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

  #151 (permalink)
Elite Member
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Now I am not sure I understand how it is calculated


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

Cunparis

Thank you for your comments and suggestions - I did what you said and had a good look at your chart. I also thought again about what you said. Taking my two comments together - and what you said I would like to say - and basically agree that one should not simply rely on an indicator. My point - I think when a HVC bar forms one needs to think about whether it is because of a change in volume - or a change in range - one has to interpret the indicator in other words. For example - say there are 20 bars with around the same volume - on bar 21 it is roughly the same as the previous 20 - but bar 21's range is much smaller - this will be a HVC bar - but not because of the right reasons - right?

Also - I had a good look at your chart and see that I do not understand how the indicator is calculated - I had a look at the code - and do not understand it completely - so I would like you to explain it please. The problem on the bars around 8:35. The first bars details are: volume : 4439, range 20. The HVC that follows the this first one's details are: volume 2464. range 17. The HVC of the first is 2219500. The HVC of the second is 1449412. So - the HVC of the first bar is higher then the second. My understanding is that a HVC bar is the bar with the highest HVC number of the last 20 bars - so how come the second HVC bar (with a lower HVC number) can also be a HVC bar? I am sure I am missing something simple - but the fool is the one who does not ask

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  #152 (permalink)
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Some more questions/thoughts

I understand that NT does not have historic bid and ask prices. I am curious to find out if it really matters. I understand that Barry's (at emini-watch) Bettervolume indicator (the 2e/"improved" version) use bid and ask volume to paint some bars (I think they are called climax bars - and they have not really been discussed in this thread)

From the .pdf available on the emini-watch site the volume climax up bars are described as follows: "Volume Climax Up bars are identified by multiplying buying volume (transacted at the ask) with range and then looking for the highest value in the last 20 bars (default setting)."

It is a problem in NT6.5 to code these bars because the data needed is not available for historic bars. BUT - I also read in the .pdf that "For daily, weekly or monthly charts an estimate of the buying and selling volume is calculated based on the bar's open, high, low and close."

This means (as I understand it) that volume and ask (or bid for the down bars) are NOT used for the daily, weekly or monthly charts. Basically he assumes if the close is higher than the open - and the volume meets his criteria for climax bars then the daily (and higher) bars are climax up bars.

My question is - are there any climax up bars that do NOT have a close higher than the open. I would appreciate it if someone that use TradeStation could see if there are any red bars where the close is below the open. One would think that it wouldn't happen - if there is a lot of deals being done on the ask - the the price will go up - and the close would be above the open. (if someone understand TS EasyLanguage they could have a look at how the indicator determines climax bars for daily and higher graphs - and describe it here in plain English - so that the calculations can be used to code a NT intraday indicator)

If volume climax up bars with a close lower than the open do exist I think they would be very interesting to see where they occur - and what they can tell us about the market because if I understand market theory they shouldn't happen - right? (well you will find these "anomaly" bars on higher timeframes (like daily) but surely not on 5 minute bars - well maybe with the close just below the open - but not with big differences between the close and open?)

Maybe one should consider high and low rather - and up bar would be a bar with a higher high (which should happen with a lot of volume at the ask). Maybe that is a lot of maybes?

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  #153 (permalink)
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Hi guys, have been catching up on this thread and thought I would post a couple of images. I've been on sim with this and looking fairly profitable. I use Heiken Ashi to stay in the trend a little longer and 6 range chart. I have always used volume in my process - must admit the painted HVC volume is great.

Have to say that this forum is one of the most educational I have come across!
Some very smart cookies in here, I wish I had the coding skills of half you!

Cheers

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How to use volume in your trading-pic.jpg   How to use volume in your trading-gc-12-09-18_09_2009-6-range-.jpg  
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  #154 (permalink)
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cunparis View Post
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.

Please register on futures.io to view futures trading content such as post attachment(s), image(s), and screenshot(s).

Hi, cunparis:

I combine your volumepatterns(20, true) and big mike's VolumeGraph(14,true,7) together in onr chart, what do you think? I can see it clearly ES up or down trend when analyzing the volume patterns or turning point, maybe. just my 2 cents.

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How to use volume in your trading-es-5-min-volumepatterns.png  
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  #155 (permalink)
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verge View Post
Cunparis

Thank you for your comments and suggestions - I did what you said and had a good look at your chart. I also thought again about what you said. Taking my two comments together - and what you said I would like to say - and basically agree that one should not simply rely on an indicator. My point - I think when a HVC bar forms one needs to think about whether it is because of a change in volume - or a change in range - one has to interpret the indicator in other words. For example - say there are 20 bars with around the same volume - on bar 21 it is roughly the same as the previous 20 - but bar 21's range is much smaller - this will be a HVC bar - but not because of the right reasons - right?

