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Thanks for clarifying:
Well, it’s not exactly the same. What I assume for up bars is a direct move from Open to Low, then to High and finally to Close.
So, in this model, zero efficiency (doji) is represented by a value of 0.5, while max. efficiency (no wicks) by a value of 1.0.
When dividing body size by bar range, zero efficiency is 0.0, while max. efficiency is 1.0.
Both scales appear to be linear, so there’s not much of a difference.
s.
A good trader is a realist who wants to grab a chunk from the body of a trend, leaving top- and bottom-fishing to people on an ego trip. (Dr. Alexander Elder)
@simplex: No. Yes, you’re right. So whenever a down bar has no wicks, I assume that there was no up volume. That’s my main criticism. But if you sum up the up and down volumes of last x bars, you’ll get some good results.
G, following this statement of yours …
Yes, I use up/down ticks, their accumullations and in relation to total ticks. I never used candles in analysis. Candles are snapshots, crude timing intervals that are not related to the total tick flow.
… would you say it makes sense to take my prototype posted here and use it as a blueprint to exploit tick data further?
At the moment, this prototype indi is nothing more than a proof of concept that recent tick data can be stored in a data structure alongside with price data and very basic stats (averaging) can be applied easily. This is done in an economical manner regarding cpu resources, see Anti’s feedback.
If necessary, the structure range of 64 seconds could easily be extended, but you stated earlier that:
Only last 1-2 tick-rate time-window/interval and their direction will determine next bar initial move.
Your above mentioned ‘up/down ticks, their accumullations and in relation to total ticks’ makes me believe that my simple averaging isn’t totally nuts.
s.
A good trader is a realist who wants to grab a chunk from the body of a trend, leaving top- and bottom-fishing to people on an ego trip. (Dr. Alexander Elder)
Ok. But what was your dependent variable? If you performed a ccf you need two variables. Thus, up/down ticks were one of it (the independent variable), and prize change must have been the other. But prize change over how many ticks/pips? If not I wonder how you can say that volume is leading to prize.
Up/Down Ticks vs. Total Ticks vs. Pips.
In general, if you want to analyze some market characteristics you need to analyze extreme conditions.
In FX, the extremes are cases of News/Announcements (high Volume/Ticks) or “disasters” (lack of buyer/sellers = lack of Volume/Ticks).
If you analyze News/Announcements you’ll see that candles/bars are meaningless and misleading. Just watch the last EUR announcement on various TF’s – it kept going up for hours…
G.
G, following this statement of yours …
Yes, I use up/down ticks, their accumullations and in relation to total ticks. I never used candles in analysis. Candles are snapshots, crude timing intervals that are not related to the total tick flow.
… would you say it makes sense to take my prototype posted here and use it as a blueprint to exploit tick data further? At the moment, this prototype indi is nothing more than a proof of concept that recent tick data can be stored in a data structure alongside with price data and very basic stats (averaging) can be applied easily. This is done in an economical manner regarding cpu resources, see Anti’s feedback. If necessary, the structure range of 64 seconds could easily be extended, but you stated earlier that:
Only last 1-2 tick-rate time-window/interval and their direction will determine next bar initial move.
Your above mentioned ‘up/down ticks, their accumullations and in relation to total ticks’ makes me believe that my simple averaging isn’t totally nuts. s.
Your prototype is a good platform/prototype to extend based on it. It CERTAINLY isn’t “totally nuts”…. ;-}
Although I dont quite fully understand why bars appear/disappear, but I didn’t had time to review the source.
Good job !!
G.
In general, if you want to analyze some market characteristics you need to analyze extreme conditions.
But we also want to trade without such extreme conditions. Wouldn’t it make more sense to draw conclusions from “normal” conditions and than proof if they are true also for extremes?! Otherwise your conclusions regarding the impact of volume could be wrong. Well, will take both into consideration … Thank you.
In general, if you want to analyze some market characteristics you need to analyze extreme conditions.
But we also want to trade without such extreme conditions. Wouldn’t it make more sense to draw conclusions from “normal” conditions and than proof if they are true also for extremes?! Otherwise your conclusions regarding the impact of volume could be wrong. Well, will take both into consideration … Thank you.
Conclude on “normal” then confirm on “extereme”? Ok…
If above conclusion is wrong then conclude on “extreme”? Ok…
But why not start with extreme? isn’t it shorter way?
“normal” is mostly in balance.
