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How to use volume in your trading
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How to use volume in your trading

  #141 (permalink)
Elite Member
Arcata, CA
 
Futures Experience: Intermediate
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Favorite Futures: index futures, oil
 
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cunparis... I'm definitely interested... just trying to catch up.... I've incorporated volume for years, but getting used to terms etc. I'm marking up that indicator I posted earlier... it is really good... although a hog... I'll post shortly

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  #142 (permalink)
 Vendor: www.innovative-trading-solutions-online.com 
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Saroj View Post
I haven't worked my way through all 138 posts yet so excuse if this is a duplication... quite a good volume indicator...

NinjaTrader Support Forum - View Single Post - cumulative bid ask volume indicator

Level II/Tick Volume Indicator for NinjaTrader

I have watched this before and it is very helpful in seeing "real-time" up or down volume as the bar is forming.. specifically I used it today in CL to see the reversal at 2:22; I entered at 7077 and exited at 71.05.

The attached doc file gives the author's (John Thom) description and charts.

Saroj,

I think this is a good indicator as well.

However, I felt it needed to be more visually easy to look at.

I made a number of visual changes.

--------------------------------------------------------------------------

Doubled the width of the vertical bar on right side.

Moved its center bar to the left side.

Increased the font size of the bigger font.

Increased the triangle size.

Moved text and triangles to new positions.

Added a toggle to turn the individual bar volume numbers on or off.

Triangle outlines stays on all the time.

Stats displayed with triangles stay on all the time instead of only displaying with market direction.

Reversed order on lower triangle stats.

----------------------------------------------------------------------------

I created an indicator called jtRealStats_ChartDisplay which helps keep the chart sized porperly to display the main indicator.

Also, you need to change the rightside margin in chart properties from 4 to 24.

Let me know if you like the changes.

RJay

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How to use volume in your trading-es-12-09-9_16_2009-233-tick-.jpg   How to use volume in your trading-es-12-09-9_16_2009-233-tick-3.jpg  
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  #143 (permalink)
Trade with the flow
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I'm trying to give you guys real examples from real trading. Unfortunately I don't always have time to post them real time but I'll try.

Check this one out and tell me what you think. PS: Don't look at my trades I was off big time today.

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  #144 (permalink)
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neat RJay! I'll give it a try tomorrow.. for some reason I had problems with the original version... "can't serialize jtRealStats" ... but I think that was bogus because I was able to save it before... NT froze up completely on me and I had to delete the database and reinstall NT so lost a big part of the day today... Thanks for all this great work... you accomplished a lot with your reworking of this... we'll see how helpful it is over time...

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  #145 (permalink)
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Have been reading and would like to participate

Hi

I have read this thread twice because I also believe that volume must be considered in trading. I am also (as most people here I assume) trying to figure out how to best use volume. I have a number of questions but will start with only 2 now:

1) The calculation of a HVC bar as far as I understand is taking volume and dividing by range. A bar may therefore be a HVC bar because of volume or range changing (or both). I think it would be interesting to see what role volume really plays - by removing it. I am suggesting that someone (I can't code well enough yet) creates an indicator that marks low range bars (maybe with an arrow or something) (the indicator will basically mark the bar with the smallest difference between the high and low with a 20 lookback). We then see how many blue bars have an arrow - and how many don't. If there is not a big difference then HVC bars are actually indicating low volatility/small range - irrespective of volume. And we know that volatility contracts and expands - so if we find a low range bar then we would expect some movement after the bar. If we see a big difference we will know that change in volume is important - and not only volatility. I hope someone that can code are also curious about what it will show.

2) Cunparis - you mentioned a number of times in the thread that the bettervolume indicator missed HVC or low volume bars. I believe this is because of the lookback period. Take low volume (which I will find easier to explain) - a low volume bar is marked as such only when it has the lowest volume of the last 20 bars. I think we should explore changing the lookback period a bit - maybe making it lower on higher time frames? I think you have also mentioned that for the LVPB pattern you look for 4 or 5 bars in a certain direction - and then a change. Assuming that you regard the last 4 or 5 bars as the most important maybe you should use a lookback of 4 or 5 bars. AND - maybe the lookback for low volume bars and HVC bars must be different?


I hope my questions makes some of you curious

Verge

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  #146 (permalink)
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Saroj View Post
neat RJay! I'll give it a try tomorrow.. for some reason I had problems with the original version... "can't serialize jtRealStats" ... but I think that was bogus because I was able to save it before... NT froze up completely on me and I had to delete the database and reinstall NT so lost a big part of the day today... Thanks for all this great work... you accomplished a lot with your reworking of this... we'll see how helpful it is over time...

Saroj,

I have had this problem from time to time with other indicators. Don't know what its all about but I am able to clear it by right clicking the chart with the indicator identified in the error message and selecting reload Ninjascript.

The problem then goes away for me.

RJay

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  #147 (permalink)
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RJay View Post
Saroj,

I have had this problem from time to time with other indicators. Don't know what its all about but I am able to clear it by right clicking the chart with the indicator identified in the error message and selecting reload Ninjascript.

The problem then goes away for me.

RJay

ahh.. thanks... I didn't really know what that feature did... I just saved a template with your version on it with no problem... that inner "this bar" indicator doesn't work well on a range chart .. or maybe its just my chart... it is very short. still playing...

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  #148 (permalink)
Market Wizard
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verge View Post
Hi

.... I am suggesting that someone (I can't code well enough yet) creates an indicator that marks low range bars (maybe with an arrow or something) (the indicator will basically mark the bar with the smallest difference between the high and low with a 20 lookback). ..

Verge

use NR7 indicator to find the low range bar
Narrow Range Bar - NinjaTrader Support Forum

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  #149 (permalink)
Trade with the flow
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verge View Post
Hi

1) The calculation of a HVC bar as far as I understand is taking volume and dividing by range. A bar may therefore be a HVC bar because of volume or range changing (or both). I think it would be interesting to see what role volume really plays - by removing it.

2) Cunparis - you mentioned a number of times in the thread that the bettervolume indicator missed HVC or low volume bars. I believe this is because of the lookback period.

Verge - very good observations and questions. I'm glad you are thinking instead of just watching.

For #1 - look at this chart:

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You can see that the HVC bars are not always narrow range, and narrow range bars are not always HVC. I marked one example where a tiny bar was not HVC.

A narrow range bar does usually proceed an expansion, but the direction can be up or down. What I think HVC adds to it is that you're looking for lots of professional activity. And these professionals typically don't chase the market. They enter at key support & resistance levels. They're the ones that create the S/R levels.

So I think volume is key, it's like another dimension on the narrow range. One might ask why we're looking for narrow range high volume and not just high volume. The reason is the move starts with the professionals accumulating and/or distributing. Once they've done that then the move starts which is seen as a climax bar with better volume. Once you have a climax bar it's too late to jump in. The low risk entry was at the turning point. Well I make one exception and that's trading breakouts. it's higher risk but still acceptable. But overall the low risk is during the accumulation / distribution.

To do your experiment you don't need an indicator, just eyeball it and mark off the really low range bars. There should already be indicators for NR7 for example. Just change the 7 to any look back you want including 20.

FOr #2: I have not experimented with this. If you use lower lookback you get more low volume bars. So they'd have less meaning. I think 20 is a good number. I encourage you to try some different settings and post some comparisons and we can decide what's best. I think there's no one best setting, it depends on the day (volatility, volume, trend or trading range, etc.).

Thanks for the comments, please keep them coming!

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  #150 (permalink)
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Some volume patterns on ES today. 5min chart. Let me know if you have comments or questions. I'd like to see more of you sharing charts and identifying these.

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