----- 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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