[darthtrader]

check out Dcraigs charts here
http://www.elitetrader.com/vb/showth...&pagenumber=17

Very interesting charts. I think that is the first time I've ever seen Ehlers DSP ideas put to use that it actually looks usefull. That FIR filter looks to really be smoothing out the book delta candle information nicely.

No problem Brownsfan!

I use ACV (as an additional filter) when I am about to trigger a new entry order from a signal generated by one of the several systems that I trade. If I am about to take a trend reversal type trade, and the ACV is 2:1 or greater in the opposite direction of my entry, I will hold off and wait. If the ACV is 2:1 or greater in the intended direction of my trade, I will take the trade with increased position size (about 50% greater position size). I scale out the added position size as price travels up to the tick levels creating the predominance of the 2:1 affect....or until I see the 2:1 affect neutralized (the remainder of my position I leave on with my normal parameters).

This type of trade set up I have found has a very high probability factor...well over 70% success rate. The other set up I use a lot when I observe the ACV at 2:1 OR greater, is when price is at a very key s/r (or MP) level. When I see the ACV go 2:1 or > in the direction of a breakout (through support or resistance) I jump in with a scalp play for 4 to 6 ticks....works like a champ as price busts out with momentum.....leave some runners on these trades as price can really move when this happens.

BTW, the day in Feb when the market blew out, I had 4 HUGE ACV trades as price in the ES kept blasting through major MP levels (the ACV was telling me to play the breakout through support on all 4 levels that day). My first SHORT trade I made 6 ticks with no runners (dumb me)....the last 3 SHORT trades I made 6 ticks with my primary position and over ten points total with the runners. Price would just jump away from my entries and never look back...that was a fun day.

Originally Posted by darthtrader »

check out Dcraigs charts here
http://www.elitetrader.com/vb/showth...&pagenumber=17

Very interesting charts. I think that is the first time I've ever seen Ehlers DSP ideas put to use that it actually looks usefull. That FIR filter looks to really be smoothing out the book delta candle information nicely.

I agree...dcraig has a nice analysis of the situation with his charts....smart trader imo.

[brownsfan019]

Fulcrum,
Can you elaborate on the 'ACV'? Maybe it's in the et thread that I didn't see and wondering if that's a standard charting platform thing or not. Where is this commonly found in charting platforms?

I'm curious to see how this looks in real-time as it's always been something in the back of my mind saying - looks like price is gravitating to that level, but then there's plenty of times when it does not as well. So I think just 'eying it up' is not a good idea.

[brownsfan019]

Fulcrum,
Tell me what you think of this - perhaps ACV could be used for position entry and/or position exit strategies. What I mean is, you trade the way you do now (I like candlestick analysis) and when a trade appears, you check the DOM to see how the ACV looks. If it's in your favor, you take the trade and based on how much in your favor, you could position size off of that - something like 1 to 1 = regular size, 2 to 1 = double, etc. Or some function of that.

It's late and after my Browns had a heart breaking loss, I could be looking at this incorrectly, so let me know what you think since it appears you use this in your trading.

I'm thinking that this could add a quick and easy filter for me in terms of my current setup, just helping with entries and/or exits.

My only concern is how to implement this in real-time. For example, if I get a long at 10:00am, right at that moment do I check the ACV (which for me would simply be looking at the OEC dom, which does have the ability to total the bid/ask columns) and if it passes, great and if not, just wait or not trade it at all. I'm just trying to visualize how this works in real-time.

Another example with numbers:

I get a long with price at 1500.00.

Right at that moment, the ACV is even = bid/ask basically the same. Can go long at 1500.

30 seconds later, the ACV is now bullish, but price is 1500.50.

Do you now take the trade b/c the ACV is bullish or are you already in the trade b/c your entry already appeared and just feel good that the ACV is behind you?

And then once in the trade do you remain in the trade while the ACV is in your favor and if so, for how long? How often do you watch the ACV develop? In other words, if I am long at 1500.50 and the ACV is nice while price is rising and for a blip the ACV is not bullish, do you flatten or wait to see if it was temporary?

As you can tell, this has my interest as I've referred to the idea of price gravitating towards the heavier volume as the 'magnet' - price is like metal and the heavier volume is the magnet.

I guess it all sounds great in theory, but as you can tell, I'm trying to see how this would play out in real-time. I think I'll at least put the numbers up on my OEC dom tomorrow and just see how it looks.

[darthtrader]

I'm also interested what software you are using Fulcrum.

From that ET thread though i'm sure this is not standard stuff at all. I think one guy said he wrote his own software and Neoticker can do it also because it can take snapshots of the book at 1 second intervals and then build the charts from that data it. Neoticker scares me...

[brownsfan019]

darth,
That's why I am wondering as well. I know OEC has DDE Excel functionality, so that may be an option as well, but how you quantify and when is something I am not sure of.