Volume Splitter

[phall 10]

RT:

 

interesting point on the close update every tick; the funny thing is that there are so many variants of the compare algorithm that everyone can make something different.... that's where the real action is in my opinion.

 

i also use a methodology that is much more complex than the simple posted in this thread; my intention is (and has been, see prior posts) to help folks get started using the basic concepts and let them build from there....

 

phall

[RichardTodd 10]

i also use a methodology that is much more complex than the simple posted in this thread; my intention is (and has been, see prior posts) to help folks get started using the basic concepts and let them build from there....

 

Ok, fair enough. Given that buying 800 contracts at 901 and then selling them at 901.50 looks like 1600 contracts bought to macd2, I'd suggest the first way folks build from there is to change that part of the model. If my commercial contracts allowed it, I'd write you some code to play with. As it is, the pseudocode I've provided is already more than I should do. I'm afraid I can only help so much.

 

I'll shut up now about it. I'm just trying to help things along.

[phall 10]

the attached has the VS_MACD with the closes considered every tick, as RT suggests. i have moved the "LastClose=Close;" statement outside the block comparison loop so it will compare the close of every tick.

 

name: VS_MACD3

 

please give it a try!

 

phall

VS_MACD3.ELD

[RichardTodd 10]

the attached has the VS_MACD with the closes considered every tick, as RT suggests. i have moved the "LastClose=Close;" statement outside the block comparison loop so it will compare the close of every tick.

 

think of a case like:

 

901 1

900.75 1

901 1

901 800

901 1

 

will version3 catch the 800 trade? Glancing at it, I think it will not, because close = lastclose. I had given pseudo-code that I think works for this case, previously, though I'm sure there's any number of ways you can fix it.

 

 

Another thing, for enterprising people that want to build from here, is that lots of posts ago, Blowfish had pointed out an issue that most indicators like this have. The first tick they see can be incorrectly judged as a large trade because of pre-existing volume that had built up in a bar. To properly avoid this issue, you have to ignore the first tick you come across, aside from accounting purposes. At least, that's one way around it. On a fast chart, this is a small issue. On a 17711 share bar chart, it sucks when your splitter thinks there was a 17000 contract trade on the first tick it sees.

[davem1979 11]

Hi Guys,

 

1. I believe this video from Market Delta encompasses the idea behind this thread.

[ame=http://www.youtube.com/watch?v=8C1pH50FhGw]YouTube - Using the Cumulative Delta in MarketDelta[/ame]

 

2. Here is a thread on Cumulative Delta and splitting out large and small lot traders that I thought would contribute nicely to this thread. Read Bolter's 4th post down on the page:

 

Forums - Market Delta by bolter

 

3. Here is a MACD constructed on Market Delta----Read the 5th and 6th posts down by Bolter:

Forums - Market Delta by bolter

 

4. Here is the post from Bolter on filtering the MACD based on delta for large lot traders:

Forums - Market Delta by bolter

 

5. Sentiment I feel is incredibly important and one can track the NYSE TICK, and get a good proxy of the overall market for the day---this I think is important for a market like the ES---Brett Steenbarger has many posts about it in his blog: Here are a few:

TraderFeed: Trading With the NYSE TICK

TraderFeed: Trading With the NYSE TICK - Part Two

TraderFeed: Trading With the NYSE TICK - Part Three

TraderFeed: NYSE TICK: Using Sentiment to Trade Trend Days

TraderFeed: Identifying the Trend of Market Sentiment With the NYSE TICK: A Best Practice in Trading

 

And, as well I found a neat creative use of NYSE TICK with market profile overlayed on it posted here---just click on the pictures in the first few posts: Forums - Trading with Market Profile

 

6. EOT Pro has one another video on a special indicator that combines the volume of the NQ, Russel, YM, and ES together combined into one indicator---Since this thread is about splitting up volume, I thought this video might contribute nicely:

[ame=http://www.youtube.com/watch?v=ZzSDyRk3HpE]YouTube - Shelly volume 4[/ame]

 

7. Lastly one can use moving averages of cumulative delta that may help smooth the data, and you can even use a fast and a slower one to show potential turning points.

 

Hope this helps,

Best,

David

[phall 10]

ok, that case the existing doesn't handle (by design);

but let's go with the assumption that the 800 in your example is a buy....

