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

  #291 (permalink)
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I put together a simple indicator to visually show an idea I had yesterday after viewing the add-on version of Cory's Stop Volume, the one with 4 options. Seemed to be many signals during periods with almost nothing going on. Perhaps they are just a not-so-good signal. To be honest, I didn't find time to look at it closely.

However, the idea has merit, namely to identify areas where there is some sort of reasonable swing/range activity versus flatlining type stuff. So this 'indicator' compares the current Donchian Channel range (periodx) to the ATR (periodx) * multiplier. The ATR plots are bars that change color when the Donchian range goes beneath them; the donchian plots change color based on the slope - or last slope - of the Donchian mean (could use a fast ma), but the values are always positive, just that in a downswing they plot down color and upswing upcolor.

I think it might be the basis for a good condition for some of those more sensitive or too-many-times-triggering volume pattern additions.

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  #292 (permalink)
Market Wizard
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true, when volume is small or slow the vol stop is not going to work. It is easy to filter out the signals on 5m chart by using some cut off volumes number but not so easy if it is of some other chart type. Your indicator could be the answer, need some forward testing I guess.

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  #293 (permalink)
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well yes, forward testing. The reason for putting ATR in is so that anything is scaleable. I like to use long periods of ATR (like 100), that way it's not responding too much to recent action, just gives a basic typical range for whatever chart you have up.

Then you have the multiplier which is something to play with but my guess is that after a little playing around you end up with something like 2. Certainly 1 is way to tight, 3 might be fine, 6 probably too much. Then you are left with the Donchian, i.e. typical swing length. Now the Donchian is a very simple but tricky beast because it's not an indicator that tracks closing price like an MA or most oscillators, rather it's the mean between Xperiod highs and lows. But in any case, the idea is for it to show the range of any movement for a certain period, and that period should correspond with typical short term swings, so my guess is should be somewhere between 5 and 10, not 30 - 50. You definitely could do it that way, but then figuring that out with the ATR becomes another headache. Now that I am trying to explain it it sounds much more complicated than the original idea which was just to use the Donchian as a quick way to read flat price action because if there are no new highs or lows (or only marginal ones ) for x bars, that mean doesn't change much. Unlike a ST MA which still wiggles around inside a trading range, the Donchians don't do that. They go horizontal. So the idea is that you want those volume patterns when the market is moving and gets stopped long before the Donchians flatline. So I don't think it should take a lot of testing. Either it's helpful or not. My suspicion is that it could be a very quick way of filtering out any patterns that occur during such flat periods, that's all. And with the indicator you can visually see what various combinations do, change the timeframes to check they are consistent and suspect within about ten minutes or so have a pretty good idea.

Just a thought.

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  #294 (permalink)
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cclsys View Post
The idea is that with range charts the range - by definition - is always the same, so some of the BV conditions just don't work - like if it's the max or min range of lookback period && xx.

So I thought to substitute speed for range (using RPM), i.e. if the speed is max or min during the lookback period. I have a hard time going through the code though because everything is abstract (cond1, cond2, Value 1, value2, value3 etc.) so I just haven't had the patience to rewrite it in a way that I can understand later what each condition is.

But I suspect substituting speed for range with range charts will work quite well. Probably not with Renkos because they have different ranges on reversal bars, but the reversal bar is information enough in that format, probably - although again speed would be additional info on that bar, i.e. did it turn around rapidly or very slowly? That can be known and incorporated into the Volume indicator in terms of volume/speed or speed* volume or something.

just wanted to say that rpm indicator is amazing. was helping me big time today. great work and thank you very much.

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  #295 (permalink)
Big game hunter
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CCLSYS and silverster17 you both have helped me loads and I appreciate it . Im done -goin fishin .

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  #296 (permalink)
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Eric j View Post
CCLSYS and silverster17 you both have helped me loads and I appreciate it . Im done -goin fishin .

yw. always glad to help. good luck fishin.

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  #297 (permalink)
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rsi77 View Post
At first I was looking at this "Volume Stop" indicator in conjunction with "Volume Patterns" indicator (posted by Cunparis). The "high-volume churn" and "low-volume test" concepts were familiar to me, but I didn't know why the "volume stop" sometimes gave such good signals. I decided to focus on the volume stop so I could figure out what made it work.

