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Daily Charts, Bar Patterns
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Daily Charts, Bar Patterns

  #61 (permalink)
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Blz17 View Post
cclys,

I've been reading thru this thread and am very intrigued by the work you're doing on the VWAP and POC though I've got a few questions.

1. You mention Perl a few times, who is this? Is there a website or something where I could watch/read some information from Perl to learn more about this approach?

2. Which line do you watch to flip trend bias? What paints that line? (I've included one of your screenshots with a note I attached pointing to what I think is the PVP line)

Thanks again. I've been working on trying to find a way to utilize volume to help with pinpointing where trapped positions are to aid directional bias. I think you may have found it, I just need to wrap my head around this.

Blz

1. Trading With Market Statistics - LINKS
I think you have to register to view their stuff. This is an 11-part video presentation with comments for each entry. Done in 1997 I think. I found it interesting but I am very new to MP type analysis and there is a lot more out there I gather. What I mainly got from it was paying attention to VWAP and POC relationship which I had already been doing but without much confidence or focus regarding them as two very different animals. So the way Perl tied them together was very helpful for me. He uses SD bands a lot and for myself I think I prefer more basic SR structure from the price bars, but there are aspects to them that are extremely helpful and which also I had missed until viewing his stuff.

2. Yup, you got the right line. In my current charts that is now a thick white dash. You can get the indicator in the downloads section. The dynamic POC is called 'RTPOC' in the menu panel. I suspect other platforms have this already and more, but this is a first in Ninja.

3. I am not sure about trapped positions. If you have any insights there I would be interested to learn them. I have read the expression several times in Gomi's ladder thread but I don't see what they are talking about yet.

At this stage I am finding two things of great interest:
a) the POC's themselves and how price behaves around them during consolidation and/or when they come back to them after being away for a while. Two very different situations with usually very different behavior;
b) the VWAP-POC skew and how that informs one in terms of trend, no-trend, strength of trend etc. I just built an indicator to track this visually for a while though I don't intend to use it forever. Am not yet sure if the skew will be helpful for me or add another layer of conditions that end up fighting with each other. But there is something to it that I intend to explore further. The indicator I built does a good job of showing consolidation periods visually. See next post.

In any case, I feel that with the VWAP, the price-volume histogram and the dynamic PVP that I now have enough for my purposes - which is usually 1-10 min trades - in that I feel I have a much better handle on information from volume viz. price.

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  #62 (permalink)
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Dec 22. Another sleepless night. No idea why. Am not worried etc. But always waking up around 1 am or not going to sleep at all beforehand. Strange. Am not going to worry about it, but it does mean that I am not 'up for it' in the mornings which is usually when I do trading activities.

Last night, or I should say early this morning, I opened up Ninja and started looking at the charts again and then decided to code an indicator showing the skew. Now there are several 'official' skew formulas out there, I gather, such as skew = (vwap-pvp)/std.dev. But I don't know how to do that so mine is much more simple: vwap-pvp. So the result comes out in instrument contract points.

The indicator plots
a) the skew in points
b) the difference between POC/PVP and close
c) a 'narrow' band above-below the zero line of ATR*2
d)a 'wide' band above-below the zero line of ATR*9.

The zero is the diff between vwap and POC. When they are the same, they will both be at 0. When vwap is above POC then the value is positive etc. Very simple.

Although my intention was just to display the skew visually to track it for a while, the indicator does a good job of showing consolidation periods, i.e. a chop indicator. Nice unintended side effect. The dark gray/blue backcolor shows when the indicator is between the two narrow bands. I tried to get the color just to paint inside the bands but couldn't get DrawRegion to work. Not important either way.

In terms of trade action: before retiring for the evening (it's now 7.37 am!!) I put on a trade even though it was slow premarket action. Partly to see if I could get lucky and be done for the day before going to bed. And partly because it was just a classic setup. Classic with a method I have just been uncovering the past 48 hours, but still: classic.

Price came down, oversold, and touched yesterday day-session ending POC/PVP. Stalled. So I jumped in with 4 tick stop. Put in modest 7 tick target which was filled after about 5 mins and only 1 tick heat after entry.

I had one reservation with this trade: my 5 minute-old indicator was indicating that a downtrend might be getting underway as the green line crossed under the narrow band. Actually, whilst typing the above post, the market sold off, penetrated the old POC at 1092.50 down to 1090, so I was right to go long, and the indicator was right that we were going down.

My normal SR-R (SR-retrace) tgt would have been 1094.4-3, 2-3 ticks beneath the old SR at 1094.6 (about 17 ticks from entry) but it was a slow mkt and I wanted to just make DPT and be done. Went to 1094.7 then turned around and made new lows, indeed new monthly lows, i.e. RL since the high put in a few weeks ago around 1230. So the US is getting a nice Christmas dollar rally! ho hO HO!

DONE.
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I attach the dValueSkew Indicator for anyone who wishes to play with it, make something much better and different etc. Again, I just wrote it to display the relationships visually but it does seem to do a rather good job of showing consolidation versus trend situations, also visually highlights the occasionally counter-intuitive relationship between price action and skew - which is why I am leery of paying too much attention to skew yet.

