Yes, I don't see an average for when the NQ was at that price on that date. That is one date of 5046 dates. You're demonstrating absolutely nothing. Nor are you being helpful to answering the question at hand.
The myth of volume as a leading indicator of price direction...
- Thread starter HolyGrailSeeker
- Start date
It's correlated on the same day. That's the whole point. There is nothing after the fact. I urge you to dig deeper and look at the relationship between volume at various points of the AM and the range for the ENTIRE session.
I just left this rabbit hole a few minutes ago. Read my recent prior posts and the replies to avoid the rabbit hole.
Tiddlywinks, yes - this is very similar to what I do. I call it relative volume. How is cumulative volume running compared to the average of the same half hour over a period of time? I was getting to that point before things got silly in here.
You've got a spectrum of day types ranging from a narrow range non-trend day to a pure trend day and a handful of day types in between.
Generally speaking, narrow range, non trend days don't happen on high relative volume and trend days don't happen on low relative volume. Looking at these measures in the premarket and first 15-30 is also indicative of how the entire session's volume will end up. I'm guessing that you are well aware of all of this as you use a similar process. Some of the most successful futures traders still log volume by hand every 15 minutes or so.
I can see why you don't participate much in these threads. It's not a very constructive environment. I certainly don't care if others use volume or not either. I merely suggested that they might find it useful as I have. It's sad that statements of mathematical fact are met with belligerent antagonism. It's not helpful or conducive to sharing or learning for those newer to trading. As an experienced trader, why would I subject myself to this? It's sad.
@NazSherpa
Yes, I noticed you were getting there. And then you even mentioned Pace.
Yup, those 2 things, PRV (pro-rata volume) and Pace are tools I use. I should mention I trade intraday with a 3 minute chart. The same rules apply!
Even with different instruments, so long as the volume is "worthwhile".While I don't disagree with you regarding premarket, to me, there is a stark difference between RTH and premarket regarding volume... Enough to analyze the two sessions separately. As such, unless a beige or black swan is flying in the overseas session, I wait until the 8:30et US reports before I trade. I'll only get an extra hour of trading, but I'm ok with being on the sideline until RTH if it fits my liking.
Anyway, here's something I use which, yet again proving your original point!! I'll just let all the bookworms and academics argue about correlation numbers and whatever. There is no question whatsover more volume = larger movement. PERIOD. And I'll add, without a volume, there is no transaction, and therefore no print of price movement!!
This table is based on 6000+ 3-minute rth NQ bars... 6/10/21 (official roll date) through 8/13/21 It shows the "correlation" of Price Movement and Volume.
Column 1 is the Percentile.
Column 2 is the amount of volume for the Percentile.
Column 3 is the price movement for the Percentile
Column 4 is the the average price movement of only those data points within that percentile.
The shaded/not shaded rows are PACE ranges.
Using PRV to spot the pace (and changes in pace) as a bar is forming, and having a good idea of the price movement to expect within a given pace, is a money-maker by itself.
Last edited:
@tiddlywinks, this is great! You and I approach things in a similar manner. While I may not have articulated my thoughts well, I share your sentiment on differentiating globex and RTH. Obviously report days can be catalysts that create an imbalance due to new information entering the market place. To me it's common sense that the more institutional order flow there is the more the market can potentially extend its trading range. If a person ever stood in a trading pit they'd know that the activity level and day type was determined by the amount of institutional 'paper' coming into the market. But I'm preaching to the choir here.@NazSherpa
Yes, I noticed you were getting there. And then you even mentioned Pace.
Yup, those 2 things, PRV (pro-rata volume) and Pace are tools I use. I should mention I trade intraday with a 3 minute chart. The same rules apply!
While I don't disagree with you regarding premarket, to me, there is a stark difference between RTH and premarket regarding volume... Enough to analyze the two sessions separately. As such, unless a beige or black swan is flying in the overseas session, I wait until the 8:30et US reports before I trade. I'll only get an extra hour of trading, but I'm ok with being on the sideline until RTH if it fits my liking.
Anyway, here's something I use which, yet again proving your original point!! I'll just let all the bookworms and academics argue about correlation numbers and whatever. There is no question whatsover more volume = larger movement. PERIOD. And I'll add, without a volume, there is no transaction, and therefore no print of price movement!!
