The Price / Volume Relationship

[amisme 10]

I have a hard time with big laterals. Spied on FilterTip's chart to see if I was crazy for putting two traverses in a lateral formation. At this time, I believe I am mostly not crazy.

 

With that resolved, other things became clear.

 

I think I may be off track somewhere, though. One thing that comes to mind: the last 3 bars of Friday and the first 4 bars of today I have annotated as a down traverse. If it is a traverse, the down channel we had yesterday completed and we started a new up channel today on bar 4. If it is a tape, then it means Friday's down move was all a traverse with the FTT falling on bar 4 of today. Volume isn't clear end of day because it always comes out the same shape.

 

edit: Come to think of it, I justified the traverse annotation by how many things it would break if it was just a tape. All the volume annotations around it going well into Friday would have to be rethought and reworked. Down traverse was what must come next, and what must have happened, given what happened before and what happened after.

Edited February 27, 2012 by amisme

[FilterTip 10]

I have a hard time with big laterals. Spied on FilterTip's chart to see if I was crazy for putting two traverses in a lateral formation. At this time, I believe I am mostly not crazy.

 

With that resolved, other things became clear.

 

I think I may be off track somewhere, though. One thing that comes to mind: the last 3 bars of Friday and the first 4 bars of today I have annotated as a down traverse. If it is a traverse, the down channel we had yesterday completed and we started a new up channel today on bar 4. If it is a tape, then it means Friday's down move was all a traverse with the FTT falling on bar 4 of today. Volume isn't clear end of day because it always comes out the same shape.

 

edit: Come to think of it, I justified the traverse annotation by how many things it would break if it was just a tape. All the volume annotations around it going well into Friday would have to be rethought and reworked. Down traverse was what must come next, and what must have happened, given what happened before and what happened after.

 

Yes, you've got it right that a "thing" is down, where it is down from, at end of Friday and where it ends, 4 bars into today.

 

It seems to be more about what that "thing" is, a tape or a traverse.

 

It's the expectaion of what makes a traverse, ie at least 3 x tapes.

 

This is an issue that's been raised before and I use the word issue for a reason.

It's because, for us, without that difinative construct of what makes a traverse, we're left without ever knowing what we have.

ie: If "by definition" we need at least 3 tapes to make a traverse, well when I've got a down tape (to traverse P2) and an up tape (to T P3) I'm expecting a last down tape.

 

And when it doesn't come and rather price goes up, I'm thinking WTF.

Somehow, what I thought was a down tape, must have been a traverse.

 

Hence, an "issue".

 

So without, and I repeat without, wanting, wishing, intending or having any inclination to re-invoke that "issue" I can only say that it's at about this point that we start thinking a bit differently in terms of putting things into neat boxes with labels on them.

 

Yes I know.....helpful info FilterTip but a little vague no ?.

 

What I'm trying to put across here is that "at some point" we know what we thought was wrong.

So long as we define that point, and it is a price point so it is definable.

ie: in a down "thing" that price point of knowing we are wrong is the P1 price of that down "thing" (if that blows whilst thinking we still have a down thing, then we know we are wrong.

 

Again, helpful , but...it leaves a but doesn't it ?

That "but" is something like, "but I want to know where I am and why ALWAYS".

Sure so do I, "but", there are times when we either don't or re slightly wrong.

 

Apparantly that's to do with pace.

 

So that tape was a traverse because of Pace.

Pace, for me has never ever been defined.

Perhaps it's not a quantifiable thing.

Perhaps it's more about "feel" or experience.

 

My point is this, and I'm not preaching, this is just the oppinion of a lowly Hershite.

Perhaps jsut think of each thing as a "container". They are not always built according to a defined criteria tht we can always see or quantify.

For as long as we can we do pretty well.

For those times that we can't or don't we have our "wrong point" P1.

 

So amisme, you got a container start, direction and end correct.

Not too shabby me thinks..

From that you could fairly quickly determine what you NOW have, and moved forward pretty well with that...

 

I'm sure you know all of this anyway.

 

I'm not sure how this sounds or comes across.

I mean with the best of intention.

 

I just wanted to help anyone stay both focused on what is good with what they are doing that works, and to not undo that, because of what seems to not work.

It's very easy imo for that to happen.

It gets confusing between what to know is right and what is not.

 

Perhaps the above, which is more about a mind set that utilizes this method, rather than the method messing with our mind, can help. Hope so and wishing everyone well...

