ES .. the LOW of the Bar is More Volatile Than the HIGH of the Bar.

[johnw 10]

If I were to say to you that the LOW of the bars in ES are currently more volatile than the HIGH of the bars ....what would you make of this.

 

Never mind the size of the bars, but the bars are formed by Constant Volume so they are reflecting the Order Flow through the Exchange.

[humble 10]

If I were to say to you that the LOW of the bars in ES are currently more volatile than the HIGH of the bars ....what would you make of this.

 

I would make of it that price is rejecting the downside and is likely to push higher.

[johnw 10]

If I were to say to you that the LOW of the bars in ES are currently more volatile than the HIGH of the bars ....what would you make of this.

 

Never mind the size of the bars, but the bars are formed by Constant Volume so they are reflecting the Order Flow through the Exchange.

 

No takers, well never mind.

 

The reason I mention it is because there has been some discussion concerning 'Trend' ... when it starts, when it stops and how to spot it before it disappears off the map.

 

If you think about it, the people at the bottom of the price bar act in a manner that is somewhat different to those folks at the top of the bar and it is this difference that is of interest to me

 

If price is rising and making HL then it will remain trapped until it clears a Supply Zone.

When this occurs it is in 'open skies' ... please note I wrote 'clears a Supply Zone' I did not write that it penetrates a Supply Zone

 

 

 

This is all very well in hindsight but what about the 'hard right edge'

 

If price is rising it is because it is being pulled-up by new tics, each higher than the last.

This is done by the guys at the price bar high ... so imagine the surprise of the guys from the bottom of the bar when they go hurtling past ... unless something is done quickly to remedy this situation, price will enter into a spin much like a car would when it's rear end is traveling faster than it's front end.

 

In the same manner as the car, the price bar is spun on it's axis and even if it is still traveling upwards or sideways, the momentum has changed.

 

This is one very effective way you can see the end of a price wave and the formation of a new reversal wave and you can measure the speeds [momentum] and calculate their Delta to assist you

 

Anyway, this just a thought for some of you.

 

Apologies "humble" you entered your post as I was writing mine

[humble 10]

If price is rising it is because it is being pulled-up by new tics, each higher than the last.

This is done by the guys at the price bar high ... so imagine the surprise of the guys from the bottom of the bar when they go hurtling past ... unless something is done quickly to remedy this situation, price will enter into a spin much like a car would when it's rear end is traveling faster than it's front end.

 

In the same manner as the car, the price bar is spun on it's axis and even if it is still traveling upwards or sideways, the momentum has changed.

 

Hi johnw,

 

Interesting analogy. Would you care to expand on this a little bit more, as I'm having trouble visualizing what is being described in the highlighted wording?

 

This is one very effective way you can see the end of a price wave and the formation of a new reversal wave and you can measure the speeds [momentum] and calculate their Delta to assist you

 

What are you using to measure the speeds [momentum]?

[humble 10]

I would have thought that this topic would have garnered more interest as it is, well, interesting...at least I think it is. Being able to identify clues to changes in momentum that lead to price reversals would seem to be quite a useful tool. In any case, I look forward to hearing more of the OP's thoughts on the topic.

[TheRumpledOne 14]

What is your definition of "volatile"?

[Traduk 10]

I trade the E Mini and judging by the date of your post 15\11 you were looking at a day when on the basis of 60 min candles, the players were fighting tooth and nail to drive a corrective wave back up. The ES always fights over every bar but the attempt to regain old highs from an apparent correction spurred on buyers put the fight at every bar\candle low which only became a low because the buyers won..

 

The attempt to drive prices up has subsequently failed with a triangle formation (60 minute) having seen an a,b,c,d,e formation dropping through the bottom into a "C" wave.

 

I have studied the delta using just about every angle imaginable and maybe its just that after 25 years of trading that I cannot any longer see new things but I see no value to delta or order book studies that cannot be better seen by price observation.

 

I will add that I use CQG and have seen the order book via their proprietary "trade flow" and the order book is a constantly changing add, alter, cancel & replace at a speed which defies logic. I have concluded that what happened a few minutes earlier is inconsequential with only major position building by institutions as important. As their positions are built over days I do not see much value in knowing what they have done if trading the intra day time frame and if one really needs to know then the old accumulation\distribution still does the job.

