Cum "citim" piata


#1

Este o linie de trend trasata pe charturi pe baza de timp, de luat in considerare?
Prima poza e chart la 1 minut adica la fiecare nou minut apare o noua bara chiar daca pretul sta.
A doua poza este chart pe baza de Ticks adica daca pretul nu se misca nu o sa apara nicio bara.

Concluzia mea este ca liniile de trend pe charturi clasice, pe baze de timp sunt inexacte. Ofera directia dar nu sunt si unelte de semnal in sensul in care sa folosesc strapungerea ei ca si semnal de schimbare a directiei sau macar un prim semnal ca acolo ceva se intampla, de fapt, linia nu e acolo in realitate :smiley:
Exemplul din poze arata cat de diferita este “citirea” chartului intre miscarea pretului in realitate si ceea ce se vede pe un chart bazat pe timp. Asa ca, sistemele bazate pe strapungeri de linii de trend, cu Close sau fara Close sunt cu marja de eroare mare. Deci, “citirea” chartului tehnic daca se ia in calcul timpul/pret e gresita daca sistemul cere asta.

Daca sistemul de trade ia in calcul doar ratiile de corectie adica varfuri si raportul dintre ele, atunci Close Open nu este relevant si nici momentul cand se intampla, ci pur si simplu, se intampla.


#2

Nu este vina platformei. Linia a fost trasata perfect pe m1. Diferenta intre charturi este data de timp. Sau oare si pltaforma joaca feste, nu stiu, dar ce stiu cu siguranta ca nu e acelasi lucru pe ambele charturi.
Deci, care este chartul exact tinand cont ca este aceeasi linie doar am schimbat TF ul.

Cate sisteme se bazeaza pe trend si schimbarea trendului? majoritatea. Au sistemele succes daca se folosesc de linii de trend?
Sunt liniile de trend, pe modelul asta relevante pentru a putea declara ca avem o eventuala schimbare de trend, ca linia a fost testata, ca pretul daca o atinge, are relevanta momentul?

Se poate spune ca daca avem “Close” este un semnal?

Este doar o dovada in plus ca chart ul, el singur, nu este relevant pentru a face analize ulterioare… Tot ce urmaza, din start, are o mica deviere.

Pretul pe ambele chart uri este in acelasi loc aprox, diferenta de 4 pips, cat a durat sa schimb chartul si sa salvez.


#3

Din acest moment, atata timp cat pretul afisat pe chart are marja de eroare la dreapta, tot ceea ce foloseste ca sistem de calcul high Low Open Close are marja de eroare mare. Sa le iau pe cele mai simple.

Moving Average

Calculul care il face Mt4. Include Timpul in ecuatie.
Poate fi in cazul asta o SMA valida pentru un sistem de trade care tine cont de ea?


#4

MACD - ca si majoritatea indicatorilor care iau in calcul timpul.(RSI, CCI, etc)
In plus, pot fi luate semnalele de divergenta generate de indicatori, ca si semnale valide in timp, momentum?

The MACD indicator thus depends on three time parameters, namely the time constants of the three EMAs. The notation “MACD(a,b,c)” usually denotes the indicator where the MACD series is the difference of EMAs with characteristic times a and b, and the average series is an EMA of the MACD series with characteristic time c. These parameters are usually measured in days.

In signal processing terms, the MACD series is a filtered measure of the derivative of the input (price) series with respect to time. (The derivative is called “velocity” in technical stock analysis). MACD estimates the derivative as if it were calculated and then filtered by the two low-pass filters in tandem, multiplied by a “gain” equal to the difference in their time constants. It also can be seen to approximate the derivative as if it were calculated and then filtered by a single low pass exponential filter (EMA) with time constant equal to the sum of time constants of the two filters, multiplied by the same gain.[7] So, for the standard MACD filter time constants of 12 and 26 days, the MACD derivative estimate is filtered approximately by the equivalent of a low-pass EMA filter of 38 days. The time derivative estimate (per day) is the MACD value divided by 14.


