Standard Deviation Moves

June 12th, 2015, 06:43 AM

Here is a link to a study based on Jeff Augen's SD price spikes. Although it does not incorporate volume it does very well with standard deviation moves in price (which by theory volume will accompany the price action.)

https://www.sierrachart.com/supportboard/showthread.php?t=33846

Assumption - the ID for the above mentioned study is one (1)

You would then use the study Color Bar Based on Alert Condition

The alert would be =and(ID1.SG1>=2,ID1.SG1<3)

What this will do is place an alert on the bar when it has moved two standard deviations, less than three relative to the set number for the lookback period

-William

June 15th, 2015, 07:05 AM

Here's a formula that I've put together for low spread, low volume

Assumption: ID5 is Numbers Bars Calculated Values

Study: Color Bar Based on Alert Condition

=and(c>=o,abs(h-l)<=ticksize*3,ID5.SG2<50)

-William

June 15th, 2015, 08:27 AM

Really interesting stuff.

Why though would you exclude any pops above 3 ?

I'd have two instances, one with a pop above 2 and one with a pop below -2.

I try and keep it simple and not draw any conclusions on what the pops may mean without context

June 15th, 2015, 10:04 AM

Thank you

I'm only psoting examples of syntax and how to make easy use of studies already in SC vs custom

The parameters can be changed to what fits your style, instrument etc

For example on /CL I'll use different criteria after 0930amET vs Globex

I use this primarily for "hello" something out of the ordinary is taking place

For example on the Augen price spikes I use GT(>) 2 LT 3, GT 3 LT 4 and GT 4

Most of this comes from many moons of screen time which started with Thinkscripter VSA_Lite

I mostly use the same settings for /6B, E and /CL with some minor tweeks here and there - obviously of those three, each has it's own character

The Numbers Bars Calculated Values is a very powerful study in SC. The study Numbers Bars takes up too much real estate

90% of my decisions are based on price action and not MACD, CCI, Stochastics etc

-William

June 15th, 2015, 11:33 AM

I'm grateful William.

You showed me a way to get some form of useful VWAP type thing on my screen without it cluttering anything up.

Thank you

June 16th, 2015, 08:30 AM

Regarding the study Numbers Bars Calculated Values

As I mentioned above the Numbers Bars Study takes up too much real estate (at least for me)

So in lieu of this I've been poking at various components of NBCV

Something that I look at instead of Volume Delta is Tick Delta

Anyway throwing that out there

-William

EDIT

For /CL

EDIT2

Here's the alert syntax that I'm using for /CL

=ID5.SG24<=-21 ,, =ID5.SG24>=21

Different instruments, different trading styles, different objectives will most likely warrant an adjustment of that Tick Delta GT/ LT/ ET

June 18th, 2015, 06:31 AM

Here's a cheat sheet of the Numbers Bars Calculated Values Descriptions

-William

NumbersBarsCalcValDesc.xls

July 2nd, 2015, 11:34 AM

I track the bar delta for certain levels of price action /participation using the above study

/CL has different levels (/6E does but not near as much) of participation Globex vs NY typically starting about 8amET so the rate of change is more/ higher

How I get around having to change the threshold is having the same study loaded twice

ID5 is numbers bars calc val and SG1 is delta

=ID5.SG1>=50 (lime green triangle)
=ID5.SG1>=75 (dark green triangle)

They are loaded in that order and the last will overwrite the first (LIFO)

-William

July 2nd, 2015, 09:06 PM

William,

Does your last post mean you've gone back to bar delta instead of tick delta (ie SG1 instead of SG24) ?

July 6th, 2015, 12:45 PM

I'm watching both but now with more emphasis on volume change

To a degree they go hand in hand because /CL trades a bunch of one contracts

Plug in what works best for you

As you know no two days are the same when it comes to trading

-William

Standard Deviation Moves

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Standard Deviation Moves