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How to use volume in your trading
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Created: by cunparis Attachments:203

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How to use volume in your trading

  #111 (permalink)
Trade with the flow
Paris, France
 
Futures Experience: Advanced
Platform: Market Delta & Ninjatrader
Favorite Futures: ES
 
cunparis's Avatar
 
Posts: 2,563 since Jun 2009
Thanks: 1,157 given, 2,032 received

My version of the Better Volume indicator for Ninjatrader

Hey guys, I woke up at 4am and couldn't sleep. Good things always result (such as the previous post!). So now I offer you my version of the Better Volume indicator for Ninjatrader.

Due to the fact that I only use LV & HVC in my trading, I've only coded these patterns. Supporting climax bars would require tracking the upticks & downticks and it wouldn't work historically so I don't think it's worth it not to mention that Barry has already done it and you can buy it for $67.

I've done a comparison with Tradestation from Friday's data and they're very close. They'll never be the same due to differences in the tick data and bar open/close periods (ticks are independent of time). I've analyzed the results on the NT chart and I believe it is correct. In fact, I first coded it up on Tradestation and verified there was 0 delta with the real Better Volume. I then copy/pasted the code into Ninjatrader and modified it to compile. The result is the algorithm is EXACTLY THE SAME as the real one!

I welcome any comments on how to improve it. This is my first from scratch indicator for Ninjatrader.

I'm posting the indicator here so we can all try it out. If everything is OK then I will release it officially and put it in the file download section. If you would like anything modified or added, please discuss it with me. I prefer not to have several different versions of the indicator floating around.

I did not name it "Better Volume" because that is Barry's name and there are already several indicators for NT using this name, and also because I want to add other volume patterns such as "No Demand/Supply", "Stopping Volume", etc. It'd be nice if these were all in one indicator (maybe?).

Attached Thumbnails
How to use volume in your trading-volume-patterns-nt.jpg   How to use volume in your trading-volume-patterns-ts.jpg  
Attached Files
Register to download File Type: zip VolumePatternsV0.1.zip (7.2 KB, 149 views)

Last edited by cunparis; September 12th, 2009 at 02:55 AM.
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  #112 (permalink)
Trade with the flow
Paris, France
 
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Tick charts won't be the same, but minute charts will. So here is a comparison of YM yesterday. I did not find any delta, so now I'm convinced the algorithm is exactly the same.

Now even the lazy people have no excuse not to post some charts!

Attached Thumbnails
How to use volume in your trading-ym-volume-patterns-5min-nt.jpg   How to use volume in your trading-ym-volume-patterns-5min-ts.jpg  
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  #113 (permalink)
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cunparis View Post
Tick charts won't be the same, but minute charts will. So here is a comparison of YM yesterday. I did not find any delta, so now I'm convinced the algorithm is exactly the same.

Now even the lazy people have no excuse not to post some charts!

Nice tanks for the indi, I got some problems with it, not sure if it was due to some additions I made, but anyway if anyone got problem I solved including this in OnBarUpdate()

if(CurrentBar < 2) return;

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  #114 (permalink)
 Vendor: www.innovative-trading-solutions-online.com 
Hartford, CT. USA
 
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RJay's Avatar
 
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cunparis,

I'm still Here!!!

I'm still working on BetterVolume project.

I fixed a couple of problems from my last posted version.

I also added the features available in the other NT versions.

Also, I replaced the UpTick - DownTick algorithm with a straight feed of Volume at Ask and Volume at Bid.

Results are promising, but I closed the chart last night so I have nothing to show you.



On another note, Phase 2 of my volume watch project is complete and I will be posting the new indicators in the VIP area next week.

They display Trader Volume and Trader Tick information.


Ever seen a Churn Indicator???


Here's a peek!!!


RJay

Attached Thumbnails
How to use volume in your trading-5volume.jpg   How to use volume in your trading-5tick.jpg  

Last edited by RJay; September 12th, 2009 at 12:32 PM.
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  #115 (permalink)
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i use better volume here and there, but one of the best vol. indicators IMHO is Mike's Vol graph that uses exponential Linear Regression Slope...it work really great on tick charts...its straight to the point!

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  #116 (permalink)
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this is how i would of used your indicator last friday on the es - low volume precedes high volume thus would of given the clue of a pivot breakout

nice job on the indicator

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  #117 (permalink)
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and, i noticed that when you have a dark blue bar price wants to come back to mid point of that blue bar (sometimes later than sooner ) but nonetheless, it does return to the midpoint - so, maybe marking the midpoint of the dark blue bar would be a good idea?

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  #118 (permalink)
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RJay View Post
Here's a peek!!!
RJay

Hey RJay took me a few minutes to "see" it but I see divergences in the delta indicator that could be used to predict turning points, and if you wait for a churn as confirmation it seems to be reliable. Is this what you're thinking?? This is similar to show I use my momentum indicator with the HVC.

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  #119 (permalink)
Trade with the flow
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Prtester View Post
Nice tanks for the indi, I got some problems with it, not sure if it was due to some additions I made, but anyway if anyone got problem I solved including this in OnBarUpdate()

if(CurrentBar < 2) return;

I thought I added that for the two conditions that need two bars, I must have missed something. Your solution is even better.

Here is a new version with your change.

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Register to download File Type: zip VolumePatternsV0.1p1.zip (7.3 KB, 185 views)
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  #120 (permalink)
Trade with the flow
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suchen View Post
i use better volume here and there, but one of the best vol. indicators IMHO is Mike's Vol graph that uses exponential Linear Regression Slope...it work really great on tick charts...its straight to the point!

Can you post some trade examples of how you use this indicator in your trading?

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