Volume Splitter

[diablo272 10]

Being able to use the indicator and being able to understand exactly what it does and how it does it are two different goals.

[Tasuki 10]

The more the merrier.

 

I wish you had posted them during the week;

when people's memory on the day's action was still fresh on their mind, people could relate to the signals better.

 

Sorry, Tams, their legal noticed didn't forbid such posting, but it seemed uncool to post their stuff on our forum while my trial was ongoing.

[Tasuki 10]

Hey guys,

 

Great thread. There is a similar one on the Ninja forum as well that got re-started after the "dumb money" videos were posted. It wasn't long ago I found out about EOT and started researching them as well. So far they seem like good guys.

 

But I have to ask... you are spending a lot of time on this, a surprising amount of time in fact... if this indicator is so good, why don't you just buy it? I mean it is pretty cheap I think, one good trade a month and you'll more than pay for it...

 

Still with that being said, I would like the source simply because 1) I want to tinker with it in hopes of improving it, and 2) I also dislike having to lease them vs. being able to buy them out right.

 

However, at the end of the day, there is a lot of work going on here and I would think your time is more valuable -- just buy (lease) them... ?

 

Mike

 

Mike (control-bark, nice handle),

Maybe you're rich, but $233 per month, every month, is too much money for me. I mean, for less than half that, Tradestation gives you an entire charting platform, a data feed, an order entry platform, a Radarscreen, access to Forex, futures and options markets, etc. etc. etc. Yes, you're right, the EOT crew seems to be a nice bunch of people, but so do Hubert and John, who are playing the same game, and getting filthy rich from it. You may recall the old saying that the people who got rich during the gold rush were the folks selling the picks and the shovels. Same deal here. These folks, just like the more disreputable pair, Hubert and John, are selling the tools that traders use. More power to 'em, but I want to bring my own tools.

There's another reason for spending so much time on this indicator---understanding where the big money is going is very much like VSA--this is just a different approach to the same question. If we can create a reliable way to do this, it will act as a confirming indicator to VSA signals, giving us more confidence in our trade.

[ctrlbrk 10]

Hi Tasuki,

 

I'm not familiar with who Hubert and John are but don't want to get off-topic. I understand that $233 is more than Tradestation, but it's also less than 1 stop on the ES with a few contracts and say 8 tick stop. I was just expressing that I think you can't be afraid to spend money to make money. If there is an advantage to having a faster computer, or faster internet connection -- if they made you more money -- then wouldn't you subscribe to them/buy them?

 

Anyway, I've expressed my opinions and I respect yours. Thx!

 

BTW, the nick stands for control-break, as in pressing the control key and break key on the keyboard -- back from the early days of DOS when that combination meant something.

 

Mike

[Tasuki 10]

Here's another chart of the big money vs. the dumb money, this time from Thursday, June 4.

 

In this chart, they are showing how the smart money (the big traders---indicator over price) is tracking price very nicely, whereas the dumb money (yellow indicator in subgraph 2, indicator set to 1-5 contracts) seems to be doing the exact opposite of price---they seem to be buying when price continues to fall, and selling as price rises.

 

My question has to be--if this really is true, if this indicator (the yellow one in subgraph 2) is really showing the small traders acting like total idiots over and over and over and over and over and over again, how the hell do they fund their accounts? Looks to me like the small traders would be getting wiped out in short order. Think about it--doesn't this seem suspicious? The EOT main trader mentioned that the small traders do sometimes make money, but by his calculation, only 15% of the time, whereas the other 85% of the time they get their heads handed to them on a silver platter. Can this possibly be right? Woulldn't they be blowing out their accounts with statistics like this? So, I'm a tad suspicious, that's all. Seems too "pat", too obvious. There's got to be more to the story than this.

[Tasuki 10]

These charts come from the EOT live trading room from Wednesday, June 3. These are all 5 minute charts of the ES. The horizontal lines are their version of Murrey Math. They have two moving avarages in magenta and cyan (not sure what settings they used), and the important indicator is the red and white one in subgraph 2, their EOT volume splitter that we're watching. As mentioned in my previous posts, this indicator is tracking only trades above 100 contracts, so in other words, it shows, or purports to show, what the big traders are doing.

 

I've included this as a series, which I'll continue in the next post, so you can see how their indicator works as the day progresses. The times of these snapshots are as follows (all times California):

8:54 AM

9:38 AM

9:43 AM

10:18 AM

10:33 AM

10:35 AM

11:00 AM

11:47 AM

 

To be continued in next post

Tasuki

Edited June 6, 2009 by Tasuki

[Tasuki 10]

This is a continuation of the previous post.

 

Times for these snapshots are:

12:15 PM

12:32 PM

13:15 PM

 

Notice especially how there was a double bottom in the indicator before price made a double bottom. At least the double bottom in the Vol Splitter signaled a potential change in direction for price. However it took a few more bounces of the indicator before price started to go north again.

