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That would make an interesting study. It is the intraday momentum that is
of interest here for those trades that last maybe an hour or two. Two
other rters and I(one is your student BTW) have been trading off of
indicators based on the number of upticks and downticks rather than price
changes. The tick indicators give a leading indication of the direction of
price change via divergence comparisons. Bill Blau's book has some very
good momentum indicators for this type of trading. The Ergodic and
Stochastic Momentum are the two of interest.
BobR
At 04:44 PM 7/23/97 -0700, nwinski wrote:
>bobrabcd@xxxxxxxxxxx wrote:
>>
>> Has anyone done any research or is aware of any research on separating out
>> up and down volume from total volume when calculating put/call ratios. A
>> quick glance seems to show that using total volume results in a grossly
>> misleading indicator and results in the imprecise timing value of the
>> ratio. Using up and down dollar volume appears to also lend directional
>> bias.
>>
>> BobR
>
>Bob,
> None of these raw option numbers based on volume mean much if not
>measured relative to open interest.
>
>Openingly and Interestingly,
>
>Norman
>
>
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