PS. Sorry my chart has so much stuff on it. Am still playing around with different Vwaps (when they start) and their SD's etc. Also, the dynamic PVP/POC flips around alot during the night session because there is such thin volume. Usually it is more static.

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Last edited by cclsys; December 22nd, 2009 at 09:28 AM.
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  #63 (permalink)
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hello hello cclsys, shape?
thank you for the skew but I was wondering if it was preferable not to encode it so it gives the S / R directly on the graph?
Then a little lost on your graph I do not see the pvp, can you enlighten me?
thank you

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  #64 (permalink)
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I don't understand skew in terms of SR. But I am new to skew. My understanding is that basically it's the difference between the vwap and the POC and there are several different ways of getting a formula/result out of that but basically it's just that if the vwap is above the POC, there is a bullish bias (acc. to Perl at least).

The dynamic POC on my charts is the white dash hash line. It jumps when the POC changes, whereas the earlier version of Dvalue - like most of them - plots the current POC across the entire histogram so you can't see previous ones nor when they flipped. For example often a previous PC becomes a good support level later on after a move up.

Enlightened now?

Or I should say: eclairee? ou toujours croissant?

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  #65 (permalink)
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This is just for fun. But not yet ready for bed so kept monitoring. Placed trades based on my emergent combination of basic SR (my way) and Vwap-POC skew or just POC. Included a couple of doubles which this theoretical account might not have liked to take. But the MAE-MFE is pretty good and the max MAE with 2 contracts being 4 points (added together).

The last trade currently open on the chart has since been stopped out. It was deliberately reckless - although did have some flimsy criterion, the new low bar close did not take out the previous DL - because I want to stop. And now shall.
These trades are not 'official' so they don't count. Only the first trade today was official in earlier post.



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  #66 (permalink)
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cclsys View Post
I don't understand skew in terms of SR. But I am new to skew. My understanding is that basically it's the difference between the vwap and the POC and there are several different ways of getting a formula/result out of that but basically it's just that if the vwap is above the POC, there is a bullish bias (acc. to Perl at least).

The dynamic POC on my charts is the white dash hash line. It jumps when the POC changes, whereas the earlier version of Dvalue - like most of them - plots the current POC across the entire histogram so you can't see previous ones nor when they flipped. For example often a previous PC becomes a good support level later on after a move up.

Enlightened now?

Or I should say: eclairee? ou toujours croissant?

thanks merci beaucoup

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  #67 (permalink)
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Didn't stop. Been up too long now and also this is a somewhat dramatic selloff in Gold. Now well below 1100, next stop probably around 1050 which is when the Indian Govt bought billions of bullion (unless it was tungsten??).

For fun decided to give this positive skew business a real workout. It's a heavy down day and trending pretty strong. But the skew flips up around 1021 am EST and after a double bottom I take a pattern buy entry.

From then on it was all downhill but skew remained positive so I kept scaling in until at one point 30 long with order to buy another 30 around 1072.50. Finally she turns around having shown me nothing but contempt for 40 minutes (was that all?) and being about $-16,000, and then she decided to go my way and we rode it up to +$8,000 exit. Ambitious PT was at the POC above 1084 where I put orange dot which also happened to be about 5 ticks above original 1 contract entry. As I write, 11.33, has stalled around new lower POC - but still bullish skew/bias in effect - and now looking to make higher highs in which case that old POC might well be the run high.

I am not recommending anything. This is a journal/blog. But this vwap-POC volume approach does tend to work well with the rubber band effect, or return-to-mean approach.

Was it bad to go $16,000 underwater? Yes, unless trading a $500,000 account. But then it got a 50% return on that risk. In about an hour. Fighting a pretty deep, relatively major sell off and still coming up on top.

Assuming you have deep enough pockets for it and therefore leaving aside practical money management concerns, there is something satisfying about scaling in this way. Why?

Imagine you had been short during that move and gradually adding on positions. You start with one and then pyramid into it. Well, every retracement of more than 1-2 points means that your position which just had =$5,000 is going negative. That, I think, is a bit harder to handle. This way you know you are going to keep buying at regular intervals, increasing the size so that you never need more than about a 3-5 point move in your favor to at least break even. The lower it goes, the higher the probability that you can get out. In fact, there were many opportunities for me to get out at BE which I did not mark on the chart until the one during the final move. In this case it was a 2.7 point move from the low that gave me BE. And again, the lower it goes - especially with a positive bias like this, the higher the probability of walking away with at least BE if not better.

So: how to make 50% return on your capital in about one hour.

Chart note: the orange circle points out something wrong with Deanv's indicator: the POC changed during a time when the price could not possibly have effected the previous POC. So there is a little bug somewhere. Will let him know and see if he understands it.

Note2: notice how around 11.19 the 'chop indicator' aspect of the lower panel 'skew' indy, change backcolor on the very first bar, as it happened, that did not make a HH for a while in that sharp run up. This has nothing to do with the bar's close, simply that the POC flipped at this point so the green line was now in the narrow range zone. In fact this happened on the bar that made the last HH but the plot starts half a bar later after it closes. So as a chop indicator, I suspect this has got to be one of the best ones, although it won't work in every situation. But when it signals a new chop, I suspect it's pretty darn good and pretty darn fast.

