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Volume level support and resistance (EasyLanguage)
Started:March 19th, 2010 (03:25 PM) by Big Mike Views / Replies:13,992 / 41
Last Reply:October 18th, 2016 (03:50 PM) Attachments:7

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Volume level support and resistance (EasyLanguage)

Old May 7th, 2011, 03:47 PM   #21 (permalink)
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I am still reluctant to code the indicator, as there seems to be a conceptual weakness. As fas as I have understood the indicator adds up the volume over a n-bar period and then attributes that volume no the n-bar exponential average over that same period. The value of the moving average which has collected the peak volume is elected as today's volume pivot.

Now if you use that indicator for CL on a larger time frame chart with a bar period > 15 min and a lookback period around 10, then the peak volume will always be around noon. So there is no more information. If you use that indicator on 1 min bars, the peak volume will mostly be found at the close of the RTH session, because the reported volume is added at that time.

This means that the indicator has a sweet spot, where it can be used, and that the lookback period of the volume and the EMA needs to be adjusted to the bar period to remain within this spot.

To be honest, I would rather use market profile, adding up TPO volume than use this volume proxy attributed to an exponential moving average. The point of control, the volume weighted average of the RTH session or even the floor pivot are probably more representative of value than the lines displayed by this indicator.

So, I am not really motivated to code this for NinjaTrader, unless somebody convinces me that it really can be used..

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Old May 7th, 2011, 10:01 PM   #22 (permalink)
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@Fat Tails.

I do not use it for the moment, but I think the Volume Pivots for FXCM Marketscope works pretty good. Maybe you could get something out of it. I am not sure what programming language it is based on, but is in .lua format. It is Apprentice over at Fxcodebase.com who have made it. Direct link. For example in the thread they discuss making calculations based on sessions rather than amount of bars. The picture in my previous post in this thread shows it with more levels.

I have attached the code in .txt.

Laurus

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Register to download File Type: txt Volume Pivots.txt (5.4 KB, 101 views)
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Old May 8th, 2011, 02:33 PM   #23 (permalink)
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Laurus12 View Post
@Fat Tails.

I do not use it for the moment, but I think the Volume Pivots for FXCM Marketscope works pretty good. Maybe you could get something out of it. I am not sure what programming language it is based on, but is in .lua format. It is Apprentice over at Fxcodebase.com who have made it. Direct link. For example in the thread they discuss making calculations based on sessions rather than amount of bars. The picture in my previous post in this thread shows it with more levels.

I have attached the code in .txt.

Laurus

But the question is still unanswered, how to use this in your trading.

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Old May 8th, 2011, 09:55 PM   #24 (permalink)
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But the question is still unanswered, how to use this in your trading.

One can use it for knowing where support and resistance of more significant degree is. For example as in where the "smart money" are making support and resistance. One can then choose to enter or exit a position based on if price respects or disrespects the levels. For example on retests. This is how I have interpreted it.

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Old May 9th, 2011, 07:09 PM   #25 (permalink)
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Pretty Please with sugar on it

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Fat Tails,
How long would it take you to code this bad boy? Sure would be an interesting indicator...not sure whether it will work as expected but I'd love to see it and test it out.
(also, was thinking about this...the lines could be thicker the bigger the HVN or Darker to give a better idea of how much strength that S or R might have)
Jefe


Last edited by jefe; May 9th, 2011 at 07:56 PM.
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Old May 10th, 2011, 07:33 AM   #26 (permalink)
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Is it possible draw a line of different size thta depend of how much volumes is it exchange for each level?
So at first look is it possible understant a good level of support and resistance.

