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-- Big Mike, Site Administrator
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OK, BM, here ya go. CL 5 min chart with my setup. Am attaching the chart template. If there is stuff on it you don't have, hopefully you can still get the settings for the FibBand4 (which has a preliminary lookback feature which I intend to upgrade when you come up with a no doubt more intelligent approach!) which computes the typical range based on half, the period and twice the period input using Donchians because they are simple and I understand them and it took me only a few minutes to code.
I have marked an arrow on the chart at the point at which without doubt the POC still there was in place because price did not go above it at that point. And at this point both the collective MA which is tied to VWAP (also new addition last night) and the VWAP are clearly beneath the POC price giving the current up market (okay, not strong up but still up tending to sideways) a clearly bearish tilt.
I have also marked some previous SR and SRP levels which start when the Ray starts so you can see why they are marked there. Usually in actual trading I don't mark them because I can see them.
After the orange bar which was also a strong down bar, mkt goes to previous SRP level which holds within a few ticks. Bounces just a little and we get a nice up bar. At which point a breakthrough of that bar's low, or since it's so close the current RL, given the negative skew and this being a previous SRP level, now definite SR level since it's been 'used' twice, a short could be put on around 74.05 = RL-2 ticks. I don't follow Crude but if whole numbers are a big deal which I suspect is the case, then maybe 73.97 or whatever.
Mkt goes down to 73.92, bounces up to 74.02 and off she goes down.
Note: my SR-R level is usually 3 ticks below a broken SR. That SR was 74.05 because 74.05 was 2 ticks below the previous SR of 74.07 so that is the trigger entry price. Then once that is broached, minus 3 ticks (general rule is 2 ticks above/below trigger or entry price, plus 1 tick to get the fill = 3 ticks), i.e. 74.02 so possibly not filled in this case.
A simple trail stop would have got out around 73.05 = about 1 point.
I am not sure if the attached template has the same settings. I think for Crude I change the Band1ratio from 1.382 to 1 since Crude is more volatile than Gold. So my lookback feature is not quite working right but is close. Ideally should never need to change the bands.
Also attach code so you can load template assuming you have the Dvalue already. Have not put this in the thread for this indicator because changes last night are new and also expect to improve the lookback feature soon. Thanks for the idea. I was already playing with this in another indicator - CCLSR - whose main purpose is to guage typical swings and draw bands based on that. Why I didn't think to do a similar thing with the FibBand as a lookback I don't know. So thanks for the idea and I can't wait to see your new Fib Expansion version. I love the way you code because I can always understand it.
PS. This picture also illustrates why I sometimes have a hard time following the trend - or maybe defining it. Again, in early going this was an up market. Had just made a LT Higher High; MA is still up. VWAP is sideways but was just up. Market could easily go higher, right? But the skew is negative basis relationship of VWAP and POC and market has had more than an hour to build this relationship, i.e. it is now meaningful. And down she goes. Of course, this is all revealed in the price action as lower lows are made and the MA turns down. But still, I think it's interesting.
I thought you might find this one interesting. Shows underlying structure of Crude is quite workable on some level. Using Roonius' excellent P&F type.
Esp. during recent down move there were many lovely PF setups for re-entering short. Sure it isn't always this good, but still this is not cherry-picked.
Since I am on a roll with the Perl method - which I only discovered a few days ago and have yet to review again, though it is simple like all good methods - here is the Gold PF chart with basic VWAP + std deviation bands.
I have marked with blue arrows (sorry, a little dark) the prices where, based on negative skew, Perl might have gone short (LL after up bar after band penetration).
1 Short 1104.50
2 Short 1107.80
3 Short 1114.40
4 Short 1116.50
Average Entry Price assuming same number each time (though probably would have gone to 2 for the last two or even 3 for the top one) =
1110.80.
