Intrabar Price Behavior Analysis

[Tradewinds 12]

Price can do all sorts of things intrabar. Staring at a static chart will not tell you what the price behavior was intrabar. One way to analyze intrabar behavior would be to do a tick by tick forward test with actual ask/bid price replay.

 

But if your platform can't do that, or you can't, or don't want to program a strategy for testing, there is another way to analyze intrabar price behavior. Record your chart in a video as real time data is streaming to your computer.

 

I use BB FlashBack Express Recorder.

 

http://www.bbsoftware.co.uk/BBFlashBackExpress.aspx

 

"Free to use forever!"

 

You can pause the replay, move backwards, and replay at slower speeds.

[UrmaBlume 10]

Here is a lot easier way. This software works on volume charts and is part of a package.

 

The middle percentage is how near the bar is to completion. It 3k have traded in a 6k bar the number would be 50%. The top red number is the percentage of the volume that has already been done inside the bar that is selling/on the offer and the blue number at the bottome is the percentage of buying volume in the bar so far.

 

 

 

 

 

cheers

 

UrmaBlume

[Tradewinds 12]

This software works on volume charts and is part of a package.

 

The middle percentage is how near the bar is to completion. It 3k have traded in a 6k bar the number would be 50%. The top red number is the percentage of the volume that has already been done inside the bar that is selling/on the offer and the blue number at the bottome is the percentage of buying volume in the bar so far.

 

Okay, so that bar is getting near completion, and there has been more selling than buying, and the low of the bar looks like it may have a higher low before it closes. I'm not sure what that means though.

[Tradewinds 12]

Here is a lot easier way. This software works on volume charts and is part of a package.

cheers

 

UrmaBlume

 

I'm using the video replay for strategy development. That software that you are referring to is already developed, published and offered to the public. I'm trying to use the video replay as a tool in data to price intrabar behavior analysis. That software won't help me study the data to price behavior that I am studying.

[UrmaBlume 10]

Okay, so that bar is getting near completion, and there has been more selling than buying, and the low of the bar looks like it may have a higher low before it closes. I'm not sure what that means though.

 

At 7.9% the bar is no where near completion. Your original questions was about inside the bar analysis and this shows % of bar completion, current % buying volume and current % selling volume. What else where you looking for?

[Tradewinds 12]

At 7.9% the bar is no where near completion. Your original questions was about inside the bar analysis and this shows % of bar completion, current % buying volume and current % selling volume. What else where you looking for?

 

My mistake. The bar is only 7.9% complete. I got dyslexic there. I appreciate knowing of the availability of the program, and it looks like something worth looking into.

[Tradewinds 12]

I've been recording my practice trading session, and playing them back later to analyze what is going on. I think the video records at 9 frames per second, so I can play the trading video back, pause it, replay it, and play it at different speeds.

 

It's great for analyzing charts and price action compared to my indicators. In a static chart, the price and all the indicators show their status at the close of the bar, but with the video I can study what is happening at any second of the day.

[Tradewinds 12]

My strategy involves a lot of trades; exiting, and then re-entering trades in the same direction. In order to do this, I need to know intrabar price behavior. Looking at a historical chart, it may not be intuitively apparent what good exit and reentry points are on the same bar.

 

So after studying some recorded videos, I've decided that the center point of a price bar is a good reentry target if the bar has a big range, and my indicators show that the trend is still not approaching it's end. Also, if it's a downtrend, I want the bar to have had a lower low to consider exiting and reentering on the same bar. Vice versa for an uptrend. I don't want to try to exit and reenter on a retracement wave.

 

I want to exit before a retracement, and reenter during the retracement, but not exit and reenter during the retracement. There's a difference.

 

If the bar was short, and I exited, I'd want to reenter on a close in the opposite direction of the trend on the next bar.

 

So I'm going to program something into the price bar and/or an existing indicator to show when the hl2 is hit in the opposite direction of the trend direction. A close up, or a close down, higher highs and lower lows are obvious, but price behavior intrabar may not be intuitively apparent. Candlestick patterns define price behavior with bar patterns, and take into account intrabar behavior by looking at the different bar configurations. But even so, that analysis may be done after the bar is closed. I'm looking for price behavior patterns before the bar has closed.

[clmacdougall 11]

My mistake. The bar is only 7.9% complete. I got dyslexic there. I appreciate knowing of the availability of the program, and it looks like something worth looking into.

 

Hi Tradewinds,

 

You can get the same program for free with esignal. It offers all that Pat mentioned. The program has been around for a long time. It can work with either volume or tick data.

 

I've used it many times before. As to it's usefulness, I guess that's up for debate!!

[Xiao si 10]

Hi Tradewinds,

 

You can get the same program for free with esignal. It offers all that Pat mentioned. The program has been around for a long time. It can work with either volume or tick data.

 

I've used it many times before. As to it's usefulness, I guess that's up for debate!!

 

Interesting, what is the program called?

 

XS

[clmacdougall 11]

Don't remember. I used it and threw it away. It's in the efs formula database at esignal.

They have a 1. time in bar 2. ticks in bar and 3. volume in bar indicator. Feel free to do a search of their database to find it.

 

It's just as easy to use their bid/ask ratio or their bid/ask analysis formulas to see the information displayed at the bottom of the screen for both cumulative and bar by bar data. Both can be used with either tick or volume as an input and can return you tick bid and ask or volume bid and ask for an output as well as a cumulating inside total as the bar populates.

