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EOT Automated System


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EOT Automated System

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  #51 (permalink)
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Richard View Post
Which in the splitter's case, no one ever seems to want to do.

having read (most) of the TL discussion, ain't that the truth!

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  #52 (permalink)
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It is definitely a sea change, in that you get insight into the resting orders that you didn't have before, at the expense of seeing less summarized "big trade" events. But, if you are watching every tick go by, you can re-bundle the trades yourself and still get at the improved information. It's one of the things I'm starting to work on.

There are lots of ideas to try, not the least interesting of which is to ignore all of the "block" trades that are still on the tape. Why? Because then you know that a big market order matched a big limit order... and from a delta perspective you might say that two "big" traders cancelled each other out. It should be fun.

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  #53 (permalink)
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cunparis View Post
As I mentioned in a previous post. the S&P is widely used for hedging. Someone could take off a spread or a hedge and you'd see a big transaction. That doesn't mean that the trader had a directional bias on the S&P.

Also the large trader categories are separated into commercial hedgers & speculators. They do not trade together inside each category. The early (smart) speculators are now selling to the late-comer (dumb) speculators. So even in a large trader group there is "smart" and "dumb".

Yeah I definitely agree with you on these points. One thing that always made me cringe was the way Bill would talk about smart and dumb money in EOT's marketing materials, and how he'd keep saying "volume leads price." It wasn't slick marketing, as some people suggested. I know from talking to him that he really does think about the indicator this way. But to me it's an over-generalization that would hurt our reputation with people that knew better. It's also why my splitter wasn't just a delta profile... if all I cared about was the delta I wouldn't bother splitting the trade sizes out in the first place.

Anyway, sorry to hijack the thread, and I hope you know I'm not singling you out, cunparis. I just try to get the word out whenever I can: splitters are neither holy nor grail-shaped.

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  #54 (permalink)
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Richard View Post
Anyway, sorry to hijack the thread, and I hope you know I'm not singling you out, cunparis. I just try to get the word out whenever I can: splitters are neither holy nor grail-shaped.

Thanks Richard, I enjoyed the exchanges and I learned something about the way CME renders its tick data.

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  #55 (permalink)
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cunparis View Post
Can you post some a couple days worth of charts with your volume splitter indicator? Then we can see if you cherry picked an example or it if really does predict turning points.

Blz - volume splitters have been posted here before, just do a search.

sorry I can't post older charts and I can't cherry pick them either. all those indicators are only real time. no historical data.

ps I never said and I never use it to predict turning points.

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  #56 (permalink)
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cunparis View Post
Thank you for your explanation. This is the first I've heard that CME was previously bundling trades together into one tick. I just went to CME and found this:

https://www.cmegroup.com/globex/files/EquityFuturesEnhancements.pdf



Now I understand Sylvester's point that a volume splitter could work better now than it did before (Putting aside the theories of why large traders are not always smart).

richard just used the same example as I tried to do. only he can explain better. glad he could clear that up.

re: To place more importance on some transactions than others is to assume way too much about those transactions. As I mentioned in a previous post. the S&P is widely used for hedging. Someone could take off a spread or a hedge and you'd see a big transaction. That doesn't mean that the trader had a directional bias on the S&P.

I mentioned that in another thread. that's exactly why I think a cot report is useless. and as I mentioned before also, I'm not looking at vol splitter as a signal to go long or short when I see a big order. I use it to identify if there's program activity. you can see that by the intensity. prob doesn't make sense.

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  #57 (permalink)
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Richard View Post
Yeah I definitely agree with you on these points. One thing that always made me cringe was the way Bill would talk about smart and dumb money in EOT's marketing materials, and how he'd keep saying "volume leads price." It wasn't slick marketing, as some people suggested. I know from talking to him that he really does think about the indicator this way. But to me it's an over-generalization that would hurt our reputation with people that knew better. It's also why my splitter wasn't just a delta profile... if all I cared about was the delta I wouldn't bother splitting the trade sizes out in the first place.

Anyway, sorry to hijack the thread, and I hope you know I'm not singling you out, cunparis. I just try to get the word out whenever I can: splitters are neither holy nor grail-shaped.


Hi Richard,

I guess you have read my volume splitter thread in the VIP area.

Do my tick and volume splitter indicators look accurate to you?

I was on a mission to prove or disprove those EOT Utube videos.

I primarily use volume indicators to determine trade entry and exit points.

If my system tells me the market is trending up and the market begins a short term correction, I wait until there is a large volume spike in the direction opposite to the trend.

That is my entry point. Exiting trades is similar, exiting on volume exhaustion/ reversal spike.

With your trading experience, Do you think this is a good trading strategy???


Thank you for sharing your thoughts here on this forum.

RJay

P.S. Have you tried out my NoGapRangeBars???

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  #58 (permalink)
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RJay View Post
P.S. Have you tried out my NoGapRangeBars???

Are these just visual or does it change the bar formations compared to normal range bars? Are you just adding an extra tick to make it touch the previous close? I'm curious how that works. I currently use range bars but haven't tried your no gap variety.

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  #59 (permalink)
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RJay View Post
I guess you have read my volume splitter thread in the VIP area.

Do my tick and volume splitter indicators look accurate to you?

Sorry, haven't seen it. But if you have any specific questions maybe I can help. If by 'accurate' you mean similar to the EOT splitter: The original EOT splitter's delta value was just dominant-cycle length SMA of the split delta (not cumulative, just of each bar's delta). The thickness of the line was a bit more complicated calculation, but the goal was to notice 'lots' of big trades per unit of time.



RJay View Post
If my system tells me the market is trending up and the market begins a short term correction, I wait until there is a large volume spike in the direction opposite to the trend.

That is my entry point. Exiting trades is similar, exiting on volume exhaustion/ reversal spike.

I do think exhaustion is a real phenomenon, but I'm not sure I'd try to isolate big trader exhaustion. The VSA folks have this idea of 'stopping volume' which to me is just another word for the same thing. If you just look at a plain volume histogram on a range chart you can see it at times. So, I think a good trading plan could be built around it. I've not done that, but it sounds good to me.

To me, the reason to use a splitter is to spot places where the bigger traders seem to be making a liquidity grab (as opposed to a single entity adjusting huge hedged positions). So, you watch block trade delta, and you look for the intensity to spike, and you look for price to start moving. It's a pretty short-term phenomenon, so it's more of a scalping thing than anything else.



RJay View Post
P.S. Have you tried out my NoGapRangeBars???

Are those the ones that make the open of a bar == the close of the previous bar? If so, that was a good idea, and the charts I've seen look cleaner than ninja's range charts. When I made "point-o" bars that was one of the things I liked about them. Lately, though, SbsRenko is my favorite non-minute bar. I think it's fantastic.

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  #60 (permalink)
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Thanks Richard.

Mike

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