 

i put the pseudocode into the latest and greatest, version 4:

 

VS_MACD4

 

so in summary:

VS_MACD2: only counts blocks on big trade close changes

VS_MACD3: counts blocks on all close changes

VS_MACD4: remembers last tick change and adds/subtracts subsequent blocks (RT can you skim that i coded it right; it's been a long day...also thank you for your ideas and involvement)

 

Anybody want to test?

 

phall

VS_MACD4.ELD

[RichardTodd 10]

ok, that case the existing doesn't handle (by design);

but let's go with the assumption that the 800 in your example is a buy....

 

I think in general you'll be happy that you did. When I look at the time and sales on the eminis, it is rare when the bid and ask rises and a big trade hits the new bid before any trades hit the new ask. I'm sure occasionally this happens and the heuristic gets it wrong, but if the alternative is designing it so that the trade is ALWAYS missed, I'll take the heuristic any day of the week. Not to mention, being able to spot a case where several big orders hit the same price in a row, and measuring it properly, will make the splitter more accurate in the case it was designed to detect in the first place.

[BlowFish 10]

Phall Haven't looked at what you are doing but you might want to concider this pseudocde. This will accumulate sideways ticks in the prevailing direction. up will be unstable until you get two different value ticks (a non issue).

 

if tick < tick1 then up= false;

if tick > tick1 then up=true;

 

if up then inc(upvol) else inc(downvol);

 

tick1 = tick;

Edited June 25, 2009 by BlowFish

[Tasuki 10]

Here are three charts showing the differences between the VS MACD 2, 3 and 4 volume splitters.

[pimind 10]

I didn't trade today but i left a chart up to track the new macd4 against the eot volsplit but my brother changed my chart at the end of day and the data rest. I will run again tomorrow and post.

 

My brother actually does better than i do an spends a lot of time in the Eot room. he is a volume and price addict and stares at the time and sales all day.

[RichardTodd 10]

My brother actually does better than i do an spends a lot of time in the Eot room. he is a volume and price addict and stares at the time and sales all day.

 

How funny.. I thought you were your brother! Yes we've been having a lot of fun watching the time and sales with him to pinpoint entries. He's had some valuable insights.

[RichardTodd 10]

Here are three charts showing the differences between the VS MACD 2, 3 and 4 volume splitters.

 

Well I'm assuming v4 was in red, right? (I just hope it's not the middle one!) :-)

 

Anyway, if you look at the red line on the 610 chart in particular, you can see that just before 9:30, just before 10:16, and just before 11:04, and right around 12:48 and 12:59 are places that price pulls back but the splitter doesn't turn. This indication that the big boys and girls are fading the pullback is one of my primary entry techniques as long as it's with the trend. I've gone over this simple technique a couple times with my live room folks, and it's always popular.

[sw9 10]

Here are three charts showing the differences between the VS MACD 2, 3 and 4 volume splitters.

 

 

 

What data feed are you using with these charts?

 

Steve

[Tasuki 10]

Well I'm assuming v4 was in red, right? (I just hope it's not the middle one!) :-)

 

Anyway, if you look at the red line on the 610 chart in particular, you can see that just before 9:30, just before 10:16, and just before 11:04, and right around 12:48 and 12:59 are places that price pulls back but the splitter doesn't turn. This indication that the big boys and girls are fading the pullback is one of my primary entry techniques as long as it's with the trend. I've gone over this simple technique a couple times with my live room folks, and it's always popular.

 

Richard, I can't believe the legends to the indicators didn't show up on the chart as it was posted. I went back to that workspace, and the legends were there, just as they should be. Very strange. Anyway, you were right. The red one is VS_MACD4. They go from top to bottom, 2 (in white), 3 (in blue) and 4 (in red). Version 3 is pretty much a failure. Versions two and four are very similar, as you can see. Maybe version 4 is a little better. Thanks very much for the lesson in how to use the indicator. Much appreciated!

 

sw9, all the coding here has been for Tradestation, and that's my datafeed and charting package.

[phall 10]

Here are three charts showing the differences between the VS MACD 2, 3 and 4 volume splitters.

 

thank you

what were the settings?

i am assuming the are in order top to bottom? 2 the highest, 4 the bottom?

p

[phall 10]

Here are three charts showing the differences between the VS MACD 2, 3 and 4 volume splitters.