 

Hope this helps someone/anyone (or am I just wasting my time?).

[Tasuki 10]

Hi Tasuki,

 

 

BTW, the nick stands for control-break, as in pressing the control key and break key on the keyboard -- back from the early days of DOS when that combination meant something.

 

Mike

 

Mike,

Hideously off topic, but too cute to pass up---since your avatar shows a picture of a cute puppy (presumably yours?), I thought you might be making a subtle pun, control-break --> control-bark.

Tasuki

[AgeKay 10]

Here's another chart of the big money vs. the dumb money, this time from Thursday, June 4.

 

In this chart, they are showing how the smart money (the big traders---indicator over price) is tracking price very nicely, whereas the dumb money (yellow indicator in subgraph 2, indicator set to 1-5 contracts) seems to be doing the exact opposite of price---they seem to be buying when price continues to fall, and selling as price rises.

 

My question has to be--if this really is true, if this indicator (the yellow one in subgraph 2) is really showing the small traders acting like total idiots over and over and over and over and over and over again, how the hell do they fund their accounts? Looks to me like the small traders would be getting wiped out in short order. Think about it--doesn't this seem suspicious? The EOT main trader mentioned that the small traders do sometimes make money, but by his calculation, only 15% of the time, whereas the other 85% of the time they get their heads handed to them on a silver platter. Can this possibly be right? Woulldn't they be blowing out their accounts with statistics like this? So, I'm a tad suspicious, that's all. Seems too "pat", too obvious. There's got to be more to the story than this.

 

Remember, that there is a huge amount of automated trades in the U.S. equity markets which probably explains the small trades being on the wrong side - because they have the opposite position in the equities. See the attached order size analysis by CME Group which shows that 2/3 of all contracts traded are of order size 1-5 ("small"). The "big" trades (>50) are only 5%. So there is surely more to it than "big" vs. "small" traders where big traders always win and small traders always lose.

 

Most indicators are sold with a story (which is usually extremely simplified, based on anecdotal evidence or not even true) to explain the indicator and make you feel good about the indicator bought.

 

P.S.: I did not find the attached file myself, I got it from another related thread where someone posted it, but the source is CME Group.

E-Mini S&P Order Analysis by CME Group.pdf

[Tasuki 10]

Just a caveat to the notion that the actions of the big traders must follow the patterns of price.

 

As I point out in the legend to this chart, there are times when the big traders are buying as the price is going down and selling as the price is going up. This HAS to be true, so one needs to be careful about following the "smart money" too closely--unless you have mastered the concepts of accumulation and distribution. For those of you unclear on the concept, I recommend reading books by or about Jesse Livermore, and also reading Traders Laboratory's own very excellent sections on Wyckoff and VSA.

 

Anyway, forewarned is forearmed.

 

Tasuki

[Tasuki 10]

P.S.: I did not find the attached file myself, I got it from another related thread where someone posted it, but the source is CME Group.

 

I tried to open your pdf file, but I got an error message:

"There was an error opening this document. The file is damaged and could not be repaired."

 

Tasuki

[diablo272 10]

It worked for me, but here it is once again just in case.

E-Mini S&P Order Analysis by CME Group.pdf

[yuvalw 10]

Thank you very much Tasuki, I wanted to check it today but forgot that the "great" IB data feed is not working on Saturday so I can't get historic data for the past week :doh:

[Tams 20]

Hi Tasuki,

 

I'm not familiar with who Hubert and John are but don't want to get off-topic. I understand that $233 is more than Tradestation, but it's also less than 1 stop on the ES with a few contracts and say 8 tick stop. I was just expressing that I think you can't be afraid to spend money to make money. If there is an advantage to having a faster computer, or faster internet connection -- if they made you more money -- then wouldn't you subscribe to them/buy them?

 

Anyway, I've expressed my opinions and I respect yours. Thx!

 

BTW, the nick stands for control-break, as in pressing the control key and break key on the keyboard -- back from the early days of DOS when that combination meant something.

 

Mike

 

 

 

money was never the issue.

 

if it were, then you have nothing to worry about, because these type are not going to get anywhere from here.

 

 

if you read the threads in more detail, you will find that people just like to understand how things work... people tinker with indicators, not as a way to save money, or as a way to cheat, but to find out what makes a move that moves, and what makes a chop that chops.

 

I am sure deep inside you, you are just as curious, unless you have a propensity to trust black boxes blindly.

[Tasuki 10]

It worked for me, but here it is once again just in case.

 

Thanks, diablo. This time it worked!

Tasuki

[yuvalw 10]

OK, I was able to take data from my other computer...

