Difficult To Describe!

[timsk]

Forgive me folks, but I'm not a technical person. The only time I have any interest in technical stuff is when the word 'analysis' is in red hot pursuit. Even then, I struggle! So, what do I want . . . ?

Well, we have three types of commonly used charts: bar charts, candlestick charts (my favourite) and line charts. I realise that there are others, but these three are the most common. I'm interested in a daily/weekly candlestick chart with volume shown in the usual way in a separate panel beneath the price. (The time frame is not really relevant to the exercise). Easy so far! The twist is that I'm interested in seeing the volume expressed only (and this is the important bit), as a percentage of the candle, as dictated by the open and close data.

For example, take a typical mid range U.S. stock. These are the stat's for illustration purposes:
Open: $51.00
High: $54.00
Low: $50.00
Close: $53.00
Volume: 8 million shares

For the purposes of the exercise, it is assumed that all 'bull' candles drop to the low before rising to the high and then finishing at the close of the candle. Conversely, it is assumed that all bear candles rise to the high before falling to the low and then finishing at the close of the candle. Are you with me so far; I hope so!
So, moving on . . .
In the example above, our mystery stock is clearly a 'bull', closing $2.00 higher than it opened. It has risen a total of $4.00 and it has fallen a total of $2.00. The net result is a $2.00 gain - or 50% of the range of the candle. 50% of the volume bar would show as 4 million shares transacted, as opposed to 8 million on a normal volume chart.
The net result I'm after is a chart that shows the volume of this movement expressed as a percentage of the volume for the whole period. As I say, timescale is not, of itself, important.

The end result will be a chart which shows volume adjusted figures in relationship to open and close prices only. If someone can help me to achieve this, I'll be your best friend for ever. Cross my heart and hope to die!

Tim.

 

[Trader333]

Tim,

I may not be poplular with you for saying this but I suspect that you are complicating this unnecessarily. What really matters here (in my view), is the fact that the close is $1 above the open on large volume. The rest is not important because there is clearly support for higher prices after all other activity.

I hope this helps but if not let's continue this discussion


Paul

 

[jimmy1jag]

Hi Tim,

Maybe I'm being too simplistic in my answer here, but do you really need to do anything more than just drill down to the next level to see what you're after and take the, say, 2 hour bars within the daily chart? (if at all?) Or have I missed the point. FWIW I agree with Paul.

Kind regards as usual

James

 

[timsk]

Tim,
I may not be poplular with you for saying this but I suspect that you are complicating this unnecessarily. What really matters here (in my view), is the fact that the close is $1 above the open on large volume. The rest is not important because there is clearly support for higher prices after all other activity.
I hope this helps but if not let's continue this discussion
Paul

Paul,
You needn't worry about making yourself unpopular with me, I promise!

I don't disagree with your comments - or James' - you're probably both correct. It is something of an experiment which, as the late Thomas Edison would testify, may well lead to a dead end and be ticked off the list as unhelpful or unworkable. Or both! The premise of the idea is that on any given time frame, there is a percentage of trading activity that is effectively neutral. This is volume 'noise' which muddies the waters. Clear this out of the way and the overall picture of the dominant buying and selling pressures should become a little clearer. Expert practitioners would not want or need such a tool and that's assuming it works which, I accept, is unlikely. But, for those of us still fumbling along, trying to get to grips with the mysteries of the price/volume dynamic, it may, just may, act like stabilisers on a child's bicycle.
Tim.

 

[timsk]

Tim,
What really matters here (in my view), is the fact that the close is $1 above the open on large volume.
Paul

Paul,
Sorry, my mistake! I meant to say the close is $53.00. I've edited the original post accordingly.
Tim.

 

[timsk]

Update

Thanks for the replies and especially to those people who sent me PM's with offers of help. For the benefit of everyone, I post them here. I've not applied the formulas in the first offering as I don't have suitable data for use in MS Excel (or similar). Prophet.net - who I use for charts - offer a free test download of a mere 5 days of E.o.D. data only. Useless for this experiment. Otherwise, I'm looking at another $10.00 a month on top of the current sub' to get the data I need. The second contribution certainly achieves the result I'm looking for but, in an ideal world, I'd have this presented in simple graphic form beneath the main daily or weekly chart of the instrument in question.

Thanks again for the contributions and, if anyone tinkers with these ideas and makes any progress, then perhaps they'd be kind enough to post their results here.
Cheers,
Tim.

Contribution 1
You're looking to represent the actual volume of the candle as a product of the open-close range in relation to the high/low range. Is that correct?
If so:-
Volume * (Abs(Open-Close) / (High-Low))
should do it.

If you wanted to show your percentage volume indicator as a histogram and wanted to show Bullish (by your definition) candles as positive and Bearish as negative, this adjustment would work well.
((Volume * ((Close-Open) / (High-Low))) / Volume) * 100


(Post edited on 19.01.06 The second contributor was not happy for his idea to be posted on a public thread and has been deleted in line with his request).