[phall]

Hi all

Thanks for all the discussion on this; definitely the trade volume for the group of interest is critical. i have found that volume is critical for using the splitter and that both Taskui's and kh_model's thoughts are correct, because the average of the longer term relative volumes are pretty consistent but there are short term deviations from this that are very interesting.

Attached is a volume histogram indicator that counts the total volume in the contract range of interest. I like to put it under the normal (total) volume indicator and by comparing the two you can see quickly the relative volume of the "split" blocks. there is also an average line plotted over it.

Name: VS_Volume

Note: make sure the volume is set as you want: trade volume vs. ticks will give different answers

as far as the VS_MACD v1 vs. v2; the v1 definitely has a bug (though minor); i would be VERY surprised if it gave better results, but let's definitely check it out.

I am also wondering whether anyone has played around with a better oscillator method than MACD and what they may have found. Please post if you've tried anything! Haven't had much time to work on this, so interested...


phall

[phall]

Originally Posted by Tasuki »

As requested, here's a very short snapshot of the VS_MACD by phall, from permalink #278. Just found it 40 minutes before the close, so the charts don't have much on them, but I'll do another one on Monday.
Both charts ES, first is 1 min, second is 233 tick.
Geez, looks like you got something here, phall! I'm groovin' on those divergences.
Your hippie turned trader,
Tasuki

Tasuki: if you watch the volume, you should be able to decipher/explain the difference in VS_MACD performance between the 1min and ticks charts you saw in the charts from this post. if you could shed some light on the performance of tick charts vs. time charts for the indicator that would be awesome


phall

[wlbw]

Phall,

Can you use the vs_volume to determine the volume of limit or market orders in a specific range?

Thanks

[Tasuki]

Originally Posted by phall »

If you could shed some light on the performance of tick charts vs. time charts for the indicator that would be awesome
phall

phall, For VS_MACD1, my experience has been that tick and volume-based charts defininitely tell a clearer story than time-based charts, at least the 1 minute and 5 minute charts that I studied. I've got alot more work to do, but so far, my 7777 volume chart on the ES has definitely been the winner in terms of useful information and clear divergences. You might not want to extrapolate that observation too far, however, because I've only collected two full days of data. Let's look at it next week.

[RichardTodd]

Originally Posted by Tasuki »

Richard doesn't seem to be using it as a divergence indicator, as I've been trying to do (with some success I might add). He seems to look at his vol splitter as just an indicator of the commitment (or lack of it) by big traders to a given move.

I wouldn't worry too much about what I do, if I were you. I trade fast, on fast charts, and when I use the splitter, it is also turning very quickly. It's not set up to show me divergence. We have another, smoother, volume indicator called VR4x1 which I can use when I trade divergences off fast charts. That doesn't mean you can't use a splitter for divergence, as long as you give it a big enough time horizon.

[phall]

Originally Posted by wlbw »

Phall,

Can you use the vs_volume to determine the volume of limit or market orders in a specific range?

Thanks

hi wlbw:

No. this, like the VS_MACD just compares the closes relative to each other at each tick for the block range of interest. Order information is not included.

What you are describing would need to be based on Level 2 information, and involves following the order book

[Tasuki]

With all the time I spend going out on a limb, you've got to wonder when the branch is gonna break. So, I'm going out on a limb---
Sliced Bread has officially been replaced as humankind's best invention---the new champion is phall's indicators.
OK, so I've only been looking at them, in combination, this morning, but dangit they seem to be good.

Chart 1 simply shows that there are indeed differences between the VS_MACD1 and VS_MACD2. Yawn.

Chart 2 shows how the VS_MACD2 and VS_Volume can work together to give you a clearer picture of what the big traders are doing (and if you care, what the small traders are doing too).


Chart 3 shows another example of divergence backed by volume--this positive, bullish divergence is coming after a nasty bear move this morning, and the quality of this bullish divergence suggests that maybe the bulls are gaining a bit of traction in the afternoon session.

Chart 4 is why I got into this Volume Splitter thread in the first place. It took me years to finally get the principles of VSA sufficiently stuck in my head that I believed them and saw them working in real time. As some of you know. VSA is based on Wyckoff's work, but neither Wyckoff nor his modern counterparts have ever been able to see direct evidence of the influence of the big traders--that influence has always been implied. Well, the whole point of this volume splitters thread has been to try to see visual proof on our charts of the actions of the big traders. If phall's indicators are really working properly, we should be able to take the principles of VSA and visually observe them on the chart, and here is one such *possible* example. I think I have identified an example of the infamous "upthrust" from the VSA thread. The scenario makes sense--the big traders are short, but price has come down so far that every monkey and his/her uncle is short, and the big traders need to convince some suckers to go long so they can wash them out and make the market go down again. So, they create an upthrust--they buy against their own positions with moderate volume--not enough to screw themselves, but enough to spook the shorts, and convince the unwary to go long. Then, they take them all to the cleaners, driving the market down again.

Sorry to be so longwinded with that above explanation, but this has the potential to be very exciting. If I am right, we can use phall's excellent indicators to observe VSA principles at work, thereby giving retail traders a clarity they've never had before (except, perhaps, with that very expensive Market Delta software).

[pimind]

Instead of trying to replicate the EOt vol Splitter why don't we try to come up with a better indicator to track large trades. The EOT splitter is not accurate all the time it is as reliable as other indicators if the are used correctly. I use the eot indicators and they are not he holy grail. I think that we are trying to recreate something that we think is perfect when it is not perfect instead of concentrating on coming up with a volume indicator that will do a better job than the current volume indicators available.

We should first define what we want.

Personally I think a good place to start would be to get an indicator that would track large traders buying, selling, #blocks being traded, and Rate of Change.

The blocks would be represented by line thickness.

This is my opinion anyway.

Also the volume splitter works much better on a larger time frame when you take trades on a smaller time frame. But then again so does a moving average.