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Old 01-18-2009, 12:32 PM   #9

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Re: Trade Intensity

Hi UrmaBlume,
Thanks for the post. You are correct. I have not seen this concept before.

You mention that this type of signal can occur between 12 and 30 times on the ES. Have you had the chance to calculate the win/failure ratio when taking the correct side of this signal ? in other words have you proven an edge to this concept.

I agree any new way to represent data visually always provides a mindset change and hopefully a new set of rules to "see" the market more profitably.

By the way sounds like your group is one (of the many) well organised companies that are into fully automated strategies.

All the best
John
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Old 01-18-2009, 12:55 PM   #10
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Re: Trade Intensity

I wonder if you would get similar results by using a constant volume chart and having the histogram value defined by the amount of time needed to create a new bar. So a spike would be created when a volume comes in quicker in relation to other times.
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Old 01-18-2009, 01:15 PM   #11
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Re: Trade Intensity

All this reminds me of MarketDelta when it first came out about four years ago, It had this whole new way of looking at volume at the bid ,volume at the ask ,and their cumulative values arranged a new way known as the footprint. It really appealed to the logical minds of many. But in reality. how many of you today are using this amazing tool to trade?
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Old 01-18-2009, 01:52 PM   #12

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Re: Trade Intensity

Quote:
Originally Posted by Hlm »
I wonder if you would get similar results by using a constant volume chart and having the histogram value defined by the amount of time needed to create a new bar. So a spike would be created when a volume comes in quicker in relation to other times.
Wouldn't volume coming in quicker result in NOT a spike, since the bar will be created quicker? So you would look at the troughs instead of the peaks in the histogram.
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Old 01-18-2009, 02:00 PM   #13

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Re: Trade Intensity

Quote:
Originally Posted by sevensa »
Wouldn't volume coming in quicker result in NOT a spike, since the bar will be created quicker? So you would look at the troughs instead of the peaks in the histogram.
I think that's what he meant. Very low time bars (seen through a small "time" indication) would indicate very fast orders coming in. Something else to look in would be the derivative of that, as you'd get the change as it develops.
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Old 01-18-2009, 02:07 PM   #14
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Re: Trade Intensity

Quote:
Originally Posted by sevensa »
Wouldn't volume coming in quicker result in NOT a spike, since the bar will be created quicker? So you would look at the troughs instead of the peaks in the histogram.
I guess you are right (not top of my game early Sunday morning)...you would just have to display the inverse. Same difference.
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Old 01-18-2009, 02:24 PM   #15

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Re: Trade Intensity

Quote:
Originally Posted by OAC »
All this reminds me of MarketDelta when it first came out about four years ago, It had this whole new way of looking at volume at the bid ,volume at the ask ,and their cumulative values arranged a new way known as the footprint. It really appealed to the logical minds of many. But in reality. how many of you today are using this amazing tool to trade?
I think Market Delta is to blame for this though. For one they don't have a forum, something that just completely blows my mind. There is no place to bounce ideas off other people and no place for people not using the software to get really interested like what a forum would provide.
Considering the price of the software your basically on your own to come up with how to use it and I think this is why most people try it, like it, but don't use it.
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Old 01-18-2009, 02:32 PM   #16

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Re: Trade Intensity

Interesting stuff and quite similar to some research ideas I have been playing with.

One interesting visualisation I showed a while back is a 1 tick constant range chart with a volume histogram below, that shows quite clear spikes.

Good stuff keep it coming
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