[BlowFish]

For multiple symbols the best option might be ADE (if using V@B V@A rather than plain old upticks/downticks).

[become]

I just read through this thread - some interesting threads, though it sure started with a lot of struggle over the code.

Interested NinjaTrader users who don't know of it should download the GomCD indicator from the NT forums. It prints cumulative delta bars, has 3 different calculation methods, a volume filter, and records the data on the hard drive so you have a historical record and can see cumulative delta across multiple sessions.
Delta Buy/Sell Volume - NinjaTrader Support Forum

[cunparis]

I'm testing out the VS_MACD4. Took me a while to understand the code. I set it to use 25 for the min block size, I thought 100 seemed hi. I figured I'm trading 1 contract so if someone is trading 25 they must know more than I. After studying the Time & Sales window I think that's true for the majority but not for all of them.

My only "issue" is the lag caused by the MACD. From what I see on a tick chart, it follows price pretty closely but lags behind it. In the EOT video the guy was bragging about how it leads price. The video was too small to see what timeframe he was using but in the video it does seem to lead price.

I'm curious if anyone has noticed this and if anyone has some ideas to eliminate some of the lag. I'm using 200 & 600 tick charts.

Thanks to the person who coded it. I think this has a lot of potential.

[RichardTodd]

Originally Posted by cunparis »

I figured I'm trading 1 contract so if someone is trading 25 they must know more than I. After studying the Time & Sales window I think that's true for the majority but not for all of them.

Maybe you can use 25+ sized ticks well (on ES I assume), and maybe not. All I can say is that there is no shortage of 200+ sized ticks, and 25 contracts are obviously NOTHING to the bigger players. In other words, if you see lots of 25 contract market sales and you think "well, they know more than I do so I should sell too"... then you are blatantly in error from what I can tell. Traders who trade in the 1000's could frankly be doing just about anything in 25 contract increments. To put it another way, I don't think those trades carry much information, in an information-theory sense. It's just noise on your signal.

Originally Posted by cunparis »

My only "issue" is the lag caused by the MACD. From what I see on a tick chart, it follows price pretty closely but lags behind it.

I know I sound like a broken record, but no one seems to hear me when I say: the main function of the indicator is to bring out times when large traders are in a big enough hurry to show their hands with large market orders. A secondary use of the indicator is to show that the small orders tend to be against the direction of the eventual move. All of the other stuff people want to believe they can see might be in there, but is probably better shown by another (possibly related) indicator.

There are plenty of times every day when, if you understand this, the indicator can help you find high-quality entry points. To find them, you have to think about what the line means, compared to what price means. I pointed out one very simple strategy a few posts ago against the macd version on a 610-tick chart posted here. There are other tradable ideas, and in some conditions the line will turn ahead of the move, sure enough. But it's not a magic line that always leads the market. If you are looking for that, you will have "issues" with every indicator you find out there.

I know I probably sound harsh, and I don't claim to know everything about how to use the indicator, but I do wish people would start from what the indicator means, and not blindly look for divergences or leading action or whatever. I would say the same thing about any indicator.

[cunparis]

Originally Posted by RichardTodd »

Well I'm assuming v4 was in red, right? (I just hope it's not the middle one!) :-)

Anyway, if you look at the red line on the 610 chart in particular, you can see that just before 9:30, just before 10:16, and just before 11:04, and right around 12:48 and 12:59 are places that price pulls back but the splitter doesn't turn. This indication that the big boys and girls are fading the pullback is one of my primary entry techniques as long as it's with the trend. I've gone over this simple technique a couple times with my live room folks, and it's always popular.

Thanks Richard for your reply to my last post. I changed my setting to 100 and I'll keep increasing it to experiment.

I looked up your prior post that you referred to. I have studied the chart and I'm seeing something different than you so I hope you can elaborate a bit. You say that price pulled back but the big traders kept going in their direction. From what I see the big traders did participate in the pullback and the smoothing effect of the MACD makes the macd line flatten out a but it doesn't pull back.

To use this as an entry I think we need less lag. I'm seeing a lag of up to a couple bars.

If anyone has the EOT version, I'd love to see some comparisons between the v4 and the EOT indicator to see if the EOT version really leads price as seen in the video or if the example used in the EOT video was a rare case.

[BlowFish]

Originally Posted by become »

I just read through this thread - some interesting threads, though it sure started with a lot of struggle over the code.

Interested NinjaTrader users who don't know of it should download the GomCD indicator from the NT forums. It prints cumulative delta bars, has 3 different calculation methods, a volume filter, and records the data on the hard drive so you have a historical record and can see cumulative delta across multiple sessions.
Delta Buy/Sell Volume - NinjaTrader Support Forum

Thanks! I had planned to write something for ninja (event driven is certainly the way forward) when I got bored of a MMORPG that I just signed up for - Now I can play longer and just butcher this if needs be!

[BlowFish]

If I was to tackle block size as a project I would look at some sort of statistical analysis of blocks to determine dynamically what was 'large'. Not sure how well that would work but would dynamically adjust for seasonality and may be even fast enough to adjust for open, lunch, globex etc. I think this might be surprisingly powerful, send me a cheque if you make millions from it

[pimind]

My brother's away today so i have the eot indicators all to myself if there is a particular chart on the eot volsplit anyone wants to see let me know.

Also I believe that is extremely important to have a block size line thickness on the indicator. The thickness could be set to the size of the block trades or to the # of the block trades the more trade blocks + ? the thicker the line it may actually even be able to be defined as both, Color for frequency and thickness for size. I wish I could code this, But my Ts coding skills are not at that level.

Also from watching my brother trade he uses larger sizes 300+ and really looks at 700+ , 1000+ which occur less often seem really be a point to look at, he uses a combination of the EOT volsplit and looks at the T&S. Example after a huge move you start to see 1000+ orders in the opposite direction , it may be time to get out of trade and start looking for reversal. Also if you are short and 1000+ orders going long against you then you may want to reconsider your short.