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Old May 10th, 2011, 12:12 PM   #27 (permalink)
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Fat Tails,
How long would it take you to code this bad boy? Sure would be an interesting indicator...not sure whether it will work as expected but I'd love to see it and test it out.
(also, was thinking about this...the lines could be thicker the bigger the HVN or Darker to give a better idea of how much strength that S or R might have)
Jefe

As I said, this indicator has serious shortcomings, as its use is more or less limited to 5 minute charts. It will not work correctly on 1 min charts (always picks the close), and will not work on 30 min charts (always picks the middle of the day), so I won't probably code it. I have not heard of anybody using this indicator for his (successful) trading. If there is anybody, please come out and show how it can be used.

I do not want to spend my time, coding something which in the end will be useless. There are already good indicators around, which identify the mode of the RTH session, such as

- the dValue indicator (see download section of the forum)
- Fin-Alg commercial indicator, which allows to plot a market profile

I am rather sure that these indicators are better, so I am not eager to put an effort into something with a limited perspective.

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Old May 10th, 2011, 01:08 PM   #28 (permalink)
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This little indicator just plots some interesting support and resistance areas solely based on where the majority of volume took place. I use it on a 5 minute chart.....

........just represents how many days back the line represents, I have it set to do a 5-day rolling action now.

All the lines are drawn ahead of time and do not change intraday. .....


Fat Tails View Post
I am still reluctant to code the indicator, as there seems to be a conceptual weakness. As fas as I have understood the indicator adds up the volume over a n-bar period and then attributes that volume no the n-bar exponential average over that same period. The value of the moving average which has collected the peak volume is elected as today's volume pivot.

Now if you use that indicator for CL on a larger time frame chart with a bar period > 15 min and a lookback period around 10, then the peak volume will always be around noon. So there is no more information. If you use that indicator on 1 min bars, the peak volume will mostly be found at the close of the RTH session, because the reported volume is added at that time.

This means that the indicator has a sweet spot, where it can be used, and that the lookback period of the volume and the EMA needs to be adjusted to the bar period to remain within this spot.

To be honest, I would rather use market profile, adding up TPO volume than use this volume proxy attributed to an exponential moving average. The point of control, the volume weighted average of the RTH session or even the floor pivot are probably more representative of value than the lines displayed by this indicator.

So, I am not really motivated to code this for NinjaTrader, unless somebody convinces me that it really can be used..

Hello Fat Tails.
I'm very interested in this for NT.
In advance of explaining why, and to avoid wasting your valued efforts and
to be sure I understand what's being discussed here,
Big Mike's first post appears to me to be referring to a POC over a selectable number of days ?
(and that that number of days is "rolling").

If I've understood this correctly, is there any reason why you refer to an exponential average of that volume ?
(as per red text in your quote above).

It may well be part of the EL code (which I am ignorant of).
Apologies if it is.

If it is part of the EL code would it appeal to you to work on this without
having that exponential average criteria ?

Many thx

.

Every moment I wake up I realize I know nothing, and then I smile...

Last edited by zt379; May 11th, 2011 at 05:27 AM.
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Old May 10th, 2011, 02:19 PM   #29 (permalink)
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zt379 View Post
Hello Fat Tails.
I'm very interested in this for NT.
In advance of explaining why, and to avoid wasting your valued efforts and
to be sure I understand what's being discussed here,
Big Mike's first post appears to me to be referring to a POC over a selectable number of days ?
(and that that number of days is "rolling").

If I've understood this correctly, is there any reason why you're refer to an exponential average of that volume ?
(as per red text in your quote above).

It may well be part of the EL code (which I am ignorant of).
Apologies if it is.

If it is part of the EL code would it appeal to you to work on this without
having that exponential average criteria ?

Many thx

.

I did not mention an exponential average of the volume. The indicator adds up the volume over n bars, calculates a simple average of that volume and then attributes that volume to the price level, which is obtained as the exponential moving average over that n bar period.

So what you get doing this is a price volume histogram very similar to a volume based market profile. However the price levels are not made up of all ticks which are included within the daily range, but they are made up of all values the EMA has taken during the day. Then it is not the volume which traded at any price level, which is attributed, but it is the cumulated volume of the prior n-bars, which is taken as a proxy.