At 215 (day close I believe), mkt got back down to EXACTLY the 1108.00 POC (which in Dvalue is not always spot on due to calc. method which averages prices across the bars and 5 mins is really a little too long for this approach). But, checking my Gom workspace, according to his bid-ask tick-by-tick calcs (started a few minutes late with occasional gaps), its 1108.00 which is TO THE TICK where it sold down to at 215, i.e. this is NO COINCIDENCE.
So assuming tgt was 2 ticks above that POC at 1108.2, the combined profit on this seemingly outrageous approach - which Perl shows in his videos so I'm not making this all up - would be 2.6 * 4 = 10.4.
Now, I am not doing a RR calc on this because I am too lazy, but I am sure it is brutally bad. But his stop method is a straight % of capital. So assuming about $50,000 or more for this approach, that's about $1000.00, so you couldn't have done this with this small an account since the drawdown from #1 alone was about $1400. But the point here was the principle behind his thinking which emphasises relationship of VWAP and POC in terms of what he calls 'skew'.
OK, last but not least in the ongoing Dec 18th POC-fest.
I just loaded Silver (march) for the week before closing down and backing up NT as I do every Friday. I can't get TF any more for some reason so I'm done for the week now.
Look at these 2 charts, 1 the 5 min SI from today, and on the right a LT tick chart (better for 24 hour coverage than time charts) with the weekly Dvalue. The main one to watch in each case is the thicker Red line which shows the previous period's TOC. On the 5 min this is yesterday's TOC. On the LT this is last week's TOC. Now the somewhat opaque red line is today's forming TOC and in the LT chart it is this week's TOC which, since today is Friday, is it.
Note how yesterday's TOC was
a) hit to the tick on a bounce up before pulling back down and
b) happens to be the exact same price as the entire weekly TOC on the right-hand chart.
Clearly these numbers are important, valuable information. And again, not easy to spot on bar charts alone. Today's TOC for example, runs through zillions of bars (congestion zone). But on Monday it could end up providing very clear support or resistance and end up as a Swing Low or High, even Day Low or High.
I really wish there was an indicator that could just plot these TOC points bar by bar, including remembering each day's TOC and the weekly TOC's and plotting the whole thing like pivot indicators. To me that would be the ideal pivot indicator. I guess I'll have to go over to the 'make your indicator' thread and post this whole thing over again. I am convinced this would be an extremely helpful indicator. And it doesn't need to be one of those on-bar-update-only deals. The Dvalue calculations don't need that so you can throw them up on any chart in any timeframe any time and they work just great. Truly excellent indicator. Thanks to DeanV(?) for making it and publishing it on the NT forum.
Definitely the last today, but had to go over to Gomi workspace to close it down and noticed what I have market with arrows. Now the middle arrows are questionable because the Vol Profile points might have formed after where they are pointing to now. But the bottom and top ones were definitely formed before price got down there since in each case they were just touched - and in each case TO THE TICK - so they were there already. So some of the volume indicators available are giving out extremely helpful information which again is not so easily revealed by the price bars alone. Yes, both of them were at or near my own SRP method points, but the volume indicators reveal them with much more precision and clarity singling out these precise price points amongst many others that my SR lines and other methods would be selecting.
Big Mike
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Thanks Ash. Here is my GC chart for today, if you're interested:
Yes, I went over. Very impressive. For your approach's universality and clarity. A sense of masterfulness, if such a word exists.
Meanwhile, I plod and leap with my explorations! I came here a month or so back because of a link to the thread on using volume. I have never trusted indicators very much but found myself playing with them more once I turned to daytrading last year and Ninja. Since I cannot backtest simple ideas via strategies to get W/L stats etc. I started using indicators. I have learned quite a lot but still don't trust them because I find they are all too tweakable. But the volume ones a) show information often not revealed in the price bars alone and b) are generally not all that tweakable (period lengths etc.), though there are some things that I am coming to realise make more difference than I had noticed, such as when you start the VWAP or volume profiles (at day-session time or overnight). But that is a universal variable I guess.
