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MC

NYSE Up Volume($UVOL)/Down Volume ($DVOL) Comparison

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Price action always rules, but this gives a good glimpse into the health of the markets IMO. :cool:

 

UVOL-DVOL-INDU.jpg

 

So we already know nothing but price action is always 100% correct, otherwise we'd all be rich. But if you look at UVOL/DVOL expansion or contraction in relation to each other you can often get clues on which is the right side of a trade. Background weakness/divergence combined with a crossover can be a VERY powerful tool, as can just a simple crossover though often to a lesser extent.

 

Notice Thursday, wicked divergence, basically hidden selling. So you have UVOL smashing DVOL all day but most the day was consolidation. And it ended with a surge of UVOL but very light price action.

 

I'd like to have more a discussion on this and have it centralized, so though I've posted these charts before on other threads, at Walt's suggestion I'm making it a dedicated thread and have brought in my prior charts. :)

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UVOL-DVOL-$DJI.jpg

 

Below was a 5 minute chart. Walt wanted to see the 1 Minute, I can only really do 1 day to be able to keep it reasonably viewable. The 1 minute can improve your entry by showing a more granular look at just when the crossover happens.

 

This is a simple way to do so many things. I don't care what your style is, IMO this setup can benefit your timing and overall market awareness.

 

Let's open the floor to discussion at this time. :helloooo:

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Thanks for the posts. I came across this method when OpenTick was down for a server relocation and I needed alternative internals.Do anyone know which data provider may have an UVOL/DVOL ratio calculated like the ADD (advancers/decliners) ratio? Or which platform may allow the ratio to be programmed /calculated as a single line

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any ideas of how one could quantify a divergence such as this? divergence using MACD has been talked about as being a good signal, but haven't seen any results quantified.

 

have been pondering how one would work with a programmer to have divergence between price and other equity specific internal information used as an automated strategy, but not sure how to go about it. other ideas welcomed :)

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  Brookwood said:
Thanks for the posts. I came across this method when OpenTick was down for a server relocation and I needed alternative internals.Do anyone know which data provider may have an UVOL/DVOL ratio calculated like the ADD (advancers/decliners) ratio? Or which platform may allow the ratio to be programmed /calculated as a single line
I use AmiBroker and it could be easily programed in it. A code three lines long.

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Thanks Head2K and lordbinder and of course MC!

edeeb- this thread is really about Market Internals and not so much about divergence per se. Do a google search for market internals ,AD ratio, and TRIN. UVOL/DVOL is showing an aspect of what is actually happening in the broader market at that moment and is not a mean reversion indicator like CCI.

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many people look for price to diverge from the tick, money flow, up/down volume, trin, as a way to use this data. have an idea about how to go about this, and look forward to learning other ways to use this data from this thread. thx

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  edeeb said:
many people look for price to diverge from the tick, money flow, up/down volume, trin, as a way to use this data. have an idea about how to go about this, and look forward to learning other ways to use this data from this thread. thx

 

I'm still recovering from surgery so I post very lightly...sorry. IMO while you could plot RSI or other indicators off the internals I feel that's a waste due to lag time. Personally I'm using internals for confirmation of my suspicions from watching price action not an actual entry.

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09-04-2008-UVOL-DVOL-5MIN.jpg

 

OK...I realize today was a big down day...but given 7 to .5 ratio of DVOL there had to be hidden buying of some sort in there. That many sellers would have had more impact than we had today IMO. Instead the dow has flattened out and traded relatively sideways...clear divergence.

This could be some good insight EOD here or for tomorrow, remember though divergence itself means nothing so we need price action to confirm for us. ;)

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In an effort to make something simple more complicated (until I can make a true UVOL/ UVOL-DVOL indicator) here is my chop-trend indicator.It uses the correlation of UVOL-DVOL and the channel tool to draw the boundaries. At the top of the range UVOL-DVOL are highly correlated ie. moving in tandem which equals chop. At the bottom of the range they are highly uncorrelated which equals trend or at least lack of chop. The trick would be to enter your trade when the volumes diverge when its coming down from the top of the range.It does not show direction-that depends on which is ahead-up or down volume. It is set to 30 minutes in the picture based on a one minute chart. 60 seems to work nicely as well, but all are untried in combat conditions. I'm just throwing it out there if someone may find it useful and to further the thread.

