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Fat Tails,
Wow! Not only are you exhaustive and quick to respond but you have indicator versions up already! That is amazing!
Please find my responses below:
I agree that I needed to be more clear. But I feel this indicator would need some tweaking/experimentation as we figure out the various ways it can add value. Dr Brett uses it straight up to volatility-adjust his targets; find interesting article here; TraderFeed: Defining Profit Targets and Formulating Targeted Trading Plans
I will start off using it the same way and am sure will find ancillary uses. Bottom line: I think it is ok to start off with any measure of relativity (MA/median and SD; mixed days or distinct days-of-week, 3 mins or 30m bars) but we will find along the way what works better.
Comparing against day-of-week makes it a more accurate and sophisticated indicator, and I think you have already done it, thanks! If it not too much of a tweak, could we have both options; compare against last 'n' days, n can be last n day-of-week or last n trading days(mixing days). I think the last 'n' trading days will work in 6.5 too?
As I said, any baseline measure should be ok for the purpose of a sentiment indicator. Dr Bret has a preference for median, maybe because he uses Standard dev, I do not know if that is superior to an arithmetic avg. Std Dec plotted as lines could be another visual indicator. I found indicator warehouse has a similar indicator, where they plot std dev, you can take a look here: Volume Time Analysis
Yes
Not terribly important but a good to have
Yes
What you have already put out looks good to me. Just one suggestion top of the mind:
The relativity color code settings (green/white/red bar) - would want to have more control over that. The coloring is good but would want to also see the trend. e.g. if it is red it might be 79% of avg volume and falling or 69% of avg volume and rising. Would you say the slope of the cumulative ratio line would indicate trend, or is there a better way possibly? Also maybe you could allow the user to set the threshold (15%-20%) at which the color change occurs so user can have more insight on where the volume exactly is and follow a move up or down.
As I said we would need to experiment with this as we go along if you are amenable to that. If you can make a non day-of-week version cater to 6.5 ok (I am quite settled on 6.5 at present), if not that is ok too. I run two computers and I am migrating 6.5 to 7 on one of them, have run into some issues. Let me get that up, run the indicator and get back to you.
The main problem with NT 6.5. is that it is based on .NET 2.0 and therefore it cannot convert timezones properly. Actually there is no method in .NET 2.0 that allows me to convert a time from local time to exchange time and then back to local time.
As I am located in Europe this means that I always run into issues with the different start and end dates for daylight savings times. If I do not take that into account, the indicator will produce an analysis for ES based on my local time zone, and by doing so adding 10:00 AM bars to 11:00 AM bars.
This problem can only be solved by either ignoring it (produces false results for any instrument which is not traded in your local zone) or by including information regarding timezone of exchange for each instrument you want to analyze and coding DST conversion algorithms.
So with NT 6.5 either you will get improper results (which I refuse) or I will sit and code for weeks to add the missing TimeZoneInfo members (which I also refuse).
NT 7.0 relies on .NET 3.5., which allows for time conversion, so the problem is solved. The timezone of the instrument can be accessed, because it is part of the master data of the instrument, which is not the case for NT 6.5.
No way, that l will do something quick and dirty for NT 6.5. ! You need to ask somebody else.
The solution for NT 7.0 is proper. No false results. I can easily make some of the thresholds or colors user selectable. That is a couple of minutes of work.
Hi Fat Tails,
never mind about v 6.5, I understand. And agree that there is no point moving backwards.
I have set up Nt7 on one machine and will run this indicator from tomorrow and see how it behaves.
Meanwhile could you kindly look at following enhancements:
(1) the thresholds and colors user as selectable, as you have mentioned above
(2) Is it possible to have a running percentage or ratio displaying against the candle or right pane. e.g. if the current bar has .95 relative volume at this point this displays till it changes (within this bar or in the next bar). This supplements the color coding and tells us exactly where volume is relatively; allowing us to adjust threshold settings as/if required
(2) I have put a speed-optimized version of the indicator in the download section, which can be used in CalcOnBarClose = false mode without any problems. You can now watch "Relative Volume TV". The current value of the relative volume is displayed next to the last developping bar.
You do not need to pay. The free version is as good as the other one. I have my own customized version. If you like I can post it in the download section.
E-mini Watch has also developped a volume pattern indicator. I do not know whether the free version here is identical. Any comments?
September 6th, 2010, 05:22 PM
