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 XI. HUP

Recommended Posts

with the longer term HUP's such as 5,10, and 20 day,do you use a rolling time period or a fixed time?

 

I use the regular trading hours time period for the longer term HUP's although it really is not going to matter that much if you use 24 hour data since the overnight volume is usually not that large.

Share this post


Link to post
Share on other sites

First, thanks Jerry for providing such fantastic tools! I've been looking for a way to characterize the market in terms of statistics and this series of threads really cleared up a few things for me. I have a distribution related question - not HUP, but since you're active in this thread I thought I'd give it a shot here as it should be a relatively straightforward question.

 

In a normal distribution you get approx 68% of the observances in the 1st standard deviation. In a developing distribution, if I want to compute the % of observances within the first standard deviation, do I measure it from the VWAP +/- Std Deviation, or from the PVP (POC) +/- Std Deviation? Thanks for your input!

Share this post


Link to post
Share on other sites
First, thanks Jerry for providing such fantastic tools! I've been looking for a way to characterize the market in terms of statistics and this series of threads really cleared up a few things for me. I have a distribution related question - not HUP, but since you're active in this thread I thought I'd give it a shot here as it should be a relatively straightforward question.

 

In a normal distribution you get approx 68% of the observances in the 1st standard deviation. In a developing distribution, if I want to compute the % of observances within the first standard deviation, do I measure it from the VWAP +/- Std Deviation, or from the PVP (POC) +/- Std Deviation? Thanks for your input!

 

You can compute the Std Dev with respect to any starting point, however when computed with respect to the VWAP you can show that this will yield the smallest SD possible. In a normal or symmetric distribution VWAP=PVP so computing the SD with respect to PVP would give you the same SD.

Share this post


Link to post
Share on other sites

Jerry, how is your volume distribution function arrived at since you do not use MP? Of course I am referring back to your Trading With Market Statistics I. Volume Histogram; MP is a subset as you say. I have Ensign Windows with it's Price Histogram. How do I need to modify that program? Regards, Gary

Share this post


Link to post
Share on other sites
Jerry, how is your volume distribution function arrived at since you do not use MP? Of course I am referring back to your Trading With Market Statistics I. Volume Histogram; MP is a subset as you say. I have Ensign Windows with it's Price Histogram. How do I need to modify that program? Regards, Gary

 

On the price histogram study window, choose volume. The histogram will then be a volume distribution instead of a price distribution.

Share this post


Link to post
Share on other sites
Thank you Jerry, then the time would be one day .... or longer?

 

You can set the volume histogram for any time period you like. A nice feature is the ability to show the histogram for just the visible bars on your chart.

Share this post


Link to post
Share on other sites
Thank you Jerry, the volume histograms on your post of "Trading With Market Statistics I. Volume Histogram" are for that day's volume alone?

 

Yes, that is correct

Share this post


Link to post
Share on other sites

Hi Jerry:

Greetings.

You have mentioned that we can select any number of days to draw the volume histogram including the choice of limiting the data to what is avilable on the current screen.

With this wide choice,, don't the PVP value change depending on volume histogram data ( 1day, or 2 day or current screen data)?

If the PVP value change based on the quantity of data , skew with VWAP also change based on quantity of data used. Given this varience, what is the ideal data period should we use to plot volume histogram and PVP, for day trading the index futures?

 

Appreciate your advise.

 

Regards,

 

Raj

Share this post


Link to post
Share on other sites

Hello Jerry and thank you for all the hard work, I've read and love your posts. Jerry, could you specify the differences between the the VWAP and the VWMA, and why one is better or more useful than the other. Thank you.

Share this post


Link to post
Share on other sites
Hi Jerry:

Greetings.

You have mentioned that we can select any number of days to draw the volume histogram including the choice of limiting the data to what is avilable on the current screen.

With this wide choice,, don't the PVP value change depending on volume histogram data ( 1day, or 2 day or current screen data)?

If the PVP value change based on the quantity of data , skew with VWAP also change based on quantity of data used. Given this varience, what is the ideal data period should we use to plot volume histogram and PVP, for day trading the index futures?

 

Appreciate your advise.

 

Regards,

 

Raj

 

Raj, As a minimun, the amount of data should span a time period at least as long as the period over which you intend to trade. So if you are day trading, then you should have at least one days worth of previous data showing VWAP and volume histogram.

If you trade over a two or three day period, then you should have at least two or three days worth of data.

