View Of Volume (VoV) In ThinkOrSwim

[MatthewA]

VIEW of VOLUME (VoV)

View Of Volume (VoV). Calculations for Low Stress trading

Global Capital functions through issuing currency and paying interest on debts.
Arbitrarily massive sums of derivatives might exhaust the most intelligent minds that look for complex patterns to solve.

We can only understand relationships by seeing each thing relative to everything else.
By looking through the lens of relativity, we may view the markets with more clarity and less stress

First let us consider the Price Action and Order Flow Relatively.
Here are the indicators. http://tos.mx/oOFOZpO Click here for --> Easiest way to load shared links

On today's chart of the Nasdaq Futures each 1 minutes Bar has a Brightness according to how EASILY the price responded to the Order flow; this was calculated Relative to how EASILY Orders Flow onto the tape. The EoM function allows us a View of Volumes that price will consolidate EASILY within or Volumes which may EASILY develop into a strong trend. We also have a Blue Price Line from our function of EoM and we are able to utilize this EASY Line in many useful calculations which will be the topic of future posts.

The Horizontal Blue Lines are the DIFFICULT Price Lines DPL, and these values are calculated Relative to how DIFFICULT Orders Flow onto the tape. The DIFFICULT DPL lines rarely occur where traders might draw Support or Resistance and we do NOT hold loses in the hopes that direction may change at the DPL.
We use the DPL as a timely warning where the order flow will become DIFFICULT, and we save ourselves a great deal of stress by taking profits before we reach a DPL or by waiting to open a new position until we have left a consolidation within a DPL.

On today's Market Open, we see a bright EASY EoM order flow which remains within the DPLs and other VoV Lines.
We do not expect a strong trend to form and so we relax and patiently wait the first hours of this morning.

After consolidating most of the morning and upward trend begins to form.

Now we see the first signs of a retracement which might become a larger reversal. We do not immediately begin to short as there are many bright EoM bars around where price could drift and consolidate EASILY.

Now bright EoM bars show us that a downtrend can begin EASILY.

We open short positions, and we keep a tighter Stop-Loss than with our Long Positions as we are aware of the EASY EoM values above us and the uptrend which developed this morning.

Now that we have successfully traded the Uptrend of the morning and the Downtrend in the afternoon we will complete some other work on another computer and do some other activities while we leave some computer screen recording the market.

 

[MatthewA]

Let us look a second time at today's trades on the Nasdaq Futures but this time with more of the View Of Volume VoV Lines shown...
The VoV Profiles are easy to understand however too many bright lines will crowd out our view.

 

[MatthewA]

Let us look a second time at todays trades on the Nasdaq Futures but this time with more of the View Of Volume VoV Lines shown...
The VoV Profiles are easy to understand however too many bright lines will crowd out our view.

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I have had a very enjoyable trading experience with Relative terms.
I am thankful for contributions from people such as Dr Trefor Bazett and @Welkin ...


I do hope that @mashume does find the time to return in the coming months.
His ideas of simplifying second derivatives to see when price is "Concave Up" or "Concave Down" was a goal of early math with Concavity.
In particular I think that @mashume and his friends might enjoy the EoM Line included in this code.
I think we might simplify the accumulated market Volumes which make a significant curve inevitable.
The question is how we accomplish this using as little of computer resources as possible.

View Of Volume VoV might be able provide us with data that can constrain curves NOT to repaint.

Also, the community of traders @Ramisegal who work with the Options Expected Move may see a use for developing VoV tools because we know that Options may not be executed all at once.
The most logical way of Viewing the Markets random walk might be to price in the Delta $ of all of the markets options together with a loose and gentle Relativistic relationship...

I hope everyone is well and I thank all of you for any constructive criticism.

 

[MatthewA]

Good Morning...
I am off to school and then work but quick update this February 13th 2024.

