Market Condition - Leading Indications

Discussion in 'Technical Analysis' started by UrmaBlume, Aug 24, 2009.

  1. The screen shots below are of a "dashboard" that we call our Market Heads Up Display (HUD). Our in-house traders use this information to keep in touch with what we call the market's vital signs. This software is NOT for sale and is shown here not as an advertisement but to demonstrate the predictive power of properly processed data collected from several time/volume frames.

    This application was written in C++ and reads data from different data streams for different markets. This version supports trade in ES and TY and is updated on a tick by tick basis.

    The top data line shows the HLC of the market and, more importantly, the net of commercial new trade for the session and the CPM, Contracts Per Minute, which is an important, constantly changing measure of the market's "life force."

    The red, yellow and green bars represent buy and sell signals in 11 different time frames.

    The blue pulse gauges demonstrate percentage of normal volume in 6 different times and normalized for time of day.

    The pie charts show the EXACT balance of trade inside the most recent blocks of trade volume.

    To the right of the pie charts is another pulse gauge that demonstrates our calculation of net new commitment by commercial traders in six different time frames and again normalized for time of day.

    At the bottom left is a graph of session's net new trade by commercials in net number of contracts long or short.

    Bottom right is a short term graph of price with is a very quick Jurik Moving AVerage of the midpoints of bars.


    This first shot of the HUD shows nite session activity 4 hours before the open taken from the 10th of this month. Note the very low levels of both volume and more importantly the complete lack of long term/commercial trader commitment.

    We believe that since the nite session trade is done mostly by commercial traders that the data from those trades can be predictive of the day session that is yet to come.

    In this case the HUD shows below average in total volume and almost no trader commitment. As it turned out the day traded at about 40% of volume, 40% of range and 40% of intra-session volatility - a nothing day as indicated by the HUD.


    This next shot was taken before the open on the very next day, the 11th of this month.

    Note that there is much more volume and much greater trader commitment. Most important here is that the commitment readings were much bigger than the volume readings and all red which indicates a huge selling imbalance.

    This imbalance was refelcted in trade during both the nite session and the day session to come by lower prices and continued selling with much more volume and volatility - all down.

    It is not about total volume it is about the imbalance within that volume that predicts future prices. If you can accurately read imbalance in multiple time frame you can predict future prices in multiple time frames.

  2. Reminds me of that late night infomercial software, Wise Trade.

    Green Light Buy
    Red Light Sell

    :D :D :D
  3. LOL I remember them. Are they even still in business? Haven't seen a commercial for them in a while.
  4. Sorry that's all you got.

    What about Contracts Per Minute, Time of day Normalized % of average volume in 6 different time frames, Balance of Trade in 4 different sized blocks of recent trade, % of longer term trade commitment normalized for time of day in 6 different time frames, session net new trade by commercials in contracts long or short and a phase adjusted adaptive agerage of recent price?

    Some would consider these fields to be very important to short term price fluctuation and we have never seen any software anywhere that presents such information on a real-time basis.

  5. I'm sure that your software provides lots of information but if I'm not mistaken don't you have to pay to advertise here on ET ?
  6. Eddiefl


    Mr/Mrs/Ms/other UrmaBlume,

    yes that is all great info,,, but at the end of the day, all i need to know, is if my stock/index/futures is going north or south, is it going from 165 to 180 or 165 to 145, for example.. and i can think of many other things that can give me that info that are free..

    No offense, but you wont find much interest with experienced traders,,

  7. maxpi


    Actually, I never dug into volume analysis that much until recently, not at much level of detail anyhow... and up until yesterday I was sort of convinced it was difficult but today I did some analysis with just level one data, bid, ask, last, volume.. and wow... useful stuff sometimes.. the trick is to sort out when it's telling you something and when it's not, but useful at times...

    The replay data with NinjaTrader doesn't record Level2 afaik, but you can get the whole level2 thingy including the market maker in realtime and use it in a script.. I'm pretty sure that there is very powerful analysis that can be done by anybody with some computer skills... and the software is free... it never fails to amaze me how low costs are for a retail trader and how much long green is available...

    I wonder if there is a software package that records level 2 all day and can play it back? Methods are way, way easier to develope on replayed data, you can work on the weekends with it and replay trouble spots.. I have stuff that simply would never exist for me if it all had to be developed on realtime data......
  8. NinjaTrader_Dierk

    NinjaTrader_Dierk ET Sponsor

    NinjaTrader in fact records full L1 and L2 data for replay.
  9. Today's trade was quite remarkable with the biggest net shorts by commercials in recent memory.

    The HUD plainly demonstrated the strength of the negative sentiment of commercial traders from early on as shown below. This shot was taken 16 point ABOVE the low that occurred near the close.

  10. taotree


    Only at 1 second intervals which I find rather frustrating.

    I've been recording data, timestamping it and playing with it (developing my own software). It's fun and very interesting.
    #10     Sep 4, 2009