UvolDvolCorr60m.thumb.gif.52e160f77c7eb2617293dd3134a0c8fd.gif

UvolDvolCorr.thumb.gif.e9551f641311b385517c7ddb70ba2bba.gif

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Thanks to the Google I found a template for a UVOL/DVOL indicator.I'm not a programmer but I rolled up my sleeves this weekend and cut and past... er...made some indicators for up minus down volume on the thinkorswim platform.:missy: UDV1 plots up-down volume on a positive-negative scale with a user adjustable moving average. UDV2 is exactly the same except the plot is the absolute value histogram with the MA tracking the absolute value as well (ie; the MA does not go negative.) I like this one better because you can better compare day-to-day ranges and can see "breakouts" of the previous day's +- volume range. credit for the originals is in the source code. They work best when charts are set to "show trading hours only" but not necessary. They don't seem to work on tick charts.

Included is an example chart of ES with both indicators shown.

Please remember the source data is NYSE up-down volume (not the underlying bid/ask volume) so putting the indicator on commodity chart may offer unpredictable results. To get them into TOS: open the text file in a word processor (wordpad is fine), then select all and copy.Instructions in second pic for after you select "edit studies" in TOS.

Cheers,

Brookwood

 

UDV1&2.zipFetching info...

 

toshelp.thumb.gif.df2afb5036fac28ec8894772e5cf5e82.gif

5aa70e8b2241e_UDV12.thumb.gif.781e6a70e30edaf0e7694f248d915df0.gif

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I'm a new member here, and this thread was the first one I happened to read. I've been using $UVOLQ and $DVOLQ and $VOLDQ (Up-Dn Vol) for a while now to trade the QQQQ using spikes in up or down volume to confirm breakouts or breakdowns. Very interesting to read about divergences though.

 

So the theory with divergences is that in my chart of the Nasdaq, the flat Up-DnVol line (yellow) in the morning suggested the down move was destined to be short lived, with the green UpVol line crossing the red DnVol line (shortly after the morning low) being the confirmation signal of the rally?

 

This green cross above red (pink?) occurs at the third green candle from (and including) the doji low, so though not catching the bottom, it got you into the right side of the move. Personally, I would have been hesitant to buy under the 10ema (cyan) line, as that MA was resistance in the morning down trend, but obviously that would have been a good long entry.

 

I think all the previous posts were regarding the NYSE Up and Down volumes. Has anyone used the Nasdaq equivelants to trade the Q's, or major Nasdaq stocks?

5aa70e9c1c922_UDVOL.png.68ddf375bc429364e77562332ea178d0.png

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I made the same post here but I thought I'd add it to the market internals forum also...

 

I don't use $UVOL / $DVOL as an indicator to enter a trade but I do plot these two on a chart to give me an idea about market breadth. +300k and I am not looking to short -300k and I am not looking to go long above/below these numbers to me signify trend. On huge gap days this can get tricky as the spread maybe + or - 300k but run in the opposite direction the rest of the day. When the spread is choppy below +300k and above -300k I trade the market as a rotational range day...

spread.thumb.jpg.0f84b8714179cdf2819e77b8b83d2268.jpg

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Go to "edit studies" and select "new study".Paste the body from the text file you downloaded into the code area, making sure to paste over the default text. Name and save your study. Voila!

Cheers,

Brookwood

5aa70ea51792f_UDV2howto.thumb.jpg.f5f83bbac6220ecc88879656191eadd0.jpg

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hi MC

could you kindly teach me how to setup the comparison chart in the Thinkorswim(TOS) platform? I am trying to create a UVOL/DVOL subgraph within the ES Chart, but seems like TOS chart only allows lines or points to be drawn in the subgraph.

How did you managed to have candles in the subgraph?

 

Gen

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  tdl138 said:
hi MC

could you kindly teach me how to setup the comparison chart in the Thinkorswim(TOS) platform? I am trying to create a UVOL/DVOL subgraph within the ES Chart, but seems like TOS chart only allows lines or points to be drawn in the subgraph.

How did you managed to have candles in the subgraph?

 

Gen

 

s1i3o5.jpg

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