[Tradewinds 12]

Hi Tradewinds,

 

You can get the same program for free with esignal. It offers all that Pat mentioned. The program has been around for a long time. It can work with either volume or tick data.

 

I've used it many times before. As to it's usefulness, I guess that's up for debate!!

 

Countdown timers are fairly common and available. I've posted a time based countdown timer, but you can get volume, tick and Kagi count down timers.

 

Depending upon the platform you are using, I would start with the official website of the platform. For example, TradeStation has a forum for their programing language.

 

I don't use the countdown timer as one of the main things I focus on, but it's good to know when the bar is about to close, especially if you are using time based bars.

 

Countdown Timer at Trader's Lab

[Tams 20]

this might be of interest to some:

 

Volume Bias

http://www.traderslaboratory.com/forums/trading-indicators/6519-volume-bias.html

 

 

168.298.169

[Tradewinds 12]

Price re-visits a high or a low of the same bar, but an indicator doesn't re-visit it's high or low. This is what I'm going to be using to time the low and high of a bar.

 

1. Indicator goes to a new low, and price goes to a new low.
   
2. Indicator comes off the low, and price comes off the low.
   
3. Price goes back to the low of the bar, maybe even goes lower, but the indicator does not go back to it's low.
   

 

I've noticed a pattern while watching video of price bar behavior. Of course, on a smaller time frame, it would show up as a divergence: price lower, and indicator not lower. But I don't want an even smaller time frame to watch. I don't want to many things to monitor and to much information.

 

Now I'll try to program it, and have the indicator give me an alert when those conditions are met.

[Tradewinds 12]

In trading, using an array is critical to compare intrabar data. Indexes can be used to compare one bar to another bar:

 

For example:

 

(If Close > High[1] then Sell) If the current close is greater than the last bars high, then sell.

 

In comparison:

 

If High > High then Sell; If this bars high is greater than this bars high then sell. This statement will never be true. You can't compare the current high to itself on the same bar using the built in price functions.

 

If you want to compare the high of the current bar at one point in time, to the high of the current bar at another point in time, you can only do that with an array. For example, if you wanted to compare the high of the price bar when your indicator crossed a threshold, and then compare the high of the price bar when the indicator started in a new direction, and that all happened on the same price bar, you would need to store the value of the high of the bar when the indicator crossed the threshold, then capture the value of the high of the price bar when the indicator started moving the other direction, then retrieve those two values from the array in order to compare them.

[Tradewinds 12]

Here is some code to assign price high values to an array:

 

TradeStation:

 

{This code captures and records the last two intrabar highs when the close is at the high}

array: IntraBarPersist CrrntHi[2](0);  // IntraBarPersist assigns value intrabar

//If its the beg of a bar then reset the array values to zero
if BarStatus(1) = 0 then begin //Bar status is first tick of bar
 CrrntHi[0] = 0;
 CrrntHi[1] = 0;
 End
Else If Close = High then begin // When the price Close is at the price High
 CrrntHi[1] = CrrntHi[0]; //Set the second array value to the first array value
 CrrntHi[0] = High; // Set first array value to the current price high
End;

[Tradewinds 12]

Tradewinds thanks for your replay,

when do we intrabar don't we get the same results?

Could you explain more please?

 

The typical thing that everyone does, is look at the chart, then make a trading decision. I use a trading ladder, and found that I often do well paying attention to what the price is doing on the trading ladder. On the trading ladder, there is no aggregation period, and there is no time frame, there is just price doing what it does. So in a sense, the pure price action is not being fit into some kind of artificial constraint. Those artificial constraints are either a block of time, a block of volume, or some other measurement. The price data is being aggregated into blocks of data. Each bar on a chart is data constrained to some "container". And even though grouping sections of trades into blocks of data can be helpful, it also can be misleading.

 

I often had difficulty reconciling pure price action, (with no framework or boundaries) to the way I perceived price data behavior on a chart. I've come to believe that my perception of what price is really doing is being unduly biased by how I perceive the price bars. For example, a long red candle with a close down. It's red, the close is down, so I think in terms of price going down. But price could have been going up at the end of the bar. In fact, price could have already turned up and be starting an uptrend on that long red bar. If the bar has a tail at the bottom, then the close was off the bottom. The price was actually going UP at the end of that bar. I'm thinking DOWN, but at the end of the bar the price is going UP.

 

On the price ladder, there is no reference to the last high or low; there is no context to past price behavior. The bar on the chart is red, but on the price ladder, you see that the price is going up. Of course, you can see that on the candlestick also, but the red color and the close down may bias your perception of what the price behavior really is.

 

Some people prefer a 1 tick chart in order to avoid these artificial constraints put on the data that may bias your perception. I have no interest in a 1 tick chart, but I can understand why someone would want to see price in it's "purest" form.

 

I don't want a 1 tick chart, but I want to somehow try to counterbalance this possible undo bias to my perception. I also do not want to trade solely on price action. So I want to keep my charts, just understand them better.

 

So at some point I realized that all kinds of things could be going on intrabar that I am not really consciously processing. So there was a huge hole in my understanding of price behavior. Price bars focus on the OHLC. Open, high, low and close. But those 4 data points only represent a very small section of the data. So in effect, I could be basing my decisions on just a small subset of data, and ignoring everything else. This doesn't make any sense to me. I want a more complete understanding of what is really going on.

 

I could go to smaller and smaller aggregation periods, but that would mean more and more charts and more and more screens to monitor.

 

Hopefully this explains my interest in intrabar behavior, and my efforts to come up with ways to process intrabar data.