[VSA] Volume Spread Analysis Part I

[MC 10]

They produce the same results. I have TradeGuider and it matches perfectly.

 

Any chance you could post a pic of a 1 year DJI daily chart with that sweet indicator? I'm away from my comp and would like to see something.

 

Thanks

[BlowFish 10]

This is what I was searching for...not sure if TS has lognormal SD. I think VictorH probably had cracked it

 

Hello rayl54292,

 

This is my first post on this forum.

I was interested in the chart in your last post [3] and your comment about “input and brutal honestyâ€Â

 

This is my analysis of VSA in terms of looking at Volume and Standard Deviation levels.

 

The use of the Normal Standard Distribution curve can result in Negative Value Levels ( ie. for the Lower Standard Deviation levels ).

 

Volume can only be a Positive Value, hence I use a LOG Normal Distribution of Volume to assess the Standard Deviation levels. This gives levels which are always Positive. The following Amibroker Code shows what I am referring to.

I believe TG uses this approach also. Is this what you do also ?

 

All feedback on this line of thinking is most welcome.

 

Regards,

V

 

LBP = Param("Look Back", 30, 0, 100,1 );

Mean = MA(ln(V),LBP);
StD = StDev(ln(V),LBP);

xp3 = exp(mean + 3*std);
xp2 = exp(mean + 2*std);
xp1 = exp(mean + 1*std);
xm  = exp(mean);
xn1 = exp(mean - 1*std);
xn2 = exp(mean - 2*std);

Plot(xp3,"",  1,1|4096);
Plot(xp2,"",  1,1|4096);
Plot(xp1,"",  1,1|4096);
Plot(xm, "", 29,1|4096);
Plot(xn1,"",  1,1|4096);
Plot(xn2,"",  1,1|4096);

Clr = IIf(V>Ref(V,-1),29,32);
Plot(V,"",Clr,6);

[Anonymous 11]

"For the haters"

 

Most people here are not haters but some who read this forum are. That's okay, the market is full of abundance and not every will find the same path to that abundance. Every now and then, however, the market does something that really reassures the VSAer of the validity of Volume Spread Analysis. Paradoxically, of course, being valid and working are not necessarily one in the same. But when one has something that is both valid and works then one can trade any market or any timeframe........

 

The following chart, shows me one reason why I must believe that VSA not only works but speaks to a fundamental truth of how markets work.

 

First notice the black line that I have drawn on the chart. This is really a key "line in the sand" area to certain market participants. Note I have no idea why and really don't care, but it is important as the chart itself tells us.

 

If we start with the first Effort to Rise bar on the left side. Note that this candle closes ABOVE the black line. Now let's back up for just a second. To get past this line (area) more volume (demand) is applied. In other words, to get past an area of support/resistance we can expect to see more volume. Which we generally can call effort. So the market has closed above this line on higher volume just after we saw a Squat which was in the body of a WRB. Note that there is no closes below this line after the Effort to Rise candle.

 

Which brings us to the next telling candle. 2 candles later we get a down candle. This candle trades lower (makes a lower low), closes lower than the previous candle and closes in the middle of its range on volume less than the previous 2 candles. In short, it is a Test. Again, where is the close? On the line. Where was the test for supply? Below the black line. So the 2 candles after the Effort candle, trade slightly below the black line, but the line holds on a closing basis. Of those two candles, the second one is a Test. At this point no other candle trades below this line. We do not know this yet, however.

 

We then get a white (open>close) WRB. This candle opens on the black line and is immediately repelled upwards away from the black line and where the previous Test found no supply. We know what WRBs represent changes in the supply/demand dynamics in the market. This is a significant WRB. I have previously stated what makes some WRB more significant than others, so I will not restate here, but one reason is size. What I now would like to see is a No Supply, Test, or Squat within the body of this WRB. We get that. Upon closer look, what do we see? This Test trades down to the black line but not below. Thus the previous test, tested for supply below the line and this next test only test to the line. But this makes sense. The first Test found no supply underneath the line and closed on the line. So the next Test should really only need to go as low as the line. Not to mention that this is where the WRB begins. And WRBs represent changes in supply/demand dynamics. Did I say that already?

 

This may not convince all that there are Smart Monies and syndicates involved in the market, but it has to shake the ground underneath the random walkers.

 

*** On a completely different note, Welcome Sebastian and thank you for your willingness to share and enlighten us. I believe you are giving away the keys to the kingdom and am sincerely grateful.***

Edited March 29, 2008 by mister ed
Add back chart

[Anonymous 11]

JJ:

 

Very nice. I can not say this enough- Every one here is top notch. Thanks for sharing and caring as we walk this journey together. The market may be zero sum, but we are clearly made stronger by our numbers.