[johnw 10]

.........................................................................

 

I have studied the delta using just about every angle imaginable and maybe its just that after 25 years of trading that I cannot any longer see new things but I see no value to delta or order book studies that cannot be better seen by price observation.

.............................................

 

 

Gm Traduk,

 

If by Delta you are referring to the difference between vol bid and vol ask, then I would suggest you read my post again ... namely

 

''and you can measure the speeds [momentum] and calculate their Delta to assist you''

 

This being the case, then you are guilty of the unforgivable crime of reading through my words thus implanting an incorrect assumption within your magnificent mind.

 

'Delta' is a simple mathematical expression for 'difference' but it seems that it has joined a growing list of hijacked words.

 

What I am talking about is a phenomena of the action that is in front of every person watching price on their screen.... that is why I wrote that bar size is of no particular importance, although I do use CVBars during the session ....however this action repeats itself on weekly, daily, intraday charts.

Edited November 17, 2011 by johnw

[Traduk 10]

When discussing matters pertaining to technical analysis it is probably as well to stick with commonly accepted terminology. If a factor has been generally accepted in to jargon then to desire to employ that accepted jargon in a purist sense rather says more about the individual than a desire for dialogue.

 

You expressed a wish to discuss a phenomena. I gave you a 100% solid reason for the behaviour on that day but you chose to pick on the interpretation of jargon. The logic I simply employed is the old fashioned chartism and it kept me not only right side but able to turn on a dime for three for four days.

 

I would suggest that if you wish to discuss CVB relative to apply a momentum speed measure that it could present a fruitful discussion but not with me because using traded volume as a constant although displaying different numbers of ticks travelled is a measure which is constantly variable by volume per day. Yesterday for example was a million more in volume than the day before which on 5K bars would have created 200 more than the day before.

 

I use CVB only to get inside the one minute time frame albeit I have better tools available than CVB but in volatile markets neither are used as I adjust timeframes to longer in volatile markets.

 

I suspect that this discussion is going nowhere as semantics appears your primary interest and there are better things to do with one's time.

[SIUYA 11]

before any discussions turn to arguments.....a simple Wikipedia search shows DELTA has many meanings......

(my personal choice when discussing finance is the second one)

 

Mathematics

(ε, δ)-definition of limit

Delta (finance), a first order derivative of an option pricing formula versus the underlying spot price

Delta method, a method for approximating the distribution of a function of a random variable

Δ, or difference operator

Δ, or modular discriminant

Δ, or symmetric difference

Δ, a change of state between two before and after state schemas in the Z notation

a classification in the arithmetical hierarchy

a classification in the analytical hierarchy

a classification in the polynomial hierarchy

, an inverted delta representing del, a vector differential operator

Delta connective, a unary connective in t-norm fuzzy logics

δij, the Kronecker delta function

δ(x − y), the Dirac delta function

 

 

So, as this could lead to an interesting discussion (hence my desire for conciliation), maybe a few diagrams, and clearer explanations may make things easier.

[johnw 10]

When discussing matters pertaining to technical analysis it is probably as well to stick with commonly accepted terminology. If a factor has been generally accepted in to jargon then to desire to employ that accepted jargon in a purist sense rather says more about the individual than a desire for dialogue.

 

You expressed a wish to discuss a phenomena. I gave you a 100% solid reason for the behaviour on that day but you chose to pick on the interpretation of jargon. The logic I simply employed is the old fashioned chartism and it kept me not only right side but able to turn on a dime for three for four days.

 

I would suggest that if you wish to discuss CVB relative to apply a momentum speed measure that it could present a fruitful discussion but not with me because using traded volume as a constant although displaying different numbers of ticks travelled is a measure which is constantly variable by volume per day. Yesterday for example was a million more in volume than the day before which on 5K bars would have created 200 more than the day before.

 

I use CVB only to get inside the one minute time frame albeit I have better tools available than CVB but in volatile markets neither are used as I adjust timeframes to longer in volatile markets.

 

I suspect that this discussion is going nowhere as semantics appears your primary interest and there are better things to do with one's time.

 

My apologies if I have injured your feelings Traduk, it was not my intention.

[Logic 10]

If I were to say to you that the LOW of the bars in ES are currently more volatile than the HIGH of the bars ....what would you make of this.

