[Date Prev][Date Next][Thread Prev][Thread Next][Date Index][Thread Index]

Re: [RT] PROGRAM TRADING



PureBytes Links

Trading Reference Links

Ben,
Have you done any work combining the adv-dec and advol-decvol of the ny  
and nasdaq and possibly the Amex by adding each market and treating that 
product as a single entity?  I.E. treating all the advances in all 
markets as a single entity, etc., as contrasted with just the NY for 
example?

Results if so?

Dan

Ben wrote:

> that  idea of just cumulative adv-dec vol is valid  for overall 
> market, it leads  2-4 days sometime as much as   2-3 weeks, in 
> predicting market direction, when it makes a new high and sp500 does 
> not, it means it will make it soon,
> the fine tuning of :  "if  close is above open AND close is above 
> yesterdays close"  worked better for INTRA day trading  and the dd was 
> decreased,
> the one the  STILL has dd but  only 5-10 min  is up volume/up issues 
> minus  down volume/down issues, that works best  for intra day trading 
>
>     ----- Original Message -----
>     *From:* Charles Meyer <mailto:chaze@xxxxxxxx>
>     *To:* realtraders@xxxxxxxxxxxxxxx
>     <mailto:realtraders@xxxxxxxxxxxxxxx>
>     *Sent:* Wednesday, February 02, 2005 12:59 PM
>     *Subject:* Re: [RT] PROGRAM TRADING
>
>     Hello Ben-
>      
>     Thanks for your valued contribution.  I think you are saying that
>     you dropped the idea of using cumulative volume using
>     paramaters of "if close is above open and up volume is above down
>     volume" when you switched to using advances and
>     declines?
>      
>     Chas
>
>         ----- Original Message -----
>         *From:* Ben <mailto:profitok@xxxxxxxxxxxxx>
>         *To:* realtraders@xxxxxxxxxxxxxxx
>         <mailto:realtraders@xxxxxxxxxxxxxxx>
>         *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 -----
>             *From:* Charles Meyer <mailto:chaze@xxxxxxxx>
>             *To:* realtraders@xxxxxxxxxxxxxxx
>             <mailto:realtraders@xxxxxxxxxxxxxxx>
>             *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 -----
>                 *From:* Jacobson, Alex <mailto:AJacobson@xxxxxxxxxxxxxx>
>                 *To:* realtraders@xxxxxxxxxxxxxxx
>                 <mailto:realtraders@xxxxxxxxxxxxxxx>
>                 *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
>
>
>
>
>                 ------------------------ Yahoo! Groups Sponsor
>
>
>                  
>                 Yahoo! Groups Links
>
>
>                 <mailto:realtraders-unsubscribe@xxxxxxxxxxxxxxx>
>
>                  
>
>                 ------------------------------------------------------------------------
>                 Internal Virus Database is out-of-date.
>                 Checked by AVG Anti-Virus.
>                 Version: 7.0.300 / Virus Database: 265.6.13 - Release
>                 Date: 1/16/2005
>
>             ------------------------------------------------------------------------
>             No virus found in this incoming message.
>             Checked by AVG Anti-Virus.
>             Version: 7.0.300 / Virus Database: 265.8.3 - Release Date:
>             1/31/2005
>
>         ------------------------------------------------------------------------
>         Internal Virus Database is out-of-date.
>         Checked by AVG Anti-Virus.
>         Version: 7.0.300 / Virus Database: 265.6.13 - Release Date:
>         1/16/2005
>
>     ------------------------------------------------------------------------
>     No virus found in this incoming message.
>     Checked by AVG Anti-Virus.
>     Version: 7.0.300 / Virus Database: 265.8.3 - Release Date: 1/31/2005
>
>
> ------------------------------------------------------------------------
> *Yahoo! Groups Links*
>
>     * To visit your group on the web, go to:
>       http://groups.yahoo.com/group/realtraders/
>        
>     * To unsubscribe from this group, send an email to:
>       realtraders-unsubscribe@xxxxxxxxxxxxxxx
>       <mailto:realtraders-unsubscribe@xxxxxxxxxxxxxxx?subject=Unsubscribe>
>        
>     * Your use of Yahoo! Groups is subject to the Yahoo! Terms of
>       Service <http://docs.yahoo.com/info/terms/>.
>
>
>------------------------------------------------------------------------
>
>No virus found in this outgoing message.
>Checked by AVG Anti-Virus.
>Version: 7.0.300 / Virus Database: 265.8.3 - Release Date: 1/31/2005
>  
>



------------------------ Yahoo! Groups Sponsor --------------------~--> 
What would our lives be like without music, dance, and theater?
Donate or volunteer in the arts today at Network for Good!
http://us.click.yahoo.com/Tcy2bD/SOnJAA/cosFAA/zMEolB/TM
--------------------------------------------------------------------~-> 

 
Yahoo! Groups Links

<*> To visit your group on the web, go to:
    http://groups.yahoo.com/group/realtraders/

<*> To unsubscribe from this group, send an email to:
    realtraders-unsubscribe@xxxxxxxxxxxxxxx

<*> Your use of Yahoo! Groups is subject to:
    http://docs.yahoo.com/info/terms/