For the right reason? It depends. Where is the HVC bar? If it's after a good move (20+ ticks) then it could be for the right reason. I've posted examples of HVC and the vast majority of the time (please correct me if I'm wrong) HVC marks either a turning point. Sometimes it only lasts a few bars as in my example from yesterday. Sometimes it turns the market for several points.

Think back to why we have HVC. Large volume = professional activity. Low Range = accumulation / distribution. If range is low then the pro's are on the other side of the current move. They're stopping price dead in its tracks. If the pro's were on the side of the move we'd have a climax bar.

So in your example the volume could be high and that shows professionals just like hVC. Then the range gets smaller, what does that show? It shows the professionals are succeeding in stopping price.

I like to enter on a break of the HVC high/low countertrend (trend can be just a few bars). If for some reason price goes a few ticks and then reverses and reverses and takes out the HVC bar, this is a failure pattern and a good entry in the direction of the trend. It shows that the pros stopped their accumulation/distribution and they'll have exit their positions which will fuel the move even more.

Here's how pros work: they pick an entry and they accumulate. let's use long example. they accumulate at 1060. They know there are sell stop orders just below 1060, including their own. If they let price drop below 1060 the stops are hit and we could have a breakdown. So they have to support prices. They have to! So this is why we enter with them. And if price breaks down, we want to go short because it'll be a quick move due to all the stops.

To successfully use these patterns one has to understand how and where the professionals are trading. HVC tells us this. No magic. Just logic.

i encourage you to post some examples of fake HVC and we can try to understand what happened. Rarely HVC occurs in the middle of a move. It's profit taking. But the same scenarios apply..


Quoting 
Also - I had a good look at your chart and see that I do not understand how the indicator is calculated - I had a look at the code - and do not understand it completely - so I would like you to explain it please. The problem on the bars around 8:35. The first bars details are: volume : 4439, range 20. The HVC that follows the this first one's details are: volume 2464. range 17. The HVC of the first is 2219500. The HVC of the second is 1449412. So - the HVC of the first bar is higher then the second. My understanding is that a HVC bar is the bar with the highest HVC number of the last 20 bars - so how come the second HVC bar (with a lower HVC number) can also be a HVC bar? I am sure I am missing something simple - but the fool is the one who does not ask

You're probably overlooking the 2 bar rule which says that if the ratio for the last 2 bars is the lowest then you get a signal. So if the current 2 bars have the lowest combined volume of all previous 2 bars, it's LV. Same for HVC if the combined range is the highest of the lookback period. Tell me if that explains what you are seeing.

Great questions! I really appreciate your contribution. As you can see this isn't easy. One has to think. I'm a bit disappointed that more people aren't participating but when there are a zillion other threads showing how one can make thousands using indicators I guess I don't blame people for falling into that trap.

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  #156 (permalink)
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verge View Post
I understand that NT does not have historic bid and ask prices.

I have to go to work, will answer this and the other questions later day. Please keep them coming!

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  #157 (permalink)
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http://www.advfn.com/p.php?pid=legacydaily&epic=L^EMG&type=4&size=1&period=1&ind...eme=&delay_indices=1this is what i use for cfd,s,price/volume.

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  #158 (permalink)
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verge View Post
I understand that NT does not have historic bid and ask prices. I am curious to find out if it really matters. I understand that Barry's (at emini-watch) Bettervolume indicator (the 2e/"improved" version) use bid and ask volume to paint some bars (I think they are called climax bars - and they have not really been discussed in this thread)

I think for the majority of cases this will work but it's less accurate. Barry uses 1440 minute charts instead of daily specifically to get the uptick/downtick data for the volume. He has another indicator called "Better Momentum" which also uses uptick/downtick data and for that one you really need the uptick/downtick data.

You can calculate the uptick/downtick yourself with NT. The only downside is you don't get it historically. but for real time it works.

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  #159 (permalink)
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alex123 View Post
Hi, cunparis:

I combine your volumepatterns(20, true) and big mike's VolumeGraph(14,true,7) together in onr chart, what do you think? I can see it clearly ES up or down trend when analyzing the volume patterns or turning point, maybe. just my 2 cents.

What is the volume graph?

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  #160 (permalink)
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it is a indicator created by Big Mike, see the links

https://futures.io/free_downloads/ninjatrader/indicators/36-download.html?view
I found it very useful

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