Market Statistics (Volume Histogram, VWAP with SD bands) - page 16

homestudy
196
homestudy  

More then one

profitrader21:
Hi,

I would like to have Market Staatistics 5 changed if possible. I would like to see the market statistics for each 24 hours separately going back into the past. There should be a new market statistics starting at midnight every day with the pvp and sd lines for that day only. I need this primarily for backtesting.

Second, can someone please post the hidden gap volume indicator of Scrat's screenshot?

Thank you very much.

You can load as many as you want on a chart and have them start when ever you want by putting a fractional number into daysBack.

It took me all of a minute to google and find the indy you are looking for. Google is a wonderful tool, try it sometime.

florinv75
232
florinv75  

you mean, something like this?

you can do it by adding multiple versions of ms v3.0... this is the way i do it, and i prefer v3.0 because i can set my own starting date for the trading day.

profitrader21:
Hi,

I would like to have Market Staatistics 5 changed if possible. I would like to see the market statistics for each 24 hours separately going back into the past. There should be a new market statistics starting at midnight every day with the pvp and sd lines for that day only. I need this primarily for backtesting.

Second, can someone please post the hidden gap volume indicator of Scrat's screenshot?

Thank you very much.
Files:
akifusenet
292
akifusenet  

Oh! Unread posts...

I think I need to check more regularly my own thread..

I will try to comment one by one.

Profittrader I am right now fiddling with some new version which keeps record of MSv5 values after each bar. But as you can guess it needs TONS and TONS of CPU. So it is still unusable right now.

Right now I would do as Scrat showed in his post . I know kinda manual work needed but thats what we have now.

profitrader21:
Hi,

I would like to have Market Staatistics 5 changed if possible. I would like to see the market statistics for each 24 hours separately going back into the past. There should be a new market statistics starting at midnight every day with the pvp and sd lines for that day only. I need this primarily for backtesting.

Second, can someone please post the hidden gap volume indicator of Scrat's screenshot?

Thank you very much.
akifusenet
292
akifusenet  

thanks

Hi there Scrat and SIMBA,

Thanks for sharing your insight into this indicator.

About the other indicator which I have mentioned in my previous post. How about having an indicator which draws the Market statistics lines and not change them after the bar completes. As you know all market statistics indicator lines starts to calculate from a beginning date. So the first lines actually can be ignorable because they are created with a very few data. With this indicator every line can be trustable because every line would be created with same amount of data. And to be precise I was planning to use the least time frame data as much as possible. If my chart has history of 30 days of data in 1M timeframe. Then I would create 1 day, 5 day, 22/30 day statistics using 1Min data. But as I told you right now it puts my computer on to this knees.

I would like to say again that I am open to all suggestions and strategies.

I am thinking about creating a new design(indicator) after all these talk.

I am attaching an artists concept picture. I would like to have your opinions and ideas.

What was in my mind:

1. It is kinda messy starting 3 market statistics indicator. All lines are boggling up. Now it would be easier to see where is vwap relative to pvp in all time windows. For example in my conceptual chart in all 3 time windows vwap>PVP. So trend determination would be much easier.

2. I think it would be easier to see (not MTF lets say multiple time window statistics)

3. It is easier to see confluences. For example +3SD of 5-day is equal to 22Day VWAP and price is moving up so I highly believe that when it reaches that level it will turn down (should be:)) of course all these lines are dynamic and will be moving with each bar.

So any suggestions?

(I think I might be the only one who writes an indicator and then ask people how do you use it:P)

Thanks.

Akif,

SIMBA:
Hi All,

Since Akift was so kind to develop his indicator and he asked for opinions of people who use it,i will post mine.It is different from Scrat`s,but in no way better,I am sure both ways are workable....Even if mine is just the tip of the iceberg

I am talking about the latest version so far 5.0

1-I have found that the 5 days sd bands are the most useful signals for trading on a daily basis,very often they give you very good support and resistance areas for at least a 1sd target trade.

2-If you "know the trend" or believe you know ,you can use the 2nd and 3rd sd on the 24 hours for very good short term entries.

3-The relative position of the poc 5 days vs 30 days gives very good information regarding the trend,specially if you match it with the 24 hours vs 5 days.

4-I use 30 trading days ,instead of 20 or 22 ,which will be a calendar trading month,because this is a half cycle of the 12 to 13 weeks cycle,and the 3rd sd extreme penetration usually signals a change in trend...so,when price crosses the 3rd sd and then crosses it back,usually after one to 3 days of "ranging" it starts a move in a new direction

This is one of the more reliable indicators I have seen,and it doesn`t repaint.

Regards

S
Files:
erich
20
erich  

I would use market statistics and market profile together + virgin poc

eg . 1min chart market statistics 0.5 day and one day market profile.

Erich

SIMBA
2078
SIMBA  

Equal time window

akift:
Hi there Scrat and SIMBA,

Thanks for sharing your insight into this indicator.

About the other indicator which I have mentioned in my previous post. How about having an indicator which draws the Market statistics lines and not change them after the bar completes. As you know all market statistics indicator lines starts to calculate from a beginning date. So the first lines actually can be ignorable because they are created with a very few data. With this indicator every line can be trustable because every line would be created with same amount of data. And to be precise I was planning to use the least time frame data as much as possible. If my chart has history of 30 days of data in 1M timeframe. Then I would create 1 day, 5 day, 22/30 day statistics using 1Min data. But as I told you right now it puts my computer on to this knees.

I would like to say again that I am open to all suggestions and strategies.

I am thinking about creating a new design(indicator) after all these talk.

I am attaching an artists concept picture. I would like to have your opinions and ideas.