This table is based on 6000+ 3-minute NQ bars... 6/10/21 (official roll date) through 8/13/21 It shows the "correlation" of Price Movement and Volume.
Column 1 is the Percentile.
Column 2 is the amount of volume for the Percentile.
Column 3 is the price movement for the Percentile
Column 4 is the the average price movement of only those data points within that percentile.
The shaded/not shaded rows are PACE ranges.
Using PRV to spot the pace (and changes in pace) as a bar is forming, and having a good idea of the price movement to expect within a given pace, is a money-maker by itself.
View attachment 265958
We can know the probability of RTH taking out a particular side of globex or the previous day's range after the RTH open. We can also determine a with a certain probability, how many ticks of range expansion to anticipate given the relative volume and a few other factors. Your table demonstrates this same type of thinking or process. Thanks for sharing it.
One of my trading models uses volume but in much different way, matter of fact, without it, there is no placement of signals. Definitely need huge spike in volume, to me large traders or hedge funds coming in to get flat, reverse or get in. My positions want to tailcoat larger players, but system then waits for topping or bottoming formation to happen and either do counter trend or deep retracement entries.
Just cause I can't figure out a certain style to trade doesn't mean it can't be done imho.
Just cause I can't figure out a certain style to trade doesn't mean it can't be done imho.
For all your stock traders I took a look at one of the biggies - AAPL daily data for the last 20 years (as in 2001 to this past Friday, hopefully that is completely clear wink wink.) and there have been:
599 days or 13.4% of Range > Range[1] and Volume < Volume[1]
1551 days or 34.7% of Range > Range[1] and Volume > Volume[1]
1744 days 39.0% of Range < Range[1] and Volume < Volume[1]
577 or 12.9% of Range < Range[1] and Volume > Volume[1]
So although instances with expanded range and volume make up about 1/3 of all days, those with expanded range and lower volume plus those with contracted range and expanded volume make up about 1/4 of all days and the biggest balance being both contracted range and volume.
In any case nowhere near 60% with AAPL and I seriously doubt that Apple is an outlier.
Here is daily chart for the past year - blue bars showing days with greater range and volume than the previous day. Down at the bottom is MFI Bill Williams' Market Facilitation Index. All it does is take range and divide it by volume. I've marked the blue bar days (with vertical lines) when MFI is less than the day before even though greater volume is supposed to always produce greater range. Don't you hate when that happens.
599 days or 13.4% of Range > Range[1] and Volume < Volume[1]
1551 days or 34.7% of Range > Range[1] and Volume > Volume[1]
1744 days 39.0% of Range < Range[1] and Volume < Volume[1]
577 or 12.9% of Range < Range[1] and Volume > Volume[1]
So although instances with expanded range and volume make up about 1/3 of all days, those with expanded range and lower volume plus those with contracted range and expanded volume make up about 1/4 of all days and the biggest balance being both contracted range and volume.
In any case nowhere near 60% with AAPL and I seriously doubt that Apple is an outlier.
Here is daily chart for the past year - blue bars showing days with greater range and volume than the previous day. Down at the bottom is MFI Bill Williams' Market Facilitation Index. All it does is take range and divide it by volume. I've marked the blue bar days (with vertical lines) when MFI is less than the day before even though greater volume is supposed to always produce greater range. Don't you hate when that happens.
Not denying your findings, but if I understand your methodology correctly, IMO, it is flawed.
One share and/or one penny difference will cause those findings. Bar-to-bar!
What has been shown/proven previously is that higher volume leads to larger range. No one said price range expansion can't or won't occur in other volume and price movement configurations... That would be a flat out lie.
Juxtapose your analysis with using a "grouping" such as percentiles for volume, which is suited to handling minimal and not minimal fluctuations. Currently your methodology is isolating based on yesterday being the only context for drawing a conclusion.
What my finding shows (come on it is AAPL after all and daily bars one share affecting results
) is that yes larger volume a lot of times does lead to larger range. Just not as much and not as correlated as some traders think.As you know markets are fractal , what happens on daily often happens intraday as well.
Last edited: