Market Delta by bolter

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Quote from fearless9:

Excellent example MK, do you run charts as well alongside your histo.
Might be interesting to post a chart alongside your footprint or is it possible to have a candlestick overlaid on your histo charts.
If you go back in time, can you see that 16845/50 was going to be a line of hesitation?
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Here is a <a href="http://i14.tinypic.com/3y2jgk2.png" target="_blank">1min chart pointing out the area</a>. I don't use a 1min chart, but just showing it here for illustration. Appears it did slow down a little and hesitate. When I was watching it in real-time it felt like hesitation as I was watching the 5min bars.


At the risk of a flogging, might I suggest that you give serious thought to the flow of volume coming in and out of your tradeable. How much and what side is it on.

Everyone deserves a good flogging now and then, although you are nowhere close to receiving one from me. I appreciate the comments. I had been doing this via the delta bars on my 5min chart. My setup is very similar (identical :) ) to bolter's 5min chart. Did you have something else in mind here?


Now that you are cottoning on to the appreciation of price clusters around s&r you might care to see whether this little puppy wants to run or reverse.

Right, that is what I do with these mini-POC clusters. They become small lines in the sand where I assess conviction. If it breaks...then that is good info and it alerts me quite early on. Likewise, to the downside. In my example 16820 was a mini-POC cluster in the direction of the current move. Very often I see that if it is going to fail, it will often do so in that area, so that becomes a small line in the sand for continuation once I'm seeing that the pullback could be over with.


I would also like to add if I may
"Think big"
Think like a 100+ lot trader as it changes the picture dramatically.
It is all about and only about risk management.

Sorry fearless, you'll have to elaborate how they think for me. I honestly have very little idea... I'm going to imagine they think very differently then I do, but how differently and what, I have no idea. Its a good point you bring up, but if you could elaborate somewhat here please?

Best wishes,
MK
 
Quote from martys:

Hi bolter,

I am half-way reading into your MP thread and it is good. Thanks

I tried a few days ago using the filter (anywhere of < 20-50 contracts) for ES. I plot them with and without filter and I don't think it makes too much difference when compare (they turn at the same time). I also compare the buy volume vs sell volume with and without filter against each other but there seems to be no "new" information given more than just the plan MD without filter. But I now do plot the buy/sell graph separately with filter and just to observe how absolute number of the bigger volumes coming in

One rough idea I am playing with right now is looking for sign of "persistency" in buying pressure and selling pressure for trend following. One way would be using consecutive bars of smaller time frame as cue for trend change in a "good" market.

Regards,
William
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William,

I don't wanna hijack bolter's reply, but if I may suggest something. Try it out making a really really small filter. I dunno, what that would be on the ES, maybe try < 6 lots. Or even <3 so you get the 1s and 2s. You will likely see very BIG differences between those sizes and say the 50+ lots that go through. Market dependent as bolter said around the beginning of this thread, but if it is a big market (which the ES is) it would be normal from my experience to see quite a difference between the two. And when there isn't - that is GOOD INFO!

Kind regards,
MK
 
Quote from MidKnight:

My setup is very similar (identical :) ) to bolter's 5min chart. Did you have something else in mind here?

I would also like to add if I may
"Think big"
Think like a 100+ lot trader as it changes the picture dramatically.
It is all about and only about risk management.

Sorry fearless, you'll have to elaborate how they think for me. I honestly have very little idea... I'm going to imagine they think very differently then I do, but how differently and what, I have no idea. Its a good point you bring up, but if you could elaborate somewhat here please?
Best wishes,
MK
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Ooppss, this is attached to the above.
Must have hit the wrong button out of sheer excitment.

At the risk of another flogging, I have pulled two of your comments from your original post because they relate directly to each other.
Now please bear in mind I know only of trading the ES morning session ... nothing else.
With this in mind, if you were trading the ES with a screen that looked like Bolter`s,
you would be overloaded with information compared to a 100 lot trader.
 
Just a thought for all.
In order to pull the best from your RT/MD setups, it is vital to understand as much as possible about the relationship between vol / price which auto matically brings the underlying cash into play.

Now, subq wrote a very good piece on this some pages ago and Bolter made excellent reference to it and then it disappeared from view.
I would suggest that it is either brought back to life or you each persue it in your own way, although that largely defeats the purpose of ET.
 
Hi fearless,

Yes, those comments brought up about the cash by subq where good, so good they did start the rusty gears in my head to turn. However, some of the markets I trade do not have cash data available through my data provider, or they are not stock indexes. What does one do about that? :confused: So after thinking about it, it didn't make much sense to confuse my methodology through utilizing cash markets in some products I trade and not in others. Know what I mean? I'm not saying it wouldn't be useful, but I would prefer a consistent methodology across products I'm trading.

The delta can infer that information for me with the delta capitulations perhaps. As bolter wrote in response to subq's post there can be several reasons, for example, why delta would be looking very bullish at HOD such as passive sellers capping the high. Just one example.

I like to split the deltas up bigs vs. small. If the bigs are still strong buyers into the current high of the move and they are not puking out the pullback in progress, that is often good for continuation. Not carved in stone of course, and not to be used in a vacuum. Just helps give one a feel of what's going on.

I might be missing your points, if I am, I apologize.

Best regards,
MK
 
martys,
I think if you keep experimenting you will find differences between how the big guys and the little guys trade. MK had some good suggestions.

One rough idea I am playing with right now is looking for sign of "persistency" in buying pressure and selling pressure for trend following. One way would be using consecutive bars of smaller time frame as cue for trend change in a "good" market.
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Good luck. Please post your findings so that we may all benefit from your hard work.

bolter
 
Quote from fearless9:

Just a thought for all.
In order to pull the best from your RT/MD setups, it is vital to understand as much as possible about the relationship between vol / price which auto matically brings the underlying cash into play.

Now, subq wrote a very good piece on this some pages ago and Bolter made excellent reference to it and then it disappeared from view.
I would suggest that it is either brought back to life or you each persue it in your own way, although that largely defeats the purpose of ET.
More...

Completely agree that the whole game is Volume / Price...

I keep track of what the average Volume is for the futures & cash versus every 10 minutes of the day versus the last 20 days... Using Excel a DDE feed and STATS from the last 20 days stored up in a Database...

Trend days happen when you get volume starting off in the morning that is greater than 55% across all sectors and its off to the races...

Chop days are just the opposite...

and
I also like the MD 'Delta' setup for the Large Players >100 versus the small players <40 using the futures Delta the way Bolter described...

cj...

:)

__________________
HAVE STOP <img src=http://www.enflow.com/p.gif> WILL TRADE
 
Nice setup this morning on the Nikkei 225 (SGX). Market gapped down over 150 points but was met with plenty of buying interest. As you can see from the chart below, with the beneift of MD the trade was a no-brainer. The tick based chart does a great job of showing the shape of the market action also.

bolter

4bp1i7m.png
 
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