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  • #21
  • Jun 18, 2014 7:37pm Jun 18, 2014 7:37pm
Quoting Magix
{quote} Yes. && No. Joe...you will want to see how this thread unfolds... This is actually something worth viewing. Here, you will see the failures and successes of your predecessors...here you will have the privilege of learning from the rights and wrongs... What you take from this thread, could conceivably be the most you will ever learn in market.
My GOD!! that is perhaps the greatest compliment I have ever received here...at least I am going to take it that way...THANK YOU SO MUCH!
  • #22
  • Jun 18, 2014 7:46pm Jun 18, 2014 7:46pm
Quoting gspajon
{quote} My GOD!! that is perhaps the greatest compliment I have ever received here...at least I am going to take it that way...THANK YOU SO MUCH!
These are the first steps in your journey of a thousand miles...

Taking them, the credit is all yours...

But the weight you now carry, is too...

LINK
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Money Can't Buy Happiness. Poverty Can't Buy SHIT! You Choose!
  • #23
  • Jun 18, 2014 7:49pm Jun 18, 2014 7:49pm
Hello again..

I put some time into it and I had an idea of figuring out the volume from M1, M5 and M15 bar charts..

And here is the end result. So in a way, I am getting the total velocity of all the M1 bars within H4, M5 bars in H4, etc and plotting them in different colors as a bar in histogram chart (M15 - RyoalBlue, M5 - Orange, M1 - Lime).

The yellow line is the MA of the sum of the 3. It looks pretty interesting.. seems like if yellow is below 0 and slope is negative then shorts and if its above 0 and slope is positive its long.

Is the velocity that you speak of any different from this? Any light you could shed?

Thank you so much!
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Focus, Patience, Determination & Order in chaos
  • #24
  • Edited 8:41pm Jun 18, 2014 8:26pm | Edited 8:41pm
Quoting saver0
Hello again.. I put some time into it and I had an idea of figuring out the volume from M1, M5 and M15 bar charts.. And here is the end result. So in a way, I am getting the total velocity of all the M1 bars within H4, M5 bars in H4, etc and plotting them in different colors as a bar in histogram chart (M15 - RyoalBlue, M5 - Orange, M1 - Lime). The yellow line is the MA of the sum of the 3. It looks pretty interesting.. seems like if yellow is below 0 and slope is negative then shorts and if its above 0 and slope is positive its long. Is the velocity...
I'm not quite sure how you would get a negative number from volume data unless you are defining "bearish volume" as a negative number. But that is just volume. As far as velocity goes...remember that any velocity is expressed as a relationship to time. And considering that time is also variable it is necessary to consider how this variable effects the "speed" of price change.Without giving away my own conclusion the idea of pips per hour if you are looking at longer term charts would seem consistent with the idea. However I again caution you about using MT4 volume data. It can throw you way off track.
  • #25
  • Edited Jun 19, 2014 5:41am Jun 18, 2014 8:39pm | Edited Jun 19, 2014 5:41am
Quoting gspajon
I have an idea that has been floating around in my head now for several years.
Ok here's what I learned. Not sure if you can use this in what you seek.

Excuse any horrible grammar. Not that educated. I will try to be brief.

I always believed that if I watched live price in motion long enough, I would be able to read the order flow and trade solely on that alone with only one chart open, super clean, price only, no lines. It started with the 1 and 2 minute charts and then I started using tick charts. I thought the tick was going to give me an enormous edge trading FX. In futures, tick chart use is the norm but you rarely see tick charts posted for FX trades. Anyway, the tick charts alone did not give me the edge I was looking for.

A few months ago I had a cascade of AHA moments.

First moment: I realized that the tick charts were missing the visual of speed at which price moved. A shooting candle or a long wick on a time chart for the most part will not appear the same on the tick chart unless it was a massive move. The candle blocks of orders appear with maybe some small wicks but the velocity of the move was hard to read if not impossible.

Second moment: While laying out my price channel lines on a particular pair, I started jumping around to different time frames to better fit price on my screen. This was for no other purpose but to be able to work with the area of price active in my price channels. What I found was that every instrument had a sweet spot in time for velocity. My software allows for custom time. If I want 10 minutes or 20 minutes charts, I can have it.

So now I started exploring different times for different instruments. The instruments with less volume needed slightly more minutes.

Third Moment: Once I found the sweet spots for velocity, I started to see something. Now the something, I can not share because this is a zero sum business but it has relevance to what this thread is about. I have found a few moves that are based solely upon the speed of price. The success rate is ridiculous. Almost tempting enough to bet the farm but I'm still learning it. Actually the only losing trades I have now are boredom trades using old methods when I can't find the new something ..... or trades left open during news like today. Dam it...