#5

Andrews’ Pitchfork - alcatuit exclusiv din linii de trend.

Pitchfork trend lines can provide support or resistance. In an uptrend, the lower trend line acts as support to define the overall trend, the upper trend line acts as resistance and the median line defines the strength of the trend. Prices should reach the median line on a regular basis during an uptrend. Failure to reach this line shows underlying weakness that could foreshadow a trend reversal

Se pot defini atingerile liniilor ca moment de executie?


#6

Daca aplici Rsi, CCi, MACD, SMA, la un chart cu range bars care nu are componenta timp?


#7

Sunt doar cateva mici exemple care demonstreaza ca pornind de la o mica deviere se poate ajunge, in timp ce chartul adauga noi perioade, la devieri mai mari. Pentru a desena o linie de trend corect se spune ca trebuie sa uneasca 2 nivele fara ca intre ele pretul sa o depaseasa, ori daca momentul 0 este deviat la dreapta, inseamna ca unghiul liniei este altul de cat cel corect.

Un chart bazat pe tickuri, va desena pretul pe masura ce se genereaza noi miscari sus sau jos, deci nivelul de referinta fiind pretul, daca pretul ramane in range de 5 pips si la un moment dat pleaca intr o directie, chartul va arata exact acel moment. Daca in schimb ramane timp de 3 ore in acelasi range,devierea este atat cati pips sau adunat in 3 ore care pot fi 100 sau niciunul. Sigur ca si aici exista o deviere dar sa presupunem ca avem o line de trend UP de 2 zile in urma care urmeaza sa fie retestata, deci pretul sa o atinga la un moment dat in timp. Daca pretul este in range de 5 pips timp de 3 ore, pe un chart de 1 minut avem 180 de bare ce apar spre dreapta.

Intrebare? Daca pretul atinge linia de trend, pentru ca timpul obliga chartul sa mute pretul la dreapta, este relevant momentul?


#8

Da, orice indicator care nu ia in calcul timpul ci doar nivelele de pret pe orizontala are mai mare relevanta pentru chiar a desena o linie de trend. Nu stiu cum calculleaza in schimb MACD sau RSI. Acesti indicatori au fost din start ganditi pentru a calcula timpul.
MACD are relevanta emotional, masoara reactia pretului pentru 2 3 saptamani in urma, lucru important pe pietele de actiuni unde fundamentul este important.


#9

Poate asa se vede mai bine (daca tinem cont si de volum) … :smile:


#10

Cu siguranta, volumul este un indicator doar ca aici e o mare problema tot pentru noi, retail. Ai tu volumul real in sume sau ai numar de tickuri adunate pe perioada de timp?

Eu nu am volum, am ticks care se strang pana se schimba bara si o ia de la capat, ori un tick ce volum are?

Pe piata de capital ai volumele reale asa avem si VIX care este un indicator de volum si poate spune ceva cat de cat pentru ca nici asa nu ai siguranta. Se spune ca un volum mare semnaleaza reversal si volum mic, continuare raportat la o anumita perioada in urma. Ce te faci in schimb pe forex, cu platforme care arata ticks? Nu spune nimic ba chiar incurca pentru ca e minciunica :smiley:

Au incercat unii sa faca un fel de neuronala ca sa preia volumele din cat mai multe platforme dar nu au stat sa se gandeasca ca degeaba iei volumul din mt4 de la 1000 de retailisti daca nu sti volumul adaugat de JP si Goldman sau mai stiu eu ce fond care are relevanta. Se spune cate o data ca se vad in piata Real Money. Aia sunt o parte din ecuatie. Volumele din optiuni sau din banci care oricum sunt “ascunse” prin spargere in ordere micute si multe, nu le avem.


#11

Am mai abordat tema asta cu ceva timp in urma.

Forex-ul este o piata descentralizata cu multe banci, ECNs, market makers. Nu ai cum sa faci o statistica cu un un volum consolidat pt EURUSD pt ca nu e posibil.