Below are several charts from October 7th showing both Volume Stop and VolumePatterns along with some Market Profile support and resistance levels. This is the kind of chart I was envisioning I might be able to start trading off of. I didn't take any of the trades shown--I was only investingating the signals at this point.
Attachment 4680

Hello rsi77,

Could you please tell me where I can find the Market Profile lines Indicator from?

Thanks,
-Keep

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  #298 (permalink)
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"just wanted to say that rpm indicator is amazing. was helping me big time today. great work and thank you very much."

Thanks. It is a very simple indicator. Deceptively simple. And one that doesn't exist in any other form as far as I know. There are histograms showing how long bars take which essentially do the same thing, I suppose, in that when it's fast the histogram gets very small. But I wanted also to see the range in ticks per minute because I trade ticks (price) not time.

I think the scalping signals can be used by experienced traders in certain market conditions to nail floor-trader-led reversals.

Usually when the price spikes through many stops in fast time, it then takes a breather and often goes back down (if was up) to clean out any lucky daytrading punters who just went long. That's why have the arrows on the opposite side of the current direction. But you could just as well have them going with the price if you prefer (just pretend the arrow is on the other end of the bar or change the code), or add in a trend filter, i.e. if the ZeroLagEMA(5) is up, go long. If it's sideways, go short.

I played around a little bit more with the Donchian-ATR thingy for Cory's Stop Volume and suspect it's too finicky to be helpful. However, I did make a chart version that displays only on the chart and there is some merit, I think, to using ST Donchians as chop or TR type indicators because they are based on the mean of high and low, not something following the close.

Attach picture of the 'indicator' applied to chart along with the StopVol3b where you can see it did filter out some poor StopVol sigs, but also filtered out some good ones. So probably best to let stopvol remain focused on volume and not introduce other thingies into it.

That said, about the only 'squiggly' I like is the Donchians. They do not lag. In fact, if you look at the lower chart which tracks the current Donchian(5) range, you can see it turns usually on the same bar that a move ends. Very fast. And flatlines very quickly too if no new highs or lows are being made. Very few MA type indies can do this. And yet it's one of the oldest, simplest formulas out there. Basically it's a range bar in indicator format except that in this case the range of the bar isn't fixed, it just shows you the range of the last x bars. Sort of same thing but the opposite, if you catch my drift.

In fact, this simple little ATR-Donch indicator looks like an excellent combination OB-OS oscillator (by comparing swing peaks) and chop indicator. I like simple things like this: simple logic, no need to play around with the parameters very much no matter what chart you load it on because based on ATR...

Reading through some of TRO's stuff last night for the first time, it looks like some of the range breakouts on the chart make for decent rat-type trades.

Wish I/we had indicators that could spit out stats like his do. I think that is a very intelligent approach.

PS. I forgot: in the attached chart, any time the filter has obstructed a trade, there is only 1 arrow. The non-filtered arrows are 1 tick above/below the default ones.

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How to use volume in your trading-bm-1124-volstopfilter.png  
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  #299 (permalink)
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Eric j View Post
CCLSYS and silverster17 you both have helped me loads and I appreciate it . Im done -goin fishin .

Am I just imagining it, or did our infamous bands help give confidence that your long was going to bounce up there to PT#2?

(sorry, this is not about volume!)

PS. That was a real peach of an entry. I can't think of a fishing term for that....

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  #300 (permalink)
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OK. I have put together BetterVolume2, Cory's Volstops, SpikeVols, plus in BV2 some progression patterns like down bar, climax or churn, then up bar, and a few others. Some seem helpful, others not. The BV2 sigs are in little wingdings. The Volume Spikes say 'V', and Cory's have either a triangle for Type1, "XX" for Type 2, or "D" for Type 3 divergence, just so they are all clearly different and can be examined both separately and together and you know which is which. I hope some find this helpful. I think many of these Volume Patterns are quite helpful. I wonder if the BVV (as I call it) shouldn't be in the VIP section so I am not pasting it in. Let me know what you think, both about the combination and where to post code.

Meanwhile 2 pictures: Tick and RenkoSbS.

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How to use volume in your trading-bm-1125-bvv.png   How to use volume in your trading-bm-1125-bvvrenko.png  
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