Anyway point being.... This new method I use is solely based on a read I get on price based on the Velocity of the move which for the most part happens more during peak hours which means they are absolutely associated with high volume. I am having the same positive results with futures as well using the same finding.

Don't know if this is relative to your studies...

It's the reason why I changed my signature a few months ago to what it is now and also the reason why I became obsessed with my trend-line channels as I need them to gauge a take profit area using the new method.
SPC * Swollen PocketZ Crew!
  • #26
  • Jun 18, 2014 9:14pm Jun 18, 2014 9:14pm
Joe, it sounds to me like you and I have been traveling parallel paths. You are finding that the variability of time and volume affects the "velocity" of price. I submit that you will also be able to find turns in the market based on these observations. Knowing this helps me ride the move to almost its entire completion point, allowing for the most efficient trading possible.

Congratulations Joe!
  • #27
  • Jun 18, 2014 9:16pm Jun 18, 2014 9:16pm
Quoting gspajon
{quote} I'm not quite sure how you would get a negative number from volume data unless you are defining "bearish volume" as a negative number. But that is just volume. As far as velocity goes...remember that any velocity is expressed as a relationship to time. And considering that time is also variable it is necessary to consider how this variable effects the "speed" of price change.Without giving away my own conclusion the idea of pips per hour if you are looking at longer term charts would seem consistent with the idea. However I again caution...

Like quite a few here, I'm intrigued by the start of this thread so far. My opinion, which has been formed over a number of years, is that price is the ultimate expression of all of these things combined. Price moves in underlying patterns which I call "differentials". The existence of human emotions of fear and greed are expressed clearly in nuances of price movement that are mostly irrelevant to price levels themselves but are evident in this layer described. My work on this has been fascinating to me and it sounds as though you're on a similar quest. It will be worth the effort. What I do might not work for you at all, and what you do might not work for me. This is an underlying constant that's CONSTANTLY ignored..We're all wired different and it sounds like you're landing on the thing that's driving a passion for deeper discovery. IT's a heck of a ride that's worth every adversity along the way...

"Holy Grail" exists - accepting where is the first step.
  • #28
  • Jun 18, 2014 9:26pm Jun 18, 2014 9:26pm
Quoting VaBikePacker
... price is the ultimate expression of all of these things combined. ...
Whole heartedly agree...price is the RESULT of all the other market variables. In fact, I have relegated it to "incidental" in order of importance. My decisions to buy, hold or sell are no longer based on price, but "control".

The only thing I care about price now is that it rises after I buy and falls after I sell...DUH!!
  • #29
  • Jun 18, 2014 9:35pm Jun 18, 2014 9:35pm
Quoting gspajon
{quote} The only thing I care about price now is that it rises after I buy and falls after I sell...DUH!!
Well...yeh...direction is 90% IMO...

My findings are that all of these pairs have their own habits that express themselves VERY clearly if you're willing to look under the hood...
"Holy Grail" exists - accepting where is the first step.
  • #30
  • Jun 18, 2014 10:20pm Jun 18, 2014 10:20pm


Quoting gspajon
Joe, it sounds to me like you and I have been traveling parallel paths. You are finding that the variability of time and volume affects the "velocity" of price. I submit that you will also be able to find turns in the market based on these observations. Knowing this helps me ride the move to almost its entire completion point, allowing for the most efficient trading possible. Congratulations Joe!
SPC * Swollen PocketZ Crew!
  • #31
  • Jun 18, 2014 10:21pm Jun 18, 2014 10:21pm
I HAVE A VERY GOOD FEELING ABOUT THIS THREAD.

I think sometimes the right minds come together, it's all about timing. I am behind the curve in the process, that much I can say for certain. I am at the point JoeNY was at when he first joined the factory-trading orderflow. JoeNY, I'm glad to see you posting again. I liked your work obviously.

Chris...you better stick around.

Jerry....I take pride in knowing I was right about you.

Majix...I've seen your work in threads and I am wise enough to know when to keep my mouth shut and ears open. I'm glad you are still here.

This is all the arse kissing I am going to do in your thread Jerry. I promise not to pollute it unless I am able to contribute something.

I actually got visuals by reading a few of the posts gentlemen. Good shit.
  • #32
  • Jun 18, 2014 10:31pm Jun 18, 2014 10:31pm
Already involved personally with it so will definitely be glued here.

Quoting Magix
{quote} Yes. && No. Joe...you will want to see how this thread unfolds... This is actually something worth viewing. Here, you will see the failures and successes of your predecessors...here you will have the privilege of learning from the rights and wrongs... What you take from this thread, could conceivably be the most you will ever learn in market.
SPC * Swollen PocketZ Crew!
  • #33
  • Edited 10:51pm Jun 18, 2014 10:36pm | Edited 10:51pm
Thanks Brotha ... I got sucked back into FF not soon after my "first leaving" but every time I come back, I learn something new. So FF is definitely a great place when using a properly applied filter. (-:

....will also be glued to this thread.... and quiet unless I can add...