Dar poti sa faci o aproximare (ceva similar cu un exit poll ca la alegerile parlamentare). Nu iti trebuie cifrele exacte, la virgula ci ceva care sa aproximeze cu o marja acceptabila volumul total. Ca volum proxy putem folosi contractele fufures tranzactionate la CME sau un feed de date profesionist (la IQfeed este unul mai scump si unul mai ieftin care e si moca: feed-ul de la FXCM).

Ca platforma se poate folosi ThinkOrSwim de la TD Ameritrade sau Ninja Trader cu CQG ( contracte futures) sau FXCM (forex live).

Ce este important sunt nivelele consolidate de volum pe orizontala si calcularea VWAP-ului.

Restul e istorie.


#12

Am citit. Interesant. Si rezultatul e substantial cu vwap?


#13

Google search:

volume profile
volume at price
volume by price

Ca idee:

Tranzactionez in directia data de open daily, POC & VWAP.
(Point of Control: The prices that saw the most activity. Visually the longest horizontal line.)

VWAP-ul si relatia cu pretul deterrmina trendul:

a) Price >> VWAP >> POC, the trend is UP
b) Price << VWAP << POC the trend is DOWN

Long Entry:
VWAP > POC and price action above the VWAP

Short Entry:
VWAP < POC and price action below VWAP

No Trade:
VWAP ~= POC

Pt long:

  • Price > VWAP > POC .
    Pretul ar trebui sa se consolideze pe POC dupa care pleaca in trend (cum a fost azi).
    zona cu cel mai mic risc de a intra intr-o tranzactie

Un POC care nu am mai fost testat (NPOC - Naked POC), dintr-o zi anterioara poate fi un nivel puternic (suport/rezistenta)

POC-ul este dinamic.

Se pot face agregari de volum pe perioade diferite: day, weekly, monthly (depinde ce timeframe urmaresti).

Pretul cu greu strapunge o rezistanta sau un suport rezultate din volum consolidat pe orizontala.

Termeni:
http://www.trading-naked.com/MarketProfile.htm


#14

MP.mq4 (13.9 KB)

Nu arata rau. Testez si dau verdictul :smiley:

PS. Am testat. Tot ce face este sa-mi mute Volumul meu din platforma pe orizontala. Vizual e mai bine ca in varianta clasica dar ramai dependent de Volumul de ticks date de broker. Cel putin Admiral ECN e bun la altii nu stiu.
Deci, fara un broker care sa arate cati mai multi ticksi, caci asta e volumul si cu asta defilam, mai mult te incurca.

In schimb, Pe actiuni avem Volume

17:35 Market Internals update at 10:30ET - NYSE volume 169M shares, about 4% above its three-month average; decliners lead advancers by 2:1.- NASDAQ volume 370M shares, about 6% below its three-month average; decliners lead advancers by 1.4:1.- VIX index +3.5% at 13.27 - Source TradeTheNews.com


#15

Pt. MT4 foloseste un cont demo de la FXCM (n-am nimic cu FXCM dar in urma unor teste extensive in urma cu vreo doi ani cu mai multe plaforme si feed-uri poti folosi cu succes FXCM pt ce iti trebuie).

Testele au fost:

MarketDelta & IQFeed

Ninja Trader & Sierra Charts
Feed: IQFeed & CQG pt futures , FXCM pt forex

VOLFIX
Feed: futures & forex consolidat

Muticharts
Feed: CQG pt futures, FXCM & LMAX pt forex

ClusterDelta

ThinkOrSwim, feed: TD Ameritrade

Rezultatul:
Nivelele pt volume profile si VWAP au mers aproape la pip cu toate platformele si feed-urile testate.

Acum pt. charting folosesc ThinOrSwim care e cel mai la indemina si e suficient pt orice decizie de trading.