You yourself stated somewhere that you want to see the disruption of balance (or someting like that…) – so what a better place than analyze “extremes”?
G.
It’s a methodical question. I could also start with extremes, but I don’t think that it’s shorter due to preparation of data (extracting data from whole data set, deleting other data than extremes).
Wouldn’t it mean that almost all time prize don’t change if prize is almost in balance …
My idea of balance is this. For some time we have more buyers than sellers. After some time the buyers become weak (less up volume) and thus sellers become stronger in relation to total volume. At a particular time there’s more down than up volume. This is my idea of the disruption of balance (cf. image – M30 EURUSD from today’s morning).
You can look at the Tick_Volume indicator, when it’s Above/Below “0” if it indicate correct trend. Also look at its extreme peaks/Troughs whether they are indicative of trend change.
You can also look at ForexGT_VolumeOsc when it breaks the “normal” 40 lines – whether its indicative of peaks/troughs.
G.
G:
Although I dont quite fully understand why bars appear/disappear, but I didn’t had time to review the source.
Bars disappear because I’m currently watching a rolling time window of 64 seconds, sampled 1 bar per second. When a certain bar has passed this window from right to left, it will disappear.
As I stated: this window could easily be extended if a larger sample makes sense. Would cost some additional cpu and memory resources and lead to longer execution times and thus possibly missed ticks.
Also sample rate could be decreased by modifying the event timer.
At the moment I’m experimenting to break it down to points of price movement per tick. Maybe this could also give some insights.
s.
A good trader is a realist who wants to grab a chunk from the body of a trend, leaving top- and bottom-fishing to people on an ego trip. (Dr. Alexander Elder)
Have you published your ForexGT-VolumeOsc? However, if we will just focus on tick charts I’m out as I think my mql4 skills a too bad.
Have you published your ForexGT-VolumeOsc? However, if we will just focus on tick charts I’m out as I think my mql4 skills a too bad.
No, I haven’t published ForexGT_VolumeOsc. You can see it in various of my latest posts. It’s not based on Tick chart.
It will be published to add PinPoint entry to the Peak & Trough function and the Trend function, once this community contribute it.
G.
In my intrabar volume indicator, a new unit ‘points per tick’ is introduced, see bottom indicator in pic attached.
Also extending the time window is possible now by input parameter. The pic shows an example of 5 minutes history at 1 sample per second.
Sample rate can be reduced now, default is still 1 bar per second.
Indicator will be published later this evening after code cleanup – stay tuned.
Re. CPU resources: those 3 instances running at 300 history bars ( = seconds) visually don’t increase resource consumption on my XEON machine.
s.
A good trader is a realist who wants to grab a chunk from the body of a trend, leaving top- and bottom-fishing to people on an ego trip. (Dr. Alexander Elder)
Have you published your ForexGT-VolumeOsc? However, if we will just focus on tick charts I’m out as I think my mql4 skills a too bad.
No, I haven’t published ForexGT_VolumeOsc. You can see it in various of my latest posts. It’s not based on Tick chart. It will be published to add PinPoint entry to the Peak & Trough function and the Trend function, once this community contribute it. G.
You can also see similiar behaviour on the ForexGT_VMA (posted here) sometimes when indicator change its direction when price is still within the range of previous bar.
G.
However, if we will just focus on tick charts I’m out as I think my mql4 skills a too bad.
Hope you’ll stay tuned! You don’t have to be an experienced coder to contribute valuable conceptional thoughts. And maybe your R skills and my mql skills could be an interesting combination. I’m still thinking about that possible volume vs. price movement correlation. Analyzed in R and coded in mql this could be pretty powerful.
And maybe we could extend your mql skills and my (nonexistent) R skills that way.
s.
A good trader is a realist who wants to grab a chunk from the body of a trend, leaving top- and bottom-fishing to people on an ego trip. (Dr. Alexander Elder)
@simplex: Yes, I will stay tuned. Will perform some further statistical experiments tomorrow.
Ok, here some results.
To determine if (tick) volume of current candles have any predictive power, I first estimated up and down tick volume using my formula discussed above. For each M1 candle of 100001 EURUSD bars I calculated then the volume difference = up volume – down volume for each candle. Then the idea was to search for highest correlations between this volume difference of current candle on one hand, and the prize range (calculated as prize change = close – open) for one of the subsequent or preceding candles. This is exactly, what the cross correlation function does. The first attachment below shows exactly this cross correlation.