 

Never mind the size of the bars, but the bars are formed by Constant Volume so they are reflecting the Order Flow through the Exchange.

 

Hi John,

 

Try not to over-analyze your trading environment. It is just important that the chart you are trading gives is volatile enough to easily extract profit from its swings and liquid enough to slide you quickly in and out of a position with as much profit as possible.

 

I created Constant Volume Bar charting because it simplified my trading environment making it more efficient. I've studied this question and it all depends on the size you have designated for the bar. The beginning or opening of a bar has no more volatility, on average, than the close of the bar.

[humble 10]

I would suggest that if you wish to discuss CVB relative to apply a momentum speed measure that it could present a fruitful discussion

 

Well I am glad to see that this discussion is gaining some more participants, although it seems to be straying slightly off topic.

 

I agree with you that this is what is at the heart of what johnw was describing in his earlier post, i.e. how to measure/identify changes (delta) in the speed (momentum) of the bars, and therefore spot potential reversals, and that it indeed could present a fruitful discussion. So how about we put the focus back onto the topic and see where this goes?

 

In my mind the question becomes, how do we measure/quantify the change in momentum?

 

Johnw, perhaps if you could clarify what you meant by "imagine the surprise of the guys from the bottom of the bar when they go hurtling past ... unless something is done quickly to remedy this situation, price will enter into a spin much like a car would when it's rear end is traveling faster than it's front end"?

[zdo 20]

this is getting scary -

"...slightly off topic" ???

I was thinking 'off topic' was an understatement...

 

so yes, johnw, please start over.

Maybe post some charts of when you first noticed this to illustrate - even if they're now 'dated'. thx

[Logic 10]

My apologies if I have injured your feelings Traduk, it was not my intention.

 

So John, is the question, "how do you verify momentum, trend and immediate strength using constant volume bars?

[Traduk 10]

My apologies if I have injured your feelings Traduk, it was not my intention.

 

We were obviously at cross purposes, no problem:)

 

CVB bars, if I recall correctly you use 5333, pose a more immediate problem in that they because they are generated as a function of volume vary from day today. The last 10 days has seen volume on the e-mini range from 1.6million up to over 3million twice.

 

Twice as many bars can be generated on some days compared with others but there is no uniformity as each bar is a function of often activity within short bursts, over distance during a day.

 

I looked at the CVB (5333) for the sharp drop yesterday (1236 to 1208.75). On a 5 minute bar the bulk of the volume came in as 244058 on the last 3 bars of the drop with volume really kicking in at 1220.25 (1 ninute bars). It was an obvious point for volume to go exponential as it sliced through a prior support at 1220.25 (pre-market overnight low (12.00 noon) . The manner in which that was reflected in 5333 CVB was by the large trades which became evident compressing the CVB's into small point moves but with a heck of a lot of bars generated. BTW I can filter the volume by uninterrupted one way traffic which is as near as possible to distinguish block trades on the bid\ask and about a third of the volume was 150 blocks or greater which means some heavy hitters were involved.

 

You can probably see or work all that out for yourself but how something which in essence goes against the normal expectation of timed bars where distance over time is the metric I have no idea beyond the fact that between swing points CVB's create more or less bars but that doesn't address your question.

 

I did look at this question some years ago and all I could come up with was that within the constraints of a known volume the efficiency of movement was (a) by distance travelled and (b) by the resistance to that travel. The only idea I could come up with was that in one way travel the flip flop between bid and ask should be less therefore the ratio of volume should reflect constant flipping with a fight in progress and far less with fast traffic. A simple volume divided by ticks charted does display those characteristics but not to a degree that I found of any value. Even in a fairly quick running downward market there are still trades flipping the ask even though the bid hitters are winning fairly easily. This again is fairly obvious in the fact that whereas CVB bars create at a rate of knots the actual range per bar contracts.

 

I gave up on mostly anything but structure on the e-mini S&P a long time ago because although humans would think twice about jumping in front of a run away train, HFT algorithms are emotionless. Many things that used to work years ago have slowly been eroded but in the last few years the bots dictate and fortunately they still appear to respect structure:)

[Logic 10]

 

CVB bars, if I recall correctly you use 5333, pose a more immediate problem in that they because they are generated as a function of volume vary from day today. The last 10 days has seen volume on the e-mini range from 1.6million up to over 3million twice.