Edited February 27, 2012 by FilterTip

[FilterTip 10]

I have a hard time with big laterals. Spied on FilterTip's chart to see if I was crazy for putting two traverses in a lateral formation. At this time, I believe I am mostly not crazy.

 

With that resolved, other things became clear.

 

I think I may be off track somewhere, though. One thing that comes to mind: the last 3 bars of Friday and the first 4 bars of today I have annotated as a down traverse. If it is a traverse, the down channel we had yesterday completed and we started a new up channel today on bar 4. If it is a tape, then it means Friday's down move was all a traverse with the FTT falling on bar 4 of today. Volume isn't clear end of day because it always comes out the same shape.

 

edit: Come to think of it, I justified the traverse annotation by how many things it would break if it was just a tape. All the volume annotations around it going well into Friday would have to be rethought and reworked. Down traverse was what must come next, and what must have happened, given what happened before and what happened after.

 

Hi amisme.

I considered the 11:20 (EST) lateral ended on the 13:05 IBGS on inc vol that pierced the lateral boundary. There were a few other that "came close" by one tick.

but that 13:05 synched in with the end of the leg,

 

Just to add, i'm not clear about the bar/volume colour scheme you're using ?

 

Cheers

Edited February 27, 2012 by FilterTip

[amisme 10]

 

Just to add, i'm not clear about the bar/volume colour scheme you're using ?

 

Cheers

 

I'm not clear either! I assumed that at some point I would have spent enough time with Ninjatrader to find that and tweak it. At this point I'm thinking it is done by writing it in Ninjacode or whatever and adding it to my charts as an indicator. I will probably do it eventually. Right now I have a lot on my plate.

 

Re: your other post, good points, and I am glad you took the time to make them. I propose a refinement to that thinking, though.

 

Somewhere not too far back in this thread, someone - I forget who - says that "rules will get you into trouble" with these methods. In just the last few pages, I've been told a few times not to be too rigid. Also however, Spydertrader puts heavy emphasis in being consistent with how you annotate. I do not believe that this is a contradiction, but it is worth a closer look.

 

For a few months I was in a place where I knew my annotations were not perfect, but they were usually correct, and I did some trading that way. I had some nice wins, but I took some losses that made me very uncomfortable. My fractals never seemed to hold together for very long before I ran into something that invalidated what I had been doing and started over. Mentally I knew that I was right much more often than I was wrong, but emotionally I was becoming more and more skittish. I was being consistent, but I wasn't improving as I had hoped I would, and I clearly wasn't being consistent about the right things.

 

Over the last two weeks I have probably improved more than I have in the few months before it. My mindset has drastically shifted, and I have found many things I was being rigid about that were causing me problems.

 

Accurate fractal differentiation is vitally important to me. It has been my biggest obstacle and is my primary focus right now. There are many things I am learning not to be rigid about, but to me, the entire point of learning not to be too rigid is to be accurate in differentiating my fractals. Everything else in the methodology depends on that.

 

That being said, your charts have been enormously helpful to me in that regard. I spent a lot of time looking at older charts from this thread, but without having first attempted to annotate the chart myself, it wasn't too productive. It was like getting a handful of answers to questions I hadn't yet thought of. When I annotate a fresh chart with no input, I develop a lot of questions. Upon being given the answers after developing the questions, I very quickly learn where I was compared to where I should have been, and thus, where I need to be in the future.

 

Re: laterals, I'm afraid I have a poor understanding at this point of the meaningfulness of a lateral price annotation. I believe I see what you are saying, I'm just not sure what it means to end the lateral annotation earlier than I did.

[FilterTip 10]

amisme

 

Re: the NT script for volume.

This has already and kindly been writen for NT

 

Attached is a PRVolume and PR_Arrows indicators.

 

Incase you're not familiar with the process:

 

Save that in your Indicator folder;

 

My Docs/NinjaTrader 7/bin/indicators.

 

Then to Import:

NB you must do this whole process for each of the zips.

So do it once for one and then start again and do it for the other.

 

Via NT Control Centre:

File/Utilities/Import Ninjascript.

A window will open from which you need to select the zip file by name.

NB: you must select only one zip.

Doouble click on the zip file.

Wait for NT to process and a confirmation box should pop up

to say successful import.

 

repeat the above proocess for each zip.

 

The indicator will now appear in your indicator list when you right click on a chart.

 

PRVolume colours the vol according to bar highs and lows.

It has an option for arrows but they are on price.

 

The PV_Arrows indicator places arrows on volume if you prefer.