 

 

P.S. Is there a Metastock version in the works?

[MC 10]

JJ:

 

Very nice. I can not say this enough- Every one here is top notch. Thanks for sharing and caring as we walk this journey together. The market may be zero sum, but we are clearly made stronger by our numbers.

 

 

P.S. Is there a Metastock version in the works?

 

I'm middle notch but thanks to you guys I'm on my way to climbing to the top notch with you all.

 

Awesome thread, you guys really opened my eyes to what I believe is the best way to make sense out of supply and demand. :beer:

[jjthetrader 10]

JJ:

 

Very nice. I can not say this enough- Every one here is top notch. Thanks for sharing and caring as we walk this journey together. The market may be zero sum, but we are clearly made stronger by our numbers.

 

 

P.S. Is there a Metastock version in the works?

 

Blu-Ray seems to be able to code anything so I'd see if he could code it up for you. I don't use MS so didn't think to do it. I can give you the logic behind it if you'd like.

Thanks to Blu-Ray for figuring out all the perdy colours that I was insistent on having:)

Also he was able to take my basic code and have the 'ranges' increase with increasing volume and vice vera which tguider does. The average rage becomes wider as volume increases, very sweet.

 

Thanks BlowFish for the StdDev post.

[jjthetrader 10]

Any chance you could post a pic of a 1 year DJI daily chart with that sweet indicator? I'm away from my comp and would like to see something.

 

Thanks

 

Here you go for the DJI.

[Seb Manby 11]

http://www.megaupload.com/?d=IG95GF27

 

Es Analysis for 12th and 13th dec 25mb

 

Regards Sebastian

[mister ed 10]

P.S. Is there a Metastock version in the works?

 

JJ, if you can provide the logic for it then I can work to put it into Metastock, I can probably decipher the TS code, but in English would be easier!

 

PIvot, can I ask you about your analysis in post 1104 - after the initial effort to rise bar (straight after the first squat) there is a high volume bar that is basically a gravestone doji (easiest way to describe it - I know the open and close are not at the same price but only one pt apart makes it close enough for me). What are your thoughts on this bar - it would have had me looking for a down move follow through in the immediately following bars (which didn't come). If I could get your feedback on this question would be appreciated as this bar really "stuck out" for me.

[MC 10]

Here you go for the DJI.

 

Awesome, can't wait to install it at home later.

 

Funny to see how they buy in at the bottom with no disguise and then sell stealth mode on the way up.

[jaybird 10]

had a good day today:haha:

 

took some trend line breaks off some smaller charts in the am and got chopped pretty bad:angry:

 

-------volume based trades worked well as usual-------note to self on that one.:doh:

 

 

quick q for sebastian or pivot or whoever has a comment

 

on the chart posted i took a short on the 1015bar and was stopped on the 10:25 bar and reentered on the 10:25bar, was my sell on the 10:15 bar a valid signal and one that others would have taken

 

 

fyi i scalped mostly off the 1min chart with the 5min as my bias and would hold the other half of my scalp based off what i saw on the 5min

 

 

thanks

 

jaybird

[jaybird 10]

One of my "better" scalps today

 

i am a scalper and i make a lot of turns each and every day but this was one of my better trades for the day

 

strength on bar A was going to enter on that bar but missed it

 

bar B no supply-----entered on it's close -------and WEEEEEEEEEEEEEE!!!!

 

lol

 

 

 

 

 

PURE BEAUTY

 

 

jaybird

[ckait 10]

can you please explain what that indicator is for? It looks just like normal volume with a line over it.

[Tasuki 10]

http://www.megaupload.com/?d=IG95GF27

 

Es Analysis for 12th and 13th dec 25mb

 

Regards Sebastian

 

Sebastian, I just want to join the chorus of applause for your veritable tour de force. We owe you a great debt of gratitiude for sharing your knowledge with us.

 

Folks, I recommend watching this video over and over.

[mister ed 10]

http://www.megaupload.com/?d=IG95GF27

 

Es Analysis for 12th and 13th dec 25mb

 

Regards Sebastian

 

Thanks a lot Sebastian - great learning tool.

 

One thing to be aware of in this video it covers two RTH sessions, the session for Wednesday 12DEC2007 and Thursday 13DEC2007, the thing to be aware of is the rollover day on Thursday 13DEC2007. My data provider (eSignal) automatically rolled the contract (I watch ES #F, so it is continuous). So at 4.15 EST on Wednesday 12DEC2007 the closing price was for the ES Z7, but fifteen minutes later, at Globex open, 4.30 EST, the opening price, which appeared to jump 10 points (give or take) was for the ES H8, a different contract.