What was in my mind:

1. It is kinda messy starting 3 market statistics indicator. All lines are boggling up. Now it would be easier to see where is vwap relative to pvp in all time windows. For example in my conceptual chart in all 3 time windows vwap>PVP. So trend determination would be much easier.

2. I think it would be easier to see (not MTF lets say multiple time window statistics)

3. It is easier to see confluences. For example +3SD of 5-day is equal to 22Day VWAP and price is moving up so I highly believe that when it reaches that level it will turn down (should be:)) of course all these lines are dynamic and will be moving with each bar.

So any suggestions?

(I think I might be the only one who writes an indicator and then ask people how do you use it:P)

Thanks.

Akif,

Akif,

1-your suggested new indicator may be simpler to follow visually,so,tracking a good opportunity may be easier than with actual one,which,IMO,is already good enough to be tracked visually once you get a few hours of screen time with it.

2-The Equal time window for all bars is a very interesting new concept that may add insights we do not have at this moment...I understand that it is CPU expensive,but if it can be tried at least for just 1 day and compare vs actual V5.0 1 day too,we may know more.

Imo,V5 is already very good.

Regards

S

xx3xxx
1756
xx3xxx  

another way of present it

winnn
65
winnn  

Hi, akift,

Is your indi possible to input the exactly date I want . I have tried to spend some hours , setting many many different days to slowly find my date, it is not easy for me. thank u

also I found in daily chart if the date I set it will change if I watch other time charts. I think the date I want must be same in any timeframe, because that day is trend up or down start date.

akifusenet
292
akifusenet  

specific date

Hi winn,

For specific date input you have to use v3. In that you can enter a fixed date and it will not change. v4 also use fixed date but it uses a RELATIVE concept. Like start X day before at Y hour. I usually use it as "start from yesterday at 22 hour". v5 uses a sliding window concept. The length of the calculation width in bars is fixed so when a new bar comes up, starting line will come forward by one bar. So your date is not fixed in v5.

Hope this explains.

P.S. Soon I will post MSv6_2. Which will be a little bit hard on CPUs. And it will take some paragraphs to explain it.

Akif,

winnn:
Hi, akift,

Is your indi possible to input the exactly date I want . I have tried to spend some hours , setting many many different days to slowly find my date, it is not easy for me. thank u

also I found in daily chart if the date I set it will change if I watch other time charts. I think the date I want must be same in any timeframe, because that day is trend up or down start date.
akifusenet
292
akifusenet  

Market Statistics v6_2 is out!

Ok here is the Market_Statistics_v6_2_CPU_intensive as I promised.

It is a very high probability that this will be the last version.

Just a reminder for newcomers. Bigger version number doesnt mean a better version of the indicator. Every version with a new major number has a different logic in it.

-If you want to specify start date and end date use v3.

-If you want MS to start always from a fixed relative point(like setting the start of calculation yesterday@22:00) then use v4_2

-If you want to have a dynamic Market statistics indicator flowing as new data comes up for a fixed amount of length(measured in days) then use v5

Now all of the above versions plots the Market Statistics indicator as starting from a date

(even if it is dynamic in v5 it still starts from a date) and those lines that you are seeing are actually DEVELOPING to the right of the chart.

It is a little bit hard for me to explain but I will try to do my best.

Lets think that you are using v5 and you set it to show you Market statistics of 5 days backwards in a 15 min chart.

So indicator goes back in chart finds the bar (1440*5/15) which represents the start of 5 days back from current bar and then starts to calculate statistics.

The first lines are actually doesnt mean a lot because there is not much of data at their left side.

When indicator comes back to the current bar you see the values of 5 day full market statistics at the rightmost hand side.

BUT..

When a new bar comes up those values at the rightmost hand side are LOST because they are overwritten by the new calculation.

Let me try to give an example.

Pls look at the picture with named msv5_5days.gif.

When you look at this picture VWAP is @1.3458 PVP is @1.3477 around 2010.03.31- 07:00.

Now lets look at the picture named msv6_2.gif. This is a 30 min chart but this chart uses 15 min chart at the background to do its calculation.

In this chart VWAP is @1.3394 PVP is @1.3345 around 2010.03.31- 07:00.

They are different because what we see in v5 is not full 5-day statistics for that specific time.

Pls now look at the picture named msv3_5days.gif

This show Msv3 starting from 2010.03.24-07:00 to 2010.03.31-07:00. In this picture we see the real 5 day statistical values for the specific day 2010.03.31- 07:00.

In this chart VWAP is @1.3394 PVP is @1.3345 around 2010.03.31- 07:00.And they are exactly the same with the MSv6 data.

In this chart MSv6 calculates 5 days of market statistics data for every 30 min bar for 1 week long. I also attach the picture of settings just to make sure with everyone.

Just a quick calculation= 1 week is 10080 minutes which covers 10080/30 = 336 bars in a 30min chart.

So think of it like this=>I was running Market Statistics_v5 since the start of this week and I was recording every value on the rightmost handside for every bar.

Market Statistics 6_2 shows that 336 values.

As you can guess this is a painful job even for the CPU:)

So be careful with this indicator:

When you use MSv6 lets say you set it to use 5 min. data. And you set it to calculate 5 days of data for the last 2 weeks.

There MUST be enough data in your 5 min chart back to 2weeks+5 days.

Dont go too deep in those values it can really put a huge load on your CPU.

Ok enough talk. Pls try and see for yourself.It should be easier than I wrote:)

Lastly, I would like to thank Scrat for his insightful feedbacks and testing along the development period of this indicator.

I am still open to suggestions and ideas.Thank you all,

Akif,