 

Twice as many bars can be generated on some days compared with others but there is no uniformity as each bar is a function of often activity within short bursts, over distance during a day.

 

I looked at the CVB (5333) for the sharp drop yesterday (1236 to 1208.75). On a 5 minute bar the bulk of the volume came in as 244058 on the last 3 bars of the drop with volume really kicking in at 1220.25 (1 ninute bars). It was an obvious point for volume to go exponential as it sliced through a prior support at 1220.25 (pre-market overnight low (12.00 noon) . The manner in which that was reflected in 5333 CVB was by the large trades which became evident compressing the CVB's into small point moves but with a heck of a lot of bars generated. BTW I can filter the volume by uninterrupted one way traffic which is as near as possible to distinguish block trades on the bid\ask and about a third of the volume was 150 blocks or greater which means some heavy hitters were involved.

 

You can probably see or work all that out for yourself but how something which in essence goes against the normal expectation of timed bars where distance over time is the metric I have no idea beyond the fact that between swing points CVB's create more or less bars but that doesn't address your question.

 

I did look at this question some years ago and all I could come up with was that within the constraints of a known volume the efficiency of movement was (a) by distance travelled and (b) by the resistance to that travel. The only idea I could come up with was that in one way travel the flip flop between bid and ask should be less therefore the ratio of volume should reflect constant flipping with a fight in progress and far less with fast traffic. A simple volume divided by ticks charted does display those characteristics but not to a degree that I found of any value. Even in a fairly quick running downward market there are still trades flipping the ask even though the bid hitters are winning fairly easily. This again is fairly obvious in the fact that whereas CVB bars create at a rate of knots the actual range per bar contracts.

 

I gave up on mostly anything but structure on the e-mini S&P a long time ago because although humans would think twice about jumping in front of a run away train, HFT algorithms are emotionless. Many things that used to work years ago have slowly been eroded but in the last few years the bots dictate and fortunately they still appear to respect structure:)

 

In any problem solving scenario one must begin from a point of accuracy.

 

Yes, volume varies daily as it does yearly, monthly, weekly, hourly, each minute and each second but there is no variable aspect of constant volume bars. Each bar is weighted, by volume, exactly as the one preceding it or following it. What this means is that there is absolutely no difference the way your indicator reads a day where volume barely hits 1.6 millions contracts or a day where volume exceeds 3 millions contracts. The difference is that on higher volume days there are more bars printing. All this means is more volatility more liquidity and more trading and profit opportunities but your indicators don't change or act differently on those days.

 

Constant volume bars are a perfect vehicle to track and validate momentum, trend (once you are able to objectively define it) and immediate strength. Everyone looks at HFT as this uncontrollable beast. I laugh at it. All it does is add volatility and liquidity which is where my profit comes from. I consider what I do as "Slow Frequency Trading" and it will work 50 years from now as it did 5 years ago. It is a physical impossibility for its "edge" to evaporate.

 

Seeing it and using it allows one to believe it.

[Do Or Die 10]

what is your definition of "volatile"?

+1

------------------------------------

so, as this could lead to an interesting discussion (hence my desire for conciliation), maybe a few diagrams, and clearer explanations may make things easier.

+1

[johnw 10]

We were obviously at cross purposes, no problem:)

 

CVB bars, if I recall correctly you use 5333, pose a more immediate problem in that they because they are generated as a function of volume vary from day today. The last 10 days has seen volume on the e-mini range from 1.6million up to over 3million twice.

 

Twice as many bars can be generated on some days compared with others but there is no uniformity as each bar is a function of often activity within short bursts, over distance during a day.

 

I looked at the CVB (5333) for the sharp drop yesterday (1236 to 1208.75). On a 5 minute bar the bulk of the volume came in as 244058 on the last 3 bars of the drop with volume really kicking in at 1220.25 (1 ninute bars). It was an obvious point for volume to go exponential as it sliced through a prior support at 1220.25 (pre-market overnight low (12.00 noon) . The manner in which that was reflected in 5333 CVB was by the large trades which became evident compressing the CVB's into small point moves but with a heck of a lot of bars generated. BTW I can filter the volume by uninterrupted one way traffic which is as near as possible to distinguish block trades on the bid\ask and about a third of the volume was 150 blocks or greater which means some heavy hitters were involved.