 

Thus, the RTH opening on Thursday 13DEC2007 at 9.30 am EST on my data was for ES H8. The data you are using there on the presentation, from IQFeed it appears, looks to have done the same thing.

 

At the close on Wednesday you point out a rally with supply coming in, ES Z7 closing at about 1490. On your chart it appears the market opens on Thursday around the same price, at about 1490 (but this is the ES H8 open, different contract) whereas in fact the ES Z7 opened at 1480 even.

 

Just thought I would point that out. It makes the rally immediately after the RTH market open on Thursday (from 1480 to 1486.50 high on ES Z7) an attempt to close the gap opened up during Globex. To see this it is necessary to be looking at ES Z7, not ES #F (which had rolled to the March contract, ES H8).

Edited March 29, 2008 by mister ed
format

[monad 10]

Sebastian, I just want to join the chorus of applause for your veritable tour de force. We owe you a great debt of gratitiude for sharing your knowledge with us.

 

Folks, I recommend watching this video over and over.

 

Tasuki,

You came in trumpetting your world famous indicator, up/down, ask/bid vol, green bar in red and vice versa and how it all explains VSA and enhances its value, and why folks dismissed that at the start of this thread etc, some were critical but as you mentioned many PM you with their support. Ravin also voiced that support, then you moved into moving average and VSA,

Now you are raving on about pure VSA by Sebastian.

 

Was under the distinct impression that either you were planning to start a new thread or post in here some realtime trades and demonstrate how bid/ask vol etc not only can be used in conjunction with VSA , but further explains what VSA is actually telling us about supply/demand and thus provide an extra edge in trading in realtime, not from the middle of the chart

 

Well we are still waiting withe eagerness:helloooo:

[monad 10]

Very nice. I can not say this enough- Every one here is top notch. Thanks for sharing and caring as we walk this journey together. The market may be zero sum, but we are clearly made stronger by our numbers.

 

Very eloquently put Pivotprofiler, great analysis on the recent post, besides currency do you trade other markets, can you put in some more details on stop loss and target levels that you trade with in realtime please. I am sure many would appreciate that.

[jjthetrader 10]

JJ, if you can provide the logic for it then I can work to put it into Metastock, I can probably decipher the TS code, but in English would be easier!

 

Sure, being an indicator lets discuss it here:

 

http://www.traderslaboratory.com/forums/f56/req-help-with-trend-indicator-2428.html

[jjthetrader 10]

quick q for sebastian or pivot or whoever has a comment

 

on the chart posted i took a short on the 1015bar and was stopped on the 10:25 bar and reentered on the 10:25bar, was my sell on the 10:15 bar a valid signal and one that others would have taken

 

 

fyi i scalped mostly off the 1min chart with the 5min as my bias and would hold the other half of my scalp based off what i saw on the 5min

 

 

 

Hey jaybird, love seeing RT trades, especially when they go wrong. These are lessons that you pay for and we benefit from.

Tawe Trader on this forum likes to take trades like yours and he suggests waiting on the low of the upthrust to break with a close below it.

Your direction was correct and it's not your fault that stops were gunned for on the 10:25 bar.

See how the 10:30 bar closes below the upthrust of the 10:25? There you go.

 

I made a similar mistake yesterday. I got anxious to get the better price instead of waiting for confirmation.

 

Good trades though bro. Keep posting. I like your energy.

JJ

[RAVIN 10]

had a good day today:haha:

on the chart posted i took a short on the 1015bar and was stopped on the 10:25 bar and reentered on the 10:25bar, was my sell on the 10:15 bar a valid signal and one that others would have taken

jaybird

 

You can increase your odds of not getting stopped out by waiting for a bar to close below the low of the upthrust bar, however in case there is wide range down bar, no point chasing the price there, wait for the price to bounce a little, go down to lower time frame chart and then you may get a chance to enter on a no demand bar, once again, I prefer not to go on market order on the close of the no demand bar, but on the take out of the low of the bar.

[BlowFish 10]

Sebastian, I just want to join the chorus of applause for your veritable tour de force. We owe you a great debt of gratitiude for sharing your knowledge with us.

 

Folks, I recommend watching this video over and over.

 

I know I have already given my :applaud: however I just wanted to add that a resource like this (and I include all the contributions) would have saved me years of not quite getting it, shelving things, then coming back, advancing a bit, wash and repeat. There are subtleties and this stuff really helps uncovers them.

 

Cheers.