 

Hope that helps.

PRVolume.zip

PV_Arrows.zip

Edited February 28, 2012 by FilterTip

[FilterTip 10]

amisme

 

There are most of the indicators needed in this thread;

 

Forums - Software Used to Trade Jack Hershey Methods

 

That particular post by Breakeven (dated 12-.01-08) has the indicator pp_barformations to colour bar formations and laterals.

It's from 2008, It's waht you see on the charts I've posted.

But I'm unable to export it for some reason and there for unable to post it here.

But the above should be all ok if it is of interest.

[zt379 10]

It's that fractal thing again ...

Edited February 28, 2012 by zt379

[FilterTip 10]

This morning was confusing in terms of what I thought I had.

 

I'm still not clear but in the meantime I am mindful of yesterdays many laterals and wonder if my largest container had actually had it's P3 yesterday or whether that was this morning.

 

Yesterday had me finishing that and starting a Magenta largest container.

i do have a container down this morning but saw it on a different level initially and was expecting more down movement to fullfill a P1 to P2 moe of magenta.

 

That didn't happen.

 

So in view of yesterdays laterals I have changed the level of lines on price and gaussians to reflect this mornings move down as a move to a P3 up of my largest blue container.

 

i may also have incorrectly dealt with the Largest blue containers VE yesterday and this mornings down move may just be to a new P3 because of that VE.

 

Questions questions..

 

Also my nogap on the 15 minute is again not working even aftr re-laod it..hmmm

[Corey 10]

This morning was confusing in terms of what I thought I had.

 

..

 

Also my nogap on the 15 minute is again not working even aftr re-laod it..hmmm

not sure if you get latest one.

NoGapChart.zip

[amisme 10]

Yesterday I accidentally deleted my volume pane about a half hour before close. I rushed a little to replace my volume annotations. Today I realized I was using my older habits for line thickness and got myself very confused.

 

The early day up traverse is a puzzle in many ways. For one thing, I only actually show two bars of convincing volume dominance through the whole thing. Anyone else care to let me know if their data feed showed 10:05 bar as higher or lower volume than 10:10?

 

Had a lot of help with this chart, so I can't really claim it as my own doing. Posting it anyway.

 

I am starting to notice problems with my bar coloration logic. Unfortunately I could not change the volume bar colors on the volume indicator FilterTip linked, and I cannot go back to a light colored chart background due to iritis.

[vienna 10]

Today's chart...

 

hth,

 

Vienna

[Corey 10]

Today's chart...

 

hth,

 

Vienna

interesting, it bounces at AB = CD

[amisme 10]

If a literal interpretation of volume was the solution, this would be easy.

 

"Pace" I understand, as a word. I do not understand how to work with it in the context of this method. I have seen Spyder point out the trend lines and tell people to look at the behavior of price and volume that occur at different pace levels. This doesn't tell me what to look for very well.

 

At first, I thought it was a way to anticipate intrabar movement when combined with PRV. I saw the breakdown of bars by volatility and pace level and figured that was it. People are using pace to anticipate bar volatility when combined with PRV. Like a finer level tool. Sounds nice, but not very important.

 

It is clear to me now that pace is a critical part of fractal differentiation, but I have a tremendously vague idea of how it might fit into things.

 

TL thankfully has a "Search this thread" function. One of the largest problems I've noticed with teaching or learning this method is that useful information gets scattered across thousands of posts in dozens of threads over several years. I'm going to work towards compiling information on the use of pace. Please do contribute, if you would like.

 

I have guesstimated current pace lines, from Vienna's most recent chart:

46000

37000

29000

18150

8250

1200

 

One of my first thoughts about pace lines is that they can't be very accurate if they don't adjust downwards during the midday and upwards towards the ends, but perhaps that is not so. I will see what I see tomorrow with those in place.

 

I lost it in a flurry of new tabs, but somewhere I had a reference to someone, possibly cnms2, saying that they look for similar levels of volume to form components of a given fractal. This gives me one of my first clues towards how to use pace. I have glanced over a few charts and so far it looks like a good idea. It is hard to describe succinctly, I may have to learn to draw notes on charts.

 

edit and followup: I just started re-annotating my chart for tomorrow since I got a modified volume indicator that works on a black background (thanks FilterTip). Picked a point to begin annotating from, and had a sudden "oh my god" experience when I realized how perfectly it works with the pace lines. I have a good feeling I will have a lot to say about this tomorrow.

