Market Delta by bolter

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Here's an idea that maybe of use. One of the systems I'm working on uses a MACD, one of the more useful technical indicators IMHO. However, it has certain characteristics that detract from it's usefulness. 1) It's momentum divergences are often suspect. 2) A short term burst in price skews it's values.

So I got to thinking that perhaps I can construct a pseduo-MACD from delta (as opposed to price) to address the aforementioned issues and to provide a mechanism for confirming the MACD and it's signals.

Here's what I came up with. The first indicator is a traditional MACD (12,26,9,exp). The second is the pseudo-MACD constructed from delta (using the VB). This is from yesterdays ER2 action.

2r4n9mw.png
 
You'll notice that it has very similar shape to the MACD, but it does have a little more noise. However, it does tend to produce signals alot earlier. You can see from this chart that the MACD produced two false divergences, however the pseduo-MACD got it exactly right. In fact the divergence combined with the cross-over just after 00:15 absolutely nailed the high of the day. The subsequent zero-line cross was 8 bars ealier on the pseudo-MACD.

I don't propose to replace the MACD with it, but rather use it as an adjunct. Having the same indicator (sort of) constructed from price and from delta provides a very useful form of confirmation, or lack thereof.

Note: Chad added the ability to generate indicators from the VB in the current release. I'm going to look more closely at this feature. I have not used that technique in ths case. If want me to post my settings I can do so.

later,
bolter
 
Of course the astute among you have already thought "wait a minute I can construct a pseudo-MACD for just the big lot traders because they are the smart money".

Well yes you can, and no they ain't. Certainly in the case of the ER2, you would be well served by using a pseudo-MACD for trades < 10 lots. Here's an example from yesterday. You'll notice they were net sellers well before the selloff got underway. So how does the big lot pseudo-MACD look? - well you better do you your homework.

4doc9l2.png
 
Here's the same thing for the DAX. It's quite choppy, but it does lead the conventional MACD. IB feed may be a factor in chop, but I'm more inclined to think its just the nature of the DAX.
 

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This thread seems to have run its' course.

Thanks to all for your participation and interest. I hope it was of some benefit.

Moderators - please close this thread down. And thanks for keeping the lunatics at bay.

bolter ..... out!
 
Quote from bolter:

You'll notice that it has very similar shape to the MACD, but it does have a little more noise. However, it does tend to produce signals alot earlier. You can see from this chart that the MACD produced two false divergences, however the pseduo-MACD got it exactly right. In fact the divergence combined with the cross-over just after 00:15 absolutely nailed the high of the day. The subsequent zero-line cross was 8 bars ealier on the pseudo-MACD.

I don't propose to replace the MACD with it, but rather use it as an adjunct. Having the same indicator (sort of) constructed from price and from delta provides a very useful form of about confirmation, or lack thereof.

Note: Chad added the ability to generate indicators from the VB in the current release. I'm going to look more closely at this feature. I have not used that technique in ths case. If want me to post my settings I can do so.

later,
bolter
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Yes yes Bolter
I would love to learn more about your settings.
AND I would appreciate more details
about how to use MD since I am a
complete newbie to MD. Have been
thinking about it since I first saw it
here 2 days ago - don't even know
what it contains.
Is it just an addition of the bid- and ask
trades or what else or what else does
it include?
Would save me hours/days of reading in various threads + homepages.
Which software(s) make(s) it available in this way etc. etc.

Thanks to you
and others who care to answer and help (dcraig - 5Pillars etc.)

Charly
 
Quote from bolter:

This thread seems to have run its' course.

Thanks to all for your participation and interest. I hope it was of some benefit.

Moderators - please close this thread down. And thanks for keeping the lunatics at bay.

bolter ..... out!
More...

Thanks Bolter.
 
Quote from dcraig:

Here's the same thing for the DAX. It's quite choppy, but it does lead the conventional MACD. IB feed may be a factor in chop, but I'm more inclined to think its just the nature of the DAX.
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Thanks you dcraig,

lokks very interesting although your
chart stioll looks like a daily to me.

May I have a look at a real 1 or 2 m.-chart
to get a better feeling for it since I only
trade intraday very short term.

Furthermore how do these 2 indicators * MD + MACD * compare to :
EhlersFIR and the TrueStrenghIndex
and the Orderbook Delta???

Since you use your own software I
wonder which software contains all these items?

Charly
 
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