Would like to have a Vwap indicator that draws horizontal line on today's price showing previous day, and every day this week, and/or previous week vwaps. Also the POC's at close of day-sessions. For me these would be more meaningful as pivots than anything else, although previous weekly low/highs etc. are always helpful and relevant of course.

Again: this is for fun. If this went South, could have been down well over $200,000 in another hour. (That said, if you have the $$, it is almost impossible to lose doing this as long as you have the gumption and pocket book to keep scaling in so that you only need a 2-3 pt move in your favor to get out. As the engineer said about the probability of the Titanic sinking: 'Tis a mathematical certainty!'

11.59 update: mkt went back up, slogging through slowly, to 2-3 ticks above the SR-P line I had drawn meaning that only the first couple of buy entries did not end up in the black. All the rest - with more contracts purchased lower down - did.

1206: up to next SR-P line (not drawn in pic attached) 4 ticks below Buy 1 entry at 1083.7 beneath the 2 red bars around 1031 EST. Up to 1083.8. Next stop the old POC and my SR-P line around 1085.40? Amazing if it happens. This volume stuff really does reveal things about underlying market dynamic and structure.

1208: up to day-session VWAP at 1084.70 and 7 ticks above original Buy 1 entry. I should have noted that as next stop in comment above.

1209: up to old POC above, RH = 1085.60 and climbing, next stop 24 hour VWAP at 1086.80 - also an old SR-P at same exact price? From 1075.20 one hour ago? Possible, though I suspect this is it for now.. that said: LT SR-R at 1090.50. Possible...

1214: New POC at 1084.90 = NEGATIVE skew basis daily but not yet 24 hr vwap, so iffy. Still, one of two leading indicators hinting that this could be it. RH 1086. Triggered on 3rd bar after new RH following big, relatively fast move up with only one slow period around the recent POC level at 1081.10.

( As the esteemed Samwise Gamgee exclaimed whilst bashing orcs with his frying pan: 'I think I'm getting the hang of this!'

1236: up through 24hr VWAP to 1087.50. Now the day-session Vwap and 24Vwap have opposing skews. Skew indy is almost out of chop range and poking through to upside. Dayvwap is very close to POC, so it looks like we might be having more upside action even after this large runup. Was this a major correction low that just happened and now it's up to 1350 in next few months?

1251: RH 1088.9. If had not exited the 30 back when, additional $25,000 possible = $33,000 = 200% return on $16,000 risk in under 3 hours. THIS is why over-leveraged instruments are so dangerous because it could just have quickly been -200%, Gangee's exultation notwithstanding.)
1256: up to LT SR-P at 1090.60 TO THE TICK and bounces down. Will this SR-P hold? Have not even looked higher on LT chart since did not expect such a bounce from new monthly RL.

1095.8 is next LT SR-P and also a previous weekly low. Only 5.8 pts further up from current RH. However first: Yesterday's closing POC at 1092.50 has to be gotten through. DayVwap bias is still negative so I am now shorting, again giving it a workout. But the 24vwap bias is bullish so this is the sort of conflict with this new approach that I have not yet resolved/studied enough.

1.10: short was a winner back down to SR. Bought slightly lower at SR-P 4 ticks from low. Now looking to see if can make it to that old POC around 1092.50 around 3 pts higher.

Attached Thumbnails
Daily Charts, Bar Patterns-bm-1222-aj-gc4scaling.png  

Last edited by cclsys; December 22nd, 2009 at 02:11 PM.
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  #68 (permalink)
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this is what I have so far. still need some time to get used to it. but now I'm confident it'll be helpful. I think this will allow you to get a pretty good view of the condition of the market.

thanks again for your very much appreciated help

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  #69 (permalink)
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Silvester17 View Post
this is what I have so far. still need some time to get used to it. but now I'm confident it'll be helpful. I think this will allow you to get a pretty good view of the condition of the market.

thanks again for your very much appreciated help

Yeah, that's pretty neat: negative skew at top early on, positive at bottom later. I suspect this approach works much better with indexes and large vol instruments like bonds than others which have less liquidity and can get pulled around by relatively few big boys having fun for a few hours.

Maybe this isn't an issue with ES, but I notice with much lower vol gold that using a 5 min chart sometimes the POC is different from when properly live-tracked with Gomi ladder. Suspect with ES having so much volume and thus so liquid that this is less of an issue.

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  #70 (permalink)
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Thanks for that reply earlier cclys. I'm working on incorporating some of this into some ideas I'm working and I really believe you're onto something. One question I have is what have you found to be the best for the time frame selection? I'm focusing on the 6B which trades globex like all the futures but gets the chunk of it's volume from 3am est to 12pm est (but frequently the volume can kick in at 1am est and go to 2pm est). Do you run the vwap from 00:00 to 00:00 or do you alter the start time on that as well?

Thanks again and keep up the good work.

Blz

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