Quoting calderone
I HAVE A VERY GOOD FEELING ABOUT THIS THREAD. I think sometimes the right minds come together, it's all about timing. I am behind the curve in the process, that much I can say for certain. I am at the point JoeNY was at when he first joined the factory-trading orderflow. JoeNY, I'm glad to see you posting again. I liked your work obviously. Chris...you better stick around. Jerry....I take pride in knowing I was right about you. Majix...I've seen your work in threads and I am wise enough to know when to keep my mouth shut and ears open. I'm glad...
SPC * Swollen PocketZ Crew!
  • #34
  • Jun 18, 2014 11:40pm Jun 18, 2014 11:40pm
Hi Gspajon,
Having read your intro can I suggest you read Soros' Theory of Reflexivity? It's fascinating, might not relate but one of the things he talks about is how the markets can effect the underlying fundementals that they are trying to price. (an upside down concept).

Also if you read anything about auction market theory I would stress that you stick to the originator J. Peter Steidlmayer. His books are in my opinion the best and many writers that have followed have completely missed the point and tried to mechanize a concept that can't be. I think you would find very interesting his thoughts on how to view the market in a way that can tell you when the distribution is ending (range market) and a new directional distribution (trend) about to start.
It's beautiful and simple when you see one distribution end and place a "go with" type strategy and it works over any timeframe.

Just my two cents worth, I hope it doesn't put you on the wrong track.
Good luck
  • #35
  • Edited 3:43am Jun 19, 2014 3:13am | Edited 3:43am
Quoting Hyperion
many writers that have followed have completely missed the point and tried to mechanize a concept that can't be. I think you would find very interesting his thoughts on how to view the market in a way that can tell you when the distribution is ending (range market) and a new directional distribution (trend) about to start. It's beautiful and simple when you see one distribution end and place a "go with" type strategy and it works over any timeframe. Just my two cents worth, I hope it doesn't put you on the wrong track. Good luck
Could you elaborate? Could you give an working example of what you mean by "mechanize" a concept? (somehow I missed this) All authors make it very clear that "Auction Market Theory" is not some kind of system. Could you point me to the same "info" that you used to form your opinion?

Quoting Hyperion
I think you would find very interesting his thoughts on how to view the market in a way that can tell you when the distribution is ending (range market) and a new directional distribution (trend) about to start.
Could you elaborate also? I don't think this is emphasized enough.............

Quoting Hyperion
It's beautiful and simple when you see one distribution end and place a "go with" type strategy and it works over any timeframe. Just my two cents worth, I hope it doesn't put you on the wrong track. Good luck
It also can get quite "ugly" when that "go with" type strategy isn't supported by the Data...............

Do you think "quantification" is some form of "mechanicalization"? I don't get how your statement applies to AMT at all. Could you point me to to where this "Mechanicalization" is explained by the other authors?
Markets are not efficient, rather they are effective - Jones
  • #36
  • Jun 19, 2014 7:49am Jun 19, 2014 7:49am
Quoting Hyperion
Hi Gspajon, Having read your intro can I suggest you read Soros' Theory of Reflexivity? It's fascinating, might not relate but one of the things he talks about is how the markets can effect the underlying fundementals that they are trying to price. (an upside down concept). Also if you read anything about auction market theory I would stress that you stick to the originator J. Peter Steidlmayer. His books are in my opinion the best and many writers that have followed have completely missed the point and tried to mechanize a concept that can't be....
I have not read any of the material you speak of, but I will look for it this week end and start on the next phase of study. Since I am already done for this week I am (for once) helping my wife around the house a little - very little - and finding things to do away from the computer.

I am slowly beginning to realize that any market theory, even my own, is more a "state of mind" or "level of understanding" than it is a practical application of theory. I assume that is what you mean by "mechanizing" a concept that can't be. Even when starting down this path of "relativity" I didn't at first believe I could find a practical application, but rather learn to recognize it - visually - in virtually any study applied to a chart.

However, I am finding that being locked into a single constant, whether it is time, price, or volume, is too constrained, and as I said before leads to false assumption about market behavior. Therefore keeping in mind that EVERYTHING is in motion, EVERYTHING is a variable, and therefore EVERYTHING is relative to each other, I was able to apply the formula differently to various constants to "compensate" where there truly isn't anything constant.

