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jperl

Trading with Market Statistics XI. HUP

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Hi Jerry

first ..thank you a lot for your nice job here

I would like to ask you please. I red almost all your threads but my english is not very good and I didnt get self- contained information about study that you use . I am new user of enSign (I downloaded trial version) but I cant see study SD,PVP,VWAP.... Please give me some information about it or I have to program it ???? Thank you very much.(sorry maybe offtopic)

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  Râlex said:
Jerry, in your global strategy, when you talk to dynamic HUB, can you quote the virgin POC (of steidlmayer) too ?

 

Thanks.

 

Alex

 

If you are asking, do I include previous PVP's as dynamic HUP, the answer is yes. In fact, if I see price action approaching a PVP, I will just stand aside and not trade there. If I am already in a trade and price action approaches a PVP I will usually exit there. As far as the PVP's being virgin or not, I don't make a distinction between virgin or non virgin ones.

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  kuky969 said:
Hi Jerry

first ..thank you a lot for your nice job here

I would like to ask you please. I red almost all your threads but my english is not very good and I didnt get self- contained information about study that you use . I am new user of enSign (I downloaded trial version) but I cant see study SD,PVP,VWAP.... Please give me some information about it or I have to program it ???? Thank you very much.(sorry maybe offtopic)

 

Kuky,

If you have the latest ensign version (Nov 13 version), you will find the VWAP and SD as one of the studies. Just right click on your chart and choose studies. At the bottom of the list is the VWAP. To get the PVP, choose the price histogram study and set it to volume. The PVP will appear as a red line on the histogram

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Found these great threads lately.

 

Just wonder:

When I used to look at technical analysis, the indicators use to leg the real action. My understanding was: most traders are familiar with the technical-analysis and use it - causing the indicators to become less efficient.

 

If many are going to use the tecniques presented here, would it still work?

 

Ofer

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  jperl said:
If you are asking, do I include previous PVP's as dynamic HUP, the answer is yes. In fact, if I see price action approaching a PVP, I will just stand aside and not trade there. If I am already in a trade and price action approaches a PVP I will usually exit there. As far as the PVP's being virgin or not, I don't make a distinction between virgin or non virgin ones.

 

The pvp is a dangerous point, i understand now why !

It is as it that I go trade, thank you still for your advices.

 

Best regards.

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  ofer said:
Found these great threads lately.

 

Just wonder:

When I used to look at technical analysis, the indicators use to leg the real action. My understanding was: most traders are familiar with the technical-analysis and use it - causing the indicators to become less efficient.

 

If many are going to use the tecniques presented here, would it still work?

 

Ofer

 

Ofer, what's presented here in these threads is not a "method", but a way of viewing the price and volume distribution. No matter how many traders looked at the volume distribution, the distribution would still be valid, since it represents the statistics of all trades that have taken place. There would still be a PVP, a VWAP and a SD. How you use that information is highly personal depending on your trading style and objectives

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Just finished reading all the threads and viewing the vids in this Trading w/Stats series by jperl.

 

Thank you very much Jerry for the threads & vids, for fielding the questions & comments, for being generous and patient to create an excellent opportunity to learn. You are a mensch!

 

Thanks to all of the other folks that participated w/ questions, comments, opinions, suggestions, and creating replicas of Jerry's indicators for other apps.

 

Regards to all,

Lee

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Jerry;

you have presented an excellent methodology :thumbs up::thumbs up::thumbs up:;

a vast improvement over market profile.

THANK YOU.

 

I found your Trading with Market Statistics threads on Friday, after your comments on the market profile setups presented at trading-naked.com.

 

Take care.

Unicorn.

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  Karish said:
This is the ES price action from yesterday, excellent trading day, with 1,2,5,10 Days VWAP & SD and 1 Month (this is my history depth). Nice price action next to previous SD HUPs marked in ellipses. Todays statistics are solid lines and longer period are the dash lines.

 

 

Cheers

Karish

 

Hello Karish;

 

Beautiful AmiBroker chart;:):)

 

would you be willing to share your Amibroker code?

 

cheers.

Unicorn.

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Hello Jerry and fellows;

 

My indicators are not be perfect yet; thus I don't have HUPs from previous days on my chart.

 

This is today's price action on ES. I am still learning this methodology.

Jerry I would appreciate your comments.

 

I would also appreciate a chart with HUPs. I trust that they would provide further guidance for trade management.

 

cheers.

Unicorn.

5aa70e2ad77d9_VolumeProfileTradingES12-12-2007.thumb.png.696db09913495ff84d13f9c34104e2b6.png

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This is the Volume Statistics chart for NQ.

 

I would appreciate your comments, on the trades that I can identify.

 

My understanding of the concepts applied to NQ price action today is:

When the VWAP is close to the PVP, on the other side of price action, expect oscillations, do nothing.

For advanced traders only: If you expect a breakout, you can enter on the breakout of sd1 or sd2, trade direction away from VWAP.

QUESTION: Could this be applied today after 14:16 EST?? By the way, chart time is EST + 7hours.

