Trading since 1978.... Volume seems to be a secondary and not a primary consideration... I eventually eliminated the use of volume...and found that my performance actually improved...because of fewer noise like distractions..... Price reflects unusual volume...and is not necessary to recheck volume .... Volume is somewhat of a prequalifier in terms of liquidity...and is increasingly important as volume traded increases....but it is price change that creates volume... Volume lags price.......
OT The sequence on futures indexes and cash regarding "smart money" is as you say. Smart money is trading the YM and DJ. Price only: YM>>DJ>>DJ cash>> ES Volume/price: YM 2min volume>>>>YM 2 min price ...snip ....... >>>>>ES 5 min volume*>>>>>ES 5 min price. *pro rata.
I gather you haven't investigated "micro"-events. With due respect, imo, most only consider accumulated "volume" (magnitude), because that is what is provided conventionally. ... Precision. Volume vector(s) quantification, and the allowable increase of.. (topologically considered). empirical relativity.
The volume on YM is miniscule compared to ES. It is hard for me to understand how smart money would be trading such small size as very few large orders go by. Are they doing their business in the AON pits or some other method that does not show up on the time and sales?
You introduce in this thread another layer of consideration for volume in swing and position trading. Swing and position trading is done either with just EOD data or by people who actuallt monitor the market during the day. The difference in yield of profits is significant. Most data retreaval for both methods revolves around EOD data as you suggest. Determining the universe to trade can best be done this way. About 5 seconds a day is required and the cost is about 10 bucks a month. Daily updates on the universe dictate the the entries and exits the following am after open. If a person position or swing trades and also monitored during the day (As would any intraday trader who had to lay off intraday profits into position trading portfolios (see Gary Smith, for example)) then the monitoring is very useful for exacting more profits. In three groups below I list 9 leading indicators of price movement that allow a person to get ready to do a profit cycle. The EOD only ones are in group X. the monitoring ones are found in groups Y and Z. X Advance warnings (1 to 2 days) 1. CANSLIM sort 2. TC2000 maths (the seven equations) 3. Stochasitcs (modified defaults) 4. RSI (dip) with volume MACD Y first intraday advanced warnings (30 minutes plus) 1. FRV pro rata just after open 2. Formation analysis Z Last chance before the initial price movement (7 to 15 min ahead of move) 1. MACD related signals around X overs (proper defaults required) 2. Trend analysis 3. DU xover So for intraday volume considerations the signal sequence is X-4, Y-1 and Z-3. For evening analysis types who do EOD only the same signals are seen the evening of the intraday monitoring entry. Before web stuff my SEC citations were based upon real time pro rata analysis of live real time data feeds. It gives the appearance of insider trading since entries are just before price moves and are based upon volume assessments relative to a calibrated standard. (See a couple of posts here relative to calibrating the prior market volume as a guide to determining whether the impending BO from the trough is a viable BO and after BO whether or not the BO is sustainable) as well. Illiquid advocates that all surmizes about the milieu of momitoring signals relative to trading actions and particularly profit taking are related to rear view vision. I addressed entries only. Three of the list have different names for exits and they are there too. Illiquid is looking at differing flags than I am and his set is a lagging set instead of a leading set. That is one of the points of Babak's inquiry. And it is also the point of my prior posts in here. What a person is monitoring and what the person's belief system is regarding the truths that he has come to know, is a major determinent in how well position and swing trading goes. To do these trades it does not require monitoring but if you do monitor you can have the pleasure of being "pushed" by the herdwith good entries. similarly you can determine,effectively when the forces driving price are exhausted in advance of reaching that point by using leading indicators of price. Again there is no I'm right and you are wrong stuff in the space. anyone can add sets of additional signals to the list above. I use a lot of differing approaches, comparably speaking. Here volume is on the table and it is a powerful and different variable than price.
I think that if someone new to the markets read this thread, he could conceivably develop vertigo. There are as many different views about volume (both nuanced and general) as there are people expressing opinions. However, as I had suggested in other, unrelated threads, I think that most opinions about market variables are lost in context. Different people see and trade the markets differently. The manner in which one trader employs volume for his method may not necessarily apply to another trader using an entirely different approach to the markets. Therefore, I believe that the definitive response is to do your own testing on your own method. Personally, I employ volume more often than not, but not in any manner that I have seen or read here or elsewhere. I have found that the standard use of volume, as covered ad infinitum in books, was of no use to me. My use of volume is exclusively the product of my own observation, analysis and testing. And as useful as I find it, I surmise that it would probably not work for your method in quite the same way, if at all. Reading what other people have written is interesting and offers a window into how other people see things. This may or may not spark inspiration. But to accept any opinions without thoroughly testing them on your own method would be downright misguided, no matter how valid those opinions may be. Apples and oranges.
Many considerations at play here. Primary is the investment in gaining knowledge and skills and experience in traditional "monied" situations. The DJ is very focussed (30 stocks). I should say 30 venerable stocks as seen in offices that have had their furiture for quite a while. The breadth of S and P is sweet and savory but it is more "popular" than anything. The cash market of DJ has a very great capacity to soak up ready high class money based upon how its components are fairing. Because the components are scrutinized so continually and closely, there is an element of intelligent informed reponsiveness to imbalances. Holding DJ stocks is considered derigour in Manhattan. Soooo. There are very elegant and vernier like things ALWAYS going on every minute. Personally, I am glued to these people. I even watch the spread on the DJ and YM. The cash is there as well as a calculated synthesis of some great collective thinking. That is where the stretch and squeese comes from and it forms the a priori proof of what comes first. I learned long ago racing on long island sound that I have to sand my racing bronze with 440 norton everyother week. Towelling it was not enough. As I see it it comes down to reading the powerstructure in the market. When you monitor the 2 min Gaussians (volume fine sweeping) on the YM long enough, you do see that the market has a "pulse". A definite rhythm whereby any variation is a signal. On the YM R2R and B2B is preceded by Gaussians each of which tells you, relatively what is cooking. We all see in price traversees of channels stalls appear, then dips and finally an even or odd harmonic peaking. These are all telegraphed by the volume formations. This thread were it on making leaveraged money instead of position and swing trading of lay off capital surpluses could get down to understanding bar formations on optimum fractal charts. I don't mean price bars either. You are going through a vital process. As months pass, you are not who you were, for sure. At this point you absolutely know when you have a consideration of the market down cold. for you it is like placing concrete. You place it and surface it and see it cure and have invincible strength to handle the load it was designed for.