So in a sense I "mechanized" something that can't be but only in so far as having a tool to "see", because I am a visual learner. Theoretical knowledge is essential and must be kept foremost in mind because it is the basis of practical action. However the mechanics of the market and translating that to profit must come in somewhere...that's why we are all here isn't it?
  • #37
  • Jun 19, 2014 8:09am Jun 19, 2014 8:09am
Quoting Hyperion
... how to view the market in a way that can tell you when the distribution is ending (range market) and a new directional distribution (trend) about to start. It's beautiful and simple when you see one distribution end and place a "go with" type strategy and it works over any timeframe....
I've actually found this to be true in my theory as well. I see it in a single candle or a series of them. I originally saw this as a very confusing anomaly and coded a simple "paint bar" to have them stand out on the chart so I could study them further.

The anomaly expresses itself like this: The underlying assumption is that when the market has more buyers than sellers price will tick higher, and vise versa, for the other side of the equation. However that is not always true. I have seen a single candle finish bearish (close < open) while the underlying volume of that candle was not just bullish, but VERY bullish. i.e. more buying than selling. Like wise I have seen a range form near the high of a move, where the vast majority of that range is selling volume, yet price ranges and does not move down even under what I would consider "tremendous" selling volume.

What causes this anomaly? My contention is there are large orders in the market that are "absorbing" the smaller orders that make up the bulk of the volume. Thus when all the smaller orders are "eaten up" the larger orders still remain unfilled and price continues on its previous path. My method of looking at this, using "relativity", points it out clearly (even though it appears as an anomaly), and when I see bullish or bearish selling volume with no resulting price move, at least somewhere along the lines of what I might expect to see, I recognize this as accumulation. "The big fish are eating up the little fish".

A very similar thing occurs at tops and bottoms. I can "see" the volume exhaust itself BEFORE the price turns. Then watch the volume strength wane down to almost nothing. Then I just wait to see if the opposing side jumps in to out pace the current "control" and THEN move my stop down or set a pending order. Often times these tops/bottoms will range before beginning a new direction but using the formula to compensate for the variables it can become much more clear WHO (buyers or sellers) is taking control and how that control effects the end result - price.
  • #38
  • Jun 19, 2014 8:11am Jun 19, 2014 8:11am
Quoting gspajon
{quote} I'm not quite sure how you would get a negative number from volume data unless you are defining "bearish volume" as a negative number. But that is just volume. As far as velocity goes...remember that any velocity is expressed as a relationship to time. And considering that time is also variable it is necessary to consider how this variable effects the "speed" of price change.Without giving away my own conclusion the idea of pips per hour if you are looking at longer term charts would seem consistent with the idea. However I again caution...
Thank you for your kinda explanation I shall update later.. I do have an idea for getting the speed in another way using MTF without volume. I read a study once that in FX, volume is pretty similar to the High-Low. I have tested this out myself and it seems to hold true for the most part. Take a look at the attached screenshot.

In Lime is the pure Volume sum from M5 (When it was a M5 up bar, volumes added together and Down bar volume subtracted).
In Red is the High-Low sum from M5 (When it was a M5 up bar, (High-Low) added together and Down bar subtracted).

It was just ((High-Low)/Point)*C; C = 5;

See how similar they are?.. maybe there is something in this as well..
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Focus, Patience, Determination & Order in chaos
  • #39
  • Jun 19, 2014 8:15am Jun 19, 2014 8:15am
Quoting gspajon
{quote} underlying volume of that candle was not just bullish, but VERY bullish. i.e. more buying than selling.
Quick questions.. How do you figure out if the underline volume of the candle is bullish or bearish? Is that from MTF analysis? For example, looking at all the M1 candles in H1 and figure out which way the volume was directed for the candles on average? Or is it the average speed of the candles (bulls vs bears)?

Thank you
Focus, Patience, Determination & Order in chaos
  • #40
  • Edited 8:53am Jun 19, 2014 8:43am | Edited 8:53am
Quoting saver0
{quote} Quick questions.. How do you figure out if the underline volume of the candle is bullish or bearish? Is that from MTF analysis? For example, looking at all the M1 candles in H1 and figure out which way the volume was directed for the candles on average? Or is it the average speed of the candles (bulls vs bears)? Thank you
Far simpler than that...my data feed separates buying from selling in its volume feed. This is yet another reason why MT4 is not worth the effort it takes to throw it away. I wasted several years trying to determine buying from selling on MT4 but gave up in frustration.

I will give you this idea on how I started, but I warn you I gave up on it after awhile because it doesn't show anything more than what a price bar already shows...it does not contain enough of the variables.

Bullish volume = ((close-low)/(high-low)) * volume;
Bearish volume = ((High-close)/(high-low)) * volume;

I can see from your screen shot that your volume study shows something similar to what I have observed. Note the positive peak just before price turns down...and likewise the extreme negative peak just before price turns up. You will need to determine and quantify what qualifies as "extreme" but I think you get the idea.
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