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All you need
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Created: by Jeff Castille Attachments:534

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All you need

  #351 (permalink)
Trade with the flow
Paris, France
 
Futures Experience: Advanced
Platform: Market Delta & Ninjatrader
Favorite Futures: ES
 
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Jeff Castille View Post
As an index trader I frequently wonder if I should put the NYSE tick and Issues (breadth) back into my bag of tricks. But this is not my focus right now. I'd like to get the VSA "Better Volume" resolved first.

I couldn't trade ES without the TICK. When it's at an extreme and you see divergences, higher highs in price and lower highs from TICK then you know things are reversing. I won't enter until I see the TICK turn.

Here's what you do, after you're done for the day pull up the TICK index and go back over your trades. See what the tick did or didn't do.

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  #352 (permalink)
Trade with the flow
Paris, France
 
Futures Experience: Advanced
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Dragon View Post
I am interested in reading more about the volume indicator development as well. I have to say that some of it has been a little over my head so far. I still don't understand how to read volume with the Better Volume indicator after watching the video. (Maybe I am echoing others views here as well Cunparis). I do think that we all need to have some kind of volume and momentum indicator up to confirm. Until I completely understand volume, I will continue to use JT Real Stats with ECO.

Hey Dragon thanks for the feedback. I was wondering why there isn't more participation in the thread. So in my last post I decided to start with a really simple topic which is the low volume pullback. I marked some examples on a chart and then I posted a chart without any coloring. We have to learn to read volume without better volume, because that's the only way to truly understand what's going on and also because Better Volume can't detect everything and sometimes detects things that I feel it shouldn't. So I asked people to try and find the LVPB on the unmarked chart. So far no takers. I hope you'll try the exercise. I have quite a few in mind and I think this is the way to learn to use volume, one step at a time. I'm still improving but it gets easier and quicker with practice. You'd be surprised at how many times this can keep you out of a trade and/or get you in on a continuation after the pullback.

Really, I can't imagine trading without volume. But I know it's possible because feb's system II method doesn't use volume. I was very profitable with it this week without any volume (not even OBV).

I was thinking about this today.. just because there is low volume right now doesn't mean the next bar can't move on huge volume. Volume can come out of nowhere. SO I was asking myself "is it really necessary?" My conclusion is that it helps you to understand the current situation. If big volume comes in on the next bar then that's new information so you form a new outlook. I think volume isn't necessary but it helps quite a bit. I have my 699 tick chart that I marked up some volume patterns from Friday. It was amazing how volume patterns marked all the turns. I didn't post it yet cause it's a high volume pattern and I first want to do the low volume patterns. But it was impressive. Ok I'm posting it here since I mentioned it. The pattern is HVC which marks turning points. There are always HVC bars around the open & close, so apart from that it's hard to find an example of where HVC didn't mark the exact turn or provide a few bars warning of an impending turn.

Look at the chart and see if you think it's useful.

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  #353 (permalink)
Trade with the flow
Paris, France
 
Futures Experience: Advanced
Platform: Market Delta & Ninjatrader
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andewky View Post
Great Book,am in the midst of it. I like the part where he mentioned
trading purely looking at the pricing without being bothered by news and gossips allowed him to sharpen his system and trade objectively.

I think isolation can be a good thing while trading.

I finished the first book and I'm reading his 2nd about Wall St & Vegas. He's buying pivot breakouts just like we're doing here. So simple and effective.

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  #354 (permalink)
Elite Member
Lagos, Nigeria
 
Futures Experience: Intermediate
Platform: NinjaTrader, SierraChart
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Blz17 View Post
Hey Lolu,

Sorry about the delay. Been kinda busy and a bit under the weather. Probably not even trading today, watching the price action but the day before a holiday weekend is usually sluggish. To answer your questions:

1. You are correct, though I don't draw the red hash line until the pullback begins as I want to know where that swing high/low point of reference is. Once it's breached by a couple ticks I'm in the trade so I don't redraw my red hash line until another setup forms.

2. The red hash line on the OBV is simply to give me a point of reference to see if volume is confirming the breakout. So I'll draw it at a swing high/low point where the OBV may have moved to and retraced a bit. In essence I want to see OBV make a higher high/lower low to confirm that volume is behind the price breakout.

Bear in mind this is still a system in the works. I plan on adding too, subtracting from and refining these rules but ultimately, in my opinion, you have to be able to "see" the price action to intrepret it. As an example look at 6B today at 11 est. It had made a nice move up and had consolidated with resistance at 50. It broke above 50 which would have been a buy signal but immediately retraced. However, leading up to that break over 50 the price action just seemed real lazy and the 6B had already made a pretty dramatic move up within a larger move down.

Good trading.

Blz

Blz,

I've been away from my MacBook and MacBookPro machines for about 20 hours, on a Spiritual (Christian) retreat. I just read your responses now (17:32 GMT+ 1). Thanks for the answers to my questions. I'll follow up on your works as you develop them.

Lolu

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  #355 (permalink)
Elite Member
Northern California
 
Futures Experience: Intermediate
Platform: Ninja Trader
Broker/Data: Amp Futures/ Zen-Fire
Favorite Futures: YM and CL
 
Jeff Castille's Avatar
 
Posts: 2,119 since Jun 2009
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Volume/Time of Day/Brett Steenbarger

Wednesday, August 19, 2009

Updated Relative Volume Norms for the ES Market


As promised, I'm updating readers on the relative volume norms for the S&P 500 e-mini (ES) market. Remember, these represent the median volumes for each half hour period during the market day. I will be posting more on the topic of relative volume in coming days. For more information about relative volume, check out the recent post on the topic as well as this explanation.

The numbers in parentheses are the standard deviations around those median volume values. That gives you an idea of what a very high or low volume figure would look like: I generally consider values above or below one standard deviation to be meaningful.