Share this post


Link to post
Share on other sites
Hello Jerry and thank you for all the hard work, I've read and love your posts. Jerry, could you specify the differences between the the VWAP and the VWMA, and why one is better or more useful than the other. Thank you.

 

The VWMA or volume weighted moving average is like any other moving average except it is weighted by volume. In practice what this means is that you have to choose a time period over which to compute the average. The problem with this, is you are always dropping the oldest data at the back of the average and adding new data at the front.

VWAP on the other hand, does not drop any of the data. It keeps adding data at the front.

Which is better? It depends on your point of view. To me, the VWAP and the histogram from which it is derived provides a clearer picture of the overall statistics of the market. The VWMA and its histogram may have no statistical significance depending on its time frame.

Share this post


Link to post
Share on other sites

Dear Jerry:

 

Thanks for your immediate response.

 

Just to clarify your reply, suppose I start day trading say on Wednesday morning, then I should set my Volume Histogram indicator to plot the summation of Tuesday & wednesday's data as the day progress?

 

Appreciate your advise.

 

Regards,

 

Raj

Share this post


Link to post
Share on other sites
Hi Jerry:

Greetings.

You have mentioned that we can select any number of days to draw the volume histogram including the choice of limiting the data to what is avilable on the current screen.

With this wide choice,, don't the PVP value change depending on volume histogram data ( 1day, or 2 day or current screen data)?

If the PVP value change based on the quantity of data , skew with VWAP also change based on quantity of data used. Given this varience, what is the ideal data period should we use to plot volume histogram and PVP, for day trading the index futures?

 

Appreciate your advise.

 

Regards,

 

Raj

 

Raj another way to look at things is from the point of view of the size of moves you want to capture and your risk tolerance. As the distance between VWAP & SD deviation is a measure of volatility and also the minimum size move you might anticipate you can 'tune things' with respect to what you would like to achieve.

 

Edit: hopefully that gives some clues to your follow up question the basic, scalp and swing trading threads have similar characteristics the main difference being the sample size and hence the magnitude (between bands) and the time taken to complete that movement (50 point moves tend to take longer than 5 tick moves after all). Pick what suits you. (I think Jerry mentionde his favourite, can't remember tbh).

Edited by BlowFish

Share this post


Link to post
Share on other sites

 

Just to clarify your reply, suppose I start day trading say on Wednesday morning, then I should set my Volume Histogram indicator to plot the summation of Tuesday & wednesday's data as the day progress?

 

 

As a minimun, yes. At the start of Wednesday, you don't have any statistical data to examine. So as a minimum you should have Tuesday's data available and add to it as the new day progresses.

Share this post


Link to post
Share on other sites

Jerry,

 

First of all, thanks for all of your very educational posts. I really appreciate it. Questions on HUP's.......

 

 

Taking out previous day's VWAP and PVP's, wouldn't it be effective to look at previous day(s) volume distributions and look for areas of acceptance and rejection as high probability targets as well?

 

Seems like to me those areas would be the most likely to be HUP's since price has price has some definitive volume history at those places.........

 

So ,,,,,,,,,,,,,,,why not put priority on previous day(s) VWAP, PVP and places of acceptance and rejection as measured by volume?

 

Thanks again,

 

Traderwolf

Share this post


Link to post
Share on other sites

Jperl,

 

Thanks for all of you very educational posts.. Question for you on HUP......

 

 

At the start of a day, I understand to use previous day VWAP and PVP's as HUP's. But would the next best source of HUP's be places in previous days or weeks where price was rejected or accepted as noted by high volume or low volume areas? High volume areas would represent places where price was accepted and low volume areas would be places where price was rejected.

 

I would appreciate your thoughts on this.

 

Traderwolf

Share this post


Link to post
Share on other sites
Jperl,

 

Thanks for all of you very educational posts.. Question for you on HUP......

 

 

At the start of a day, I understand to use previous day VWAP and PVP's as HUP's. But would the next best source of HUP's be places in previous days or weeks where price was rejected or accepted as noted by high volume or low volume areas? High volume areas would represent places where price was accepted and low volume areas would be places where price was rejected.

 

 

Traderwolf

 

Yes of course, you may use any defined HUP's you like, but don't mix apples with oranges. Be consistent. Use the same HUP's from day to day.

Share this post


Link to post
Share on other sites
Glad to see you are still around Jerry! Hope life's treating you well. :)

 

Yes, I'm still here answering the same questions over and over and over....

