3:00 a.m. fade works great.
ES Journal Archive (2006 - 2008)
- Thread starter Buy1Sell2
- Start date
- Status
3:00 a.m. fade works great.
Well, I cannot estimate (at least not with confidence) the magnitude of a retrace. I don't have that talent.
What I can do, is to use MP to estimate daily range given certain circumstances. That I can do, with confidence and with accuracy.
I look for at the following "types" of open
1.) Open within the previous day's value area
2.) Open outside the previous day's value, but within previous
range.
3.) Open outside previous day's range
Also I look to see if the market "accepts" or "rejects" the open
By acceptance, I mean the market auctions for at least one hour within previous day's value area or range.
If I see that price is accepted and one "end" of a range will hold, I can superimpose the length of the previous day's range from that extreme. This consistently approximates (within 10%) the next days range.
I don't know if this helps unless you follow MP. Sorry I can't be of more help.
Steve
This is a chart using 15 min candles.
What I have done is to notate how much volume occurred at each bar. For "Up" candles the number of contracts is notated at the top of the candle. For "Down" candles, the volume is notated near the bottom. These figures are rounded up and down.
Compare that with these figures showing the average volume over the previous 90 days as follows
6:00 - 6:30 89,300
6:30 - 6:45 65,400
6:45 - 7:00 83,000
7:00 - 7:15 56,000
7:15 - 7:30 53,000
7:30 - 7:45 53,300
7:45 - 8:00 51,400
8:00 - 8:15 38,700
8:15 - 8:30 36,600
8:30 - 8:45 37,400
8:45 - 9:00 36,100
9:00 - 9:15 35,800
9:15 - 9:30 32,400
9:30 - 9:45 28,600
9:45 - 10:00 22,800
10:00-10:15 26,400
10:15-10:30 25,000
10:30-10:45 33,800
10:45-11:00 27,100
11:00-11:15 37,800
11:15-11:30 40,100
11:30-11:45 38,500
11:45-12:00 32,300
12:00-12:15 35,500
12:15-12:30 34,800
12:30-12:45 37,500
12:45-01:00 60,000
01:00-01:15 62,500
Credit for this idea (researching average ES contract volume) goes to Dr. Brett Steenbarger, who published the original data for a similar lookback period in his blog. I thank Dr. Steenbarger for publishing his research and his many other contributions to trader education.
The way I have used this data, is to look at how actual volume compares to historic. I look at the size of each bar and how effectively price is moved up or down on specific volume. I take particular note of tails (up or down) as well as wide range bars. Take a look. I am glad to answer any questions as best I can.
What I have done is to notate how much volume occurred at each bar. For "Up" candles the number of contracts is notated at the top of the candle. For "Down" candles, the volume is notated near the bottom. These figures are rounded up and down.
Compare that with these figures showing the average volume over the previous 90 days as follows
6:00 - 6:30 89,300
6:30 - 6:45 65,400
6:45 - 7:00 83,000
7:00 - 7:15 56,000
7:15 - 7:30 53,000
7:30 - 7:45 53,300
7:45 - 8:00 51,400
8:00 - 8:15 38,700
8:15 - 8:30 36,600
8:30 - 8:45 37,400
8:45 - 9:00 36,100
9:00 - 9:15 35,800
9:15 - 9:30 32,400
9:30 - 9:45 28,600
9:45 - 10:00 22,800
10:00-10:15 26,400
10:15-10:30 25,000
10:30-10:45 33,800
10:45-11:00 27,100
11:00-11:15 37,800
11:15-11:30 40,100
11:30-11:45 38,500
11:45-12:00 32,300
12:00-12:15 35,500
12:15-12:30 34,800
12:30-12:45 37,500
12:45-01:00 60,000
01:00-01:15 62,500
Credit for this idea (researching average ES contract volume) goes to Dr. Brett Steenbarger, who published the original data for a similar lookback period in his blog. I thank Dr. Steenbarger for publishing his research and his many other contributions to trader education.
The way I have used this data, is to look at how actual volume compares to historic. I look at the size of each bar and how effectively price is moved up or down on specific volume. I take particular note of tails (up or down) as well as wide range bars. Take a look. I am glad to answer any questions as best I can.