Market drops EASILY below the previous VoV Profile Lines straight to DIFFICULT DPL Lines.
I did NOT trade this and if I had received confirmation I would have kept a very tight stop loss.
There might be some opportunities later in the day but I will be at school or work until close.

 

[iFrostyy]

Thanks for sharing your work! While blue is best for your viewing purposes is there any way we can see the volume in the red, green and gray like this? If I can see the charts like the first 4 examples i think i have something very very good this can be paired with

 

[MatthewA]

Thanks for sharing your work! While blue is best for your viewing purposes is there any way we can see the volume in the red, green and gray like this? If I can see the charts like the first 4 examples i think i have something very very good this can be paired with

Absolutely yes. We can change it to any color people would like.
I'm just sensitive about crowding people's eyes or printing what might be thought of as Buy/Sell signals that might rush people into bad trades.

 

[MatthewA]

Good Morning...
I am off to school and then work but quick update this February 13th 2024.

Market drops EASILY below the previous VoV Profile Lines straight to DIFFICULT DPL Lines.
I did NOT trade this and if I had received confirmation I would have kept a very tight stop loss.
There might be some opportunities later in the day but I will be at school or work until close.
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If I were free to trade today I would probably do 1 long and 1 short again just like last day.
Because of the position of the market today I would be using 30 tick profits with 20 tick stops which I would advance quickly. I would trade multiple contracts filled one at a time on separate orders with staggered targets and safety stop losses.

It is okay to have a chill day. The market took a rapid retracement in the early morning and is drifting along a random walk amongst the DPLs.

 

[KC8]

@MatthewA : @FutureTony's "Volatility Sentiment" looks promising...

Here's one from my Archive...Implied Volatility Rank...

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And here's the script:

declare lower;
#declare hide_on_intraday;

#IVPercentile

def vol = imp_volatility();

input DisplayIVPercentile = yes;
input TimePeriod = 252;
input LowVolLimit = 30;
input HighVolLimit = 50;
input Display6monthIVR = yes;
input MiddleTimePeriod = 126;
input DisplayShorterTerm = yes;
input ShortTimePeriod = 63;
input DisplayImpVolatility = yes;
input DisplayDaily1StandardDev = no;
input DisplayWeekly1StandardDev = yes;
input DisplayMonthly1StandardDev = yes;
input InvertRedGreen = yes;
input PercentileMALength = 21;

def data = if !IsNaN(vol) then vol else vol[-1];
def hi = Highest(data, TimePeriod);
def lo = Lowest(data, TimePeriod);
def MiddleHi = Highest(data, MiddleTimePeriod);
def MiddleLo = Lowest(data, MiddleTimePeriod);
def ShortHi = Highest(data, ShortTimePeriod);
def ShortLo = Lowest(data, ShortTimePeriod);

plot Percentile = (data – lo) / (hi – lo) * 100;
Percentile.SetDefaultColor(CreateColor(0, 102, 204));
Percentile.SetLineWeight(2);

plot PercentileMA = ExpAverage(Percentile, PercentileMALength);
PercentileMA.SetDefaultColor(Color.ORANGE);
PercentileMA.SetLineWeight(2);

def lowend = Percentile < LowVolLimit; def highend = Percentile > HighVolLimit;
def mPercentile = (data – MiddleLo) / (MiddleHi – MiddleLo) * 100;
def MiddleLowend = mPercentile < LowVolLimit;
def MiddleHighend = mPercentile < HighVolLimit;
def sPercentile = (data – ShortLo) / (ShortHi – ShortLo) * 100;
def ShortLowend = sPercentile < LowVolLimit; def ShortHighend = sPercentile > HighVolLimit;

DefineGlobalColor(“lowcolor”, if InvertRedGreen then Color.RED else Color.GREEN);
DefineGlobalColor(“Shortlowcolor”, if InvertRedGreen then Color.GREEN else Color.GREEN);
DefineGlobalColor(“highcolor”, if InvertRedGreen then Color.GREEN else Color.RED);
DefineGlobalColor(“Shorthighcolor”, if InvertRedGreen then Color.GREEN else Color.RED);