Edited February 29, 2012 by amisme

[vienna 10]

interesting, it bounces at AB = CD

 

Absolutely... "bounced off several supports"....

 

Vienna

[Corey 10]

...

I have guesstimated current pace lines, from Vienna's most recent chart:

46000

37000

29000

18150

8250

1200

...

numbers seem high compare with what coded in pv vol4.

 

Add(new Line(Color.Gold , 25000, "ExtraordinaryPace"));

Add(new Line(Color.DarkGreen, 12500, "FastPace"));

Add(new Line(Color.DarkGreen, 10000, "MediumPace"));

Add(new Line(Color.Blue , 6000, "SlowPace"));

Add(new Line(Color.Blue , 4500, "DryUp"));

Add(new Line(Color.Red , 2500, "VeryDryUp"));

[amisme 10]

Very much so.

 

If I remember right, the TN toolset recalculates the pace lines based on the last 20 days, but I never learned the algorithm. I am pretty sure that the original pace lines were calculated off a statistical breakdown of bar volatility by volume and separated into categories, but I doubt that Trade Navigator is doing that on the fly. Still, it can't be as simple as moving averages with a modifier, unless the modifier is very complex, otherwise they would maintain proportional spacing.

 

If anyone can provide some insight into how pace levels are determined, that would be fantastic.

[Corey 10]

Very much so.

 

If I remember right, the TN toolset recalculates the pace lines based on the last 20 days, but I never learned the algorithm. I am pretty sure that the original pace lines were calculated off a statistical breakdown of bar volatility by volume and separated into categories, but I doubt that Trade Navigator is doing that on the fly. Still, it can't be as simple as moving averages with a modifier, unless the modifier is very complex, otherwise they would maintain proportional spacing.

 

If anyone can provide some insight into how pace levels are determined, that would be fantastic.

you can google anything for example google 'pace site:http://www.traderslaboratory.com' to find any mentions about pace on this site likewise for other site. Found a pace doc from other site

adding pace to trading channels.doc

[amisme 10]

For those interested in Volume compared to Volatility, please see the attached results. Anyone interested in replicating these results can do so in the following fashion:

 

Take 20 days of ES 5 minute data using Volume and Volatility (around 1600 bars). Sort the data from highest to lowest (by Volume) - in descending order. Now break the data into deciles. Extreme represents the highest decile with VDU (Very Dry Up) representing the lowest decile (or lowest 10% of all Volume Bars). Fast, Medium, Slow and DU (Dry Up) each have 2 deciles as shown on the attached. Record the Volatilty levels for each decile and the number of bars at each Volatility level within each decile.

 

As one can see on the chart, as Volume increases (from bottom left to top left) the individual bell curves for each decile shift to the right (increasing Volatility).

 

- Spydertrader

 

 

Fantastic. Suddenly it makes so much more sense why people made a big deal out of that graphic.

 

Also, from Jack's document that Corey pulled up:

 

The pace is usually one pace or another; it is not a continuum for some reasons. Human nature of traders is the driving force. This is mostly caused by what the mix of trader types is at any given time of the day.

 

That's good! Price containers are also not a continuum.

 

I have a big write-up for end of day attempts at understanding pace. If you like words, you won't want to miss it.

[amisme 10]

Taking a stab at how I think pace lines may be used in differentiating fractals. The fundamental concept: volume must reach a certain magnitude in order to define points of a container on a certain fractal level.

 

Going to use PST times so that people don't have to convert when looking at my chart.

 

Excitement begins on my 7:05 bar. RTL break on high volume, a pace level is set for the new fractal. Decreasing volume for several bars, until 7:25. We know that this inc red vol is 2r of a lower fractal because pace is much lower.

 

Pace returns to complete traverse level R2R at 7:50. Until that bar, we knew we were still waiting for point 2. Point 3 follows and a return to dominance is confirmed by volume pace returning to the level set by point 1 and 2.

 

A clear reversal follows. I am not sure what pace level to use as a starting point for the new traverse. We are looking for rising black to show us our point 2. We get rising volume that breaks into the pace level I feel good about at 9:10, but it is a down bar. Two bars later, high volume pace gives us point 2.

 

9:50 is not point 3 even though price wants you to think it is. Black volume drops another pace level. A sub-tape fractal is visibly building.

 

I get a little fuzzy after 10:25 bar. PRV is initially strong and suggests it will break into the pace level I'm watching and give us point 3, but it falls short. I do not know if I should expect it to reach the same pace level, or an adjacent pace level, or what. I'm still making guesses as to how this actually works, but I think I'm on the right track.