[BlowFish 10]

had a good day today:haha:

 

quick q for sebastian or pivot or whoever has a comment

 

on the chart posted i took a short on the 1015bar and was stopped on the 10:25 bar and reentered on the 10:25bar, was my sell on the 10:15 bar a valid signal and one that others would have taken

 

 

 

jaybird

 

It looked good to me (Im no expert), sometimes things just need to re-test (btw I use 'test' to describe a test of supply or demand so probably wrong nomlacture). You cold say well first test was a bit high volume and with hindsight (easy with hindsight) you could see why it was re-tested. I'd have taken it. Excelent job getting back in btw!

 

EDIT: I am a bit liberal with tests in another way too. What Tom or Sebastian would probably cal a 'hidden test' I still count as a test. If price visits an area of previous supply or demand and gets rejected (on less volume) that to me is a test. Apologies if my 'sloppy' approach confuses anyone

[tawe trader 10]

on the chart posted i took a short on the 1015bar and was stopped on the 10:25 bar and reentered on the 10:25bar, was my sell on the 10:15 bar a valid signal and one that others would have taken

 

 

jaybird

 

Good stuff Jaybird, I would have taken the trades like my Canadian friend JJ said. I don't know if anyone has picked up on it but I tend to have a bearish slant to my trading and tend to trade the short side a lot - not good I know !

 

You did well to re-enter on the 2nd upthrust, sometimes these 'double' upthrust or 'tests' are more powerful than a single upthrust.

 

I know it's easy in hindsight but concerning the first upthrust, if you look to the background (like what Sebastian talks about) and see 'weakness' you could have run with a wider stop above the first upthrust or even traded without a stop in the marketplace but with a wide mental stop, which is what I tend to do. It results in less shake-outs but you have to be confident in your analysis of the background.

 

I haven't been able to trade much this week but hopefully I will have a chart or two of interest next week.

 

A big thanks also from this Welsh FTSE trader, Sebastian - excellent video's and VSA analysis. - Darren

[Tasuki 10]

Tasuki,

You came in trumpetting your world famous indicator, up/down, ask/bid vol, green bar in red and vice versa and how it all explains VSA and enhances its value, and why folks dismissed that at the start of this thread etc, some were critical but as you mentioned many PM you with their support. Ravin also voiced that support, then you moved into moving average and VSA,

Now you are raving on about pure VSA by Sebastian.

 

Was under the distinct impression that either you were planning to start a new thread or post in here some realtime trades and demonstrate how bid/ask vol etc not only can be used in conjunction with VSA , but further explains what VSA is actually telling us about supply/demand and thus provide an extra edge in trading in realtime, not from the middle of the chart

 

Well we are still waiting withe eagerness:helloooo:

 

monad,

The local surfers here in sunny southern California have an expression that's worth keeping in mind: "It's all good". In the case of Sebastian's market analysis, it's extremely good. As for my indicator, yeah, it has some value, but nothing close to an experienced eye.

 

During last night's video, Sebastian said at one point that a proper analysis can get tricky at times. Well, my indicator can sometimes help to some degree to elucidate for untrained eyes what experts see effortlessly. The attached chart gives two examples of this.

 

Sebastian said on one bar "must have been alot of selling" and yes, you can see it right on the updown volume indicator. Despite the fact that it was a nice, strong up bar, Sebastian knew from experience that there had to be alot of selling---the benefit of a trained eye. Well, for those of us who don't have the trained eye, as yet, the updown volume indicator shows you there in black and white (OK, red and green).

 

On another bar, he said, "must have been more buying than selling". Of course he was right, but if you need confirmation, the updown volume indicator shows you, plain as day.

 

Monad, I never said anything about starting a new thread. Why would I? I was just trying to make a contribution to the VSA thread, as I thought maybe my updown volume indicator could be of some benefit. Some other posters suggested a separate thread, and that's fine for them, but I never proposed anything like that. All I suggested was putting the indicator on your VSA charts and watching it for a week, see what you think.

 

Please, PLEASE, let's keep the conversation civil. Your "trumpeting" sarcasm isn't welcome, in fact, it hurts. Remember, amigo, "it's all good,"

[jaybird 10]

I know I have already given my :applaud: however I just wanted to add that a resource like this (and I include all the contributions) would have saved me years of not quite getting it, shelving things, then coming back, advancing a bit, wash and repeat. There are subtleties and this stuff really helps uncovers them.

 

Cheers.

 

i second this tons of great info in this thread

 

sebastian again great info in your videos-----thanks

 

thanks for everyones posts concerning my trades on my last post

 

btw here are some scalps i made today most winners a couple losers

 

 

 

jaybird