#Labels

AddLabel(DisplayIVPercentile , Concat(“IV Rank = “, AsPrice(Round(Percentile, 0))), color = CreateColor(255-(Percentile*2.55),Percentile*2.55,0));
AddLabel(Display6monthIVR , Concat(“6mo IVR = “, AsPrice(Round(mPercentile , 0))), color = CreateColor(255-(mPercentile*2.55),mPercentile*2.55,0));
AddLabel(DisplayShorterTerm , Concat(“3mo IVR = “, AsPrice(Round(sPercentile , 0))), color = CreateColor(255-(sPercentile*2.55),sPercentile*2.55,0));
AddLabel(DisplayImpVolatility, Concat(“ImpVol: “, AsPercent(vol)), if lowend then color.gray else if highend then color.gray else color.gray);

def ImpPts = (vol / Sqrt(252)) * close;
AddLabel(DisplayDaily1StandardDev , Concat(“1 Day SD +/- $”, AsText( ImpPts, NumberFormat.TWO_DECIMAL_PLACES)), if lowend then color.gray else if highend then color.gray else Color.gray);
def ImpPts2 = (vol / Sqrt(52)) * close;
AddLabel(DisplayWeekly1StandardDev, Concat(“1 Week SD +/- $”, AsText( ImpPts2, NumberFormat.TWO_DECIMAL_PLACES)), if lowend then color.gray else if highend then color.gray else Color.gray);
def ImpPts3 = (vol / Sqrt(12)) * close;
AddLabel(DisplayMonthly1StandardDev, Concat(“1 Month SD +/- $”, AsText( ImpPts3, NumberFormat.TWO_DECIMAL_PLACES)), if lowend then color.gray else if highend then color.gray else Color.gray);

plot LowVol = LowVolLimit;
plot HighVol = HighVolLimit;

LowVol.SetDefaultColor(GetColor(6));
HighVol.SetDefaultColor(GetColor(5));

Let me know what you think/if I'm on the right track with what you're thinking...Thanks

@netarchitech, Thanks for posting your indicator!

However, per your code, I realize that the Percentile line rises when the Implied Volatility increases, but …

Question: How could the thinkscript be changed so that the indicator is flipped upside down so that that Percentile line (and the PercentileMA line) falls when the Implied Volatility increases? This would make it essentially move in the same direction as the market instead of opposite. Thanks!

 

[netarchitech]

@KC8 : You are certainly welcome! Thank you for your Question...

In regards to inverting the Percentile and PercentileMA, I believe this alteration might suffice:

declare lower;
#declare hide_on_intraday;

#IVPercentile

def vol = imp_volatility();

input DisplayIVPercentile = yes;
input TimePeriod = 252;
input LowVolLimit = 30;
input HighVolLimit = 50;
input Display6monthIVR = yes;
input MiddleTimePeriod = 126;
input DisplayShorterTerm = yes;
input ShortTimePeriod = 63;
input DisplayImpVolatility = yes;
input DisplayDaily1StandardDev = no;
input DisplayWeekly1StandardDev = yes;
input DisplayMonthly1StandardDev = yes;
input InvertRedGreen = yes;
input PercentileMALength = 21;

def data = if !IsNaN(vol) then vol else vol[-1];
def hi = Highest(data, TimePeriod);
def lo = Lowest(data, TimePeriod);
def MiddleHi = Highest(data, MiddleTimePeriod);
def MiddleLo = Lowest(data, MiddleTimePeriod);
def ShortHi = Highest(data, ShortTimePeriod);
def ShortLo = Lowest(data, ShortTimePeriod;

plot Percentile = (data – lo) / (hi – lo) * 100);
Percentile.SetDefaultColor(CreateColor(0, 102, 204));
Percentile.SetLineWeight(2);