Note that all times are Central Time, U.S.; the final period is the 15 minute "after hours" period in Globex futures. The values go back to mid-June (45 trading days), which is when the current contract became the front month.

8:30 AM - 232,738 (45,819)
9:00 AM - 206,277 (48,136)
9:30 AM - 133,732 (37,981)
10:00 AM - 105,369 (36,975)
10:30 AM - 95,450 (40,804)
11:00 AM - 61,769 (25,008)
11:30 AM - 56,682 (21,972)
12:00 N - 67,068 (30,186)
12:30 PM - 61,687 (23,390)
13:00 PM - 82,336 (32,547)
13:30 PM - 76,717 (44,062)
14:00 PM - 99,610 (35,349)
14:30 PM - 194,488 (56,432)
15:00 PM - 95,539 (25,427)


The numbers dramatically highlight when institutions tend to be most active in the stock index futures market. Knowing when large participants are active is important in handicapping the odds of markets moving significantly, as volume correlates with volatility by about .65. More on this topic to come shortly.
.

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The following 2 users say Thank You to Jeff Castille for this post:
 
  #356 (permalink)
Elite Member
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Futures Experience: Intermediate
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Jeff Castille's Avatar
 
Posts: 2,119 since Jun 2009
Thanks: 1,785 given, 3,279 received

Volume

Hopefully you've had a chance to review the previously posted "Relative Volume Norms" that Dr. Brett Steenbarger posted. (sign up to follow him on twitter.... the guy is a veritable fountain of trading knowledge)

Now, here's what I know about volume..... I know what time of day it occurs. That's all.

Check out the time of day that the most volume occurs...... from the open of the cash market until lunch time in NYC. This in my opinion is the best time of day to trade because the institutions are participating.... this brings follow through to your trades.

Then...... the slow period.... lunch time ...doldrums.... dead zone.... whatever you want to call it. How about "No Trade Zone" This does not mean that from time to time something doesn't happen.... but the thing that happens most is...nothing. Why put yourself at risk when the chances of your trade reaching your target are not supported by broad participation?

Then..... Back from lunch... usually a continuation of where "they" left off. You'll notice that things pick up around 11:00 PST 13:00 CT. Does this mean that it's good to trade from this point on? No.... from 11:30-12:00 PST the market behaves in a very erratic manner which Tom Busby of DTI has termed "GRIM REAPER" I didn't listen to him and have been ripped up several times during this time period. This is due to the bond market closing.

Then.... last hour... always fun. Personally, I just look for one trade during this period. I find that it occurs at 12:35 PST plus or minus. If this trade does not materialize by 12:45 PST I'm done for the day.

This is a study of people..... their habits.... what they do everyday, their patterns of behavior. That's all. Trade when participation is at it's maximum. That's VOLUME.

Jeff

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  #357 (permalink)
Elite Member
Concord, NH USA
 
Futures Experience: Intermediate
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Jeff, very insightful post and very useful as well. Thanks for all the hard work you've put into posting some very useful information. I do have one question, which I'm sure has been answered by you in another post, but could you tell me where your initial stop is and do you move it at all while you're in the trade?

Thanks,

Jeff

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  #358 (permalink)
Elite Member
Northern California
 
Futures Experience: Intermediate
Platform: Ninja Trader
Broker/Data: Amp Futures/ Zen-Fire
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Jeff Castille's Avatar
 
Posts: 2,119 since Jun 2009
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Stop Placement

This is an ongoing investigation...... my basic Ninja 7/11 ATM strategy has an initial stop of 22 points on the YM. This is pretty arbitrary. I will adjust this stop as soon as my order is filled. The criteria will usually be 3 ticks above/below the recent swing high/low. But remember.... you must know what the stop is before you enter the trade.

After my first target is hit (+7) the ATM moves the stop to (-7) this still gives the trade room to breath and in a worst case senario a breakeven trade if the stop is hit.

This is a scalping strategy. No runner. Others who use a similiar strategy let the second position run till they see some "exhaustion" then simply close the trade.

I'm currently investigating putting my stop at the high (short) or low (long) of the bar that preceeds the entry bar. If your entry is good this is all the room you need to give it. This is my current thinking.


Last edited by Jeff Castille; September 6th, 2009 at 10:06 AM.
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  #359 (permalink)
Site Administrator
Manta, Ecuador
 
Futures Experience: Advanced
Platform: My own custom solution
Favorite Futures: E-mini ES S&P 500
 
Big Mike's Avatar
 
Posts: 46,240 since Jun 2009
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Hi guys,

I noticed some talk about OBV so you might check out the OBV Divergence indicator I just posted in the VIP section. It is VIP-only, but if you are a VIP and like OBV, you may find it quite useful.

https://futures.io/elite-circle/694-balance-volume-balance-volume-divergence-indicator.html

Mike

Due to time constraints, please do not PM me if your question can be resolved or answered on the forum.

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  #360 (permalink)
Elite Member
Lagos, Nigeria
 
Futures Experience: Intermediate
Platform: NinjaTrader, SierraChart
Favorite Futures: Euro Currency & Oil
 
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Big Mike View Post
Hi guys,

I noticed some talk about OBV so you might check out the OBV Divergence indicator I just posted in the VIP section. It is VIP-only, but if you are a VIP and like OBV, you may find it quite useful.

https://futures.io/elite-circle/694-balance-volume-balance-volume-divergence-indicator.html

Mike

Mike,

See what I'm missing in VIP-only !!!!!!!!!!!!!!!!!!!!!!!

Can you make a special arrangement for me to donate through, for example, WESTERN UNION money transfer or any other form of money transfer ?

Please, refer to my post #1 (and your response) on the General Discussion ---> VIP Membership.

Lolu

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