 

Could the relevant pace tier have dropped for this fractal? It seems quite evident after bar 11 that we have our point 3. Bookmark for the non-dom down thing is broken. Volume isn't strong, but suggests up dominance. I am pretty sure that in an up trend, point 3 cannot be higher than point 2, but that may not be a tenent.

 

RTL break on increasing volume looks convincingly like a new down traverse. I'm going to presume that fractals can shift pace levels and that I will have to look for signs of that happening. Decreasing red volume, trough is below a pace line, increasing red volume back to the same pace, I annotate R2R.

 

12:05 bar breaks into a higher pace level. I do not know if this is significant. I also do not know if my pace lines are exactly accurate, though.

 

Looking for volume to break 18000 to confirm point 3 since 12:05 bar broke into the higher pace level. 12:35 bar gives that to me resoundingly.

 

From there, ride to close.

[xioxxio 10]

Would like to hear time frame trend lines others are using that are meaningful.

 

These longer term trend lines surprisingly offer strong support/resistance and very often that support/resistance corresponds to an FTT on the 5 minute time frame.

 

I have personally found the 15 minute and 30 minute trend lines to be noise. On the other hand the 60 minute is more meaningful.

 

Trade Navigator users; how do you tackle the shifting of trend lines with the “remove overnight gap” ?

 

My trend lines don’t shift so I am scrambling as the market opens to adjust them for the new day.

Edited March 1, 2012 by xioxxio

[vienna 10]

Would like to hear time frame trend lines others are using that are meaningful.

 

These longer term trend lines surprisingly offer strong support/resistance and very often that support/resistance corresponds to an FTT on the 5 minute time frame.

 

I have personally found the 15 minute and 30 minute trend lines to be noise. On the other hand the 60 minute is more meaningful.

 

Trade Navigator users; how do you tackle the shifting of trend lines with the “remove overnight gap” ?

 

My trend lines don’t shift so I am scrambling as the market opens to adjust them for the new day.

 

I look at the 15, the 60 and the daily, degap. Don't find the 15 to be noise (review recent post by CNMS "no noise!")...:-D

Leave the absolute minimum on your charts (only RTL's), so the shift is easier. Am lobbying TN to get them to program the automatic shift, the more people do that, the better...

 

hth,

 

Vienna

[Ezzy 10]

If anyone can provide some insight into how pace levels are determined, that would be fantastic.

 

The pace lines in TN really don't follow MAK's chart. Without going into too much detail I initially tried to modified some of the pace lines in TN to get a more uniform spread, then ended up just added an extra one for extreme pace and calling it good. Initially Jack eyeballed the lines. MAK gave us the chart and we went from having slow, medium, fast and dry up lines to deciles. I wouldn't over emphasize them, or try to say a certain container level/fractal is always at a certain pace. The Ninja pace lines are going to be more accurate than TN.

 

Trade Navigator users; how do you tackle the shifting of trend lines with the “remove overnight gap” ?

 

My trend lines don’t shift so I am scrambling as the market opens to adjust them for the new day.

 

By scrambling.

 

Am lobbying TN to get them to program the automatic shift, the more people do that, the better...

 

hth,

 

Vienna

 

Hope you have more luck this time around. There was a whole list of potential changes at one time, auto shifting the lines being one of them. They did a few of them but it's been ages since.

 

Regards - EZ

[xioxxio 10]

Am lobbying TN to get them to program the automatic shift, the more people do that, the better...

 

Vienna

 

I requested it from Genesis months back and at that time they told me it was not possible to be done. Hopefully things have changed.

[vienna 10]

 

 

Hope you have more luck this time around. There was a whole list of potential changes at one time, auto shifting the lines being one of them. They did a few of them but it's been ages since.

 

Regards - EZ

 

Hope so too...:-)

 

I got an answer from Richard Stoll on 1/20 that read:

 

"The feature request is quite interesting. The ability to automatically shift the drawing tools and trendlines when using the degap feature would be quite useful.

 

 

I do believe that our Development Staff may be able to devise a tool or functionality for this, but I can say without doubt that this would be an extremely massive programming project that could take months or longer to properly produce.

 

Richard Stoll

Director Customer Service"

 

No idea if that means they will do something or if this is form letter #7B...

[amisme 10]

Not much commentary for this one.

 

Lot of FBO. I feel like the first one could have been better anticipated in real time because the RTL from the previous container fell right across that movement.