plot PercentileMA = ExpAverage(Percentile, PercentileMALength);
PercentileMA.SetDefaultColor(Color.ORANGE);
PercentileMA.SetLineWeight(2);

def lowend = Percentile < LowVolLimit; def highend = Percentile > HighVolLimit;
def mPercentile = (data – MiddleLo) / (MiddleHi – MiddleLo) * 100;
def MiddleLowend = mPercentile < LowVolLimit;
def MiddleHighend = mPercentile < HighVolLimit;
def sPercentile = (data – ShortLo) / (ShortHi – ShortLo) * 100;
def ShortLowend = sPercentile < LowVolLimit; def ShortHighend = sPercentile > HighVolLimit;

DefineGlobalColor(“lowcolor”, if InvertRedGreen then Color.RED else Color.GREEN);
DefineGlobalColor(“Shortlowcolor”, if InvertRedGreen then Color.GREEN else Color.GREEN);
DefineGlobalColor(“highcolor”, if InvertRedGreen then Color.GREEN else Color.RED);
DefineGlobalColor(“Shorthighcolor”, if InvertRedGreen then Color.GREEN else Color.RED);

#Labels

AddLabel(DisplayIVPercentile , Concat(“IV Rank = “, AsPrice(Round(Percentile, 0))), color = CreateColor(255-(Percentile*2.55),Percentile*2.55,0));
AddLabel(Display6monthIVR , Concat(“6mo IVR = “, AsPrice(Round(mPercentile , 0))), color = CreateColor(255-(mPercentile*2.55),mPercentile*2.55,0));
AddLabel(DisplayShorterTerm , Concat(“3mo IVR = “, AsPrice(Round(sPercentile , 0))), color = CreateColor(255-(sPercentile*2.55),sPercentile*2.55,0));
AddLabel(DisplayImpVolatility, Concat(“ImpVol: “, AsPercent(vol)), if lowend then color.gray else if highend then color.gray else color.gray);

def ImpPts = (vol / Sqrt(252)) * close;
AddLabel(DisplayDaily1StandardDev , Concat(“1 Day SD +/- $”, AsText( ImpPts, NumberFormat.TWO_DECIMAL_PLACES)), if lowend then color.gray else if highend then color.gray else Color.gray);
def ImpPts2 = (vol / Sqrt(52)) * close;
AddLabel(DisplayWeekly1StandardDev, Concat(“1 Week SD +/- $”, AsText( ImpPts2, NumberFormat.TWO_DECIMAL_PLACES)), if lowend then color.gray else if highend then color.gray else Color.gray);
def ImpPts3 = (vol / Sqrt(12)) * close;
AddLabel(DisplayMonthly1StandardDev, Concat(“1 Month SD +/- $”, AsText( ImpPts3, NumberFormat.TWO_DECIMAL_PLACES)), if lowend then color.gray else if highend then color.gray else Color.gray);

plot LowVol = LowVolLimit;
plot HighVol = HighVolLimit;

LowVol.SetDefaultColor(GetColor(6));
HighVol.SetDefaultColor(GetColor(5));

@KC8 : I've tried several iterations of potential solutions...Unfortunately, in the end, I was unable to invert the IVPercentile and IVPercentile...

 

[predictably-irrational]

Is there a way to convert this to work on the daily chart?

The settings for the shared link he provided are different than the default settings for the indicators. I would ask that the author provide scripts instead of links with the correct settings to be used so there is no confusion. Nice work and thanks for contributing.

 

[useThinkScript]

Is there a way to convert this to work on the daily chart?

The settings for the shared link he provided are different than the default settings for the indicators. I would ask that the author provide scripts instead of links with the correct settings to be used so there is no confusion. Nice work and thanks for contributing.

This is a theoritical discussion. Yes, the settings will be constantly evolving.
No, it is not possible to provide what the settings were at any one time, in history.
No, you won't see adaptations made right now.