a24ali
15 posts
msg #79622
- Ignore a24ali |
9/18/2009 3:24:42 PM
Kevin,
I am following your BB strategy for about two weeks now and I have to say, it been good so far. I am working on my entry/ and looking for confirmation. I decided to use the effective volume by Pascal Willain as a confirmation method. See if large players are buying the stock or selling it. Using this technique, i would not have bought AAP, MANT, TNDM, STEC (ther was increase sell by the large players in the last 2 days, but today, it seems effective volume picking up steam). Using same technique, LINC seemed to be good buy.
Another case is AMED, the effective volume showed large sell off on sept. 2, 3 and by Sept. 4 the effective volume (by large players) went up again indicating big funds were buying the stock.
I will do more back testing of this strategy over the weekend and see if this holds in most cases..
Thanks for sharing your filter with us..
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Kevin_in_GA
4,599 posts
msg #79638
- Ignore Kevin_in_GA |
9/18/2009 5:34:34 PM
a24ali:
Would you mind explaining the concept of effective volume? Also, have you written any code for it in SF or backtested anything using this strategy?
Inquiring minds want to know!
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Kevin_in_GA
4,599 posts
msg #79640
- Ignore Kevin_in_GA |
9/18/2009 6:26:45 PM
A quick google search told me that this uses 1-minute data (something I can't do right now). This system is an end-of-day strategy. His concept of Active Boundaries seems structurally consistent with this approach, however.
I can't seem to find anything on them or how they might be calculated. Thoughts?
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gabestogie
79 posts
msg #79645
- Ignore gabestogie |
9/18/2009 10:36:10 PM
A24ali, thank you so much for sharing this.
Kevin{ this will work I'm sure. Have also been playing around with the money flow index. It appears to me that the W% may be an earlier indicator by a least 1 day at times.
Gabe
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Kevin_in_GA
4,599 posts
msg #79648
- Ignore Kevin_in_GA
modified |
9/18/2009 11:11:15 PM
Just thinking about this a little bit further ...
Not sure that we need to adjust this system - it is simple in concept and execution, has been backtested through good times and bad, and still delivers 80% success rates on average.
Always willing to look at improvements, but I'm not so keen on complicating a system that does not need to be more complicated.
a24ali, if you could show some of your thinking regarding when and why Effective Volime would be a confirming signal for some of these stocks:
AMED
STAR
OTEX
STEC
DL
FHCO
Be nice to see how Active Boundaries would have treated these versus Bollinger Bands.
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EdmondDantes
20 posts
msg #79669
- Ignore EdmondDantes |
9/19/2009 6:24:14 PM
Hi ,
Hey check out OBV on balance volume this indicator gives an early shot of when the buyers come back in and works well with Bollinger bands .
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a24ali
15 posts
msg #79671
- Ignore a24ali
modified |
9/19/2009 7:28:33 PM
Kevin,
I agree with you, no need to modify/or change the system. I am just thinking to use the effective volume as confirmation method. i havent back tested long enough to see if this works, but i am hoping by using the effective volume, i wont buy the stock in its early pull back stage.
Here are some examples of using the effective volume/active boundary..
http://i34.tinypic.com/15rihkw.gif
and here's the Active Boundary
http://tinypic.com/view.php?pic=29beywy&s=4
as you see, from this graph.. There was large sell off (BY Large Players) around Sept. 2/3 which caused the price to drop, however, by Sept. 4, the effective volume regained most of its loss..
For OTEX
http://i34.tinypic.com/15rihkw.gif
http://i37.tinypic.com/30k6e5e.gif
While prices were going down, from Aug. 25 to sept. 1, the effective volume was increasing..this seemed to be a healthy pullback.
This is the case with MANT:
http://i37.tinypic.com/30k6e5e.jpg
It seems, Large Players are selling off..looking at this, most likely i would wait for the effective volume to stablize and show sign of buying before i get in.
Finally, looking at STEC
http://i33.tinypic.com/2gy8yah.gif
STEC is giving mix signals... the effective volume is picking up but prices continues to go down.
As I said before, i need to do more testing to validate this method. I will do actually trading starting next week.. Use your system to screen for the stocks and then use the effective volume as additional confirmation method.
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Kevin_in_GA
4,599 posts
msg #79676
- Ignore Kevin_in_GA |
9/19/2009 8:30:37 PM
http://i34.tinypic.com/15rihkw.gif
and here's the Active Boundary
http://tinypic.com/view.php?pic=29beywy&s=4
as you see, from this graph.. There was large sell off (BY Large Players) around Sept. 2/3 which caused the price to drop, however, by Sept. 4, the effective volume regained most of its loss..
For OTEX
http://i34.tinypic.com/15rihkw.gif same link as for AMED
http://i37.tinypic.com/30k6e5e.gif same as below for MANT
While prices were going down, from Aug. 25 to sept. 1, the effective volume was increasing..this seemed to be a healthy pullback.
This is the case with MANT:
http://i37.tinypic.com/30k6e5e.jpg
It seems, Large Players are selling off..looking at this, most likely i would wait for the effective volume to stablize and show sign of buying before i get in.
Finally, looking at STEC
http://i33.tinypic.com/2gy8yah.gif
++++++++++++++++++++++++++++++++
I get the picture here - interesting technique. Looks like you could run this at the end of the day to keep track of stocks you have invested in, and pull out when the big boys do.
How hard is this to generate? Looks like you are doing this in Excel, right?
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klynn55
747 posts
msg #79678
- Ignore klynn55 |
9/19/2009 8:34:44 PM
a24: how did you produce the charts, what software uses villian's scans?
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gabestogie
79 posts
msg #79679
- Ignore gabestogie |
9/19/2009 8:50:01 PM
A24:
Looks like a no brainer.How do we pull up charts such as these? This is how the smart money plays, they get in & out before the avg. investor does.
Gabe
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