Time segmented volume tradestation forex

System rules are detailed within the comments of the code below. When adding the SB stop, I used the author's suggestion that the SB stop should not be used alone but only as the maximum value for the main trailing stop. I also tried other minDrr values. My tests indicate that adding the SB to this particular type of trend-following system did not improve the returns.

In fact, the higher I set the value for the minDrr, the lower were my average returns and corresponding Sharpe values. Only when the minDrr value was set to less than 1. The returns with various minDrr values are shown in the table at the bottom of Figure 6. The results of this one test are by no means conclusive, and the SB stop may be superior to other trailing stop methods when used with the channel breakout system or a different system. Further testing with each type of system should be done.

I provide the code for the SB, which is to be used as a trailing stop for short positions, but I did not test the short side. The code can be downloaded from the AIQ website at www. Author: Giorgos E. The article deals with a barrier trailing stop SB which! Formula for the trailing stop barrier SB :! P is the current price of the security as of today! PT is the profit target! System rules:! Enter a long on the first breakout from a 30 day channel!

Use a 60 day rate of change, descending, to select signals! Set profit target to 8 ATRs, initial stop loss at 2. Set a trailing stop at the highest mid channel since! Reverse the rules for a short position! C1 is valresult C,1.

L is [low]. H is [high]. ATR is simpleavg TR, Set minimum risk to reward minDRR is 2. SB1 is valresult SB,1. TopChan1 is valresult TopChan,1. BotChan is lowresult L, BotChan1 is valresult BotChan,1. During the middle of the day, when most of the floor traders leave for lunch, the volume really dries up and you have the lunch doldrums. Later, at the end of the day, everyone attempts to make their adjustments before the markets closes and there is another big volume spike.

All of this distorts average volume indicators. You wind up getting a distorted view of market volume. On top of that, if you happen to change the time frame on your chart, the volume will be different because you are looking at different lengths of time and thus different volume. In addition, volume analysis does not exist for most forex traders. Volume also looks very different from one symbol to another symbol since you might go from one symbol that trades 10 million shares a day, to another symbol that trades 10 thousand shares a day.

Again, all of this makes volume very difficult to understand. There is a way to make sense out of volume. For example, if you look at the am bar on a 5 minute chart with time segmented volume, it treats every 5 minute bar as an independent time slice and compares the volume on this specific time bar against the same exact time bars over a 21 day period which is one trading month.

It will then display the average percentage of what that current bar volume is in relationship to all the other bars over the last 21 days. Now you have a true time segmented volume normalized indicator. You read time segmented volume normalized exactly the same across all time frames, all charts even forex charts , and all symbols. It will look through the volume distortion issues we discussed above and will show you an accurate picture of volume for every single bar.

Time segmented volume normalized really is the best volume indicator to use if you are trading intra-day. When you want to analyze time segmented volume, you compare the candlestick bar against the volume bar and look for them to be consistent or divergent.

If you read volume in relationship to price action it will tell you a lot of very useful trading information. This is the key to really understanding volume, comparing the time segmented volume bar vs. It is price action and volume action that creates the price bars on your trading chart and every chart shows support and resistance areas. When price is moving up 4, 5, or 6 bars in a row, and all of sudden it stops moving up, that might be from selling volume pushing the price the other way as the bears take over control.

This price action change of direction is a resistance point. Support and resistance really is about where price changes direction. Most traders only see support and resistance after the fact. The fractal channel displays real time support and resistance and shows in real time where these changes in price action happen, giving you a good visual illustration of where to place your trade entries.

For instance; if price is moving down and stops at the fractal channel, meaning stops at a prior level of support, and then starts moving back up, this is a good entry point. For this example once you are in a long trade, the fractal channel will move up with each new support point that develops, showing a series of higher support points an up-trend.

The fractal channel shows the direction of the trend with a green trend line to display these higher high support points. Another useful purpose for seeing support and resistance is for proper stop loss placement. Most traders decide where they want to place their stop loss based on some arbitrarily dollar amount of risk. This really makes no sense from a technical trading stand point.

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Essentialy it is designed to measure the amount of money flowing in and out of an instrument. Time Segmented Volume was originally ported to TradingView by user liw0 and later corrected by user vitelot. I never quite understood how to read Time Segmented Volume until I ran across a version by user storma where they indicated when price would be long or short, but that code also utilized the incorrect calculation from user liw0. In an effort to make Time Segmented Volume more accessible and easier to read, I have re-coded it here.

The calculations are based on the code from vitelot and I have added direction indicators below the chart. If the histogram TSV is greater than zero and greater than the moving average, price should be moving long and there will be a green box below the chart. If the histogram TSV is less than zero and less than the moving average, price should be moving short and there will be a red box below the chart.

At times, the moving average may be above zero while TSV is below zero or vice versa. In these situations the chart will indicate long or short based on whether or not TSV is greater or less than zero. It is okay to look at volume this way, but you will be missing the most vital volume information.

This is not the best approach to analyze volume. Volume has inherent distortions which cause faulty analysis by many traders. For example in the stock market and other markets to a lesser degree , the opening of the day is fraught with a multitude of orders that had built up overnight and all get processed at once.

This large influx of trade volume creates a major distortion to what is actually happening in the market. Another distortion is created in the middle of the day when the majority of market makers go to lunch and market activity slows down immensely. This is called the lunch doldrums. A third distortion happens at the end of the day, when traders try to adjust their orders before the market closes. They may want to be flat overnight or they might want to get into a trade, but this influx of orders at the end of the day is another distortion to volume.

Another inherent challenge to using a volume average indicator is that every instrument has considerably different levels of volume. For example compare, GE with 40 million shares per day vs. This vast difference makes it difficult to read volume from one symbol to another symbol. Additionally, if you change from one time frame to another there will be huge volume differences.

The volume on a 1 minute bar chart is much different than the volume on a 60 minute bar chart or a daily chart. The key to getting past these challenges is to use the time segmented volume TradeStation Indicator.