Breadth Internal Indicators

[tradershare]

Breadth Internal Indicators

 

http://rapidshare.com/files/218813527/Title_01.part1.rar

http://rapidshare.com/files/218834476/Title_01.part2.rar

http://rapidshare.com/files/218842381/Title_01.part3.rar

http://rapidshare.com/files/218850289/Title_01.part4.rar

[david22]

Re: Breadth Internal Indicators

 

good video on market internals, thanks for the post

[⭐ Kunal]

Re: Breadth Internal Indicators

 

Breadth Internal Indicators

 

Can you provide some info on this, author or website?

[Starting]

Re: Breadth Internal Indicators

 

nice video, focused on stocks mainly, but also good for FX trader.

 

I'm wondering if we can apply some of indis they proved to be good for determining "market breath" for FX.

 

I'm interesting in trial of indi called TRIN, which formula is:

(number of advancing stocks/number of declining stocks) / (volume of advancing stocks/volume of declining stocks).

 

Practical use is that when TRIN is < 1, then market is bullish. That means volume confirms advancing stocks. On the other hand, if TRIN is > 1 the market is bearish.

 

I was thinking how can we apply this to FX trading.

My first idea was to create a cluster indicator for major currencies, which would show us if majority of currencies tend to advance or to decline. Don't know practical use of this, but this is just idea.

 

Another more close to mother earth idea arisen in my head is to plot TRIN just for one currency, when we calculate number of candles and treat every candle as a stock. So we calculate how many candles were going up, how many of them went down for a definite period of time. Then we would apply volumes as per the formula, so we could be confirmed by TRIN if price movement is really well confirmed by volume or not, in the same way we could determine at which market we're now - bearish or bullish.

 

Particular interest was for me a pattern which they plotted as a 5 day and 10 day TRIN, together with 50 period MA, with 2 x 20% and 30% envelopes ( total 4 envelopes) around 50period MA.

 

Guys, who are advanced in programming, can you look if you can create TRIN indicator based on following:

- adjustable period (i.e. number of candles our indi considers);

- calculate how many candles were declining (started with higher price and closed with lower price) and how many of them were advancing (price started lower and closed higher);

- calculate what is cumulative volume of declining candles and what is the cumulative volume of advancing candles;

- plot the graphical line which is a value of the following formula = (Number of advancing candles within our adjustable period / Number of declining candles within our adjustable period ) / (Cumulative volume of advancing candles / Cumulative volume of declining candles).

 

 

http://i017.radikal.ru/0909/50/97b11ade897f.gif

 

Would be much appreciated for help, or, if even such indi already exists, for the link to it.

 

Found this on forum.mql:

 

It takes 0 volume to move price 1 pip. It takes a change in the price at which the Dealer is willing to deal to move price.

On all MT4 charts, volume is the count of ticks in a bar, nothing more.

 

Can somebody advice if this is correct also for ECN brokers?

 

I still think if the volume in MT4 means just a number of ticks going up and down withing the same candle, we still can think how to interpreter and use this.

 

Regards,

Starting

[david22]

Re: Breadth Internal Indicators

 

Instead of looking at the Trin as a seperate indicator, its much easier to focus on the individual components like advancers, decliners, advance volume and decline volume.

 

I say this because it has more meaning, like how many stocks are up and how much volume is

flowing into them as oppose to a single trin reading. Trin can be misleading when you have

a reverse scenario when more stocks are up but less volume is flowing into them.

 

In terms of your idea of advance/decline + cumulative advance/decline volume,

I am trying to create this intraday using minute bars. You could do this for forex,

but its much better if you include a combo of multiple pairs and crosses like eur,gbp,yen,nzd,chf,aud,cad, usd..

 

Here's a definition:

"A Stock is considered advanced if it stock price moved up over a minute. No matter where the stock is in relation to the previous day close, if this stock moves up over a minute it is considered as advanced stock."

[⭐ luke4p]

Re: Breadth Internal Indicators

 

..................

Edited January 25, 2013 by luke4p

[Starting]

Re: Breadth Internal Indicators

 

Instead of looking at the Trin as a seperate indicator, its much easier to focus on the individual components like advancers, decliners, advance volume and decline volume.

 

I say this because it has more meaning, like how many stocks are up and how much volume is

flowing into them as oppose to a single trin reading. Trin can be misleading when you have

a reverse scenario when more stocks are up but less volume is flowing into them.

 

In terms of your idea of advance/decline + cumulative advance/decline volume,

I am trying to create this intraday using minute bars. You could do this for forex,

but its much better if you include a combo of multiple pairs and crosses like eur,gbp,yen,nzd,chf,aud,cad, usd..

 

Here's a definition:

"A Stock is considered advanced if it stock price moved up over a minute. No matter where the stock is in relation to the previous day close, if this stock moves up over a minute it is considered as advanced stock."

 

 

Mate, the purpose of TRIN is exactly to show you how well supported those advancers by volume.

In our case it's not a volume, it's tick movements.

