Energy Trading - July 22

[earik]

Hi Everyone,

I wrote (re-wrote, actually) an ask-volume/bid-volume momentum script yesterday, and have been messing around with it in the context of Wave59's new energy bar feature. This volume stuff really is interesting. Check out what happened yesterday:

energy_22july2015.png (53.93 KiB) Viewed 21720 times

The chart on top is a regular 2-min OHLC chart, and the chart on the bottom is the energy chart. The momentum indicator is shown on the top chart. It looked pretty squished in the stacked view, so I spread it out to cover the chart - sorry if that's a little confusing. Anyway, a good approach seems to be to use the energy bars to get the general overview of what the market is doing in order to get the bias. I've just been using simple trendline breaks, and market structure to that end. So the trend was until around 7:30 Pacific Time, when we broke the trendlines and started making lower lows and lower highs. That's a downtrend in volume and price, and it's very clear if you just follow simple analysis steps like that. This continued all the way down into 11:00, when things reversed.

Notice how the bid/ask volume momentum indicator played into this. There's the bid-ask momentum line (blue), and then the smoothed (red) line. When the blue crosses the red at a high, that's a sell signal, and when it happens at a low, that's a buy signal. Although it uses volume as well, it's not based on the same ideas as the energy bars, so these are different ways of looking at similar things, and the confluence signals between them were pretty clear yesterday. There's definitely an ebb-and-flow to volume, so thinking in terms of Elliot-style impulses and corrections can be helpful.

Anyway, interesting stuff...!

As a completely unrelated aside, let me just say that uploading an image and posting it inline is SO EASY on this board. lol. Makes me wish we had switched solutions years ago. Feel free to forget the html commands that you've all been forced to memorize in order to get your charts to show.

Regards,

Earik

[kurthulse]

To supplement the momentum crossover indicator, you might also like the clean signals that come from training the adaptive CCI on ask-bid volume. Here's an example showing the ES 2-minute chart for the same day. Setting the CCI's alpha input to a very small number stabilizes the signal some.

I love the new forum software!

2015-07-23 ES ask-bid CCI.png (14.87 KiB) Viewed 21695 times

[soldado1976]

Earik,
I have been out of the loop and now that the old board is gone (for the time being) I believe I missed whether or not this new feature was currently available or something coming out in the new platform?

Thanks!

[earik]

Hi Soldado,

The current version (2.22) has it. You need to be using IQFeed though, and you have to run that data feed through a new utility (IQCollector), which ships with 2.22. Then, in W59, connect it up by going file - data source = iqcollector, and you get some new chart types, as well as the ability to use bid/ask volume. Download 2.22 and install right over the top of what you have now, and it will bring you up-to-date.

Regards,

Earik

[soldado1976]

Is there a tutorial on the Iq Collector? I am a IQ feed user, yet whenver I switch to the collector it seems to disconnect.
Thanks!

[earik]

Yes, there is. From IQC, look in the help menu and you'll find a movie there.

Earik

[Simon.B]

Hi Earik,

I like the new volume charts, but running in to a problem of having to reload current day's data pretty frequently, otherwise volume plot is inaccurate. Have you noticed this on your volume charts ?

[earik]

Hi Simon,

I will check it out. When you say reload, do you re-download the history for the day, or just do a "recalculate all" on the chart?

Earik

[Simon.B]

Hi Earik,

No, just recalculating doesn't fix it, it seems ticks are missed and/or calculations are off. It's hard to explain, it's like let's say volume chart has been going lower for a while, and now shows volume of -100K, if I reload data, for today only, the look of volume chart will often not change, but value will, it will jump to negative 80K for example, and that changes the pattern and last reading value on the chart.

It doesn't have to be done every 10 min or so, but if you will it run for over an hour - you will definitely see the difference once you re-load.

Hope I explained okay,

[earik]

Hi Simon,

The value is just a running total that starts at an arbitrary point in the beginning. If you took two charts, using the exact same data, but left one day off at the beginning, both charts would show a different value. That's because it's a kind of cumulative calculation, and since there's no bound to it (it just adds up or down) then it matters where you start from. But if you keep the same data and don't mess with the chart, you also shouldn't see any values change anywhere. So if that's what you see, something is up, especially if the values change when you re-download a day somewhere in there...

Earik