Trade Volume Index Reviews

[carltonp 10]

Hello Traders

 

I'm in the process of commissioning the development of an indicator called the Trade Volume Index. I've read much about it but I haven't come across anyone that has used it in a live environment.

 

I was wondering if any of you traders have heard of it, or better still used it with any success?

 

Cheers

 

Carlton

[david22 10]

Carlton can you give a basic description on the Trade Volume index.

 

Are you using bid/ask or uptick/downtick volume?

Are you using Intraday or EOD data?

Are you creating this for the index market like the sp500?

(so will you be taking into account the volume for the 500 stock that make up the index)

 

David

[carltonp 10]

Hi David,

 

Thanks for responding. The following Is the best description of the Trade Volume Index.

 

I have also included a link to the site that the developer of the index is using to compile the index for me. BTW, he is charging $125.

 

 

The trade volume index is used primarily by day trading professionals.* This is because active traders are most concerned with how stocks perform at key levels and have to make swift decisions.* Long-term investors are less concerned with intraday data and focus their attention on how a stock closes at the end of the day.

 

How to use the Trade Volume Index

 

The TVI shows its predictive power when assessing a stock that is flat lining at a particular level.* How many times have you been watching a stock at a particular level and wonder whether it has the juice to get through a certain level.* The trade volume index will peel back the onion and show you what traders are doing.* For example, if you want to buy a stock on a break of $100, and it has been flat lining for 2 hours, you may hesitate on pulling the trigger due to the flatness in the market before the breakout.* However, if you see that the TVI has been rising over this 2-hour period, it is a sign that traders are accumulating the stock at the ask price, thus increasing the odds that the stock will have legs when it clears resistance.

 

How to Calculate the TVI

 

The trade volume index is calculated by using the following formula

 

MTV = Minimum Tick Value

 

Change = Price minus the extreme price since direction changed

 

If Change is greater than MTV, then Direction = Accumulate

 

If Change is less than MTV, then Direction = Distribute

 

If Change is less than or equal to MTV and Change is greater than or equal to MTV, then Direction = Last Direction

 

Lastly, we must calculate the TVI, which is simple once you know the Direction.

 

If Direction is Accumulate, then TVI = previous TVI + Volume

 

If Direction is Distribute, then TVI = previous TVI – Volume

 

*Cheers

[carltonp 10]

David,

 

I intend to use it on emini 500

[david22 10]

Carlton I dont know if you have heard of market internals and "up/down volume" or

"advance/decline volume" for both the nyse and nasdaq?

 

 

Well I used a modified version of that indicator above but with 2 differences:

I track the whole 500 stocks that make up the Emini 500. Plus this is calculated

every few seconds using intraday price data.

 

 

quick definition of intraday volume:

"A Stock is considered advanced (volume) if it stock price moved up over a minute. No matter where the stock is in relation to the previous day close, if this stock moves up over a minute it is considered as advanced stock (volume)."

 

 

The TVI looks simliar to what I am doing in that I am looking at accumulated volume

be it negative or positive during each trading session. As an example, you see a double bottom pattern intraday on the Emini 500, you can use the accumulated volume to spot divergance. (see if accumulted volume has formed a double bottom or better still a higher lower.)

 

 

I have attached an image of up/down volume for friday Emini 500 trading session.

This looks or shows the difference between positive and negative volume for the whole sp500 stocks. The image shows 2.30pm London time which is 9.30 EST and 9pm London time which is 4pm EST.

Edited July 9, 2011 by david22
graph timezone data added

[carltonp 10]

David,

 

Thanks for that mate.

 

I have a fair understanding of market internals.

 

How does the indicator track all 500 stocks of the S&P?

 

Does it account for bid/ask?

 

What is the name of the indicator?

 

 

Cheers

[david22 10]

Carlton firstly my data is based on uptick/downtick data and not bid/ask

data. But this can easily be done using software like neoticker if you require

more accuracy down to the tick level.

 

I look at the bar on close price every 20 seconds for a stock and compare it to the prior

close to determine if its an uptick or downtick. eg. 9.50 am, xyz stock is at the price level $8.51, twenty seconds later the the price level is $8.53, so thats classed as an uptick.

So I take into account the volume for that period being positive and then add it to an accumulated total which runs throughout the trading session.

 

I basically do this for the whole 500 stocks thats represent the sp500, so it becomes

a simple case of totalling the updown/downtick volume for the whole basket.

 

This indicator doesnt have a name, its just a custom up/down volume indicator

as opposed to the standard nyse/nasdaq up/down volume indicator.

Edited July 9, 2011 by david22
spelling error

[pathfinder62 10]

  carltonp said:

Hi David,

 

Trade Volume Index.

 

I have also included a link to the site that the developer of the index is using to compile the index for me. BTW, he is charging $125.

 

Nice job and thanx, CarltonP. I tried 3-4 times to get the "thanx" button to post to your blog entry but no go, so I had to use this method. Again, thanx. TM

[david22 10]

"I have also included a link to the site that the developer of the index is using to compile the index for me. BTW, he is charging $125."

 

 

Carlton I dont see the web link you pasted in your posting regarding

the developer.

[carltonp 10]

Oops,

 

My apologies. Here is the link:

 

Trade Volume Index - Technical Indicator