The MarketDelta Blog

I too, am an ardent reader of Brett Steenbarger’s Traderfeed blog. One of his more interesting ideas is to monitor a cumulative TICK (more precisely an adjusted TICK, see his blog for more information) and a cumulative money flow (a dollar weighted delta). Comparing the two often shows very similar charts. But, when a divergence occurs, the information can be particularly meaningful, because the data streams for the two indicators are different. This means we’re not simply rearranging the same data, new information is present. The two data streams include the delta of the emini contract multiplied by price, and the NYSE TICK.

Below, is a chart created in MarketDelta. This example shows just how powerful MarketDelta can be, as most often this type of data would require the user to export multiple data and indicator series, import into a spreadsheet application, and then start formatting the data and crunching the numbers. Not convenient by any stretch.

This chart makes use of the RTL formula language to develop the custom indicators required, multiple invisible data streams in a single chart, and a couple standard, MarketDelta specific indicators (the Volume Breakdown and Session Statistics indicators). If you subscribe to the Pro version or higher, you use this set up.

REVISED INSTALLATION INSTRUCTIONS:

VERY IMPORTANT – THE CHART DEFINITIONS BELOW REQUIRE MARKETDELTA 9.2 BETA VERSION 7

I you are a current non-trial subscriber and would like to implement the latest beta version please send an email to support@marketdelta.com requesting this.

Through the patient help of our developers, we have simplified the process down to a simple chart definition import. The links are below to download the chart definitions. If you are not familiar with obtaining chart definitions from Charthub.com, please first review this knowledge base article.

In order for the Cumulative Adjusted Tick pane to function you must have 30 days worth of data for TICK downloaded. Also, this entire chart (both panes) MUST stay on a 1 minute periodicity.

If you use esignal use this CHART DEFINITION
If you use DTN IQ Feed use this CHART DEFINITION

If you use any other data vendor you’ll need to manually change the symbols to the proper emini SP symbol in the top pane and the NYSE $TICK symbol for the lower pane. If you find yourself needing to change symbols, you may find you need to change the symbol setting chart style from invisible to bar back to invisible to “force” the change.

Enjoy!

In a recent blog post by Dr. Brett Steenbarger he posed the question “What’s Missing from Your Charts?“. In case you are not aware of his blog called TraderFeed, it is one of the top followed financial blogs in the world.

We met with Dr. Brett last week and looked at some of his ideas as well as all the comments posted by the readers of his blog and wanted to post some of our own comments along with screen shots of what is currently possible and what it might look like on a chart. While we are not addressing each and every comment (many of them have the same theme) you will find these examples address much of the interests from those that commented.

Here are a few that Dr. Brett (and many of his readers) were particularly interested in seeing. Sorry, the request to chart your heart rate right on your charts is currently not doable. : )

• Charting of Cumulative NYSE TICK
• Charting of intraday Cumulative Money Flow
• Charting of relative volume (how today’s volume compares with past X days)
• Charting of volatility based pivot/price target levels
• Volume profile and Market Profile® overlays showing volume for 1, 5, and 10 days side by side.
• 52 week highs and lows overlayed on price chart

Charting of Cumulative NYSE TICK and Cumulative Money Flow
We talked about this one in detail since so many readers of Brett’s blog follow this. Brett has some unique ideas on leveraging the TICK and finding some other ways to use “delta” to confirm or deny tick readings. The two (TICK and delta) play very nicely together for many instruments.

In the screen shot above, there are two panes. The top one (Cumulative Money Flow) takes the price of the S&P 500 emini and multiplies it by delta and accumulates the values for the entire day. Another way to think about this is each trade that occurs is weighted for the size of the transaction and at what price it occurred and whether that price was the bid or the ask. Letting the software do the work, you can track the underlying cumulative money flow.

