Spydertrader's Jack Hershey Equities Trading Journal III

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Quote from cnms2:

The difference is that the intraday per-bar prv (as calculated by QT and other providers) is linear, while the prv calculated for the FRV is based on Jack's estimate of the non-linear intraday activity.

Guys, don't jump to conclusions ...:)
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He's right about this.

If you're going to use something similar, you need to find the nonlinear data he's talking about.

It goes something like:

11% of avg volume in first 1/2 hr
25% by 1 hr
I forget what it is after that. And don't quote those numbers either.. :D
 
Ok, found the numbers.

What CNMS was talking about non-linear wise, is that volume slows down during the mid day - and is higher paced in the morning and late.

The %age distribution throughout the day go like this.

10:00 - 11%
10:30 - 25%
11:15 - 33%
12:15 - 50%
13:15 - 60%
14:15 - 70%
15:15 - 90%

So your calcs need to take this into account, otherwise, if you assume linear volume distribution, you'll get many false signals from some wrong assumptions.
 
Haroki,
Where did you find those numbers? Somewhat different from Jack's PRV table...

I think using a weighting system based on half-hour intervals, the opening estimates of PRV would still be too high - though that should be fairly easy to judge, and comparisons between stocks should be valid.
 
Quote from palinuro:

Haroki,
Where did you find those numbers? Somewhat different from Jack's PRV table...

I think using a weighting system based on half-hour intervals, the opening estimates of PRV would still be too high - though that should be fairly easy to judge, and comparisons between stocks should be valid.
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As posted by WGT this is the original calculation by Mister Hershey
 

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There is a difference between the linear PRV (as used in futures trading on a 5-minute fractal) and the non-linear PRV used in a daily chart. When I speak of PRV, I refer to both. I believe that Jack Hershey's table is a good representation of the actual distribution of volume throughout the trading day. I analyzed one year's worth of NQ data on a hourly basis to see the distribution of volume through the trading day and for the different days of the week. With regard to the daily distribution of volume, I came up with a curve very similar to Jack's. With all that said, usually by 11:00 AM EST, you have a good idea of what the day's volume will be for a particular equity. Take a look of some of my postings ~11:00 and see the PRV for a particular stock and compare it to the EOD volume. It is usually quite close.
 
Quote from mark1:

As posted by WGT this is the original calculation by Mister Hershey
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Oops, I "believe" I got that somewhere in one of the journal threads.

Yours looks better. I'd use that. I'll have to change mine.
 
Yeah, kinda like DRYS. Love to see a pullback one of these days.

JRJC 39.40

Thx for the correction to my volume distribution chart....
 
Quote from Haroki:

Yeah, kinda like DRYS. Love to see a pullback one of these days.

JRJC 39.40

Thx for the correction to my volume distribution chart....
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No prob.
I entered JRJC at 39,42 and sold at 40.89 for a quick 3.5 % scalp. It came to my attention thanks to one of the screens "stolen" :p from WGT

Thanks WGT !!!!
 
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