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

    • Date : 26th October 2021. Market Update – October 26 – Bonds and stocks rallied to start the week. USD (USDIndex 93.89) – first rate hike was pushed up to June, with two quarter point tightenings priced in for 2022. Wall Street firmed too on the back of strong earnings with more new record highs on the USA500 and the USA30. Also underpinning sentiment are expectations that the fiscal package will make it out of Congress. Fed Chair Powell warned that inflation could be higher and more persistent than previously expected. US Yields – 10yr backed up 0.9 bp overnight to 1.64%. Equities mixed – USA100 paced the advances though, climbing 0.9% amid support from the slip in yields – 4582. USA100 bounced to 15602. Facebook reported mixed third quarter earnings on Monday, slightly missing revenue estimates but continuing to grow its user base. FB +2%. TSLA (+12.6%) joins the$1 trillion market cap group after 11 yrs – took AMZN 22 yrs. It’s bigger than the combined value of the next 9 biggest car makers but it sells less than 1% of world car sales. Elon Mush added $36BN to his net wealth yesterday alone. UBS beats on revenue – but sales are mixed. USOil holds up again on supply concerns & trades close to 7-year highs at $82.50. Gold spiked at $1808. FX markets – EURUSD 1.1600, Cable bounced 1.3778, USDJPY – reversed from 113.97 highs to PP at 113.86. European Open The December 10-year Bund future is down -20 ticks at 168.45, underperforming versus US futures, although in cash markets the US 10-year rate is down from overnight highs, but still up 0.4 bp at 1.63%, as a 0.5% gain in the USA100 is leading US stock futures higher. GER30 and UK100 are posting gains of 0.2% and 0.1% at the moment, after a somewhat mixed session across Asia. Today – Upcoming central bank decisions will remain in focus, with ECB and BoJ set to announce their decisions on Thursday. Earnings: Microsoft, Alphabet, Visa, Eli Lilly, Novartis, Twitter, General electric, UBS, Robinhood. Today’s economic calendar will be of interest as well, and features October consumer confidence and September new home sales. Biggest FX Mover @ (06:30 GMT) NZDJPY (-0.28%) Reversed overnight gains from 81.88 high tp currently 81.50 area. Faster MAs, RSI & Stochastic turned lower, while in contrast MACD signal line & histogram keep rising, implying to a potential limited pullback. 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 HotForex Economic calendar. Want to learn to trade and analyse the markets? Join our webinars and get analysis and trading ideas combined with better understanding on how markets work. Click HERE to register for FREE! Click HERE to READ more Market news. Andria Pichidi Market Analyst HotForex 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.
    • Date : 25th October 2021. Market Update – October 25 – Big Earnings Week Ahead, USD Cooler. USD (USDIndex 93.50) cools a tad & again tests 4-wk low (93.44). PMIs biased to the upside as Powell talked taper but no rate rises yet, Democrats narrowed their differences on the $3.5b infra bill & Yellen talked new taxes. Yields hold up, Equities mixed Friday, FUTS down. Big week for Earnings – Oil up again on supply concerns, gold back to $1800. Evergrande – Restarted 10 building projects over weekend, announced move away from real estate towards EV production. US Yields (10yr closed higher at 1.665) & – now 1.6500% Equities mixed – USA500 -4.88 (-0.11%) at 4544 (NASDAQ –0.82%) – Big movers – SNAP -26.59% & INTEL -11.68%; Big Earnings misses, FB -5.05%, GOOGL & AMZN –3%, TSLA +1.75% – USA500.F back to 4540. Asian equities weaker. USOil up again on supply concerns & trades close to 7-year highs at $83.00 Gold very volatile Friday ($1782-$1813-$1793 on close) Back to pivot at $1800 now. FX markets – EURUSD 1.1650, Cable 1.3770, & USDJPY – (after a strong day on Friday (113.40 low) now at 113.60. Week Ahead Earnings from 5 x tech giants (FB today), plus major European Banks. Policy meetings from the ECB, BoJ & BOC, economic data includes US Q3 GDP & PCE. Plenty of CB speak, the UK Budget and month end too. European Open December 10-yr Bund future up 23 ticks at 168.51. DAX & FTSE 100 futures up 0.15% & 0.25% respectively. Inflation risks remained in focus as oil prices continue to climb higher while bottlenecks in supply chains lead to rising cost pressures. The combination already weighed on manufacturing PMIs last week & are likely to also depress the German Ifo confidence reading today ahead of Thursday’s ECB meeting. Fed Chair Powell signalled on Friday that inflation could stay higher for longer & that the taper is coming. ECB by contrast has pushed decisions on PEPP & APP back to the December meeting, which means this week’s ECB will be watched mainly for signals from Lagarde at the press conference. TToday – German IFO and BoE’s Tenreyro. Earnings: Michelin, Facebook, Restaurant Brands. HSBC surprises with 74% rise in Q3 profit and $2bln buyback. Biggest FX Mover @ (06:30 GMT) AUDJPY (+0.45%) Recovering from a strong day run fro JPY last week. Up from 84.50 tlow on Friday to test 85.00 now. Faster MAs aligned higher, MACD signal line & histogram rising, RSI 51 & neutral. H1 ATR 0.189, Daily ATR 0.817. 