Spydertrader's Jack Hershey Futures Trading Journal
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I have a question concerning volume and the recent increase in volatility. We've had a good percentage of days the past several weeks in which the VDU and DU states were never seen. In fact, on my own charts, the volume rays have often become so compressed that they are virtually indistinguishable (poor eyesight doesn't help matters). Has anyone made any adjustments to Mak'sVolume/Volatility matrix? To ask in a different manner, is there any way to extrapolate new volume rays to account for the increased volatility? For example, doubling our normal vol levels. Common sense probably dictates a more 'on the fly/seat of the pants/visual calibration' type approach, but have wanted to ask nonetheless.
You don't. This isn't a 'tic by tic' problem. If you want to make it a 'tic by tic' problem, then I encourage you to learn to differentiate change on the tic level. However, I do not feel such an exercise is necessary in order to understand when you 'know you know.'
I've provided the answer for determining when you 'know you know' you can take a trade.
Volume begins at zero for each and every bar.
At some point within the five minute bar, you know you cannot have change because, based on current PRV, actual volume will go beyond the previous volume bar.
At some point within the five minute bar, you know you cannot have continuation because, based on current PRV, actual volume will not go beyond the previous volume bar.
At some point within the five minute bar, you know you cannot have anything but a flaw because, based on current PRV, actual volume will not go beyond the 40% level.
"At some point" means it has become a near mathematical impossibility for Volume to do what needs to be done to invalidate the current hypothesis.
You should see this phenomenon unfold within 30 seconds to 1 minute all the way up to the end of the five minute bar. Some bars will require more time (perhaps just before the close of the bar) to reach the "at some point" moment. Other bars require much less time (very early in the bar). Since mathematics dictates when this "At some point" occurs, it differs for each and every bar.
You (and the six others) appear to be saying Volume jumps back and forth between less than and greater than the previous bar - back and forth, back and forth several times within each bar, every bar.
You (and the six others) appear to be saying Volume jumps back and forth between less than and greater than the 40% level - back and forth, back and forth several times per bar, every bar.
This is not my experience -ever.
I encourage you to create a video of these Volume bars performing the behavior outlined above, so that I might ascertain whether we are discussing two different topics, or something is incorrect with your PRV calculations.
- Spydertrader
For the month of August, VDU stood at 7200 contracts.
- Spydertrader
The following post from mak over a year ago gives some additional insight into prv.
-Mike
makosgu
Registered: Aug 2004
Posts: 1164
04-10-06 12:48 PM
Some comments as some of you get calibrated to the PRV bars. After a short period of time, you will recognize the behavior of the bars. You will begin to notice how at the beginning of each bar, there is a PRV burst and then wind down to some stable level and then wind up to the close of the bar. This is due to the indicator folks. 5M bars are fairly popular and indicator folks get their signals at the end of each bar. They act at the beginning of new bars based on the data their indicators gather from the end end (ie. close) of the previous bars. Some folks jump on the near close of bars thinking they are outsmarting those will be acting on the data that is gathered from the close of the bar. An alternative would be just to offset the fractal by half, (ie. offset each 5M PRV calc by 2.5 mins). It does not particularly bother me so I don't bother. It's just a comment in case people were wondering why the behavior of the PRV bars are as such...
Regards,
MAK
-Mike
makosgu
Registered: Aug 2004
Posts: 1164
04-10-06 12:48 PM
Some comments as some of you get calibrated to the PRV bars. After a short period of time, you will recognize the behavior of the bars. You will begin to notice how at the beginning of each bar, there is a PRV burst and then wind down to some stable level and then wind up to the close of the bar. This is due to the indicator folks. 5M bars are fairly popular and indicator folks get their signals at the end of each bar. They act at the beginning of new bars based on the data their indicators gather from the end end (ie. close) of the previous bars. Some folks jump on the near close of bars thinking they are outsmarting those will be acting on the data that is gathered from the close of the bar. An alternative would be just to offset the fractal by half, (ie. offset each 5M PRV calc by 2.5 mins). It does not particularly bother me so I don't bother. It's just a comment in case people were wondering why the behavior of the PRV bars are as such...
