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I don't have a formula for you but I do have an observation. I have used
Wyckoff (the study of the relationship between price and volume) for years.
I don't think that there is a standard amount of volume needed to produce a
given move. In the case of an upmove, the amount of demand needed to put
the market up varies widely according to the amount of available supply and
the willingness of seller.
Additionally, the amount of available supply is typically different at
different points in a trends life cycle and is very different in trading
ranges than it is during the markup and execution stage. It will also vary
depending if a market is undergoing accumulation or distribution.
Don't get me wrong, Im not saying that what you are doing isn't worthwhile
or won't be helpful... but it will be difficult to draw consistent
conclusions and I would imagine that you will have to use a great deal of
judgement in how you use the tool once it is designed.
Actually I have seen a great number of efforts to measure the price\volume
relationships and have found most to have very limited application.
Good luck in your search,
If I can be of help please be sure to let me know.
Stewart.
Good luck,
Stewart.
At 10:07 AM 12/16/98 EST, JAC1390@xxxxxxx wrote:
>I am looking to develop a TS/SC formula that can be used as part of a system
>for the following two occurences:
>
>How many shares would it take to move a stock one point? I am looking to
>determine how much volume is needed to move a stock one point.I believe the
>best way of addressing this is to develop a formula that goes back in time
and
>shows the correlation between price and volume.
>
>Second: I am trying to develop a formula for progressive trailing stops. I am
>trying to develop a stop system where the trailing stop tightens as the
price
>of the
>stock moves further or closer to/ from a specific moving average or set of
>moving averages.
> For example if I use an 8% stop upon entry of position. I
>want it to change to a 5% stop when price moves within 25% of 50 day mving
>average and a 3% trailing stop when price moves to 50% of 50 DMA.
>This is an attempt:
> First: Using the function Correlation() to determine the strength of the
>correlation between Price and Volume. The parameters of correlation are
>Correlation(Ind,Dep,Length), where Ind is the Independent value, Dep is the
>Dependant value and Length is the number of bars to include in the study.
>
>Second:For the trailing stop using a variable in the ExitLong statement and
> changing the variable depending on any conditions specified.
>For Example:
>
>Condition1 = {Normal condition};
>Conditon2 = {Tightening condition};
>
>IF Condition1 THEN
> Value1 = .1;
>
>IF Condition2 THEN
> Value1 = .05;
>
>ExitLong next bar at TgtPrice * (1 - Value1);
>
>Anyone with any ideas to develop formulas to achieve my results?
>
>Thank you, Joseph Anthony
>
>
Stewart Taylor
Taylor Fixed Income Outlook
Voice: 501-219-9774
Fax: 501-228-0963
E-Mail: staylor@xxxxxxx
Web Site: http://www.cei.net/~staylor/
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