Let us say the indicator determines the mode of a price volume distribution calculated from n bar rolling market profiles, with the EMA of the n bar rolling profile used as a proxy for the point of control.

It is a poor man's market profile and will probably not get the expected results. Again there are better options. You can take

- the VWAP of each of the prior five sessions as a proxy for volume
- the point of control calculated from TPOs

and will have more robust values than those calculated here.

There is an example how to use VWAPs here, the concept is pretty similar to this indicator, but probably more effective.

Anchored VWAP Bands | The Precision Report

Attached Thumbnails
Volume level support and resistance (EasyLanguage)-prev-day-closing-vwap-9-30-09.png  
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Old May 10th, 2011, 04:41 PM   #30 (permalink)
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Fat Tails View Post
I did not mention an exponential average of the volume. The indicator adds up the volume over n bars, calculates a simple average of that volume and then attributes that volume to the price level, which is obtained as the exponential moving average over that n bar period.

So what you get doing this is a price volume histogram very similar to a volume based market profile. However the price levels are not made up of all ticks which are included within the daily range, but they are made up of all values the EMA has taken during the day. Then it is not the volume which traded at any price level, which is attributed, but it is the cumulated volume of the prior n-bars, which is taken as a proxy.

Let us say the indicator determines the mode of a price volume distribution calculated from n bar rolling market profiles, with the EMA of the n bar rolling profile used as a proxy for the point of control.

It is a poor man's market profile and will probably not get the expected results. Again there are better options. You can take

- the VWAP of each of the prior five sessions as a proxy for volume
- the point of control calculated from TPOs

and will have more robust values than those calculated here.

There is an example how to use VWAPs here, the concept is pretty similar to this indicator, but probably more effective.

Anchored VWAP Bands | The Precision Report

Thx for the detailed reply.
As you say, it's not showing actual traded volume at price. A true POC, in other words.

Do you know of an NT indicator that does this, especially on a cumulative basis?
ie;
Last trading day volume (POC)
Current week volume (POC)
Last week volume (POC)
Total contract levels" (POC)
(see attached charts)
All those I've come across relate to a TPO or VTPO or VWTPO or VOC .

I would, if possible, like to have a "true" POC indicator for NT.

If of interest, I touched on this in a previous futures.io (formerly BMT) thread (post#8 below) regarding an MT4 indicator,
that does plot POC based on actual volume traded at price.
https://futures.io/traders-hideout/5202-cme-settlement-price-calculation.html

Post#8

zt379 View Post
I started this thread on Ninja forum a while ago which may be of interest.
Volume Levels - NinjaTrader Support Forum

I wasn't able to get anyone to convert the MT4 indicator that VolumeTrader had made.
Hope the thread is self explanatory and may help.

trading-evolution • ???????? ?? ???????. Trading forex and futures using volume data

His Excel link in post#1 of the above Ninja Forum thread, I believe he created to get CME data into the MT4 charting software.
It may help explain how to create an NT indicator if anyone is able or interested ?

Post # 196 from his FF thread :
Volume Trading - Page 14 @ Forex Factory
explains those volume levels that I would be interesting in having on NT.

Post# 402 refers to Options also being displayed:
Volume Trading - Page 27 @ Forex Factory

Attached 2 old screen shots showing the MT4 "eVOLution" indicator.
(Showing levels as a line and histograms for last day POC, this weeks POC, last weeks POC and POC
for total contract).

These FF threads may be of interest in using such techniques:
Principles of market movements @ Forex Factory
New opportunities on EUR/USD market @ Forex Factory

Hope I've explained the multiple info/links clearly enough in one post,
and that it's of some interest.

Many thx

Every moment I wake up I realize I know nothing, and then I smile...
Attached Thumbnails
Volume level support and resistance (EasyLanguage)-vt-6bu9-30m-2-11-sept-2009.gif   Volume level support and resistance (EasyLanguage)-vt-6bz9-30m-11-17-sept-2009.gif  
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