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Converting Linear to non-Linear based charts
Last Activity 6/19/2018 3:00 PM
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ap·pren·ticeGuru

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Subject : Converting Linear to non-Linear based charts
Posted : 7/4/2017 8:20 AM
Post #29604

Hello Fellow Traders:

I would like to get feedback related to NTB Tick-based and NTB Range-based charts. Lately, I have come to realize to be a proficient chart reader, besides fractal time-based linear charts, I need to study and trade w/ non-linear, non-timed based charts for a better edge.

My time-frames vary based on style and length of position (scalp, intra-day swing, swing and/or position) as shown below variations:

scalp - 60 min / 15min / 5 min /2 min
intra-day swing - 240 min / 60 min / 15 min / 5 min
swing and position - weekly / daily / 240 min / 120 or 60 min

The reason I display above is because I am looking for feedback towards **converting** these identical fractals into Tick charts and/or Range-based charts.

I want to find the best manner to convert Range &/or Tick charts that match the same time based fractals relative of their variations or to close proximity.

NTB Range and Tick based charts:

scalp?
intra-day swing?
swing and position?

----------------
For example, below is one method of attempt to convert time to ntb-volume data periods using the calculation I am not sure if it is accurate or not (a spreadsheet example is attached):

Daily Minutes = (1440 - 60 = 1380 minutes)

Average Daily Volume = VOLMA (90period)

Calculation = (VOLMA/1380) = volume per minute
= (volume per minute) x (#mins chart)
= Volume amount for each timeframe

-----------------

If anyone can please assist, it'd be very highly appreciated. Happy July 4th.

Cheers!

p.s.: I understand everyone has different views on which time-frames are best for their style. I also understand comparing time vs transactions or volume is like comparing apples to oranges, but nonetheless, markets are fractal regardless of them being time, tick, range, or volume...
Attached file : TimeVolumeChartConversion1a.xls (9KB - 36 downloads)

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Mel

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Subject : RE: Converting Linear to non-Linear based charts
Posted : 7/4/2017 10:18 PM
Post #29607 - In reply to #29604

Since time and ticks are different things, they do not convert. Best you can do is adjust tick/range charts to have about the same ratio of bars as you scale up. But that will not be a constant thing.

Mel
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ap·pren·ticeGuru

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Subject : RE: Converting Linear to non-Linear based charts
Posted : 7/5/2017 4:40 AM
Post #29608 - In reply to #29604

True Mel, but what about attempt to use some sort of average "volatility" and/or combine some with "volume", to gauge some kind of proximity.

There has to be a manner or technique to going beyond in search of this process. For example, similar tuning to finding approx. "cycles" and removing noise, its a multiple step process.

For now, I am approx. fib. nos. for ticks to time, but, as you mention, its arbitrary, not a process.

For NTB Range, possibly using a "volatility"-based measurement for proximity to come up with a process. But I don't know how to formulate.

I am simply suggesting to thinking out of the box. I am sure there has to be a way :-).
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Jim Dean

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Subject : RE: Converting Linear to non-Linear based charts
Posted : 7/5/2017 7:20 AM
Post #29609 - In reply to #29608

Here's an out of the box idea: use volume as a metric to provide discrete dynamic-volume pseudo-bars (dvpb's), from which ATR (or whatever) can be calculated.

This would be *different* than NTB "Volume Bars" in that the dpb-discretization would be based on a moving average of volume over the past N minutes. Standard NTB vol bars use a fixed input number of shares to define a bar - which doesn't work well over a very long time period since there can be major overall characteristic increases or reductions in volume as a symbol matures.

A dvpb's "bucket volume" would be dynamic: sum up the tick-volume (or could be a lower timeframe n-min bar) over some fairly long time period (related to a multiple of the fractal you've discussed), then divide by that multiple to get an average. Once the HRE has accumulated a complete new internet multiple of volume, call that the end of the bar and move on to the determination of the next bar, with an updated baseline average volume.

That is, do a standard NTB Vol Bar build process, but with a dynamically adjustable volume-bar "bucket" size.

Then, once those bars are defined, store the OHLC prices for that dvpb, and use standard ATR (or other indicator) formulae to calc this.

Fair warning: this is a complex programming process, since it cannot make use of N native "static" NTB bars. I've coded a full suite of NTB bars before, complete with plotting - it's definitely not a small task.

But you asked for out of the box thinking. There ya go.

[Edited by Jim Dean on 7/5/2017 7:21 AM]

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Mel

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Subject : RE: Converting Linear to non-Linear based charts
Posted : 7/5/2017 12:39 PM
Post #29612 - In reply to #29609

Ok, I can understand how you would calculate this, but I am not clear on why. Volume charts let you see clearly by the frequency of ticks summarized into bars. What do I see in the new calculation (a lot of work, I agree), that I could not make with an indicator on volume-based charts (or even time-based charts?) With a lot less work. Wouldn't dvbd bars blur the view of tick speed that Volume charts were invented to expose?

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Jim Dean

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Subject : RE: Converting Linear to non-Linear based charts
Posted : 7/5/2017 12:43 PM
Post #29613 - In reply to #29612

Compare the 10-day SMA of volume for today to the same value 10 days, 10 days, and 30 days ago for whatever symbols you trade. If those values don't change meaningfully then you're right, there's no meaningful benefit to the idea. But if they do, ponder the dynamic notion awhile.

Just an idea. No worries if it doesn't t help.
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Mel

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Subject : RE: Converting Linear to non-Linear based charts
Posted : 7/5/2017 12:53 PM
Post #29615 - In reply to #29613

By no means do I wish to discourage ideas. But I really like to understand them. Yours is creative. My fascination with volume is about significant differences, which I use standard deviations to detect. As always, my goal is to look for differences that make a difference. Perhaps something like that is in your idea. But I would like an easire way to dig it out than trying to build a new type of chart, which seems like significant effort, even with the skill base and code on hand from your other NTB projects.

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