Jump to content

Welcome to the new Traders Laboratory! Please bear with us as we finish the migration over the next few days. If you find any issues, want to leave feedback, get in touch with us, or offer suggestions please post to the Support forum here.

  • Welcome Guests

    Welcome. You are currently viewing the forum as a guest which does not give you access to all the great features at Traders Laboratory such as interacting with members, access to all forums, downloading attachments, and eligibility to win free giveaways. Registration is fast, simple and absolutely free. Create a FREE Traders Laboratory account here.

jperl

Trading With Market Statistics I. Volume Histogram

Recommended Posts

I wonder if you are trading spot fx as you are using MT4? If you are I would be a bit wary, what is actually reported is bid ask changes rather then actual traded volume. It might be good enough, but for a technique that is entirely based on the statistical analysis of volume and price you might want to consider instruments where that is reported. (Even last price is a 'guesstimate' in FX).

Share this post


Link to post
Share on other sites

Hi Blowfish,

 

Thank you for your answer.Can you elaborate more on what you mean by "bid ask changes".

 

I always hear about that volume in FX(or spot FX, is there any other FX type?) is untrustable. I was thinking it is untrustable because the only volume figure your broker can give you will be the volume that your broker handled(or made the transaction lets say). But i was thinking if you select a big company as your broker that volume should also reflect the worldwide volume(or interest lets say). Am I completely wrong?

 

For using MT4, I have a script which converts the metastock files of istanbul stock exchange EOD data into MT4 .hst files so i can make offline analysis. This would be my next question what do you guys think about using jerry's statistical techniques in stock exchange analysis.Especially if you have only EOD data?

 

Instead of using 2 minutes data selecting the day as the start maybe we can use daily data using the month as the start? What do you think? (or maybe instead of using a fix start we can use a sliding window concept?!)

 

( I hope I am not asking questions already asked as I have not yet read the whole threads)

 

Thanks again.

 

Akif,

Share this post


Link to post
Share on other sites

No not completely wrong :D It's one of those age old arguments. Going back to a statistical argument. People generally accept that the FX market is trillions a day, is a sample size of a few hundred thousand that a bookie conducts a significant sample?

 

IBFX is meant to be quite good as far as bucket shops go (for volume figures) so I opened an account with them. To me the volume just seems a bit 'off'.

 

The best thing would be try it and see (if you can find some indicators), or you could use the FX futures and a different package for charting (maybe ninja or sierra).

 

It could be that the way of sampling and recombining the data that are presented here might minimise inaccuracies, who knows?

Share this post


Link to post
Share on other sites

In one post Jpearl compares the Volume histogram high volume price( PVP) to the POC in market porofile......I want to get started on the right track while digesting these threads so Isn't the POC based on TIME where as the PVP is based on volume....a very big differnce sometimes.....

 

Is Jerry assuming most MP players now use Volume for their MP charts in stead of time...?

 

Thanks for any input

 

JE

Share this post


Link to post
Share on other sites

In a later thread you will see some discussion on this. PVP is a statistical measure whereas POC is a heuristic approach. Whilst they look similar the ways that Jerry suggests using these statistical measures don't really share that much with the way people tend to use MP. The short answer to your second question is no.

Edited by BlowFish

Share this post


Link to post
Share on other sites
Guest Jamie Turpin

One of the most talk about stock picks can be right here! At 400% gainers.

change comma sign into a dot sign copy and paste this Link in your browser

 

[crazypicks dot info]

Share this post


Link to post
Share on other sites

hey Jerry, I love the technique. You have indeed taught me. My question today is with the FX. I have been interested in plotting the volume distribution on the forex but it does not seem to have the same results as plotting the distribution as with other vehicles. I guess my question is. If you plot the Volume and get the price on the close of the bar, as you could do with any simple volume indicator, would this be the same price (the peak volume point) as the peak volume price on the volume distribution histogram. I think my question is, what is the difference between the volume distribution and the volume?

Share this post


Link to post
Share on other sites
hey Jerry, I love the technique. You have indeed taught me. My question today is with the FX. I have been interested in plotting the volume distribution on the forex but it does not seem to have the same results as plotting the distribution as with other vehicles. I guess my question is. If you plot the Volume and get the price on the close of the bar, as you could do with any simple volume indicator, would this be the same price (the peak volume point) as the peak volume price on the volume distribution histogram. I think my question is, what is the difference between the volume distribution and the volume?

 

The answer to your question is no. When you plot volume for every bar, the single bar with the largest volume is not the PVP. To obtain the PVP you have to sum all the volumes for each price and find the price with the largest sum. This sum could be from a price with lots of small volumes occurring many times and may not be anywhere near the price bar with the largest volume.

Share this post


Link to post
Share on other sites
Are a bunch of posts deleted in this thread? Didn't see anything informative after the first post by jperl.

 

Possibly. A couple of the later threads where somewhat shorter but I seem to remember this one being longer than 5 pages.

Share this post


Link to post
Share on other sites

I'm little confused. I don't know what is the exact formula to calculate PVP. Infact, I have ensign trial, Ninjacator.com Volume at price indicator, Acme for ninja and amibroker indicator(VAP).

 

All are giving different values? If anyone can suggest a reliable indicator or exact formula to calculate PVP for ninja or amibroker?

 

Thanks.

Share this post


Link to post
Share on other sites
I'm little confused. I don't know what is the exact formula to calculate PVP. Infact, I have ensign trial, Ninjacator.com Volume at price indicator, Acme for ninja and amibroker indicator(VAP).

