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Old 06-26-2007, 03:27 AM   #9

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Re: Trading With Market Statistics I. Volume Histogram

Hi Jerry,

Excellent opening post I particularly like the fact your opening described a scenario in a way that would have resulted in a loss (if traded). This is often a far more instructive way of approaching things.

You also hit on (for me) one of the key issues for this type of approach deciding whether a market is still in 'balance' so anticipate a revision to the mean, or whether it has gone 'out of balance' and so we anticipate a directional move to a new balance point.

Very much look forward to the next instalment.

Cheers.
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Old 06-26-2007, 09:17 PM   #10

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Re: Trading With Market Statistics I. Volume Histogram

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?
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Old 06-27-2007, 05:36 AM   #11

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Re: Trading With Market Statistics I. Volume Histogram

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.

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Old 06-27-2007, 08:41 AM   #12

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Re: Trading With Market Statistics I. Volume Histogram

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.
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Old 06-27-2007, 09:27 AM   #13

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Re: Trading With Market Statistics I. Volume Histogram

Quote:
Originally Posted by 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
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Old 06-27-2007, 12:19 PM   #14

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Re: Trading With Market Statistics I. Volume Histogram

Quote:
Originally Posted by 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.
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Old 06-27-2007, 12:25 PM   #15

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Re: Trading With Market Statistics I. Volume Histogram

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.
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Old 06-28-2007, 08:15 AM   #16

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Re: Trading With Market Statistics I. Volume Histogram

Quote:
Originally Posted by 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
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