 

I wanted to compare the EOT to the regular oscillator I'm using to see if there is a difference, and as I expected, there isn't a major one...

 

I uploaded 2 comparisons where you can see both the EOT (lower chart) and the regular oscillator (upper chart), the 2 charts are not perfectly aligned but close.

Note that the major turning points are the same in both indicators, the amplitude is slightly different.

I compared only few cases and I might be wrong, but I got the feeling that the EOT is just another indicator based on ROC (like RSI, Stoch etc.), regardless of "big" / "small" traders.

 

The oscillator I'm using is a moving average of the StochasticRSI, as seen here:

stoch, rsi modified - wonder indicator - NinjaTrader Support Forum

 

Settings:

RSI - 13 days.

Stoch period - 8

StochRSI MA period - 5

There is also a signal line I removed from the pics I uploaded but you can see it in the link above, the signal line period I use is 3.

 

Can someone run this oscillator on Blowfish volume splitter indicator (instead of price as I did)? this will measure a ROC of the "smart money"?

 

Yuval.

[Tasuki 10]

I wanted to compare the EOT to the regular oscillator I'm using to see if there is a difference, and as I expected, there isn't a major one...

 

Yuval.

 

Yuval, your oscillator is colored light yellow, and at least on my computer is virtually invisible. I had to manually adjust my brightness to nearly zero to see it at all. Could you repost it please, changing the color to black, or any color with good contrast, pretty please?

 

As hard as it was to see, I did manage to see what looked like some differences to me. Maybe I'm wrong. One question I'd have is whether your oscillator can mimic the "dumb money" simply by changing its settings. I doubt very much that it could do so, but again, perhaps I'm underestimating your StochRSI MA.

 

In order to make a clear comparison, I'd love to get my paws on a copy of this "wonder indicator" for Tradestation. Do you know if anyone has translated it into Easy Language?

[yuvalw 10]

I attach only my charts of June 2nd and 3rd, this are the days you showed.

I have no "wonder" indicator, it is only a WMA (or SMA) on StochRSI, which helps in gauging the market momentum, as any momentum indicator you want to use it in 2 timeframes though.

 

I don't have TradeStation, but this code looks right:

Trader.Online.pl® - TradeStation™ Zone - StochRSI

 

Again, this is not the EOT indicator, but the direction of both indicators is the same, hence I don't see the benefit of the EOT...

[Tasuki 10]

Yuval, you da man! Thanks for the indicator. Looks good.

Attached is the closest I can come, after the fact, to a direct three-way comparison.

Charts represent price action last Tuesday, June 2, at about 11:43 AM PDT on the ES, 5 minute chart.

indicators:

left chart: the StochRSI ala Tradestation

middle chart: EOT's Vol Splitter

right chart: Blowfish Vol Splitter #4

 

Tasuki

[bakrob99 11]

... they seem to be buying when price continues to fall, and selling as price rises.

 

My question has to be--if this really is true, if this indicator (the yellow one in subgraph 2) is really showing the small traders acting like total idiots over and over and over and over and over and over again, how the hell do they fund their accounts? L

 

I believe that what you are seeing are the small lot traders closing out their losing positions from the long positions they took earlier. It doesn't mean they are idiots. It means they are being stopped out and controlling their losses.

[bfrank2 10]

Hey Tasuki,

 

I appreciate all the work you've done. Do you have TS code for the Blowfish Indicator you show the screen shot of in post #198?

 

Thanks,

Bruce

[daedalus 10]

I don't have TradeStation, but this code looks right:

Trader.Online.pl® - TradeStation™ Zone - StochRSI

 

Anyone getting this code to work in TS? It verify's just fine but upon adding it to a chart I get a error saying "Floating point invalid calculation".

 

Ideas?

[bfrank2 10]

To clarify, in thread #221 you show histograms, whereas the posted code is a line chart.

[Tams 20]

Anyone getting this code to work in TS? It verify's just fine but upon adding it to a chart I get a error saying "Floating point invalid calculation".

 

Ideas?

 

 

it works ok in my MultiCharts.

 

What symbol/resolution is your chart?

[cooper59 10]

Yuval, you da man! Thanks for the indicator. Looks good.

Attached is the closest I can come, after the fact, to a direct three-way comparison.

Charts represent price action last Tuesday, June 2, at about 11:43 AM PDT on the ES, 5 minute chart.

indicators:

left chart: the StochRSI ala Tradestation

middle chart: EOT's Vol Splitter

right chart: Blowfish Vol Splitter #4

 

Tasuki

 

Is there an ELD for the Blowfish Vol Splitter #4? I have tried to search for it but I seem to find the earlier ones only. I know it's a pain in the rear for those of you who are programers and I am just starting to learn the Easy Lang. but this indicator would be nice to download if at all possible. Thank you in advance. TL is the best!!!