[amibroker] Re: Volume and short term mechanical trading

["Chaitanya Garikiparthi" <chetan.gariki@xxxxxxxxx>]

Hello Mr. Herman,

So have you found any leads? 

i have been exposed to some volume based (bid side vs ask side) 
trading on the ioamt/ita websites; and it seems quite important for 
intraday future trading. Similarly maybe if we can somehow separate 
bid vs ask volume for stock trading also, on EOD basis and kind of 
see whether most volume is on bid side or ask side it might help; 
specifically say if a move is say to the up one day, based on whether 
the up move was due to offers being lifted by buyers (aggressively) 
or simply due to daily static (not much domination of buyers), might 
help. But i think this might be a hard proposition to test as it will 
not only require intraday data but maybe level-2 data etc.. well then 
its probably too complex.

has anyone found a simpler way of using volume for exactly this type 
of trading systems that Herman is talking about in this post (about 
10 days eod based trading, reversal trading in the direction of major 
trend).

thanks 
Chaitanya. 



--- In amibroker@xxxxxxxxxxxxxxx, "Herman van den Bergen" 
<psytek@xxx> wrote:
>
> The latest flurry of posts on volume makes me wonder whether 
anybody has
> successfully incorporated the volume factor in very-short-term (1-
10 days),
> always in the market, reversal trading systems.
> 
> I have tried many times but failed miserably to improve any system 
using
> volume data. Any examples, code or description, would be much 
appreciated.
> Knowing that somebody out there has used volume successfully in a 
mechanical
> trading system might encourage me to try again.
> 
> Best regards,
> Herman.
>




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