Market Statistics (Volume Histogram, VWAP with SD bands)

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akifusenet
292
akifusenet  

Hi again,

So this is my second indicator. And this indicator is created to be able to follow Jperl's Market Statistics thread on Traders Laboratory.

Please read this summary document of that thread first.

After reading that document lets discuss how can we use this approach in Forex trading... I am waiting for your suggestions..

As I already talked about in my MIDAS post these are my first indicators and I am just learning MQL. So feel free to send me comments, bugs,anything...

UPDATES:

Version 3_0 is here. We have a start date and an end date.

Version 4_2 is here. In this version you can say start from 2 days before at 22:00.

Version 5_0 is here. Sliding window concept indicator. Calculate statistics depending on the last x days of data.

Version 6_2 is here. Please read the explanation. It is not easy to summarize in one sentence.

Version 7_0 is here. Does the same job of MSv6.2. But this one is MUCH faster.

Thanks for trying..

Akif,


OOM
5
OOM  

akift, thank you, great tool, tick volumes make high correlation with real

volumes. I compare volumes on Ninja (6E of cose) and EURUSD on FXDD it

identical(1.4395 higest volumes on past week). Can you add EndDate

settings ?

xx3xxx
1756
xx3xxx  

say 5M chart for gbp/chf

how do we use this indicator to your advanatage

e.g. identify quiet period or breakout

akifusenet
292
akifusenet  

End date

Yes I know end date is missing , I am planning to add an end date as soon as possible. With that I think we can have multiple indicators on a chart. And we can see yesterday's statistics also.

OOM:
akift, thank you, great tool, tick volumes make high correlation with real

volumes. I compare volumes on Ninja (6E of cose) and EURUSD on FXDD it

identical(1.4395 higest volumes on past week). Can you add EndDate

settings ?
OOM
5
OOM  
akift:
Yes I know end date is missing , I am planning to add an end date as soon as possible. With that I think we can have multiple indicators on a chart. And we can see yesterday's statistics also.

Exactly! Thanks!

akifusenet
292
akifusenet  

Actually this indicator is developed based on thread series of Jperl's at Traders Laboratory. Here is the link to the series:

Trading With Market Statistics - LINKS

I posted these indicators also there but I believe most of the people at Traders Laboratory dont use Metatrader. And actually those threads were not aimed for Forex. But i think same idea can also be used for Forex. I am also still trying the concepts. But to be able to try them you need to have the tools first. So I created these to follow those threads.

Basic idea is PVP(Peak Volume Price) shows the price with the highest volume beginning from startDate. VWAP shows the average of the volume histogram. When VWAP is below PVP it means more volume has been traded below PVP so skew of the market is downside. Thats why you can short from VWAP to 1SD. And also at with a little bit more risk you can short from 1sd to 2sd also. PVP is your stop loss.For longs just reverse the above scenario. Wait for VWAP is above PVP.

These are the most simple setups. For other details you can read the threads. As I said earlier these are not given as forex strategy but I believe statistics is statistics independent of market.

Thanks for interest.

Akif,

xx3xxx:
say 5M chart for gbp/chf

how do we use this indicator to your advanatage

e.g. identify quiet period or breakout
xx3xxx
1756
xx3xxx  
akift:
Actually this indicator is developed based on thread series of Jperl's at Traders Laboratory. Here is the link to the series:

Trading With Market Statistics - LINKS

I posted these indicators also there but I believe most of the people at Traders Laboratory dont use Metatrader. And actually those threads were not aimed for Forex. But i think same idea can also be used for Forex. I am also still trying the concepts. But to be able to try them you need to have the tools first. So I created these to follow those threads.

Basic idea is PVP(Peak Volume Price) shows the price with the highest volume beginning from startDate. VWAP shows the average of the volume histogram. When VWAP is below PVP it means more volume has been traded below PVP so skew of the market is downside. Thats why you can short from VWAP to 1SD. And also at with a little bit more risk you can short from 1sd to 2sd also. PVP is your stop loss.For longs just reverse the above scenario. Wait for VWAP is above PVP.

These are the most simple setups. For other details you can read the threads. As I said earlier these are not given as forex strategy but I believe statistics is statistics independent of market.

Thanks for interest.

Akif,

we are very visual people, does it mean aqua blue line -- above the red line, we should SELL , what is the meaning of the vertical bell shape statistical chart -- on the LEFT

thanks --\

akifusenet
292
akifusenet  
xx3xxx:
we are very visual people, does it mean aqua blue line -- above the red line, we should SELL , what is the meaning of the vertical bell shape statistical chart -- on the LEFT thanks -- do you have a PM or email that we can contact you (your PM with other members is disabled in this forum -- see )

Ok I will try to explain.

The vertical bell curve like thing on the left shows volume histogram meaning:

- starting from the StartDate(which you have to set at indicator properties)how much volume was on which price level.The price level with a longer aqua line had seen more volume than shorter ones.

-Peak Volume Price(PVP) shows starting from the StartDate at which price there was the most volume.How do I calculate it.Simple. Every bar has a volume and every bar has a price range. I distribute that bar volume to those price range in a simple distribution function.So we have that nice volume distribution. You will see that red PVP line always follows the longest aqua bar in the distribution.Thats its job it shows the longest bar in a continuos way.

For strategies definitely I would advise you to read the thread that I referred at earlier post. But for a quick explanation. VWAP shows the average of the volume distribution meaning there are equal volume on both sides of the VWAP line. If VWAP is above PVP that means there has been more volume above the PVP. So we except price to move up when it gets close to VWAP(usually reflecting from VWAP or SD1)

So in a very simple way

-if VWAP is above PVP think going long at VWAP to SD1Positive or SD1Positive to SD2Positive

-if VWAP is below PVP think going short at VWAP to SD1Negative or SD1Negative to SD2Negative

But this is like explaining how to fly a plane in 3 sentences so I definitely advise you again to read those threads.

Another point is, this was not designed for forex. This is usually used in a market which you have real volume and a real starting bell ringing at a fixed start time. So I am just experimenting to adapt it.

StartDate is important. Since we dont have a startDate in forex maybe adding a separate indicator for every session (Asian-London-NY) can be more meaningfull.

I modified the indicator to have also an end time to make this feasible. I will post it tonight(because I am at work now:)

Hope this explains a bit more.

Akif,

akifusenet
292
akifusenet  
xx3xxx:
we are very visual people, does it mean aqua blue line -- above the red line, we should SELL , what is the meaning of the vertical bell shape statistical chart -- on the LEFT thanks -- do you have a PM or email that we can contact you (your PM with other members is disabled in this forum -- see )

You can contact me from akifusenet AT gmail.com (It is in the source code ) But I can read those mails only at home.

Akif,

lodol2
207
lodol2  

hi

hi

very nice..thanks for sharing

this idea with and end date would be great

all the best to you

akifusenet
292
akifusenet  
lodol2:
hi

very nice..thanks for sharing

this idea with and end date would be great

all the best to you

I finished modifying for the end date. Just need to get home to connect that computer to internet(which will be around 2 hours later )

Akif,