The myth of volume as a leading indicator of price direction...

Overnight said:
I am more puzzled than you are. Why is your 20 years of data showing an average NQ price of 1700 per day? The NQ has not held an average price of 1700 for 20 years. Or has it? Is the average price of the NQ, from Nov 2001 until now, 1700ish?

So today, with the OHLC of the NQ being, say, 15,000 to 15,100, it's average over 20 years is still 1700ish?

I must not know the new maths.
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A correlation coefficient is not new math. The NQ continuous contract price was at that level 20 years ago.
 
Overnight said:
What do you mean it is for that date? You just told me over and over that it is 20 years worth of data.
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It's 20 years of OHLC & V data for the NQ. Is there part of that that you can't comprehend or do you just not like being wrong?
 
NazSherpa said:
It's 20 years of OHLC & V data for the NQ. Is there part of that that you can't comprehend or do you just not like being wrong?
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Where in this grid, which is the only one I see you have posted, is 20 years of data?

As you have admitted, it is single days of data.


nazsherpa.JPG


I simply asked if you could post those stats calculated for the same days in 2018, 19, 20, just to see if the correlation held.
 
Overnight said:
Where in this grid, which is the only one I see you have posted, is 20 years of data?

As you have admitted, it is single days of data.


View attachment 265886

I simply asked if you could post those stats calculated for the same days in 2018, 19, 20, just to see if the correlation held.
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I've said nothing of the sort. It's 20 years of data. Don't be a clown. You're making a fool of yourself. The correlation is on a data set of daily data that spans two decades and has over 5000 data points. Are you refuting this fact?
 
I've got one guy in here telling me that traders don't use math and that a correlation coefficient of > .60 isn't statistically significant despite any and every statistics professor on the planet teaching that it is. Then I've got another guy trying to pick apart a screenshot of a simple excel spreadsheet that any capable person could replicate. You guys must be miserable. I apologize to the OP that your thread took this turn. If the OP is interested to learn how professional traders at prop shops and hedge funds (I've done both) incorporate volume in their daily trading, I invite you to DM.
 
NazSherpa said:
Volume is highly correlated to range. That's not an opinion but a mathematical fact. If you're trading a strategy that is relying on continuation - knowing whether or not there is heavy volume on a relative basis might just be useful information, in my opinion.
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It is correlated after the fact. If you see a large green candle with huge volume you will think that the price appreciated because of the huge volume. The candlestick still at play could be at breakeven with low volume and at the last second all of a sudden a large whale comes and buy up causing a large green price spike and volume and the candle closes. Won't the candlestick then not tell the full story? Because 90% of the time it wasn't doing anything on low volume. Reading volume is more of a "now" moment. After that candlestick closes, does the volume in that past bar mean more price appreciation? Sometimes it does as retail will see the price increase and fomo into the price spike causing more and more people to join in, other times people will see the large increase and fade the move.
 
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