----- Original Message -----
Sent: Thursday, February 03, 2005 10:41
AM
Subject: Re: [RT] PROGRAM TRADING
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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