Friday, October 16, 2009 Time: 1:00 PM - 2:00 PM EDT This webinar will focus on Multi-Pane Charts in Investor/RT. We will begin by covering the basics such as changing the symbol or the periodicity of a chart. As time permits, we will move on into more advanced charting-related topics. Use the link below to register for the webinar: https://www2.gotomeeting.com/register/812534690 The webinar will be recorded and posted in our videos section in the event you are unable to attend. I look forward to seeing you there.

One correction to my post above, the 820k trades were for the week beginning Sept 28th (week before CME change). The 1.55m are for the week beginning Oct 5th (week after the change). I reported those backwards above. And these were for the day session only (ignoring overnight trades).

The post I made earlier was based on very limited data. After reviewing a full week after the change, there were 820k trades during the day sessions of the past week (on the ES) versus 1.55m the previous week. So based on this information, the multiplier should be 1.89. However, the volume was about 30% lighter this week than it was last week. Therefore, the multiplier should be increased by 30% as well bring it back to 2.46 which is very close to my original number (2.5), so I'll stick with that number for now. Some recommended conversions for tickbar periodicities below: 233t becomes 582t 377t becomes 942t However, I believe numbers like 233 and 377 were chosen because they are numbers in the Fibonacci sequence. So if that is more important than maintaining the same number of bars as before, it might make more sense to change 233 to 610....and 377 to 987.

I will be hosting a one hour webinar at 1pm EST on Friday 10/09/09. The floor is open to any questions relating to Investor/RT. The webinar is open to new users, advanced users, and anyone considering Investor/RT. You can register for the webinar using the link below: https://www2.gotomeeting.com/register/812534690 Look forward to seeing you there. Chad

I created a Q&A on this if interested: Investor/RT - Answers (LinnSoft.com)

Where's Investor/RT on that analysis?

alex, I assume you are using the TPO indicator in your backtesting to get MP related prices like historical developing VAH, VAL, etc. The TPO indicator actually uses the same code as the MP charts which are restricted to displaying/computing a max of 120 days at a time. Theoretically, you should be able to backtest about 6 months at a time. The Profile Indicator has no such limitations, and might be a good alternative. It will give you the VAH, VAL, etc, but it will not give you the developing VAH, VAL, etc. If you'll email your trading system definition to support I'll take a look and see what we can do.

I don't necessarily have any insight into this subject, but I can share a tool that might be useful in the analysis. Our Zig Zag indicator has been enhanced with an option to label each leg with a variety of statistics including Volume (that traded during leg), Delta (of volume traded during leg), and Delta Per Price, among others. I think Delta Per Price might be especially helpful as it takes the delta of all volume that traded in each leg/trend, and divides it by the price change of each leg/move. So for instance, 100,000 contracts may have traded during an uptrend/leg that moved up 5 points or 20 ticks/prices (on ES)...with a delta of +10,000. So the delta per price would be +10,000/20 or 500.0. It essentially measure the average positive delta required to move the price up one tick. Here is an example using a Zig Zag with minimum price change of $3 (each leg/move is at least a $3 move): Images | ChartHub.com It may also be interesting to further normalize these labels/stats to divide delta by (Prices * Volume). Chad

This is also available in Investor/RT, but only in histogram format showing relative volume at price within each bar (via the Profile Indicator): Images | ChartHub.com

Is this something along the lines of what you're looking for: Images | ChartHub.com Very easy to do in MarketDelta. That chart shows volume at price. The X's and O's are optional. You can show trades at each price as opposed to volume at each price. You can display the volume or trades as a histogram instead of text. Alot of flexibility in this area. One note on the chart above...I'm sure you'll notice that often the lowest X or the highest O does not have any volume associated with it. That is just the nature of PNF bar formations. A bar of Os will continue to form (and the volume will continue to flow to the O bar) until price moves to the reversal price. The first tick at that reversal price will start the new bar/column of Xs. However, the instant the X bar begins, 3 X's are automatically draw even though we've only traded at once of those 3 prices. Price may not trade back down to where the lowest X was printed and often doesn't. I hope this is clear. Chad

You will need the Pro version in order to accomplish the Custom Indicator required to make this happen, yes.

