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Hello Charles
My original volume study show that just
taking the up volume each day and deducting the down volume (cumulative)
will show the overall trend in the market,
later I refined it to only add volume to cumulative
if the close is above open and up volume is above down
volume,
when trying to apply it to intra day trading, i.e.
nq or es, I find it leading by 10-15 min
and had large dd (4-6 points before making
4-6 points)
to refine things
I took up volume/up issues minus down
volume/down issues
that did a MUCH better job with less dd
and same good results
----- Original Message -----
Sent: Wednesday, February 02, 2005 11:23
AM
Subject: Re: [RT] PROGRAM TRADING
Alex-
Looks like you've thought about this issue
too? Tks for your response. Perhaps the best I can do is to FORGET
ABOUT
making an issue of trying to use volume as an
indicator. Wordon wrote a great paper (I no longer have a copy) about
why
his tick volume made it's way onto
the rubbish heap of volume indicators; expecially as applied to the
overall market and
indexes. The service his sons run I think are still big on volume regards
individual stocks. I don't do individual stocks.
BTW; does anyone know where I can run this by Ben
of RT fame? I think volume is important in his decision making.
Chas
----- Original Message -----
Sent: Wednesday, February 02, 2005 9:58
AM
Subject: RE: [RT] PROGRAM TRADING
Pure volume has very little meaning for the reasons you
state. In stocks it has been quite some time since you could get
genuine directional volume data. It's worse in derivates where
probably two thirds of the trading is hedge relayed. Some people try
to filter back to public only, but that data is rarely
realtime.
-----Original Message-----
From: Charles Meyer
[mailto:chaze@xxxxxxxx]
Sent: Wed 2/2/2005 9:55 AM
To: REAL
TRADERS
Subject: [RT] PROGRAM TRADING
Group-
I was
wondering if I can get some feedback on the subject of program trading; as
it relates to volume analysis. I've been doing a lot of studying on
this subject and here's the issue. In the old days; total volume of
shares traded was just that; insofaras it accounted for all the exchange
trading. Today; end of day volume of shares traded on both the NYSE
and the NASDAQ is greatly influenced by program trading. It is said to
account for about an estimated 50% of all volume. Stated simply;
program trading greatly influences total volume. Now; it seems to me
this has to greatly impact the INTERPRETATION OF VOLUME BASED INDICATORS;
because we are no longer seeing the pure forces of supply and demand as in
the days when program trading didn't exist?
To further complicate
matters (if it is necessary to do so; but I am getting ahead of myself here)
of all program trading;
only 10% is the index arb variety where stocks
are sold; and futures are bought simultaneously; and vice versa.
However;
there are OTHER and perhaps MORE IMPORTANT types of program
trading strategies which must impact the analysis
of supply and demand
vis a via volume based indicators? If I may provide an example.
Last Friday sell programs drove the Dow down about 50-points when sell price
levels were hit and program trading came into the market. For
DAYTRADING purposes this was valuable information since one could have front
run these orders on the short side. However; on some days one would
lose money and the correct strategy would be to fade a sell program by
buying into the market at those levels and times.
Daytrading impact
aside; is there a way to modify volume based indicators which would provide
a clearer representation
of pure supply/demand market generated
information for the purposes of swing and end of day trading? If
someone could
please share their experiences and there are no answers to
this dilema; it will at least save me a lot of wasted time and energy
trodding a worthless path.
If you have been with me this far;
thank you for your time and attention; and any
feedback.
Chas
for by program
trading
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