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jperl

Trading With Market Statistics I. Volume Histogram

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I wonder if you are trading spot fx as you are using MT4? If you are I would be a bit wary, what is actually reported is bid ask changes rather then actual traded volume. It might be good enough, but for a technique that is entirely based on the statistical analysis of volume and price you might want to consider instruments where that is reported. (Even last price is a 'guesstimate' in FX).

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Hi Blowfish,

 

Thank you for your answer.Can you elaborate more on what you mean by "bid ask changes".

 

I always hear about that volume in FX(or spot FX, is there any other FX type?) is untrustable. I was thinking it is untrustable because the only volume figure your broker can give you will be the volume that your broker handled(or made the transaction lets say). But i was thinking if you select a big company as your broker that volume should also reflect the worldwide volume(or interest lets say). Am I completely wrong?

 

For using MT4, I have a script which converts the metastock files of istanbul stock exchange EOD data into MT4 .hst files so i can make offline analysis. This would be my next question what do you guys think about using jerry's statistical techniques in stock exchange analysis.Especially if you have only EOD data?

 

Instead of using 2 minutes data selecting the day as the start maybe we can use daily data using the month as the start? What do you think? (or maybe instead of using a fix start we can use a sliding window concept?!)

 

( I hope I am not asking questions already asked as I have not yet read the whole threads)

 

Thanks again.

 

Akif,

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No not completely wrong :D It's one of those age old arguments. Going back to a statistical argument. People generally accept that the FX market is trillions a day, is a sample size of a few hundred thousand that a bookie conducts a significant sample?

 

IBFX is meant to be quite good as far as bucket shops go (for volume figures) so I opened an account with them. To me the volume just seems a bit 'off'.

 

The best thing would be try it and see (if you can find some indicators), or you could use the FX futures and a different package for charting (maybe ninja or sierra).

 

It could be that the way of sampling and recombining the data that are presented here might minimise inaccuracies, who knows?

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In one post Jpearl compares the Volume histogram high volume price( PVP) to the POC in market porofile......I want to get started on the right track while digesting these threads so Isn't the POC based on TIME where as the PVP is based on volume....a very big differnce sometimes.....

 

Is Jerry assuming most MP players now use Volume for their MP charts in stead of time...?

 

Thanks for any input

 

JE

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In a later thread you will see some discussion on this. PVP is a statistical measure whereas POC is a heuristic approach. Whilst they look similar the ways that Jerry suggests using these statistical measures don't really share that much with the way people tend to use MP. The short answer to your second question is no.

Edited by BlowFish

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hey Jerry, I love the technique. You have indeed taught me. My question today is with the FX. I have been interested in plotting the volume distribution on the forex but it does not seem to have the same results as plotting the distribution as with other vehicles. I guess my question is. If you plot the Volume and get the price on the close of the bar, as you could do with any simple volume indicator, would this be the same price (the peak volume point) as the peak volume price on the volume distribution histogram. I think my question is, what is the difference between the volume distribution and the volume?

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hey Jerry, I love the technique. You have indeed taught me. My question today is with the FX. I have been interested in plotting the volume distribution on the forex but it does not seem to have the same results as plotting the distribution as with other vehicles. I guess my question is. If you plot the Volume and get the price on the close of the bar, as you could do with any simple volume indicator, would this be the same price (the peak volume point) as the peak volume price on the volume distribution histogram. I think my question is, what is the difference between the volume distribution and the volume?

 

The answer to your question is no. When you plot volume for every bar, the single bar with the largest volume is not the PVP. To obtain the PVP you have to sum all the volumes for each price and find the price with the largest sum. This sum could be from a price with lots of small volumes occurring many times and may not be anywhere near the price bar with the largest volume.

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Are a bunch of posts deleted in this thread? Didn't see anything informative after the first post by jperl.

 

Possibly. A couple of the later threads where somewhat shorter but I seem to remember this one being longer than 5 pages.

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I'm little confused. I don't know what is the exact formula to calculate PVP. Infact, I have ensign trial, Ninjacator.com Volume at price indicator, Acme for ninja and amibroker indicator(VAP).

 

All are giving different values? If anyone can suggest a reliable indicator or exact formula to calculate PVP for ninja or amibroker?

 

Thanks.

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I'm little confused. I don't know what is the exact formula to calculate PVP. Infact, I have ensign trial, Ninjacator.com Volume at price indicator, Acme for ninja and amibroker indicator(VAP).

 

All are giving different values? If anyone can suggest a reliable indicator or exact formula to calculate PVP for ninja or amibroker?

 

Thanks.

 

PVP is what it is: Peak Volume Price. Volume at price should provide the info, but I don't have Ninja so do not know if it would give you the correct historical info bar by bar or not but certainly it would be correct at end of day. I have seen indicators where it is estimated by assuming each price tick in a given bar has the same volume (ie total volume/total range) but the most correct way is to spit the data out by tick and aggregate the volume by price that way.

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