Hello Mr. Herman, So have you found any leads?
i have been exposed to some volume based (bid side vs ask side) trading on the ioamt/ita websites; and it seems quite important for intraday future trading. Similarly maybe if we can somehow separate bid vs ask volume for stock trading also, on EOD basis and kind of see whether most volume is on bid side or ask side it might help; specifically say if a move is say to the up one day, based on whether the up move was due to offers being lifted by buyers (aggressively) or simply due to daily static (not much domination of buyers), might help. But i think this might be a hard proposition to test as it will not only require intraday data but maybe level-2 data etc.. well then its probably too complex. has anyone found a simpler way of using volume for exactly this type of trading systems that Herman is talking about in this post (about 10 days eod based trading, reversal trading in the direction of major trend). thanks Chaitanya. --- In [email protected], "Herman van den Bergen" <[EMAIL PROTECTED]> wrote: > > The latest flurry of posts on volume makes me wonder whether anybody has > successfully incorporated the volume factor in very-short-term (1- 10 days), > always in the market, reversal trading systems. > > I have tried many times but failed miserably to improve any system using > volume data. Any examples, code or description, would be much appreciated. > Knowing that somebody out there has used volume successfully in a mechanical > trading system might encourage me to try again. > > Best regards, > Herman. >
