[VSA] Volume Spread Analysis

[ranj]

JJ,

One more thing. I like to look for price structure (VSA sequence of bars) in relationship to some reference, trendline, fibs, prior support or resistance, previous WRBs or Long shadows (thanks pivot). Not sure where this trade occured.

[Primavera]

	Quote:	Tasuki
	Well, actually, they can't if you use my up-inside-down volume indicator (or any indicator system that shows both up and down volume). The belief that volume could be hidden (selling on up bars, buying on down bars) originated decades ago, before the advent of the internet and our incredibly sophisticated charting platforms. If you watch both up and down volume progressing on a single bar, you can plainly see when there's "hidden" buying or selling. Needless to say, the problem with hidden volume still applies to those charts where you can't parse out the types of volume. On Tradestation, daily, weekly, and monthly charts won't allow you to insert up and down volume indicators (maybe other charting platforms are different, I'm not sure), but for intraday trading, hidden volume is a thing of the past. Tom Williams has correctly pointed out that the exchanges have intentionally dragged their feet on providing accurate volume information for a very good reason--the folks that rule the market don't want you to know what they're doing. As Tom points out, there is no damn good reason why we can't get intraday volume on indexes such as the $SPX in this day of supercomputers, and don't get me started on FOREX. Still, for those of us who wisely trade contracts where you can get intraday volume, the separation of up vs down volume is an added level of information that can unmask the hidden buyers and sellers. The last time I presented this idea, many pages ago on this thread, my idea received a lukewarm reception to say the least. Before you all go jump down my throat, PLEASE do yourselves a favor and watch the up/down volume for a week or so and see what you think.

Tasuki

May I ask who your data provider is ? Mine is currently IB and I don't know if they provide this kind of breakdown in their API. I have seen it on T&S but wasn't aware that this kind of data could be exported.

Primavera

[jjthetrader]

	Quote:	Tasuki
	The last time I presented this idea, many pages ago on this thread, my idea received a lukewarm reception to say the least. Before you all go jump down my throat, PLEASE do yourselves a favor and watch the up/down volume for a week or so and see what you think.

Do you have a link to the TS indicator you're speaking about? I'd like to check it out.

[tawe trader]

I have been busy the last couple of days due to family commitments and I shouldn't have traded but I wanted to show you a MEGA 5 min UPTHRUST and a silly trade I did last Thursday which will hopefully be a lesson to myself and perhaps others can learn something from my mistakes.

The first chart I have attached is a 60min chart of the FTSE Future. It has had a storming rally - up over 500 pts in 7-odd trading days due to strong US mkts and Bank of England (BoE) rate cut rumors, so the mkt is due a retracement.

The next chart is a 5 min chart of the mkt last Thursday. I went short (in the FTSE cash mkt) at 11.55am, at the bar above the pink arrow 5 mins BEFORE the BoE interest rate announcement. I placed a very wide 30 pt stop-loss.

There was a massive upthrust bar at 12pm which took out my stop by 0.5 of a pt - gutted.

I believe the lesson here is PATIENCE - if I had waited, another 10 mins, then gone short on the break of the upthrust's low I could have banked with a trailing stop, a possible 100 pts from the low of the upthrust dotted line down to the lower dotted line.


C'est la vie...............Darren

[Blu-Ray]

	Quote:	jjthetrader
	Do you have a link to the TS indicator you're speaking about? I'd like to check it out.

Here you go JJ:

http://www.traderslaboratory.com/for...ator-1153.html

Cheers

Blu-Ray

[jjthetrader]

	Quote:	ranj
	JJ, One more thing. I like to look for price structure (VSA sequence of bars) in relationship to some reference, trendline, fibs, prior support or resistance, previous WRBs or Long shadows (thanks pivot). Not sure where this trade occured.

Thanks ranj. This was all recent new ground with old trading way off to the left on a daily chart. And on that daily chart we were in an 'ambush' zone.

[jjthetrader]

	Quote:	Blu-Ray
	Here you go JJ: http://www.traderslaboratory.com/for...ator-1153.html Cheers Blu-Ray

Thanks Blu-Ray, sorry to keep you so busy on the weekends

[Blu-Ray]

	Quote:	Tasuki
	Well, actually, they can't if you use my up-inside-down volume indicator (or any indicator system that shows both up and down volume). The belief that volume could be hidden (selling on up bars, buying on down bars) originated decades ago, before the advent of the internet and our incredibly sophisticated charting platforms. If you watch both up and down volume progressing on a single bar, you can plainly see when there's "hidden" buying or selling. Needless to say, the problem with hidden volume still applies to those charts where you can't parse out the types of volume. On Tradestation, daily, weekly, and monthly charts won't allow you to insert up and down volume indicators (maybe other charting platforms are different, I'm not sure), but for intraday trading, hidden volume is a thing of the past. Tom Williams has correctly pointed out that the exchanges have intentionally dragged their feet on providing accurate volume information for a very good reason--the folks that rule the market don't want you to know what they're doing. As Tom points out, there is no damn good reason why we can't get intraday volume on indexes such as the $SPX in this day of supercomputers, and don't get me started on FOREX. Still, for those of us who wisely trade contracts where you can get intraday volume, the separation of up vs down volume is an added level of information that can unmask the hidden buyers and sellers. The last time I presented this idea, many pages ago on this thread, my idea received a lukewarm reception to say the least. Before you all go jump down my throat, PLEASE do yourselves a favor and watch the up/down volume for a week or so and see what you think.

Tasuki

I'm actually going to disagree here, I use the tick delta indicator and have done since it's introduction to this site. I do find it very useful, but it can contain hidden volume as you describe, for example:

In an upbar where there were more buyers than seller's per the tick delta indicator, what's not to say the smart money were just loading up the ask with limit orders and the " late to the party" traders were snapping them up at market. Thus giving an impression that there was more buyers than sellers.

Cheers

Blu-Ray

ps. if you change your chart to a 1440 min you will get the tick delta to work on the equivelant to a daily chart.

[jjthetrader]

	Quote:	tawe trader
	The next chart is a 5 min chart of the mkt last Thursday. I went short (in the FTSE cash mkt) at 11.55am, at the bar above the pink arrow 5 mins BEFORE the BoE interest rate announcement. I placed a very wide 30 pt stop-loss. There was a massive upthrust bar at 12pm which took out my stop by 0.5 of a pt - gutted. C'est la vie...............Darren

Tawe, thanks for sharing. I don't beleive you did anything technically wrong. You've always got to be careful of the big moves around anouncements. They're stop catchers to say the least.
Sorry about the loss. Did you jump back in or did the loss keep you out?
cheers mate

[jjthetrader]

	Quote:	Blu-Ray
	Tasuki I'm actually going to disagree here, I use the tick delta indicator and have done since it's introduction to this site. I do find it very useful, but it can contain hidden volume as you describe, for example: In an upbar where there were more buyers than seller's per the tick delta indicator, what's not to say the smart money were just loading up the ask with limit orders and the " late to the party" traders were snapping them up at market. Thus giving an impression that there was more buyers than sellers. Cheers Blu-Ray ps. if you change your chart to a 1440 min you will get the tick delta to work on the equivelant to a daily chart.

I was just thinking the same thing when I looked at it. There may be a boat load of buying but the indicator doesn't tell you if it's the weak holders buying or the smart money.