 

You can probably see or work all that out for yourself but how something which in essence goes against the normal expectation of timed bars where distance over time is the metric I have no idea beyond the fact that between swing points CVB's create more or less bars but that doesn't address your question.

 

I did look at this question some years ago and all I could come up with was that within the constraints of a known volume the efficiency of movement was (a) by distance travelled and (b) by the resistance to that travel. The only idea I could come up with was that in one way travel the flip flop between bid and ask should be less therefore the ratio of volume should reflect constant flipping with a fight in progress and far less with fast traffic. A simple volume divided by ticks charted does display those characteristics but not to a degree that I found of any value. Even in a fairly quick running downward market there are still trades flipping the ask even though the bid hitters are winning fairly easily. This again is fairly obvious in the fact that whereas CVB bars create at a rate of knots the actual range per bar contracts.

 

I gave up on mostly anything but structure on the e-mini S&P a long time ago because although humans would think twice about jumping in front of a run away train, HFT algorithms are emotionless. Many things that used to work years ago have slowly been eroded but in the last few years the bots dictate and fortunately they still appear to respect structure:)

 

Hello Traduk,

 

I don't think that we at cross purposes at all, judging from this latest post from you....

I think that we are on a completely different journeys.

 

Incidentally, I have no idea why you would think I use V5333 bars.

 

If you have formed an opinion against the use of volume bars, then would it not be

rational to join a volume bar thread and share your opinion with other CVB Posters.

[Traduk 10]

Hello Traduk,

 

I don't think that we at cross purposes at all, judging from this latest post from you....

I think that we are on a completely different journeys.

 

Incidentally, I have no idea why you would think I use V5333 bars.

 

If you have formed an opinion against the use of volume bars, then would it not be

rational to join a volume bar thread and share your opinion with other CVB Posters.

 

My journey has been 25 years long, to date but I am more than flexible enough to retrace some steps to see if there is a different perspective to be gained.

 

There is almost no area of TA that I have not explored on at least one occasion and many that I have revisited several times. The markets are dynamic and I tend to be the same and although I expressed a view on CVB and stated several obvious drawbacks, I am open to other people's interpretations and as with markets always happy to be proved wrong and learn.

 

Regarding the 5333 bars.... must have been somebody else. BTW what bars do you use and to assist with further discussion what data feed and analytical software.

 

BTW thanks for pointing out the irrationality of joining a thread with pre-conceived notions:(.

[joshdance 10]

I gave up on mostly anything but structure on the e-mini S&P a long time ago... the bots dictate and fortunately they still appear to respect structure:)

 

Can you elaborate..?

[Traduk 10]

Can you elaborate..?

 

The structure I am referring to is Fractal structure which is of course from ticks upwards which manifests itself in various time frames.

 

Although I have long since abandoned any use of EWT or Gann I do use wave structure but in a bespoke manner. Absolutely nothing has changed since the 90's when I ran hundreds of millions of raw data points through bespoke algorithm spreadsheets. Raw data today produces exactly the same iteration fractal growth as twenty years ago and from that I deduce that HFT and bots are designed by man to follow and exploit market behaviour which has held true as long ago as I could get data for.

 

IMO what was true in the old pit days is still true today but every tick is fought over as though it is the only one of the day. I much preferred the era where a move was done and dusted inside a few minutes rather than spend hours waiting for hundreds of thousands of trades to be done for a handful of points.

 

In conclusion although bots, scalpers etc have added tons of volume and often slow the E-mini to a crawl, the structure, IMO, still follows the age old paths but takes a heck of a lot longer to get there.

[joshdance 10]

In any problem solving scenario one must begin from a point of accuracy.

 

Good to see you Logic, hope all is well, and happy trading!

[joshdance 10]

The structure I am referring to is Fractal structure which is of course from ticks upwards which manifests itself in various time frames.

 

Very logical, thank you Traduk.

[SunTrader 10]

........ This being the case, then you are guilty of the unforgivable crime of reading through my words thus implanting an incorrect assumption within your magnificent mind.

 

'Delta' is a simple mathematical expression for 'difference' but it seems that it has joined a growing list of hijacked words........

Deleted as I hadn't seen there were already replies to this and time to move on.