Regards,
MAK
Let's say I accept what you just wrote here. What do I do with it? Is this ONLY for bar to bar continuation/change assessment, or is this for determining FTT/flaw?
Your mentioning the "40%" level implies I'm supposed to be using this for flaw ident. But then how do I deal with the rougly 30% of FTT's which occurr on less than 60% of the volume of the prior bar. I ran stat's on this, yes, it's that high.
Where you say "know" above, do you really mean ironclad 100% of the time? or do you mean like 97% of the time. The latter I can accept, the former is easily disproven.
Also, above you state it's not a tick by tick issue. Then what is it? End of bar is differnent. I understand intrabar to be tick by tick. If not, what is it?
I thought it best to really make clear what I don't comprehend. You stated...
*******
At some point within the five minute bar, you know you cannot have change because, based on current PRV, actual volume will go beyond the previous volume bar.
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This is just patently false. It's so obvious it's false that I'm at a loss how one couldn't see it as such. You're saying, based on PRV (which means sometime after 30 seconds and before 4 min 59secs) that you will absolutely, without doubt, 100% KNOW that more volume will come into the market?
What if the bar is forming at a normal rate of trade and then it suddenly drops off, like a hitch beginning to form near the end of the bar? I am beating this thing to death because you have so often stated so emphatically that no prediction is involved. But this IS prediction. Can't anyone else see this?
This is very important to get straight, because the path to setting ones mindset is very very different between 100% sure and most likely to (which goes right back to probablity mentality).
*******
At some point within the five minute bar, you know you cannot have change because, based on current PRV, actual volume will go beyond the previous volume bar.
********
This is just patently false. It's so obvious it's false that I'm at a loss how one couldn't see it as such. You're saying, based on PRV (which means sometime after 30 seconds and before 4 min 59secs) that you will absolutely, without doubt, 100% KNOW that more volume will come into the market?
What if the bar is forming at a normal rate of trade and then it suddenly drops off, like a hitch beginning to form near the end of the bar? I am beating this thing to death because you have so often stated so emphatically that no prediction is involved. But this IS prediction. Can't anyone else see this?
This is very important to get straight, because the path to setting ones mindset is very very different between 100% sure and most likely to (which goes right back to probablity mentality).
That is exactly what I am saying. Please take a moment to breathe.
Perhaps, (if it helps) you could point to one single 5 minute ES bar which did not have volume in it between the hours of 9:30 AM and 4:00 PM Eastern Time on a day when the market was open for trading those entire hours.
If it helps more, you could even break down each five minute bars into smaller bits, but I doubt you'll find any bar which is void of volume until you get to the one second level. And then, only during periods of VDU or DU.
I'm sorry you decided what I have posted is patently false. Unfortunately, it isn't. Oh ya', it isn't prediction either.
- Spydertrader
Let's draw out these scenarios for easier discussion:
1. The PRV holds steady -- You will see the volume bar rises through time, until it meets the high of PRV at the end of the 5 minutes.
2. The PRV rises -- The PRV starts out modestly at the beginning of the 5 minutes, and steadily increases as time passes.
3. The PRV declines -- The PRV starts out with a bang, but declines as the time passes, and ended with low volume at the end of the 5 minutes bar.
4. The PRV was eratic.
1. The PRV holds steady -- You will see the volume bar rises through time, until it meets the high of PRV at the end of the 5 minutes.
2. The PRV rises -- The PRV starts out modestly at the beginning of the 5 minutes, and steadily increases as time passes.
3. The PRV declines -- The PRV starts out with a bang, but declines as the time passes, and ended with low volume at the end of the 5 minutes bar.
4. The PRV was eratic.
I see now why you experience so much difficulty. You always want to jump ahead to the next step before mastering the current one. Why not simply follow directions as I posted them? What difference does it make what you will do with the information next? You haven't completed the task at hand. How does knowing the next set of instructions help you follow this set of instructions?
A quote from long ago ...
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