System Improvisation-Thought process!

[oxusmorouz]

But if it means there is no patterns of continuity, unless such a continuity is random then what are we looking at for an edge?

By looking for patterns of continutity (trend) are we being fooled by randomness?

Is this what you mean to say?

The sentence has become quite popular, hasn't it?
Yes, that is what I mean to say, similar with volume, similar with price, for time frame greater than intraday. Methods which thrive in random numbers, rather than those which seek identifiable patterns, or a method which does not bother about the variable being random or not, perhaps is the best solution. An ideal example of the latter would be a "buy-hold".
It really depends on how you frame your hypothesis, to what extent it is justified by facts, and to what extent it holds good in reality and helps in making money.

 

[kuriako]

Whether volume is a cause or if volume is an effect serves no deuce to a trader trading time frame greater than intraday, for every day is a new day, with different perceptions and different degree of noise, with no patterns of continuity, unless such a continuity is random.

Please try this oxy!

A small indicator that tries to relate Price and Volume!

Havent gone through it much! Just wrote it! Havent thought for a second time!

If there are errors please correct me!

And I dont think volume has role only in intraday!

Though each day is a new day with new noise, market adjusts to the news or the news could already had produced some "effect".

This is what i learned from my charts!

 

[newbee]

The sentence has become quite popular, hasn't it?
Yes, that is what I mean to say, similar with volume, similar with price, for time frame greater than intraday. Methods which thrive in random numbers, rather than those which seek identifiable patterns, or a method which does not bother about the variable being random or not, perhaps is the best solution. An ideal example of the latter would be a "buy-hold".
It really depends on how you frame your hypothesis, to what extent it is justified by facts, and to what extent it holds good in reality and helps in making money.

Hello oxusmorouz

Once we accept this premise about randomness then trade management, risk management and funds allocation become the most important aspect of any trading plan rather than entry / exit criterias. Will need lots of time to assimilate this line of thought.

Just to share a anecdote narrated to me by a programmer/trader, while he was developing a system for trading, he found out the system was making consistant Loss. So a bright idea (can't say original) of reversing Buy/Sell or Long/Short signals occured to him.

To his surprise this thingy also did not work!! Even after reversing the signals the system made consistant loss. It seems the problem was with the tight stops and the system was not taking into factor noise correctly thus getting wipsawed.

Maybe there was no edge in the first place.


Anyway, thanks for your answer...

btw, was trying to check up on what does ur nick mean, it seems its quite an oxymoronic one.

 

[newbee]

Please try this oxy!

A small indicator that tries to relate Price and Volume!

Havent gone through it much! Just wrote it! Havent thought for a second time!

If there are errors please correct me!

And I dont think volume has role only in intraday!

Though each day is a new day with new noise, market adjusts to the news or the news could already had produced some "effect".

This is what i learned from my charts!

Hello k

Can u post a chart plz : )

Thanks
nb

 

[kkseal]

Please try this oxy!

A small indicator that tries to relate Price and Volume!

Havent gone through it much! Just wrote it! Havent thought for a second time!

If there are errors please correct me!

And I dont think volume has role only in intraday!

Though each day is a new day with new noise, market adjusts to the news or the news could already had produced some "effect".

This is what i learned from my charts!

Rept=C-(C/v) = C*(v - 1)/v ~= C (as v-1 ~= v).

Revt=v-(v/C) = v*(C - 1)/C ~= v (as C-1 ~= C except for very low priced stocks).*

div=rept/revt = C/v which is basically what you're plotting (normalized to StdDev)

Can that provide any useful info?

Using C - Ref(C,-1) / V - Ref(V,-1) might be better (an alternate form of Market Facilitation Index perhaps
-------------------------------
* for a C of 1 you'll get a divide by zero error.
HAPPY DEWALI.

Regards,
Kalyan.

 

[kkseal]

Don't agree with the rest of the Volume stuff posted.

What takes prices to the 'critical level' in the first place? Asishda, my view is that volume crossing a critical threshold is what causes price to cross the same threshold. But how do we define (& more importantly quantify) that critical threshold of volume? One way could be to say that when the Demand volume (upthrust) exceeds the Supply volume (downthrust)? But quantifying it is still a different cup of tea.

If we had the daily Free float data available (this is one data i'm willing to pay for, if available & reliable) then we could sum the volume over a period during which the float decreases as against that during which the float increases. (The critical Balance Point could be defined in terms of the float itself).

Happy Dewali to you all.

Regards,
Kalyan.

 

[kkseal]

BTW, intraday tick price with tick volume data would be useful. I'm sure many have it but few make good use of it.

 

[oxusmorouz]

Rept=C-(C/v) = C*(v - 1)/v ~= C (as v-1 ~= v).

Revt=v-(v/C) = v*(C - 1)/C ~= v (as C-1 ~= C except for very low priced stocks).*

div=rept/revt = C/v which is basically what you're plotting (normalized to StdDev)

Can that provide any useful info?

Perfect.

 

[oxusmorouz]

Hello oxusmorouz
Once we accept this premise about randomness then trade management, risk management and funds allocation become the most important aspect of any trading plan rather than entry / exit criterias. Will need lots of time to assimilate this line of thought.

Exits are directly related to risk management principles, thereby play a vital role. Entries, maybe not.

Just to share a anecdote narrated to me by a programmer/trader, while he was developing a system for trading, he found out the system was making consistant Loss. So a bright idea (can't say original) of reversing Buy/Sell or Long/Short signals occured to him.
To his surprise this thingy also did not work!! Even after reversing the signals the system made consistant loss. It seems the problem was with the tight stops and the system was not taking into factor noise correctly thus getting wipsawed. .

Maybe. Or maybe the reason for the losses was that it generated a lot of signals and commissions ate up gross profits?

btw, was trying to check up on what does ur nick mean, it seems its quite an oxymoronic one.

Etymological origin of the same. Has a Greek root

 

[kuriako]

Rept=C-(C/v) = C*(v - 1)/v ~= C (as v-1 ~= v).

Revt=v-(v/C) = v*(C - 1)/C ~= v (as C-1 ~= C except for very low priced stocks).*

div=rept/revt = C/v which is basically what you're plotting (normalized to StdDev)

Can that provide any useful info?

Using C - Ref(C,-1) / V - Ref(V,-1) might be better (an alternate form of Market Facilitation Index perhaps
-------------------------------
* for a C of 1 you'll get a divide by zero error.
HAPPY DEWALI.

Regards,
Kalyan.

Thank u kalyan!