Only Price and Time as Indicators

[Solas0077]

Only price and time is the way to go. Volume is useless.

 

[wallstreetwarrior87]

Only price and time is the way to go. Volume is useless.

Can you elaborate?

Statements dont really help, need to know your reasons why this is (or you think this is) the case.

Thanks.

 

[DionysusToast]

Hi DionysusToast,

Would you be kind enough to comment on how volume play into the trend fade? I know that i get better fills with higher volume, but don't know how to connect volume with price. I'm not asking for you system, just a general idea. Thanks!

Price wont move up in a straight line. It moves up, then builds volume in a range, then moves up and builds volume in a range, then moves up some more.

These areas where we consolidate in moves up are places where "perma faders" tend to fade the trend and get stopped out.

To simplify somewhat - these consolidation areas will tend to break upside if the trend is still holding but if they don't then that volume at the top (or bottom) will generally stop a retrace up - that's the place you want to fade.

In addition - any range that commences without clearing the range below should also be considered suspect.

Fading as a rule is a mugs game anyway - esp if it's trying to catch the daily high or low. Much better to have volume above you - or POSITIONS above you that are offside to help fuel the move down.

 

[PieterSteidelmayer]

Laura won't quote you main post above, but it's still unclear under what basis you're closing the 90% of your trades based on a time of day basis. Trading against the trend is fine if that's your your bag, but had you considered trading with it and using the reversal as per your definition of an entry, as the exit?

It all seems a little unglued really.

 

[LauraRomans]

PieterS, Great idea to use my exit as a reversal to re-enter. One of three things canhappen.
1) The reversal works and the system gains profit
2) The reversal fails and the system needs to be modified to stay in longer
3) The reversal is a break-even which confirms the system's exit strategy

Agreed?

 

[LauraRomans]

DionysusToast (and All),

This systems seems to, based on back-trading results, enter on low volume and exit on high volume. I'm not familial with volume and consolation (please excuse and help my ignorance). Does this seem proper?

 

[PieterSteidelmayer]

PieterS, Great idea to use my exit as a reversal to re-enter. One of three things canhappen.
1) The reversal works and the system gains profit
2) The reversal fails and the system needs to be modified to stay in longer
3) The reversal is a break-even which confirms the system's exit strategy

Agreed?

No. What I suggested was to use your entry criteria only in the direction of the trend.So if in an up trend, only enter when you have no lower low in the last three bars. I then suggested you use 'no higher high on the last 3 bars' as an exit, rather than an arbitrary target derived from risk or based on a still to be defined time of day.

I'm not advocating this suggestion or confirming your method as I think both are lacking in so many respects other than simplicity, which is the only thing that keeps my interest to be honest.

 

[PieterSteidelmayer]

DionysusToast (and All),

This systems seems to, based on back-trading results, enter on low volume and exit on high volume. I'm not familial with volume and consolation (please excuse and help my ignorance). Does this seem proper?

This is DionysusToast's bag and you've aimed it at him, but as you've also opened up to all my position is that volume has no bearing at anything other than transaction/tick level.

 

[LauraRomans]

Thank you PieterS!

Now I see what you are saying. In looking back at the graphic results of back testing show the time exit generally triggering at the highest high or lowest low. The timing exit was built on that price signal.

Just to show my ignorance, my first try at coding this had the trade entering and exiting on the same 1 minute bar. Result: 100% Win/Loss ratio. How embarrassing :/

 

[DionysusToast]

DionysusToast (and All),

This systems seems to, based on back-trading results, enter on low volume and exit on high volume. I'm not familial with volume and consolation (please excuse and help my ignorance). Does this seem proper?

I'm not sure I understand your question I'm afraid.

I presume "This systems seems to, based on back-trading results, enter on low volume and exit on high volume" - refers to your system and not my post.

If so - can you explain what you mean by entering on low volume & exiting on high volume.

Specifically - is this volume for a 1 min bar or volume @ price and second - at what point are you establishing that the bar/price volume is high or low? After the bar has closed?

 

[DionysusToast]

This is DionysusToast's bag and you've aimed it at him, but as you've also opened up to all my position is that volume has no bearing at anything other than transaction/tick level.

I disagree with that.

Volume traded at price has a bearing in terms of giving you a way to assess how many traders may be positioned over a range of prices and what might occur if we trade outside that range.

 

[LauraRomans]

Yes, sorry, that was confusing.

My system enters by fading a trend on a local high or low based on the price of a 1 minute bar. In hindsight, looking at the volume (1 min bars) for the entries, the volume on the entry bar is lower than the average volume. Perhaps the reversal of price decreased trading volume.

Conversely, my system exits a few minutes later at a local high or low. The 1 minute bar volume of the exit is greater than the average volume. Perhaps the market is going into the trend again and volume is pressing the price into the trend's direction.

Does this seem correct?

 

[PieterSteidelmayer]

Volume traded at price has a bearing in terms of giving you a way to assess how many traders may be positioned over a range of prices and what might occur if we trade outside that range.

Are you equating the range of the bar with the range of prices? If so, volume for that entire bar adds no further information to the high and the low of that bar. We don't know how much volume traded at each level between the high and the low or the distribution of volume across the range. Was it roughly equally distributed? Lumpy? Towards the middle, top or bottom?

T&S is the only reliable way to assess the auction process and DOM (or order flow if you're that side of the book) the only way to get a insight into price development.

 

[PieterSteidelmayer]

I'm not advocating this suggestion or confirming your method as I think both are lacking in so many respects other than simplicity, which is the only thing that keeps my interest to be honest.

As an additional caveat I think even if modifying your system as I suggest you will still be cut to pieces, but less quickly than you would with the unmodified one.

I don't trade 1 minute, but intuition hints at you being whipsawed to the poor house.

 

[DionysusToast]

Are you equating the range of the bar with the range of prices? If so, volume for that entire bar adds no further information to the high and the low of that bar. We don't know how much volume traded at each level between the high and the low or the distribution of volume across the range. Was it roughly equally distributed? Lumpy? Towards the middle, top or bottom?

T&S is the only reliable way to assess the auction process and DOM (or order flow if you're that side of the book) the only way to get a insight into price development.

I would not be using volume per bar but volume at price.

 

[PieterSteidelmayer]

I would not be using volume per bar but volume at price.

Then I am in total agreement with you.

 

[tar]

50000 contracts traded @ 1600 .
It means 50K contracts changed hands at that level .
50K longs and 50K shorts , you cant have a long without a short .
50K could be to enter the market or to exit or a mixture of both .
Its even could be that both the longs and shorts are for an exit .
We always pay attention to market orders but we ignore limit orders . Nothing wrong with adding volume to your tools , you're free to use whatever you want , some may use a coin others may look at the sky , at the end its a battle for money and there's no such thing as a holy grail or a shortcut , just don't underestimate who's on the other side of your trades i'm sure they know all about the "volume" and they know what you know about the "volume" and what you think of it ... etc . Good Luck .

 

[LauraRomans]

PieterSteidelmayer and DionysusToast, thank you so much for your explanations and insight!

Looks like I have some homework (looking at volume at price, not at the 1 min bar) to get me to the real meaning of price driving trends and shrinking into fades. Your help is appreciated!

 

[PieterSteidelmayer]

50K longs and 50K shorts , you cant have a long without a short .

What?

 

[tar]

What?

Sorry , for every buyer there's a seller .