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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
>
>
>
>
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