Market Statistics (Volume Histogram, VWAP with SD bands) - page 22

bomberone1
10
bomberone1  

I'd like try these indicator on strategy trader,

is there someone able to code them for strategy trader?

Tools and utilities - Strategy Trader - Forex-TSD

florinv75
232
florinv75  

long time no see

i found another good indicator about market profiles, maybe some ideas for future developments.

also, something that has been on my mind for quite some time - might be a good idea to plot the lowest activity area as it is a very important s/r level and useful for trading decisions

zbojnik
51
zbojnik  

I have only been using the market statistics indicator for about a week and the Daily PVP is a good S/R. I use the PVP with a Pivot point convergence for a stronger S/r. Can someone with experience give us some more ideas how to use this to trade?

Jeanyves Torres
302
Jeanyves Torres  

Tick volumes make high correlation with real volumes

akift:
Originally Posted by OOM View Post

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).

Hi all

I just went from the thread "Optimized trend trading". How can you certify the following affirmation

"tick volumes make high correlation with real volumes" ?

I think there is a correlation, but not so obvious at first glance.

How can you mesure this ? W/ which formula or tool ?

john

Laurus12
55
Laurus12  
jaguar1637:
Hi all

I just went from the thread "Optimized trend trading". How can you certify the following affirmation

"tick volumes make high correlation with real volumes" ?

I think there is a correlation, but not so obvious at first glance.

How can you mesure this ? W/ which formula or tool ?

john

Hello John,

We can base the correlation on that volume is perceived as activity and not acctual trade volume. Meaning if the specialists/insiders took one or a few large positions the price would walk away from them which would not be in their best interest. Therefore one can say that, lets say, 85 percent of market activity is made by the specialist being very active by opening a lot of small positions in a predefined range where they are both selling and buying to keep it within this range, but off course more on the side where it will be profittable in the longer run. This is how it has always been done. For example, there are institutions that are opening more than 10,000 small positions a day with computers to meet their goals. So for this reason we perceive volume as activity and not trade volume, even if it is acctual trade volume on the exchanges. But to get the best result on FX one would need eSignal GTIS or ICAP EBS, which is sadly not compatible with MT4.

Hope this was understandable. If something is unclear just ask.

Laurus

MadCow
66
MadCow  

Tcik Volume and Trade volume

jaguar1637:
Hi all

I just went from the thread "Optimized trend trading". How can you certify the following affirmation

"tick volumes make high correlation with real volumes" ?

I think there is a correlation, but not so obvious at first glance.

How can you mesure this ? W/ which formula or tool ?

john

Hi John. Too bad the thread's dead.

It turns out that Marney at http://www.marneycapital.com has gone to a lot of trouble to collect data and measure the correlation of tick volume and trade volume. He uses two methods and both give correlation > 0.9. An interesting site.

On another subject I have a problem with the idea that the histogram that determines both VWAP and PVP starts at a fixed time. Seems to me that the time should slide, so that the histogram always holds the same number of samples. As time goes on with a fixed starting time, the histogram will eventually change very slowly so that PVP and VWAP will not change much, or at least change very slowly wrt price. A sliding-window is pretty easily done for VWAP and the SD's, but what about PVP? Maybe one could use a sliding-window estimate of the third moment (skew) instead of PVP?

bomberone1
10
bomberone1  

ANy upgrades?

Jeanyves Torres
302
Jeanyves Torres  

Interesting

MadCow:

On another subject I have a problem with the idea that the histogram that determines both VWAP and PVP starts at a fixed time. Seems to me that the time should slide, so that the histogram always holds the same number of samples. As time goes on with a fixed starting time, the histogram will eventually change very slowly so that PVP and VWAP will not change much, or at least change very slowly wrt price. A sliding-window is pretty easily done for VWAP and the SD's, but what about PVP?

Maybe one could use a sliding-window estimate of the third moment (skew) instead of PVP?

The skewness is more important thatn PVP.

Can you add something about from which values would you like to calculate the skewness ?

If you bring me the right inputs, I could help you

PS: about the thread, yep, it's dead. All people are moving to serious place

Ask johnLast about where to go now

danjuma
5
danjuma  

Hello,

I suppose this thread is no longer that active and the OP probably does not post on this thread anymore, but it's worth a try.

Does anyboby know whether:

1. This code can be used with stocks?

2. The maximum chart period it can be used on, as the lowest my chart with IB can go is 15sec?

Many thanks

Dan

Jeanyves Torres
302
Jeanyves Torres  

Hi

danjuma:
Hello,

I suppose this thread is no longer that active and the OP probably does not post on this thread anymore, but it's worth a try.

Does anyboby know whether:

1. This code can be used with stocks?

2. The maximum chart period it can be used on, as the lowest my chart with IB can go is 15sec?

Many thanks

Dan

=> Which code areyou talking about ?