 

Jerry, I would appreciate your NQ chart with HUPs and your remarks on the guidance that HUPs would have provided to the NQ trade management.

 

Thank you.

Cheers.

Unicorn.

5aa70e2ae2e99_VolumeProfileTradingNQ12-12-2007.thumb.png.1936c52a7f9d5aa6f26149ce4e317353.png

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Finally, today's ER chart.

 

I would appreciate your comments on the trades that I can identify.

 

Jerry, I would appreciate any suggestions for exits, in the case that price does not reach the next sd target. Would you use an indicator?

 

Thank you.

Take care.

Unicorn.

5aa70e2aeef3f_VolumeProfileTradingER11-12-2007.thumb.png.a5a0772066bf782bb90d1d0ea5740608.png

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Hi Unicorn,

 

On this last trade i saw one error :

 

-your firts SD' s entry (even if good after) is wrong cause the skew is near 0 so not short trade but pull the trigger LONG (vwap target) !

 

-After, all good for me.

 

Being "a" Newbie, i believe and wait your comments, explications.

 

Thanks @+

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  Râlex said:
Hi Unicorn,

 

On this last trade i saw one error :

 

- your firts SD' s entry (even if good after) is wrong cause the skew is near 0 so not short trade

 

I see your point Alex;

Thanks.

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jerry, finding some interesting uses for the longer term hups with options trading. skew is very important in options trading. these are great levels to put credit spreads on and to help you predict when volatility of the options is going to go up or down. for example, when pvp = vwap, volatility seems to get sucked right out of the options. might want to keep an eye on how this relationship acts during options expiration week. from what i have seen, you get pvp = vwap alot and pvp jumping over vwap alot. more than normal. thanks i have enjoyed your posts.

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  raa1010 said:
jerry, finding some interesting uses for the longer term hups with options trading. skew is very important in options trading. these are great levels to put credit spreads on and to help you predict when volatility of the options is going to go up or down. for example, when pvp = vwap, volatility seems to get sucked right out of the options. might want to keep an eye on how this relationship acts during options expiration week. from what i have seen, you get pvp = vwap alot and pvp jumping over vwap alot. more than normal. thanks i have enjoyed your posts.

 

Thanks raa, glad to see that you have found market statistics useful for options trading. I think that's a nice addition to the whole subject

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Hi Jerry,

 

I have been following and studying your lessons for several weeks now and am amazed. I primarily trade the ES and have been using divergence to give me a bias to the up or down side, however, adding the VWAP (by the way - thanks for the indicator DBTina, fantastic work) has helped me a lot and your skew methodology appears even better than my indicators.

 

I am wondering if you or anyone else in this thread using your methodology is interested in starting a PalTalk room to call out possible trade setups etc.

 

Again, thank you so much for everything.

 

Cheers, Michael

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Jerry,

 

Thank you very much for putting together such a comprehensive pack of lessons on using this approach to trading. I have used VWAP extensively in the past to trade US Stocks but not in the same way that you describe here which has given me new knowledge and approaches.

 

I see from some of your videos that you appear to be using IB as a data source into Ensign. Have you found this to be adequate as I know a few years back that the volume data from IB was way out (up to a factor of 10 times actual) ?

 

I am also curious to hear if this can be used effectively for Forex because getting the actual traded volume for Forex is at best very difficult and the correct VWAP completely relies on accurate volume data.

 

 

Paul

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  Trader333 said:

I see from some of your videos that you appear to be using IB as a data source into Ensign. Have you found this to be adequate as I know a few years back that the volume data from IB was way out (up to a factor of 10 times actual) ?

 

Paul,

I am glad you find the trading with market statistics threads useful to you. I know I learned a lot by putting them together. From my past experiences as a teacher, I've learned that the best way to try and understand something is to teach it. If you can't teach it, then you don't understand it.

 

As far as IB goes, I have not experienced anything unusual about their volume reports. They seem to be ok for the generation of the volume distibution function

 

  Trader333 said:

I am also curious to hear if this can be used effectively for Forex because getting the actual traded volume for Forex is at best very difficult and the correct VWAP completely relies on accurate volume data.

 

If you don't have volume for forex, you can still use the price distribution function and generate and average price in stead of a volume weighted average price. Should work ok. This can be done in Ensign as well.

JERRY

 

 

 

Paul

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Hi 333,

 

I think you might be mistaken. IB aggregate ticks soyou might get substancially fewer however they add all the volume into those fewer ticks (if you see what I mean). Long story short fewer ticks, equal volume.

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Jerry,

 

That is great that you have found IB to be OK for volume as that was my only concern and if it works for you then it is fine for me. Thanks also for your comments on Forex which I will apply.

 

Blowfish,

 

I think IB must have sorted this out and the only reason I asked was because back in around 2003 I was using IB as well as eSignal and plotting volume for both on US Stocks. There was a very big difference between what I was reading from IB and that of eSignal at the time. It is great though that my concerns are not an issue any more and I am very much looking forward to applying this approach.

 

 

Paul

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