 

If you can do this indi, let's try. Because if you check this picture

http://s57.radikal.ru/i158/0909/aa/12cd8cc66705.jpg

 

you will find that ticks movements are still showing some key levels when there is a market balance and it ready to go to change it's direction. Look at the picture - then you see current candle volume is exual in up and down ticks - so it's a great chance for price to change a trend. See how it was on 11th candle from the left - volume also was balanced - below indi shows up and down ticks.

 

And look at right - there you can find other interesting volume info (actually ticks info, but for my convinience I still call it volume).

 

This shows how many series of consistent up or down tick movements were in current H1 candle.

As you can see - now it is a balance, almost 50/50.

So a nice signal for possible reversal in price direction to down.

 

It's also japanese candlestick analysis which shows a possible reversal, but with ticks volume it's easier to understand and use in EAs.

 

Hope my point is clear on this. So anyone interested in TRIN or other indis, are greatly welcomed to comment or to help to advance in this.

 

 

Guys, I found this picture on tsd forum in a thread "Show me smth interesting" with lots of pics and indis". This pic was there under the name "Mopst wanted indi.gif" so I haven't found this indi there and I don't have it, but I would want to.

 

Cheers!

Starting

[Starting]

Re: Breadth Internal Indicators

 

Would someone pls mirror to 4share or mediafire? Thanks ^:)^

 

http://www.4shared.com/file/130568656/c7b1d28e/Market_Internalsvideopart1.html

http://www.4shared.com/file/130565597/ec2fcb90/Market_Internalsvideopart2.html

http://www.4shared.com/file/130566805/c98e2d48/Market_Internalsvideopart3.html

http://www.4shared.com/file/130567950/7ded20d0/Market_Internalsvideopart4.html

[david22]

Re: Breadth Internal Indicators

 

In that case you may want something like this:

 

A stock could be traded 100 times within a minute. Each trade is one tick and each trade could move the price down or move the price up. For example, even if the price of the stock moved up for more than a minute, this stock could have 90 advanced ticks (90 trades with an upward price move) and 10 declined ticks (10 trades when the price moved down) within this minute. In the next minute, the same stock could still move up, yet have only 60 advance and 40 decline ticks.

 

 

The Advance/Decline Ticks calculation can be performed in three steps:

 

 

Calculate the Advance Tick Volume, the summary volume of advance ticks within one minute;

Calculate the Decline Tick Volume, the summary volume of decline ticks within one minute;

calculate the ADT Oscillator

 

ADT = (Advance Tick Volume - Decline Tick Volume) / (Advance Tick Volume + decline Tick Volume) * 100

[Starting]

Re: Breadth Internal Indicators

 

In that case you may want something like this:

 

A stock could be traded 100 times within a minute. Each trade is one tick and each trade could move the price down or move the price up. For example, even if the price of the stock moved up for more than a minute, this stock could have 90 advanced ticks (90 trades with an upward price move) and 10 declined ticks (10 trades when the price moved down) within this minute. In the next minute, the same stock could still move up, yet have only 60 advance and 40 decline ticks.

 

 

The Advance/Decline Ticks calculation can be performed in three steps:

 

 

Calculate the Advance Tick Volume, the summary volume of advance ticks within one minute;

Calculate the Decline Tick Volume, the summary volume of decline ticks within one minute;

calculate the ADT Oscillator

 

ADT = (Advance Tick Volume - Decline Tick Volume) / (Advance Tick Volume + decline Tick Volume) * 100

 

Well, with stocks it was a day, which was one increment to decide whether stock was advancing or declining. And the volume was not ticks movement, but real traded volume.

 

But with Forex, as ticks are just rice smallest increments and not a real traded volume, we can only say that white (advancing candle) had 100 ticks inside, 60 of which were u and 40 down. That's basically it.

 

If this is 50 up and 50 down ticks - we basically have doji candle when candle open price and close

price are at the same level.

 

So I would consider counting ticks within same candle as to see only how actively was rice declining (advancing), so to see the ratio of declining ticks (or advancing) versus advancing.

 

Practical implication of this is when we have such formula producing 50/50 = 1 result, then market basically found its interim equilibrium (balance) and robability to change direction increases (we have doji candle).

 

Btw, your ADT formula looks a bit strange to me. Looks like we will always get 1 in your formula. Should be (Number of advancing stocks / Number of declining stocks) / (Volume traded by advancing stocks/Volume traded by declining stocks).

 

In our Forex case we don't have Number of stocks.

In our Forex case we have Number of stocks equals to number of ticks, which equals to number of ticks (there is no real volume in Forex).

 

So we need just simple formula:

Result = Number of ticks going upwards / Number of ticks going downwards.

 

If we get Result = 1, then we reach market balance during this articular tick and our odds that market will change are to my opinion increase.

 

If we have Result < 1 then candle was bearish. Similarly if we count Result for the whole day, if Result is <1, then Day candle was bearish.

 

If we have Result > 1 then we have Bullish candle.

 

So it became pretty simple now, I hope ;))