 

All are giving different values? If anyone can suggest a reliable indicator or exact formula to calculate PVP for ninja or amibroker?

 

Thanks.

 

PVP is what it is: Peak Volume Price. Volume at price should provide the info, but I don't have Ninja so do not know if it would give you the correct historical info bar by bar or not but certainly it would be correct at end of day. I have seen indicators where it is estimated by assuming each price tick in a given bar has the same volume (ie total volume/total range) but the most correct way is to spit the data out by tick and aggregate the volume by price that way.

Share this post


Link to post
Share on other sites

Join the conversation

You can post now and register later. If you have an account, sign in now to post with your account.
Note: Your post will require moderator approval before it will be visible.

Guest
Reply to this topic...

×   Pasted as rich text.   Paste as plain text instead

  Only 75 emoji are allowed.

×   Your link has been automatically embedded.   Display as a link instead

×   Your previous content has been restored.   Clear editor

×   You cannot paste images directly. Upload or insert images from URL.


  • Topics

  • Posts

    • BLND Blend Labs stock breakout, from Stocks to Watch at https://stockconsultant.com/?BLND
    • Date: 6th December 2024. How Will NFP Impact The Trading Markets? The Euro increased in value against most currencies on Thursday, but investors remained cautious over the ECB President’s comments. According to economists, the ECB is almost certain to cut interest rates next week. President Lagarde advises the Eurozone is likely to witness lower economic growth than previously expected. Analysts changed expectations for the US Unemployment Rate to rise to 4.2%. Most experts now expect the US rate of unemployment to remain unchanged. Poor US employment data can increase the potential for a December rate cut and further fuel the bullish trend in the stock market. EURUSD – Will The Fed Cut Interest Rates? The EURUSD rose in value on Thursday ignoring resistance levels but now moves closer to a stronger resistance point. This key level can be seen at 1.05969, but in order for the EURUSD to find bearish momentum at this level investors will be hoping for poor employment data. Economists expect the NFP Employment Change to read 215,000 and for the Unemployment Rate to remain at 4.1%. Analysts also continue to expect the growth in salaries to continue. If these three releases indicate a resilient and strong employment sector, the chances of a Federal Reserve rate cut fade. However, if the data is poorer, the US Dollar can potentially decline as a rate cut this month becomes more certain. Regarding the Euro, market participants are turning their attention to macroeconomic data from the Eurozone. Retail sales declined by 0.5% MoM, slightly worse than the expected ˗0.4%. Additionally, Germany’s industrial orders for October decreased by 1.5%, following a 4.2% rise in the previous month. This indicates weak domestic demand in both the German and broader European economies, potentially prompting the European Central Bank (ECB) to consider further interest rate cuts. A recent Reuters poll of leading economists suggests the ECB may lower borrowing costs by ˗25 basis points next week and by at least ˗100 basis points over the next year. Supporting this outlook, ECB President Christine Lagarde stated yesterday that economic growth in the Eurozone could be weaker than expected in the coming months, with risks of further deterioration likely to dominate in the medium term. The US Dollar Index is the best performing currency index so far today, but is not seeing significant gains. The Euro Index remains unchanged. The worst performing currency of the day is the Australian Dollar and the Japanese Yen. NASDAQ – How Will NFP Affect The NASDAQ? The NASDAQ retraced after gaining in value for 5 consecutive days and rising to an all-time high. So far in 2024, the NASDAQ has almost risen 30% but the short to medium term price action will depend on the upcoming employment data and next week’s consumer and producer inflation. Employment data for last week was released yesterday, showing that initial jobless claims rose by 224,000, surpassing both the forecast of 215,000 and the previous figure of 215,000. However, the total number of individuals receiving state assistance decreased from 1.896 million to 1.871 million, defying expectations of an increase to 1.910 million. Commenting on the situation, Federal Reserve Chair Jerome Powell noted that the US economy is performing better than anticipated, with declining risks of labor market deterioration. In this context, Powell suggested that the Federal Reserve could adopt a more cautious stance on monetary policy, aiming to achieve a neutral position for interest rates. Always trade with strict risk management. Your capital is the single most important aspect of your trading business. Please note that times displayed based on local time zone and are from time of writing this report. Click HERE to access the full HFM Economic calendar. Want to learn to trade and analyse the markets? Join our webinars and get analysis and trading ideas combined with better understanding of how markets work. Click HERE to register for FREE! Click HERE to READ more Market news. Michalis Efthymiou HFMarkets Disclaimer: This material is provided as a general marketing communication for information purposes only and does not constitute an independent investment research. Nothing in this communication contains, or should be considered as containing, an investment advice or an investment recommendation or a solicitation for the purpose of buying or selling of any financial instrument. All information provided is gathered from reputable sources and any information containing an indication of past performance is not a guarantee or reliable indicator of future performance. Users acknowledge that any investment in FX and CFDs products is characterized by a certain degree of uncertainty and that any investment of this nature involves a high level of risk for which the users are solely responsible and liable. We assume no liability for any loss arising from any investment made based on the information provided in this communication. This communication must not be reproduced or further distributed without our prior written permission.
    • WGS GeneDx stock, strong open, watch for a top of range breakout at https://stockconsultant.com/?WGS
    • UIS Unisys stock, nice top of range breakout at https://stockconsultant.com/?UIS
    • BX Blackstone stock, nice trend, pull back to 185.05 support area with bullish indicators at https://stockconsultant.com/?BX
×
×
  • Create New...

Important Information

By using this site, you agree to our Terms of Use.