- 11 months, 2 weeks ago michaelParticipant
Hi there , well i just read the newsletter june 2019,
Well I have to say , I have never been a fan of Volume in my calculations.
Actually when i saw the mention of the OBV in the discussion , nearly turned off.
But as I have been working on a range system and the Bollinger bands have not worked
for me either , thinking there was not much in it . But i decided to download and open the chart and run it . Sorry Marge initially i was not too thrilled with it .
So i looked at the results and thought it needs direction in it . I added 2 more inputs for
helping with direction and also changed it to the genetic Algorithm. ( that is my personal favorite ).
I also changed it to paper trading for 3 months and 3 months out of sample .
WOW , got some great results from it , that OBV indicator really helps .
I have not used OBV or Volume for 15 years . This was getting smacked over the head , HARD. Thanks Marge. You can always learn new tricks.
first screen is with 1 share . second is with chart , third is trades one share,
last 2 are using margin of 15,000 and account of 250,000 .
See in out of sample , that it goes short for too long before trading.
NSDT is the toolbox to try all your trading ideas and still so much to learn.
You must be logged in to access attached files.11 months, 1 week ago Ward Systems Group SupportKeymaster
Glad the chart gave you a new area to explore. I’m also working on volume indicators, as you can tell from the recent newsletters.
On further study , my directional signals are not as robust as i would like.
When the market is rallying strongly , my system will loose money as the market makes new highs , it will be short and the drawdowns will be severe .ouch .
I have a gut feeling that the HFT have distorted the volume in the stock market which is why i have never had any luck with them , i never thought of using volume indicators in the futures market but i am guessing that the volume figures might be more valid . If anyone has a view on that , let me know .
Well i spent the weekend trying to use the OBV on actual stocks ,
generally it failed , worked for MSFT . Makes me think volume is distorted in Stocks by HFT. I will try some bond futures .
admittedly i only tried 7 stocks but the futures look a better bet .11 months, 1 week ago tovimParticipant
You can first predict the OBV indicator n bars ahead first ( regression) then use the the predicted OBV value as input.My experience is, this method works slightly better than the using the original indicator as input, because it is less noisy.But this is only my experience though.
Thanks Tovim , good idea , i will try it .
on the futures i note the sudden change in volume , so maybe add days until the third
friday , as an input for calculating the predicted OBV .
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