Verificati si:

http://trading-evolution.com/forum/portal.php
http://clusterdelta.com


#16

FXCM oferă mai nou volume reale (nu de ticks):


#17
  • Dar ce faci daca ai volum si nu ai efect (adica pretul nu se misca deloc)?
  • Dar ce faci pe un spike dupa ce au fost luate stopurile, ai volum, ai tranzactii de vanzare (se vad in Time & Sales) dar pretul nu vrea nici de al naibii sa coboare?
  • Aceeasi situatie: ai volum mare, in Time & Sales se vad tranzactii de cumparare cu nemiluita dar pretul nu misca deloc in sus. Ce este cel mai probabil ca se va intampla?

O carte relativ simpla care explica cum trebuie interpretat volumul.

Anna Coulling
[A Complete Guide To Volume Price Analysis][1]
[1]: http://www.amazon.com/Complete-Guide-Price-Analysis/dp/1491249390/ref=asap_bc?ie=UTF8


#18

NEW YORK–(BUSINESS WIRE)-- FXCM Inc. (NYSE:FXCM) announced today that it will launch a groundbreaking real-time real-volume indicator exclusively on its flagship Trading Station platform in the coming weeks. The indicator is currently being tested, but will provide real volume being traded on the FXCM retail platforms for the top 14 currency pairs. Along with volume, the indicator will also provide transaction numbers.


#19

Volumul la care ma refer ca are o valoare de indicator este VIX si nu pentru intraday trading in niciun caz.

Din ce stiu, Volumul mare coroborat cu 2 3 zile de range sau miscare usoara contra trendului duce la o corectie mai mare.
Asta se vede pe actiuni. Nu se iau in calcul miscarile intraday sau cel putin nu am vazut pe nimeni sa se refere la ele pentru a genera o ipoteza pentru cateva ore.
Media de calcul este pentru 3 luni in urma, adica un trimestru. Asociezi trimestrele financiare si prin suprapunere, ai inca un indicator de luat in calcul. Nu este singurul care da decizia de iesire sau intrare. Volumul si atat nu spune mare lucru. Trebuie corelat cu datele economice.

SP este o medie a valorii unor companii care depind de economie, mai bine zis de previziunile ecomomice si cum s-a obserat ca in sua datele de la nfp pot genera o predictie, (sigur nu doar nfp singur dar este cel mai relevant) ai sa vezi ca lunar ai cresteri de volum exact pe suprapunerea anuntului. Mai departe, cum interpretezi tendinta care nu este data doar de anuntul unei singure luni ci tot comparand pe medie, este treaba oricaruia care vrea sa prevada viitorul, dar volumul in sine spune doar daca sunt sanse sa avem o schimbare, sau nu.

Spikurile intraday au un procent foarte mic in volumul calculat pe 3 luni.

Doar la prima ochire, VIX nu arata schimbarea trendului pentru urmatoarea luna, volum in scadere cu noi varfuri pe trend.
In Decembrie se vede clar un varf, final de an, oamenii incep sa numere fisicurile, sa cumpere insule, masini, inele la amante, etc, deci s-au marcat ceva banuti acolo. Acum, stam pe trend pana sare iar VIX ul.


#20

VXX is an ultimate “short-and-hold” ETN.

Buy The VIX For A 200% Gainhttp://seekingalpha.com/article/681801-buy-the-vix-for-a-200-gain

From current levels those investors interested in a speculative play should look no further than the VIX.

This trade in only for a small part of a portfolio, there are many other core positions that are better suited to take advantage of the declines that lie ahead in a prudent manner (find ideashttp://www.stocktradersdaily.com/). But this trade could increase by as much as 200% in the next handful of months.

The basis is the risks that exist in our economy + the risks that exist in Europe + my longer term macroeconomic work (The Investment Rate) + the economic headwinds coming at the end of the year (higher taxes and lower spending) + the ineffectiveness of central banks + I could go on …

The risks are vast. My models tell me we could see a 50% decline from current levels (this might take years but we are likely to get hit soon as well), and if that is true I expect volatility levels to skyrocket and the fear gauge to be a great reward for speculative positions.