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 HotForex Economic calendar. Want to learn to trade and analyse the markets? Join our webinars and get analysis and trading ideas combined with better understanding on how markets work. Click HERE to register for FREE! Click HERE to READ more Market news. Stuart Cowell Head Market Analyst HotForex 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.
    • Date : 21st October 2021. Market Update – October 21 – Stocks & USD slip on big Earnings Day. USD (USDIndex 93.55) cools a tad and again tests 2-week low (93.47) Yields stronger again, Equities closed up, but FUTS are down (Nikkei -2% on stronger YEN and Yuan). Big day for Earnings – TESLA beat but revenue numbers disappointed some. Oil up on drawdown. Evergrande – Bad News $1.7bn sale of 51% of HK unit to Hopson OFF, $1.7bn sale of HK HQ OFF, $83.5m coupon default triggers tomorrow. Good News $260m bond coupon, extended by 3 mths US Yields (10yr closed higher at 1.63) & – now 1.6533% Equities moved ground higher USA500 +16 (+0.74%) at 4536 (NASDAQ –0.05%) – Big movers – Verizon +2.41% & ABBT +3.3% (PayPal – 4.91%) – USA500.F back to 4500. Asian equities weaker. New VIX contract at +1.49% at 19.60 USOil up on drawdown n strong demand at $82.00 after EIA inventories showed -400K vs build of 2.1m Gold holds at 4-day highs – $1785 FX markets – a recovering USD – EURUSD 1.1646, Cable down from 1.3830+ to 1.3800, & USDJPY – off 4-year highs and pivots at 114.00. European Open The December 10-year Bund future is down -16 ticks, US futures are also in the red. DAX and FTSE 100 futures are both down -0.45 and US futures are also in the red, with the NASDAQ underperforming again, after already closing slightly lower yesterday. Indices remain at high levels, but tapering concerns, the global energy rout and supply chain concerns are capping the outlook for global growth. Markets will continue to watch earnings reports and central bank comments, especially in the UK where officials clearly are laying the ground for an early lift off. Meanwhile the announcement of Weidmann’s departure has raised hopes that the ECB will push even more to circumvent the no-bailout clause permanently – after the end of PEPP, which already helped BTPs to outperform yesterday. Today – US Initial Jobless Claims, Philadelphia Fed Business Index, Existing Home Sales, EZ Consumer Confidence, EU Council Meeting, Fed’s Daly, Waller, RBA’s Lowe, Earnings: AT&T, Intel, American Airlines, Southwest Airlines, ABB, (bottleneck problems) Vivendi, Hermes, (beat) Pernod Ricard,(beat) Barclays, (Revenue big beat) Unilever (Sales miss). Biggest FX Mover @ (06:30 GMT) AUDJPY (-0.50%) Rejection of 86.25 this morning as Yen lifts after a very weak October. Faster MAs aligned lower, MACD signal line dips and & histogram slips significantly lower, RSI 40.00 off OS level, H1 ATR 0.189, Daily ATR 0.817. 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 HotForex Economic calendar. Want to learn to trade and analyse the markets? Join our webinars and get analysis and trading ideas combined with better understanding on how markets work. Click HERE to register for FREE! Click HERE to READ more Market news. Stuart Cowell Head Market Analyst HotForex 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.
    • Meet a maverick on Blockster   Blockster is a cryptocurrency social platform.   Blockster connects everyone within the blockchain industry into one place—all the cryptocurrencies, the teams behind the projects, as well as, the traders and investors. Communicate and network with the very core of the blockchain industry, and stay ahead of the market trends via Blockster.   Get insightful posts, reviews, breaking news, interesting comments, and latest updates from the world of cryptos, from Azeez Mustapha: https://blockster.com/AzeezMustapha46102 
    • Nice article send in here, do sharing other such articles and also share your experience of Forex Trading.
×
×
  • Create New...

Important Information

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