Measuring trade intensity to detect reversals

Discussion in 'Trading' started by cunparis, May 19, 2010.

  1. I'd like to share something I've been working on. I'm using trade intensity to detect buying/selling exhaustion which often leads to reversals. The reversal can be a pause, a small pullback, or a full reversal. So this isn't something one can use mechanically but rather as an input into a discretionary trading method.

    I measure trade intensity by the amount of trades occuring in a given time. This is equivalent to watching the time & sales for periods when the trades start scrolling really fast. I find that with this indicator I no longer have to watch time & sales.

    I'd like to get some feedback on this idea and improve it. So far I have it available for Ninjatrader & Multicharts and you can look at the source code and program it for other platforms. If you do please send me a copy so that I can make it available on my blog and make it available to everyone else.

    Thanks for looking, I hope you find it useful. And good trading to everyone!
  2. The image upload didn't go through, here it is.

  3. Baywolf


    UrmaBlume is the original architect of this strategy.

    I don't know if I would use trade intensity to to detect reversals; it is helpful for looking for "block" trades now that CME breaks large trades in to the many smaller orders (hence the trade intensity of a short period of time). That said, it doesn't look like you are tracking trade intensity per side, but as an aggregate of all trades. Not sure how helpful that could be either. Keep working on it.
  4. piezoe


    This is precisely what I have wanted for a long time. I'm not a good enough programmer to do it myself. I have wanted, actually, the first and second derivatives of a tick chart that will tell me what is happening with the rate of trades. What you are doing with the T&S essentially amount to the same thing I think. Thanks for bringing this subject up. I'm going to start following your blog. Perhaps I'll PM you after I study this a bit more.

  5. Hi Piezoe - I'm a professional software developer but I'm no good in math. I have some other ideas but I'm not sure how to do it. Sounds like you have some good ideas so maybe we can collaborate. I really find this indicator useful in my trading and I'm willing to invest time to try new ideas and make it better.

    Please contact me via my contact page and we can exchange emails or discuss it via skype.
  6. piezoe


    Yes, I'll do that. I need to first study what you have so far and the source code for ninjatrader.
  7. To find my blog just google Trade With The Flow or Pace of Tape and you'll find it.
  8. Close grasshopper, close...But no cigar for you.

    The funny thing is the key your looking for is right on your charts too.
  9. I love ambiguous guru posts [​IMG]

  10. maxpi


    It would be "you're", not "your"... and it won't be "loose", it will be "lose"
    #10     May 20, 2010