Is volume analysis useful in index futures?

Discussion in 'Index Futures' started by Laissez Faire, Dec 22, 2017.

  1. Neither did I. It was just the quote function.
    #31     Dec 22, 2017
  2. What, if any, has been your experience with volume in constant range, constant tick or price change charts?
    Last edited: Dec 22, 2017
    #32     Dec 22, 2017
  3. lcranston


    For those who are interested, DbPhoenix posted about twenty chart examples of volume analysis in the context of buying and selling climaxes and withdrawals of supply and demand here. Is it absolutely necessary? Maybe not. But for those who understand that volume is a measure of trading activity and not some mysterious indicator, it sure is helpful, particularly if one understands that price moves differently when only a relative few traders are involved than when a great many are trading, particularly at important levels.

    And, no, volume neither precedes nor follows price; they are simultaneous since volume is a measure of transactions, and if there are no transactions, there will be no volume. Granted a large amount of volume will attract attention and perhaps a greater number of transactions, but that's a different dynamic.
    #33     Dec 22, 2017
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  4. Xela


    Not enough to comment - sorry.

    I have very little personal experience of range bars.

    I also have a slight residual prejudice against tick charts because of my perception that they don't distinguish between small and large orders being transacted. I do see that they may still be better than timed charts, though ... and my initial studies of price action were from Bob Volman's books and the ongoing charts he regularly makes available for his readers, and he does actually use tick charts. This was "back in the day", i.e. before I discovered Al Brooks and developed my English literacy enough to be able to understand what he was talking about (which wasn't trivially easy for me, to put it mildly!).

    I wish, with hindsight, that I'd switched from timed bars to constant-volume bars at a much earlier stage of my trading career. But I'm stubborn, obstinate and difficult to teach: I have to work everything out for myself, more or less from scratch, and teach myself.

    As they say at the Royal Society (in London), Nullius in verba ("take nobody's word for it"). [​IMG]
    #34     Dec 22, 2017
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  5. One problem for some traders with volume in index futures is that some vendors and brokers mix in rollover volume with auction volume, which, of course, is wrong and makes accurate analysis impossible.
    #35     Dec 22, 2017
  6. True. That's why I have a Buy and Sell volume frame on my constant tick chart.
    But even then a big bar could be a large number of small trades. That can be clarified in T&S if one wants. But given the attempts of MM's to remain flat, I really can't give that much weight to such volume indications, as they are in effect cross trades. Only when large volume occurs where it should do I take it into account.

    Last edited: Dec 22, 2017
    #36     Dec 22, 2017
  7. lcranston


    A tick, as you know, is simply a record of a transaction. It is only when the ticks are combined in some way that they become an "indicator". As such, they are expected to perform a function for which they may be ill-suited. What matters to the price trader is not so much the volume accompanying the transaction, the tick, but rather where all of this is taking place, i.e., in what context. e.g., a buying or selling climax. Combining ticks serves no purpose, as far as I've been able to see.
    #37     Dec 22, 2017
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  8. Ditto that!!
    #38     Dec 22, 2017
  9. This is all correct... except for the part, "it sure is helpful".

    It isn't.
    #39     Dec 22, 2017
  10. Sorry if I misunderstand, but it seems these two statements are contrary.

    Perhaps you believe, as I once did, that tick charts are too detailed. I think one can find that that same price movements found in daily and intraday charts, along with the accompanying volume, can be found in tick charts.
    #40     Dec 22, 2017