Trading With Market Statistics I. Volume Histogram

[BlowFish]

A quick question if I might - do you solely use yesterdays volume for the profile you watch today? Do you add in today's volume as it occurs? Do you ever look at N day volume.

Forgive me for getting somewhat specific and technical at this early stage but I have been playing with different sample periods and it makes quite a difference. My personal favourite is probably a 'sliding window' of the last 24 hours from the current moment in time.

Cheers.

[Nick1984]

Have you considered using regression analysis to give a trading range for the day? If you plot Price against Volume and Time you can run a regression and following some tests for significane of your variables and whether you have unbiased estimators you can gague what the trading range of the day might be.

[jperl]

	Quote:	waveslider
	This might be a new thread altogether. According to the market profile chart I am using, price on YM closed the day just about at the point of control. Seeing that this point is also in the middle of about a total of 6 trading days this month, could this be considered some type of balance area? What do the experts say?

Waveslider-
Here is my chart of YM for June 26, 2007-


The peak volume price is at 13492, far from the close in the 13390 area. The volume distribution is skewed about 20 pts to the downside.
JERRY

[jperl]

	Quote:	Nick1984
	Have you considered using regression analysis to give a trading range for the day? If you plot Price against Volume and Time you can run a regression and following some tests for significane of your variables and whether you have unbiased estimators you can gague what the trading range of the day might be.

Nick---yes I will get into that when I start talking about the volume weighted average price and its standard deviations. Stay tuned.
JERRY

[waveslider]

Jerry - I see, it was my error regarding the close. I should have put a chart up. This 13492 area seems to be carrying quite a bit of weight.

[jperl]

	Quote:	BlowFish
	A quick question if I might - do you solely use yesterdays volume for the profile you watch today?

no

	Quote:
	Do you add in today's volume as it occurs?

Yes

	Quote:
	Do you ever look at N day volume.

Yes

these questions will all be answered in later threads when I discuss the significance of the VWAP. Stay tuned.
JERRY

[rsi77]

Could someone tell me which charting package was used to create these charts?

Thanks,

Ron

[BlowFish]

Jerry uses Ensign though there are other packages that will do the job.

[rsi77]

Thanks,

The screenshot he showed looked very nice. I think Ensign isn't too expensive, and it works with Infinity AT, so maybe I'll give it a try.

Does TS do this same thing well? If so do you know the indicator name?

thanks again,

Ron

[BlowFish]

Hi Ron,

If you peruse the markets stats threads you will come across indicators for tradeststation posted by Dbtina. Several packages can do what you need.

Cheers,
Nick.