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No I only follow nasdaq and nyse,
each has a spread sheet with all calculations,
Ben
----- Original Message -----
From: "Dan C" <dan.danc@xxxxxxxxxxxxx>
To: <realtraders@xxxxxxxxxxxxxxx>
Sent: Wednesday, February 02, 2005 3:47 PM
Subject: Re: [RT] PROGRAM TRADING
>
> 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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