Dr. Steenbarger used 15 min bars in his research and I liked that because I could easily adapt it to other time frames.
No connection to institutional use that I know of.
Another good reference for you would be "Volume Spread Analysis" and Richard Wyckoff (Try Googling these words).
and now I am going to get some sleep
Good luck
Steve
Although that is a totally different perspective compared to what I understand and use I did find it interesting, so far failed to understand how I could implement it, but I will have a look tonight at some charts.
The way I sometimes view volume intraday (mainly I would look at volume on daily charts) is looking at value traded within a longer frame, not 15 minutes, but say 60 minutes +, I would be mainly interested at seeing failure breaks (either high or low). If there is a failure break that happens in less than 60 minutes than I would like to see it happening with more than average volume for that time period and time of day. I must admit I have not yet started using intraday volume analyses, but after reading certain posts like yours I am more inclined to start doing so. Thanks for the info again.
I guess it is time for me to repeat this for the record
how you profit from a concept or idea depends in part on YOUR skill levels, your ability to put ideas together to develop an idea, and your experience. Some folks may not be able to profit from these ideas. I'll elaborate later, because it is a important point.
and your question "how do I use it profitably" is a fair one.
First, I would say that there are a number of ways that a SKILLED trader could use volume to profit.
One way for example, is to compare historic volume to current volume on a chart using 5 minute bars or candles. I do this often and what I notice is that when price is approaching or gettting ready to test support or resistance, current volume often drops below historic levels, then ramps up quickly. This reminds me of a high jumper running up to the bar, trying to get enough mometum to jump over. What I see is volume drop below historic levels, then ramp up quickly to or above historic levels as price takes out support or resistance usually on a wide range bar. After you see it enough times, you start to put 2 and 2 together and you can anticipate the move enough so that you have time to get position on.
Although I haven't elaborated on this I also monitor volume on the sub minute level for a scalping program that I autotrade. Again I am looking for a characteristic change in volume signalling my program to go long or short based on that change and some simple filters.
On longer time frames (60 minutes to several hours or days) one can see volume change as size comes into the market to correct imbalances. Again if you are a skilled observer, it is possible to develop rules that allow you to anticipate movement as price auctions up or down. Its a subject that I could talk about in great detail, but I would suggest instead that you read Dalton's book Mind Over Markets...because well you can get the info at your own speed that way...
I hope this makes it a little bit clearer.
Steve
how you profit from a concept or idea depends in part on YOUR skill levels, your ability to put ideas together to develop an idea, and your experience. Some folks may not be able to profit from these ideas. I'll elaborate later, because it is a important point.
and your question "how do I use it profitably" is a fair one.
First, I would say that there are a number of ways that a SKILLED trader could use volume to profit.
One way for example, is to compare historic volume to current volume on a chart using 5 minute bars or candles. I do this often and what I notice is that when price is approaching or gettting ready to test support or resistance, current volume often drops below historic levels, then ramps up quickly. This reminds me of a high jumper running up to the bar, trying to get enough mometum to jump over. What I see is volume drop below historic levels, then ramp up quickly to or above historic levels as price takes out support or resistance usually on a wide range bar. After you see it enough times, you start to put 2 and 2 together and you can anticipate the move enough so that you have time to get position on.
Although I haven't elaborated on this I also monitor volume on the sub minute level for a scalping program that I autotrade. Again I am looking for a characteristic change in volume signalling my program to go long or short based on that change and some simple filters.
On longer time frames (60 minutes to several hours or days) one can see volume change as size comes into the market to correct imbalances. Again if you are a skilled observer, it is possible to develop rules that allow you to anticipate movement as price auctions up or down. Its a subject that I could talk about in great detail, but I would suggest instead that you read Dalton's book Mind Over Markets...because well you can get the info at your own speed that way...
I hope this makes it a little bit clearer.
Steve
Arguably, volume early in the day helps determine whether the day will be choppy and trendless, or whether there is active participation and, hence, increased odds that equities are being repriced (i.e. a runner day).
Lower than average volume early suggests near-term (for that day) chop. Look to sell resistance and buy support.
Higher than average volume suggests trend. Look to buy breakouts.
Of course, volume is a small piece of a big puzzle.
the best setup is when a trend on a intermediate term cycle shows signs of failure but doesnt fail.
- Status