Hey Schreem, Yes, you can do this as follows: First, add the Volume Analysis indicator to the chart, as an all-green histogram (or whatever color you want the histogram painted when volume is not less than prev 2 bars). Then, create the following custom indicator (setup: custom indicator): (VO < VO.1 AND VO < VO.2) * VO The first part of this expression, (VO < VO.1 AND VO < VO.2), will be 1 (true) when volume is less than vol of prev 2 bars, and 0 otherwise. So the net effect will be that this indicator will give you the volume on bars where that condition is true, and 0 otherwise. You can now send this custom indicator to the chart and plot it as an all-red histogram. Here is an example (that you can import): Images | ChartHub.com If you have any problems with this, you might want to watch this short video on how to add custom indicators to a chart: Custom Indicator Video and this RTL Tutorial: Investor/RT - Tutorial - RTL 101 Chad

This might help a bit: http://www.linnsoft.com/data/ES_PROF.txt

This subject was covered in the RTL tutorial (and ongoing project) that can be found at: Investor/RT - Tutorial - RTL 101 Specifically, the section on Divergence can be found here: Investor/RT - Tutorial - RTL 101 Several new functions have been added to RTL which will provide more tools to attack divergence: SLOPE(exp, n) - change-based slope of exp over past n bars: (exp - exp.n)/n ACCEL(exp, n) - change-based acceleration of exp over past n bars, or slope of current bar minues slope of last bar SLOPER(exp, n) - regression-based slope of exp over past n bars. ACCEL(exp, n) - regression based acceleration over past n bars. Difference between the reg-based slope of current bar and reg-based slope of prev bar. YINT(exp, n) - current value of a regression line through the past n bars of exp

Genetic Optimization is available in Investor/RT (in the form of "express optimization") and auto-execution is available as well. The execution aspect is not a strength currently, but something that Linn Software is presently devoting a great deal of time to. Look for auto-execution to become a strength in the very near future (within a month or two). In response to the OP, I guess it depends on what your needs are in regards to which is best. If you need execution, today, then I/RT probably is not the best for you. I think you'll find that it's much quicker/easier to code your system in Investor/RT using RTL than with "easy" language. For a taste of how easy RTL is, you can read through a tutorial I've been working on recently: RTL 101. Just providing an alternative for the OP to look at.

Take a look at the videos of Investor/RT's backtesting capabilities on this page: Investor/RT - Video Library

MC, The Profile Indicator will work on daily data, and it will allow you to wrap a rectangle around any group of daily bars to quickly plot the daily time-based (MP) profile of those bars. This allows you to do profiles within profiles. Images | ChartHub.com Also, the stand alone Market Profile charts can now automatically create weekly/quarterly/yearly profiles off of daily data: Images | ChartHub.com You can find out more about the composite Market Profiles here: Market Profile - Composite Profiles and more about the Profile Indicator here: Investor/RT Tour - Profile Indicator (PROF) So there is quite a bit you can do with daily data and Profiles in Investor/RT now. Chad

Right, works fine for one day...but not for the 6 month period that the OP requested.

I tried this with 30-min data for that period and got this message "You have more than 100 brackets entered. Please enter 100 or fewer brackets and try again. If you wish this utility to be expanded then please place a request in the forums." So doesn't seem like a good option.

Here ya go MC: Market Profile (time-based Profile) on ES (9/19/08 thru 3/09/09): Images | ChartHub.com Volume Profile for same period: Images | ChartHub.com Those are produced using the Profile Indicator in Investor/RT. Makes it very easy to produce these profiles of any custom period easily. Chad

What you could do is setup a custom indicator with syntax: SESST_HI_CURR * (TIME < 0930 OR TIME > 1615) + SESST_HI_PREV * (TIME >= 0930 AND TIME <= 1615) setup SESST_HI_CURR with the current day values (turn off Multi-Session Stats), and SESST_HI_PREV with the "Value 1 Session Back" setting. Does that make sense? You also may have to adjust your times above depending on your time zone. The above syntax was constructed for Eastern timezone.

Irviam, Take a look at the videos on Market Profile at Investor/RT - Video Library You'll probably also be interested in the Profile Indicator and the Profile Drawing tool which let's you wrap a time- or vol-based profile around any group of bars quickly. Several videos at the top of this page: Investor/RT Tour - Profile Indicator (PROF) If you have any specific questions or needs in this area, let me know. As far as trading rooms or teachers that are based on MP, there is jpjtrading (JPJ TRADING), Profile Traders (Day Trading using Market Profile), Joseph James (Home | Joseph James Consulting, LLC) and Alexander Trading (http://www.alexandertrading.com). I know the first three use Investor/RT or MarketDelta in their instruction/teaching. I'm not sure if Tom Alexander is still using IRT.