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proposal for BUY versus SELL indicator

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kr_pto
Super Contributor
I am wondering whether there is not a way to get a better indicator of buy/sell strength, than say OBV (on balance volume). something that would indicate the number of "buys" versus the number of "sells" for a period (for e.g. for the day). my thinking would be that if any new price (of a trade that has executed) is below the mid point of the bid and offer prices at that point (or more specifically just prior to that point, since the trade itself could have been the latest bid or offer), it is a sell (and the related sell volume gets updated). if it is above this mid point it is a buy (and the related buy volume gets updated). one would have to process a constant stream of data, so ideally this would be something JSE would be best suited to do. maybe there is such an indicator already, anyone know?
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25 REPLIES 25
kr_pto
Super Contributor
maybe this is the same as "Trade Volume Index - TVI"? Investopedia: "A technical indicator that measures the amount of money flowing in and out of an asset. Unlike many technical indicators, the TVI is generally created using intraday price data. The underlying assumption of this indicator is that there is buying pressure when the price trades near the asking price and selling pressure when it trades near the bid. " "This indicator is very similar to the on-balance volume indicator except that it focuses on the volume attributed to every trade rather than the closing volume that is attributable to all trades. This indicator is primarily used by day traders to identify whether a security is being accumulated (bought) or distributed (sold). "
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kr_pto
Super Contributor
problem i see with this though, is that it would be calculated on EOD price if I do it in Amibroker say. what one needs is for it to be calculated during intraday, on each and every trade. anyone know if there is a way to get this?
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YNWA
Super Contributor
K....Research these indicators:***Money Flow Index (MFI): A divergence between the money flow index and price trend can warn of a possible trend reversal.***Ultimate Oscillator (ULT): Sensitive to buying and selling pressure and offers reliable signals.***Williams Accumulation Distribution (type 1) (WAD1): Tracks the buying pressure and selling pressure Williams Accumulation Distribution (type 2) (WAD2): Tracks the buying pressure and selling pressure***Accumulation Distribution (AD): Tracks the buying pressure and selling pressure.***Balance Of Power (BOP): Momentum indicator that measures buying and selling pressure, giving an indication of the degree in which individual stocks and the market in general are overbought or oversold.***Chaikin A/D Oscillator (ChAD): The degree of buying or selling pressure can be calculated by the location of a close relative to the high and low for the corresponding period. Chaikin Money Flow (ChMF): Intended to show whether a given equity is within a buying trend (money flow in) or a selling trend (money flow out). Chaikin Oscillator (ChO): Created by subtracting a 10-day EMA from a three-day EMA of the accumulation /distribution line.****You be using some already, hope it helps. Adios.
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kr_pto
Super Contributor
thanks for the input. but i think the key issue here is that any oscillator used on daily prices would miss the sensitivity of what i am looking for/proposing here. in order to get a value of end of day of how many of the trades were sells and how many were buys (on that day), one would need to have something tracking it intraday. i am wondering whether there is somewhere one could get this (either for the TVI or any one of the other volume related indicators)? using any of these mentioned oscillators would i imagine help too if they were applied to all the intraday trades. hope that makes more sense?
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YNWA
Super Contributor
K.....would these help/....Volume Moving Average (exponential) (VOL EMA) Volume Oscillator (VOS): Makes use of the difference between two moving averages of volume to determine if the overall volume trend is increasing or decreasing. Volume Rate of Change (VROC): Displays the ROC of the security's volume.......see if you are able to open link, it is the BOE graph program, let me know.....https://boepersonal.nedsecure.co.za/Market/MCGRAPH.aspx.....this link gives the definitions for the options........https://boepersonal.nedsecure.co.za/Market/MGraph%20Manual%20BoE.pdf. Good luck...off to golf. Adios.
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Tango
Super Contributor
For every buyer there is a seller. A transaction can't be one-sided. I think what you are after is working out whether there is more pressure on the buy or the sell side. Get an intra-day feed (eg Sharenet + Amibroker, or E-Signal + anything) and then run one of the indicators that others here have mentioned. You can also customise the parameters and formulae of the indicators if you are that way inclined. In my experience, there comes a point where there is a strong desire to chain together multiple indicators, use dozens of indicators to filter trades, and to create new custom indicators. After lots of experimentation, you discover that it's all simply about price and volume, and everything else reflects that somehow. My conclusion is that it's best to pick one or 2 good indicators, learn how they work, and use those as part of a system.
