darthtrader

Here is something interesting from marketdelta on YM this morning. I hadn't noticed that its also plotting delta by price along with the column delta which is a delta by period. In some sense, especially if your into MP, delta by price probly makes so much more sense than delta by period.

I totally agree with the order flow proxy. Your plot sounds pretty interesting. Did you try doing what market delta does with the column delta? All that seems to be is contracts at the ask - contracts at the bid and then just spits out the number. Can't get more simple than that. The interesting thing with that though is its more like tape reading then, probly something you just have to get the feel for in real time through experience. monad, I don't want to knock MD too hard. The footprint chart might be usefull if you put time into seeing patterns, I don't know. Its certainly worth the download and the free 30 days. On the other hand though I really have to question if what happend delta wise X amount of time ago really has any meaning to current price action. If that is the case then any form of charting delta is really a waste of time.

I've been trying the market delta demo out this week. Honestly, I don't see much use for any kind of historical bid/ask analysis after this. The moves are far too quick. It was interesting to see volume dry up and the bigger size come in at the bid when the top of this move this morning was rejected on YM. As far as the delta footprint chart though it seems to be nothing but noise. The bottom column delta is really cool though, i think thats alot more logical way to present the information than a histogram. I think it would be interesting to use a traditional chart instead of the footprint chart and just keep the bottom column and the far right bid/ask tape like breakdown. I don't know any software that can do this though?

I think it would be interesting to see what it would look like if you only plotted volume that was hit at the ask AND the previous tick was an uptick and vice versa. Or take it even further, 3 upticks then then an ask getting hit. That to me would be a much better way to define an aggressive buyer or seller and then just view everything else as noise. I think the problem though for this is you would need a true tick feed and the way tradestation handles this it wouldn't even make sense.

http://www.cxoadvisory.com/blog/ I just found this yesterday from a link from Dr. Brett's site. So much stuff there it makes your head explode. The basic idea seems to be they review academic papers and put it into context that can actually be used. Also, everything seems to be backed up by quantitative research and not just opinion. Maybe not so great for short term trading but tons of longer term horizon ideas there.

hahah...pretty funny stuff.. "drugs??? what??".. no one beats BullnBearAnalytics though: http://www.youtube.com/watch?v=TUxkyFGjx4c

fantastic, look forward to this thread. I broke my brain trying to understand how to change that original vwap script that was on the forum.

thats a pretty cool idea. I think making a word document then printing it out every so often would be the way to go. I would actually look up printing places online, I know kinkos isn't even close to being cheap as far as printing goes. You could probly just upload the file or send a place online a burnt cd.

Totally agree. I actually wouldn't doubt that plotting previous day high low and close wouldn't do better than deriving some averaged levels from these levels. I think its interesting that if you randomly draw a line on a chart, you can probly convince yourself that price is respecting that level to some degree even though its just random. I could even see from an MP standpoint how pivots would have been good for locals even just as a risk management tool so that they weren't trying to make markets at those levels and get caught hugely lopsided if the market moved in one direction heavy. Considering you can do much more in depth analysis at home behind a screen than in the frenzy of a ring, I just don't see why anyone would bother with pivots.

you should check it out. I think its absolutely fantastic. To me all it needs is for more people to start using it to build up the library of stuff for it. It can basically draw anything on a chart because its just using MS .net drawing tools. I messed around with the finalg market delta demo, the guy completely knocked off the entire market delta footprint and all the ways of displaying data with the .net drawing classes. I think right now you could use any heavy duty math/stat class thats available for C# with it if you wanted to get heavy into data analysis. Maybe the only downside is its a bit heavy on resources with all the graphics anti aliased but it looks very pretty. Another cool thing is if you learn C# it would be an easy transition to neoticker or openquant. Its just crazy they are giving away everything but the super DOM for free right now.

did you ever get your code done in EZ? I didn't realize you use multicharts. Any chance you could post the code up for what you have? I can probly translate stuff to c# but damn i really need to work on my innumeracy.

hey blowfish, thanks for that tip, found it.

How are you weighting the bands? I've been messing around with trying to get this going for ninjatrader but its just a mess. I've backed off and have been doing basic C# tutorials so hopefully i can get this going at some point. The nice thing with ninja is it would be free for anyone to use. multiplier3 = 3 VWAPUpper3.Set(VWAPLine[0] + multiplier3 * vwapsd[0]) i take it thats the wrong way? The weighting would be 2nd std dev by .7 something and 3rd by .9 something?

great post aiki14. James, you should just get Natenburgs book. If your just going to straight out buy options, as aiki said, without the greeks you don't really know what is the better value on the chain. If the underlying is at 65 and your betting it will go to 70, it still might make more sense to buy the ATM 65 calls as opposed to the OTM 70 calls depending on the greeks. You might want to get into option station for TS, i've never read much on that though. http://www.optionvue.com/ looks pretty sick too.

excellent. I went and looked more at ensign after this, I see why you use it now. Thats really cool how it works with the previous time frame chart data. Are you able to backfill data for the monthly/yearly vwap/pvp with IB/ensign? I was thinking I would need software that can archive data and then get one of those new terrabyte drives but it seems I've made this much more complex than need be. I found this on their site http://ensign.editme.com/StdDev Have they pretty much knocked off this stuff that I wouldn't have to program my own? I notice they mention this site in the response.

try the think or swim demo, its just 20 min delayed but free. It has everything you need.

haha, yea maybe we need a little methadone maintance hit before the big HUP fix. Jerry, any chance you could do a video on how you use the longer time frame stats? I think I remember you said you look at longer time frames stats even for intraday, maybe that ties in with hups though.

yea damn guys, chillout. this is really interesting stuff. carcanaques, have to read this a few times to grasp it yet.I would be interested in hearing how you view money management as far as trading goes. Have you ever read Secrets of Professional Turf Betting? Thats a book I've read alot about but have never payed up for the used price.

edit: just posted something but a total tangent on quants. Better to stick to this original thread, very interesting post.

brownsfan019, have you had any problems getting anything with EZ to work in multicharts? That would probly be the easy transition from tradestation. I would also check out ninja trader too though. All the strategy programming stuff is free if you have the data feed. I'm just taking baby steps trying to program that but its really cool to have all the C# programming resources available and not have to depend on a custom scripting language.

i was just asleep at the wheel. should have been looking for a long at 49 up to 51 when it started testing 48. price was cruising through 48-51 both ways. just sat on my hands today, nothing going on for me in that chop under 48. i got nothing until we get back to 55. this is where i need to learn to scalp for 1/2 an ATR but I'm not ready for that yet.

well messy for my limited experience i should say. this is also that chop area from 2 weeks back, just seems like a pretty uncertain area right here.

I shorted the gap back to 55. An auction between 55 and 60 would be nice, doesn't look like thats happening though. This area below 55 looks like a mess to me.

yea its blasphemy to play with someone other than Layne. I just got Serj Tankian - Elect The Dead tonight, best rock album i've heard since the 90s. http://www.youtube.com/watch?v=WqoQkTQqi8o

That sounds great Tin, I had no idea it was that easy to make paneer. This woman has about 30 indian dishes on her videos, a few with paneer too: http://youtube.com/user/Manjulaskitchen I'm going to try to make at least the paneer, that was something I wasn't able to find here. walter, you could probly use cinnamon instead of garam masala, just maybe use a 1/3rd of that amount. Its not that powerfull of a spice, i'm sure it would still taste pretty much the same without it.