 

sorry, saw that you already responded to my last question. would love to confirm that you were using the 6,10,3,99,9999 settings

 

the results are interesting; it makes sense to me that version 3 stinks

 

the lack of large difference in versions 2 and 4 is interesting. Remembering that V2 only compares the big trader closes, it suggests that you can treat them as a separate group. seems odd, but maybe if they are trading actively enough it works.

 

i think what would be interesting is to compare the v2 to v4 in low volume situations, to see the behaviour in the case that RT mentioned earlier about price being pushed around during long times between large trades.

 

 

phall

[pimind 10]

the computer that runs the eot indicators keeps freezing up today, so i won't be able to post charts, upgraded to TS 8.5 this week and have had a total of 5 freezes since.

[RichardTodd 10]

the lack of large difference in versions 2 and 4 is interesting. Remembering that V2 only compares the big trader closes, it suggests that you can treat them as a separate group. seems odd, but maybe if they are trading actively enough it works.

 

I think the main difference will be like the cases I pointed out in the posted 610 chart, which are important to me because I trade off of them. Doesn't appear to be as important for people looking for swing high divergences and such. But, when price goes up and big traders sell into it, v2 will see some of those orders as buys, which is why it tends to turn up with the price.

[Tasuki 10]

would love to confirm that you were using the 6,10,3,99,9999 settings

 

phall

 

phall, actually, I was using 6, 10, 3, 100, 9999

Just changed 99 to 100, 'cause that's what we were using with Blowfish's indicators.

 

I should have more charts today, if nothin' crashes!

[yuvalw 10]

Can somone post the most updated code of the MACDs versions? I want to convert it to ninja.

 

Thx,

Yuval.

[Tasuki 10]

Three more charts. Partial day today (good thing the flu virus can't get thru a computer, or you'd all get my cold).

Comparison of VS_MACD versions 2 and 4. Some interesting differences. In some cases, the earlier one seems to anticipate the next move, and in other cases the later version seems to do a better job.

Not quite sure what to do to get one consistently better indicator. phall, Richard, anyone---ideas?

Tasuki

[RichardTodd 10]

Three more charts. Partial day today (good thing the flu virus can't get thru a computer, or you'd all get my cold).

Comparison of VS_MACD versions 2 and 4. Some interesting differences. In some cases, the earlier one seems to anticipate the next move, and in other cases the later version seems to do a better job.

Not quite sure what to do to get one consistently better indicator. phall, Richard, anyone---ideas?

Tasuki

 

A line that goes straight up would appear to anticipate every up move, so I'm not sure that's the best way to go forward. If you want suggestions, I'd probably take a screen capture movie of the ohlc (non-macd) of the models beside a time and sales window, and review it for anomalies. If there are easy ways to improve upon the models, that'd be how I went about finding them.

[RichardTodd 10]

I meant to also say: another easy way to 'stress-test' models is to put them on, say, 800+ trades instead of 100ish. This way, you don't have to check as many data points, and the biggest trades are arguably the most important to get right anyway. In other words, if I had a model that wasn't as good as 4 at catching 100-lots, but ALWAYS got the 1000-lots correct, that's a trade I'd take (no pun intended).

[cooper59 10]

Again, I always like to thank the contributors of this Forum as it is by far the most intelligent and thought provoking group I have found anywhere on the Internet. That being said... I know the splitter has been the main focus here but at the bottom of permalink #355 (which David posted), Bill from EOT I thought had a very interesting concept. It was basically combining the volume of the ES, NQ, YM and RUSSELL into one volume indicator and using this indicator to find price divergence. I found it very interesting to see if one (or more) of those markets were leading the pack or driving the price on the day, if the divergence showed any importance? In his examples it showed a definite correlation. Any other thoughts or idea's on this concept? Thanks for sharing Bill.

[flyingdutchmen 10]

i guess making a combination of more then just one index could be done

by reffering to more data's like data2 data3 etc but in order to make that

succesfull i think it is cruicial that we are satisfied with the "main" splitter as a

"combination"-splitter would only longer the skript but not make it much more

complex

 

could anyone of you guys be so kind to please post a text version of the

VS_MACD4 skript as i am unable to import the ELD files i am still runnig

the BlowFish bar-splitter without any smoothing