In any case, now I have the dynamic PVP from DeanV who kindly coded it in response to my request and published it yesterday whilst I was fumbling through (semi-successfully) to do the same thing, I feel that part of the Volume Profile journey for me is done, although I do wish to slowly study Delta stuff and the step ladders, but very much in the background since at first sight they seem to provide far too much information for my little noggin to process in live trading.
The attached picture shows a chart of recent Gold action via a tick chart. I am regularly comparing anything with 5 min charts but am finding that for much of the volume work, especially those that are not in live-update-only mode, they are too slow to get accurate data and the tick charts are better. Probably 1 min would be fine but I don't like the bar formations on 1 min and prefer ticks.
Anyway: the attached picture features the brand new dynamic PVP. I have coded in a very transparent backcolor that shows when the relationship between VWAP and dynPVP shifts intraday. This constitutes a volume-based leading indicator that doesn't exist anywhere else in the world right now except on this chart - as far as I know. Perhaps some of the commercial versions do this already but I have never tested them.
I have marked arrows on the chart to show where the dynPVP flipped and its relationship to the VWAP changed. In this chart the VWAP is 24 hour. Using day-session VWAP can change the picture quite a bit on certain days and this is the one variable element about this that I have not resolved yet, esp. since the dValueHistogram (green) starts with the Day-Session.
The dynPVP is drawn as red dash hash plots versus a line.
In any case, the arrows show a new leading indicator trend/bias. I think bias here is better than trend because they are just as helpful during consolidation periods as breakout/trend periods. Note how in each case in this non cherry-picked sample even though the arrows weren't 'right' immediately, there were very tradeable setups using bands or whatever that emerged soon afterwards.
For example: the overnight up arrow provided 2 great lower band entries even though shortly after it was triggered the market sold off.
Then at 9.43 after a healthy-looking runup (also in line with the positive bias and despite a strong sell off in the early going) it provided a very timely indication that this was going to peak out. Notice how the dynPVP flipped at this point (which is why the arrow/bias-change occurred).
Then at 11.04 the bias switched to bullish. Mkt pulled back to LB1 (lower band 1) and she was off to the races to the upside.
However, meanwhile at 12.03 in the middle of this strong move, the PVP flipped again to short bias. Looks like a very bad call. But then at 1415 (the day-session close) the market had managed to sell off 10 points (equ to 1 CL point) in little over an hour to come to the PVP price to the tick meaning that if one had been bold enough to start scaling in at the short bias flip around 12.00 and kept selling each band, one would have made bundle in the end. Not practical approach for most daytraders but this set up and resolution was demonstrated in Perl's videos and it does seem to happen this way fairly regularly, though not necessarily to the tick as in this example.
So there we have it. A new volume-based leading indicator helpful in both trending and consolidating markets. I shall next post a picture of the same period comparing the day-session Vwap to the 24 hour vwap but with the same arrows etc. which is all the dValue programming can see at this point because I cannot reference a day-session only VWAP in dValue though I suspect this can be done by including a VWAP series in dValue day session somehow.
This one shows the bands based on the 24hr VWAP (versus a collective MA as in pic above) and a more standard way of calculating the bands based on price% and ATR versus ATR-only, and then a brighter magenta day-session VWAP. I have drawn a brighter blue arrow to show where at 838 just after a report the bias was down using day-session VWAP versus 24VWAP bias was still up. Both were correct at different points: the ds right in the shorter term, the 24hr right longer term.
Also of interest: I have drawn a brighter gold up arrow at the point where the ds bias would have shifted to up EXCEPT that on the same bar the POC flipped making the bias down. At the same time the 24 hr bias also switched to bearish after which both vwaps pretty much agreed with POC in terms of bias the rest of the day. But this also shows how having the dynamic PVP is very helpful, not only in review but in live trading.
There is a new version of the VWAP that allows you to save the start and end times in a template which default version cannot do. Also can apply multipliers to the SD bands.
