TFF,
Here's a conversation on another thread I had about volume on the S&P futures.
Starts Here:
Message 14802641
To: Options Jerry who wrote (4541)
From: Patrick Slevin Monday, Nov 13, 2000 11:25 PM ET
Reply # of 5117
Been messing around with some Gann Theory and due to the incredible amount of mathematics involved, I decided to break off and catch up on my peoplemarks. So, naturally, I came across this thread once again.
Noting all the posts about "price and volume", it occurred to me to wonder. Several thousand posts ago I asked if anyone had a method for seeing volume in the Index Futures Markets, like SP for example.
Did anyone ever come up with an answer for that, do you know? I've been doing this for years off patterns and time with some slant on price as well. Volume is not available, to the best of my knowledge. So daytrading Index Futures from a perspective of volume is not practical.
I've asked the question prior and I suppose I shall not get a response now either but are you, or ISpec, or anyone at all able to divine volume in the SP? If so, please tell me how.
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To: Patrick Slevin who wrote (4554)
From: Chip McVickar Tuesday, Nov 14, 2000 12:21 PM ET
Reply # of 5117
Patrick,
On your seeking information about Volume....!
Al Gietzen "Advanced Cycle Trading"
Irwin Publishers 1995
He did a remarkable amount of work on Volume and very well matched to the S&P, futures and commodities. He's a mathematician and this volume is full of calculations and studies on price, time and volume.
Here's an Excerpt:
Quote - page 55:
"Some qualitative concepts about volume are actually misleading. The idea that "real moves are accompanied by high volume" is popular, but generally that high volume is likely to occur in about the last half of the price move and may be highest toward the end. This is not an effective trading tool."
"It can be argued that volume should replace the time variable; that is, it's not a question of how much time went by during the certain movement of price, but rather how many contracts, or shares, were traded."
"You can also examine the cycle behavior in terms of the trading volume between cycle bottoms...."
"Trading volume is also useful as a component in estimating the money flow into and out of commodity markets."
He presents several mathematical formulas and indicators developed around; price, volume, and open interest.
page 64:
John Herrick of Herrick Investor Tutoring developed something called the Money Flow. An attempt to measure the flow of money in and out of a given market. The formula is included in Gietzen book.
page 76:
Trin or Arms Index uses ratios of adv/decl volume and issues.
Quote:
"The Trin is best used as an indicator of intra-day strength. A value of 1.0 is neutral with the lower values as bullish and higher values as bearish. A value...0.75 or less indicates strength -- 1.20 or higher indicates weakness. A value of about 0.5 or less after the first hour of trading gives a high probability of a strong continuing rally for that day."
Finally;
"Trading Without Fear"
Richard W. Arms
Wiley Publishing 1996
Richard Arms known for his (Arms) or Trin Index recently carried out a series of studies on this very same subject as Gietzen. This noted work presents his work with volume and a new indicator he called Equivolume Charting and another indicator called Volume Adjusted Moving Averages.
In this volume he also provides the mathematical formulas
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Reply # 4646
The question we were driving at however is volume on SnP and selected other markets. What we were saying is that one cannot analyze what is not provided by the Exchange.
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To: Patrick Slevin who wrote (4646)
From: Chip McVickar Nov 18, 2000 3:14 PM
Respond to Post # 4744 of 5117
>> The question we were driving at however is volume on SnP and selected other markets. What we were saying is that one cannot analyze what is not provided by the Exchange. <<
Pat,
Here's what R. Arms has to say on Stock Market Futures S&P:
"Trading Without Fear"
Page 208
"To trade the futures market I look at the market itself, rather then the futures contract....and the market average and volume are less erratic..., I prefer to use the underlying market and the overall market statistics in making decisions that lead up to the actual trading (the futures contract). I trade the time frame that this work (equivolume) seems to be best for---positions that last a few days to a few weeks."
And About Commodities:
Page 206
"utures contracts have a limited life, with no volume or open interest when they first start to trade, then building and disappearing at delivery. Best way to cope with this is to chart the price of the contract being traded, but use the volume figure for all the contracts. So chart the front month price, say for wheat, but use the volume for all the wheat contracts in the market."
Trading Limits---these also distort both price and volume. "There is no real way to cope with this, except to be aware of it...it is not usually a problem when using Equivolume charts."
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To: Chip McVickar who wrote (4744)
From: Patrick Slevin Nov 18, 2000 4:42 PM
Respond to Post # 4747 of 5117
It does not matter that one looks at the entire set of contracts in the SP on the Futures because the Intraday Report on the SP Futures does not exist.
Richard Arms certainly was not speaking of Index Markets in his book. No Intraday SnP Trader concerns him/herself with Volume merely because it is not provided. |