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kr_pto
Super Contributor
naturally, i agree, a trade is a buy and sell together. however, what we are trying to determine is, rightly as you say, buy or sell strength. did the buyer cave in more than the seller? or vice versa. needs intraday data to calculate, but would be great if it was available just at the end of day (i.e such that we dont have to analysis the intraday data at the end of each day to get a result).
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DCTrader
Super Contributor
The closet indicator could be OBV (on balance volume)... I know it doesnt measure the tussle between buyers and sellers but it does show whether the share is in an accumulation phase. The share could be tracking sideways while OBV is going up.
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john_1
Super Contributor
Tango is absolutly right about each trade being 2 sided. The PRICE is the indicator of this presure. That is what it represents. For the price to rise a BUYER must meet the sellers price. ie jump the spread. The Size of the spread is determined by the sentiment at that time and therfore the amount by which the price moves on any given trade or time frame. PRICE analysis is what you are looking for. The power of the market is that it is an auction without the elimination of perspective participants.
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john_1
Super Contributor
To follow on, The Larry williams measures the momentum in the price but with reference to where it closes relative to the highe and lows of that period. on the asumtion that when the buyers are in controll then the price is more likely to end the day near to the high of the day vs the lows of the day. And the change in the position of the close relative to those highs and lows is an early indicator of the trend reversing.
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kr_pto
Super Contributor
thanks john, the williams %R measures same sort of thing as what I am proposing /looking for (i.e. is there more buying or selling pressure). the difference is it works at end of day. I am wondering whether measuring the number of spread jumps in the direction of the bid price versus the number of jumps in the direction of the offer price would provide any additional valuable information. so at end of day total volume is comprised of number that jumped towards bid price, PLUS the number that jumped towards offer price. (where the direction of jump is determine by which side of the mid point of the spread it was). Simon, out of interest, do you have a view on whether this indicator exists or would be useful (in addition to the defined volume indicators mention already in various responses to this post)?
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Tango
Super Contributor
K, any of these indicators can be applied to intra-day data rather than EOD. If you apply it to 15-min periods, then you have a L-H-C value for that 15-min period. Or 1m, or 5m or whatever. It sounds like what you are looking for is some sort of summary of the intra-day ebb and flow. What is the value in that? The EOD price is the summary of the market. And it's a good reflection of what the pros are thinking.
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kr_pto
Super Contributor
hey tango. to me the key difference would be that i would want the calculation based on EVERY trade, rather than every 15 mins or at end of day. as what I would be proposing would be a more accurate split of the days volume into "buy biased" versus "sell biased" trades. most of the other volume indicators are attempts to get this bias, but using what they have available to them at the end of the day (high, low, volume, close, etc). so to me they are approximations (which from a probability perspective is more thank likely fine anyhow). so all of this is a theoretical discussion really as to whether what I am proposing might indeed provide a more accurate reflection. then again, who knows, maybe i am just barking up the wrong oscillator (sic)!!
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john_1
Super Contributor
If the price is up then its more buyers if the price is unchanged it is even and if down guess what...there are more sellers the price is keeping score. thats what the price is telling you.
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kr_pto
Super Contributor
john, i disagree here (or more specifically with the universal application of this). OBV takes this view. and in most cases it may be true. but i am not sure that it always holds true, as there can be a lot of activity through the day pushing the price up, and then suddenly at end of day the price moves down. so the net volume move (in my proposed indicator) might be up, whereas the price for the day was down (and OBV would put entire volume as down).
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john_1
Super Contributor
Have you tried Volume accumulation it does what larry does on price but it uses volume, just look atagl OBV and VA and you wil see the diffrence in the sensativity but also the pitfalls of reading to much into volume.
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john_1
Super Contributor
Do you have a fax number I will send you some info, cant email this.
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SimonPB
Valued Contributor
people havebeen trying this for at least a decade, but the data is not avaliable - unless you do it manually.
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kr_pto
Super Contributor
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