The highest correlation can naturally be seen for a time lag of 0. The second highest correlation we obtain for a time shift of +1. Althought it is significant from 0, the correlation between voldiff and close-open is not very high (r ~ -0.024). Additionally, this correlation is no longer positive. It can be interpret that in most cases we obtain a big volume difference (either much more up than down or more down than up volume), we can expect a move of next candle in opposite direction.
Therefor, I’m absolutely not sure if volume is really leading prize. It think it is correlated with prize of current candle and nothing more. This conclusion can also be drawn from the regression of lag = 0 (where we assume that volume is independent and prize change depends on it) which is attached as second image. But this doesn’t mean that we can’t use volume for trading. Maybe it may give good signals during extreme market situations as @gg53 mentioned. Perhaps it can be misleading to apply findings under such market situations on normal market situations. Nevertheless, that regression analysis revealed that the association between range and volume is highly significant p < 2e-16 and that about 78.4 % of the variance of the range (close – open) can be explained by current candle’s volume (R^2 = 0.7844).
That’s the conclusions from the 1 bar analysis. A rather interesting result was obtained when looking on the ccf of volume difference of current candle and the range change over the next 5 bars (close-open = range5). It’s shown as third attachment. Here we see that range5 is negatively correlated to volume difference of bar i. And this is not only true for lag = 1 but also for lag = 2 and lag = 3. The conclusion from this finding is that volume can be leading. I would expect that especially under high volume differences we can expect a move to the opposite direction over the next 7 bars.
The next step of analysis should be to evaluate when a volume difference is high enough to trust the move to opposite direction. Any questions, suggestions, comments? Don’t hesitate …
Indicator will be published later this evening after code cleanup – stay tuned.
Sorry guys, didn’t make it yesterday! Found a bug late in the evening. This indicator requires ticks coming in to work, so debugging will be done on Monday.
I’ll post my code after debugging.
s.
A good trader is a realist who wants to grab a chunk from the body of a trend, leaving top- and bottom-fishing to people on an ego trip. (Dr. Alexander Elder)
No matter @simplex …
@gg53: Was that the results you found, too? A negative correlation between net volume (up – down volume) and future prize range …
But this doesn’t mean that we can’t use volume for trading. Maybe it may give good signals during extreme market situations as @gg53 mentioned. Perhaps it can be misleading to apply findings under such market situations on normal market situations. Nevertheless, that regression analysis revealed that the association between range and volume is highly significant p < 2e-16 and that about 78.4 % of the variance of the range (close – open) can be explained by current candle’s volume (R^2 = 0.7844). That’s the conclusions from the 1 bar analysis. A rather interesting result was obtained when looking on the ccf of volume difference of current candle and the range change over the next 5 bars (close-open = range5). It’s shown as third attachment. Here we see that range5 is negatively correlated to volume difference of bar i. And this is not only true for lag = 1 but also for lag = 2 and lag = 3. The conclusion from this finding is that volume can be leading. I would expect that especially under high volume differences we can expect a move to the opposite direction over the next 7 bars. The next step of analysis should be to evaluate when a volume difference is high enough to trust the move to opposite direction. Any questions, suggestions, comments? Don’t hesitate …
Exactly.
Consider Market-Movers actions. They are not synchronized all at the same time, but roughly have the same trading “ideas” and entry areas.
Furthermore, even a single Market-Mover is not entering “all-in”… it spread lots in small steps of Buy/Sell Stops and/or Limits.
Those movements can be spotted in Volume analysis (a better word for it is “Activity”).
The Elephants start being active and moving (either to Drink or to Pee…), and that’s what we want to follow in trading.
G.
To FULLY test your results – use it with MT4 brokers that provide assets like indexes – such as DAX where the Volume is “true” Volume. G.
Hello G, I do not understand why the DAX volume would be any different to say the EURUSD, is it because the DAX volume is not based on tick data ?
Regards
pip
skype : pipatronic
Well, but it was not what I expected. 1. I haven’t expected that there is such a relationship. 2. If I would have expected it, I’ve thought it would be a positive correlation: up volume entering the market -> market rises. down volume entering market -> market falls.
@gg53: My conclusion is a bit different. The explation seems to be that market makers spread their money while entering market but went all out of the market at the same time! Otherwise we wouldn’t se a negative correlation. But it doesn’t matter as the close of all positions of a money maker may indicate a soon start of a new action.
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