The lower pane shows a Cumulative Adjusted Tick. The underlying idea is that it is adding up each tick of the NYSE tick to get a cumulative reading and measuring it throughout the day. It helps to gauge the bias in the market and see over time how this might be changing. Looking at the general slope (up or down) appears to be a pretty good way to approach these two indicators.

Another interesting observation in comparing the two is how they confirm one another. The Cumulative Money Flow isn’t as smooth as the Cumulative Adjusted TICK but does seem to lead at times.

Charting of relative volume (how today’s volume compares with past X days)
This seemed to be one of the most frequent comments and one that Dr. Brett clearly expressed an interest in seeing on the chart. Take a look at this screen shot then read below.

This chart is doing two things in the lower pane besides showing the volume for each bar. First it does an average of the volume for the past 3 days and displays it as an orange colored line. This allows you to see if the current bar is trading above or below average volume for the exact same time period from the previous X days. You can specify the look back period.

Second, it shows the highest volume achieved for the particular time slot for X number of days. In this example the look back period is 3 days. This is useful because it shows how the current bar relates to the maximum volume achieved in any of the 3 previous days FOR the same time period.

A practical example would be if price is breaking out to new highs and the current bar’s volume is higher than the highest volume achieved for this time period over the past X number of days, then the breakout might be valid and have some follow through.

Charting of Volatility based Pivot Price Target Levels
Of course in MarketDelta you can plot the standard pivots that many my be interested in, but there are a lot of other ways as well using standard options in the preferences. However, something that was expressed and sounded really interesting is the ability to plot pivots based on volatility.

This chart shows a volatility adjusted pivot that is based on the range of the past 5 days. This could be adjusted to use whatever look back period one might feel is important amount of time, but the important thing is that you have the ability to adjust for changes in the market and not be fixed to just relying on the old pivot calculation method.

Volume profile and Market Profile® Comparisons for 1, 5, and 10 days side by side.
This area is a particular strength of MarketDelta. For those who don’t know we specialize in volume analysis and Market Profile® and are one of the largest Market Profile® resellers for the CBOT/CME Group. These 2 examples will show why.

This screen shot of a volume profile (could be changed to be any chart type) shows 30 minute bars. On the right side of the chart are 3 volume distributions that are based on tick data, so they are very accurate. The left most volume distribution is the current day. The middle one is a 5 day volume distribution and the right one is a 10 day volume distribution.

The benefit of having them split out separately is that you can see over time where the market is tending to trade the most volume. Having the historical perspective of the last 5 or 10 days helps to keep the bigger picture in mind. Combining this graphic with the cumulative tick and money flow and the volume look back charts mentioned above, you have a very nice way of seeing the bigger picture but also having the short term trading tools available to qualify any trade that might present itself.

Another way of doing something similar without actually showing a true Market Profile® is to use the Profile indicator in MarketDelta® and apply it to a chart.

This shows a 30 minute volume profile with the Profile Indicator applied 3 separate times and overlayed on top of one another. It is showing a 1 day, 5 day, and 10 day volume overlay distribution along with having the value areas project across the chart. Again, this chart could just as easily have been represented as a candle or bar chart.

Overlay of 52 week highs and lows
Another comment from the Dr. Brett’s post was the ability to see 52 highs and lows plotted against price. This screen shot shows just that and really shows how the bottom correlated with a huge spike in 52 week lows.

In Summary, without going through each and every comment I can assure you that most of the things suggested are possible in one way or another. There were certainly a few that were not though. Anything that has to do with volume is most likely doable. If your questions were not answered or new ones were spawned, feel free to contact us by visiting our website. We also offer a free trial, so we invite you take advantage of it if.

An astute MarketDelta user sent in an email today inquiring about the possibility of employing the customizable button feature in order to change indicator preferences by a single click. The video below shows exactly how to do this with the Zig Zag indicator, but the button preferences allow for a multitude of tasks to be performed. I suggest reviewing that list in the preferences drop-down to get some ideas. Feel free to share.