What are your Inputs ?

K-Pia

K-Pia

They're very important when it comes to decision making.
How would you define an underlying ? What matters ?
The key features that interest you ? Their properties ?

For exemple, what I personally pay attention to is :
- its average Volume
- its 5 day's Standard Deviation
- its last day's Standard Deviation
- its daily Highs and Lows
- its actual Liquidity
- its actual Volume

Others can view it as :
- Return per unit of Risk
- A number on a MACD, RSI
- Relative to a support / resistance
- Numbers on a spreadsheet (Debt, Equitie)
- Relative to Geopolitical Scenarios ...

What are the inputs that you process ?
In order to generate your signals ?

Ps: I mainly trade futures, but for others,
Whatever the instrument, you're welcome !

Ps2: Even for those havin' Holly Grails !
Givin' us the inputs is just half the answer.
 
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d08 said:
"Turnover" - EMA of Avg volume*Avg of closes, best indicator of liquidity.
More...
Why times average close ?
And how much backward for your average ?

I think that liquidity is more about Ratios
Like Daily Volume / Daily Range

It tells you roughly the volume per point

Exemple with the March ES contract:
Day: Last Friday High: 1914.50 Low: 1865.75 Volume: 2,303,794
Volume/(High-Low) = 2,303,794/(1914.50-1865.75) = 47,257

It tells that in average, there were 47K orders traded for each point.
Divided by 4 (ES Oblige) it gives us 11,814 orders for each tick.

Of course it's an average. For those used to Market Profile (Volume per Price).
We see that the volume ain't distributed evenly for each price.
But it gives an idea of how much liquide the market is.

The bigger the number. The more liquide the market.
 
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d08 said:
"Turnover" - EMA of Avg volume*Avg of closes, best indicator of liquidity.
More...

Why times average close ?
And how much backward for your average ?

I think that liquidity is more about Ratios
Like Daily Volume / Daily Range

It tells you roughly the volume per point
Hence, Realized, taken Liquidity per point.

Exemple with the March ES contract:
Day: Last Friday High: 1914.50 Low: 1865.75 Volume: 2,303,794
Volume/(High-Low) = 2,303,794/(1914.50-1865.75) = 47,257

It tells that in average, there were 47K orders traded for each point.
Divided by 4 (ES Oblige) it gives us 11,814 orders for each tick.

Of course it's an average. If we look at the Market Profile (Volume per Price),
We see that the volume ain't distributed evenly at each price.
But it gives an idea of how much liquide the market is.

The bigger the number. The more liquide the market.

Is that your only input ? ^^
 
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K-Pia said:
I think that liquidity is more about Ratios
Like Daily Volume / Daily Range
More...
That approach has a reasonable chance of being significant if you formulate everything correctly.
 
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What you're calculating is liquidity over volatility. For my purpose, volatility is irrelevant. Volume at different price levels is completely asymmetrical, assuming a linear relationship would be a mistake.
 
d08 said:
What you're calculating is liquidity over volatility. For my purpose, volatility is irrelevant. Volume at different price levels is completely asymmetrical, assuming a linear relationship would be a mistake.
More...

Anyway.
 
d08 said:
What you're calculating is liquidity over volatility. For my purpose, volatility is irrelevant. Volume at different price levels is completely asymmetrical, assuming a linear relationship would be a mistake.
More...

I am sorry. But your kind of VWAP has nothing to do with liquidity.
Or you may call it liquidity as "Fuel" but I say liquidity as "Density".
That's how it would be defined in papers about microstructure.
Not in books about Momentum, Trend Following or whatever.

But you couldn't have seen that. Since you don't want to debate.
Principle of Charity, seems to you incognito. You don't want to understand.
 
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You don't know what the word "liquidity" means.

DEFINITION of 'Liquidity'
Liquidity describes the degree to which an asset or security can be quickly bought or sold in the market without affecting the asset's price.
More...
 
d08 said:
You don't know what the word "liquidity" means.
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I know what it means. But your formula has nothing to do with that.
Please, give me an example, illustrate. How do you know if and how much,
You gotta split your orders from your mighty VWAP ?
 
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