Specifically, iPath S&P 500 VIX Short-Term Futures ETN (VXXhttp://seekingalpha.com/symbol/vxx) is a great buy from current levels in my opinion. I know it has deterioration, and if you prefer to buy options on the VIX directly go ahead. But my outlook is for substantially lower market levels, substantially higher volatility levels, and my work suggests that anyone embracing this side (the downside) of the market will make a tremendous amount of money in the months and even years ahead. Anyone buying and holding has another thing coming.

The writing is on the Wall.

Disclosure: I have no positions in any stocks mentioned, and no plans to initiate any positions within the next 72 hours.

Ø To goad people into buying VXX at this time and holding for a long period of time (months) until the world blows up is very very very irresponsible.

Do not listen to this blogger. Your VXX position can be a half of what you start with before it skyrockets 200%.

Instead spend the time getting serious about understanding how VXX works and the underlying VIX futures. Then, time your VXX purchase when you see the world start crumbling around you. You may miss the first 20% move in VXX but at least you will have convinced yourself that its the correct time.

Do not buy VXX when there is a steep monthly roll cost.

Ø Do not ever buy or hold VXX again until you know what the Vix futures are and how the VXX ETN is almost guaranteed to lose value over time due to roll cost. VXX is best used as a speculative short term timed trade and not a buy-and-hold investment.

To explain the roll cost, every day roughly one twentieth of VXX holdings in the near month futures contracts are sold and replaced with the same amount of next month futures. Most of the time, the near month future is at a lower value than the next month because investors tend to expect hell to break loose in the future, not tomorrow.

For example, today, July expiration future is $20.21 and August expiration future is $21.69 so there is a 7.3% premium on August. Since every day we pay more to replace the futures contracts with new futures contracts, we are paying this roll cost. Futures prices change wildly every day but imagine If the futures values did not change for an entire month, you would lose 7% of your investment.

If you are lucky, all hell breaks loose in europe this week, VXX spikes and then you can sell to get your money back.

However, I am not predicting that will happen. Rather, I expect that the S&P will drift sideways for the next few weeks and VXX will lose value in the same period of time.

Ø best way to play is svxy & uvxy as they hold the actual futures contract so virtually no premium or discount.

Then buy the short volatility svxy when vix futures are at a high or very short term trade buy of long volatility uvxy when vix futures are at a low.

honestly it sounds like you need a lot of homework before you purchase anything. By the way the market will still be there when you have a handle on things. If you think the etf’s etn’s are complicated I suggest absolutely no purchase of options.

Ø If you don’t know anything about it, that’s an excellent reason not to own it. “Invest in what you know” is pretty universal investment advice.

If you want to see the effect of that roll cost, just look up (VXXhttp://seekingalpha.com/symbol/vxx), and check a 5 year view to smooth out the short term bumps. That geometric race to 0 is what is happening to your money if you sit in this long-term.

Ø QE1 and QE2 caused really nice market rallies in two ways.

  1. the promise of printing money makes the dollar value drop which makes everything else go up in value (Gold, Companies, property, Oil)

  2. QE is where the central bank buys risky assets like bonds or mortages, taking some risk out of the overall interconnected banking system.

both cause markets to rally, and VIX to drop. If QE3 is announced, look for the Vix to drop.

Ø This year the problems are worse in Europe then last year. We had a flash crash in 10’ over Greece, Moody’s downgrade in 11’, and look at that, a Moody’s downgrade on banks in 12’. Banks will need more collateral, Spain is falling, and so is Italy.

For all those who say VXX is not a good buy…You need to talk about backwardation also. I made serious dough in VXX after the market started melting down.

Ø For those who want to buy VXX think twice. It is a very risky investment. We are still in con tango. Despite Moody’s downgrading banks we had no volatility spike. Greece had new government and we are taking another year at least till things will start worsen. Until then, you will have range bounded trade in VXX. It can go down as much as another 30 percent.

Ø Volatility does not stay high for prolonged periods of time. Whenever it spikes, it always comes down and so does VIX and all its derivatives.

Whenever VIX spikes above 50, short VXX (or buy SVXY or XIV).

VXX is an ultimate “short-and-hold” ETN.