GPB/USD : SELL
| Entry | Stop Loss | Take Profit 1 | Take Profit 2 |
| 1.6140->1.3670 | 1.3230 | 1.6080 | 1.6000 |
Thứ Năm, 24 tháng 2, 2011
Thứ Tư, 23 tháng 2, 2011
Volume Weighted Average Price (VWAP)
Volume-Weighted Average Price (VWAP) is exactly what it sounds like: the average price weighted by volume. VWAP equals the dollar value of all trading periods divided by the total trading volume for the current day. Calculation starts when trading opens and ends when trading closes. Because it is good for the current trading day only, intraday periods and data are used in the calculation.
Tick versus Minute
Traditional VWAP is based on tick data. As one can imagine, there are many ticks (trades) during each minute of the day. Active securities during active time periods can have 20-30 ticks in one minute alone. With 390 minutes in a typical stock exchange trading day, many stocks end up with well over 5000 ticks per day. There are over 5000 stocks traded every day and these ticks start adding up exponentially. Needless to say, tick-data is very resource intensive.
Instead of VWAP based on tick data, StockCharts.com offers intraday VWAP based on intraday periods (1, 5, 10, 15, 30 or 60 minute). Note that VWAP is not defined for daily, weekly or monthly periods due to the nature of the calculation (see below).
Instead of VWAP based on tick data, StockCharts.com offers intraday VWAP based on intraday periods (1, 5, 10, 15, 30 or 60 minute). Note that VWAP is not defined for daily, weekly or monthly periods due to the nature of the calculation (see below).
Calculation
There are five steps involved in the VWAP calculation. First, compute the typical price for the intraday period. This is the average of the high, low and close {(H+L+C)/3)}. Second, multiply the typical price by the period's volume. Third, create a running total of these values. This is also known as a cumulative total. Fourth, create a running total of volume (cumulative volume). Fifth, divide the running total of price-volume by the running total of volume.
The example above shows 1-minute VWAP for the first 30 minutes of trading in IBM. Dividing cumulative price-volume by cumulative volume produces a price level that is adjusted (weighted) by volume. The first VWAP value is always the typical price because volume is equal in the numerator and the denominator. They cancel each other out in the first calculation. The chart below shows 1-minute bars with VWAP for IBM. Prices ranged from 127.36 on the high to 126.67 on the low for the first 30 minutes of trading. It was actually a pretty volatile first 30 minutes. VWAP ranged from 127.21 to 127.09 and spent its time in the middle of this range.
Cumulative(Volume x Typical Price)/Cumulative(Volume)
The example above shows 1-minute VWAP for the first 30 minutes of trading in IBM. Dividing cumulative price-volume by cumulative volume produces a price level that is adjusted (weighted) by volume. The first VWAP value is always the typical price because volume is equal in the numerator and the denominator. They cancel each other out in the first calculation. The chart below shows 1-minute bars with VWAP for IBM. Prices ranged from 127.36 on the high to 126.67 on the low for the first 30 minutes of trading. It was actually a pretty volatile first 30 minutes. VWAP ranged from 127.21 to 127.09 and spent its time in the middle of this range.
Characteristics
Like moving averages, VWAP lags price because it is an average based on past data. The more data there is, the greater the lag. A stock has been trading for some 331 minutes by 3PM. As a cumulative "average", this indicator is akin to a 330 period moving average. That is a lot of past data. The 1-minute VWAP value at the end of the day is often quite close to the ending value for a 390 minute moving average. Both moving averages are based on the 1 minute bars for that day. At the close, both are based on 390 minutes of data (one full day). One cannot compare the 390 minute moving average to VWAP during the day though. A 390 minute moving average at 12:00PM will include data from the previous day. VWAP will not. Remember, VWAP calculations start fresh at the open and end at the close. 150 minutes of trading have elapsed by 12:00PM. Therefore, VWAP at 12:00 would need to be compared with a 150 minute moving average.
Despite this lag, chartists can compare VWAP with the current price to determine the general direction of intraday prices. It works similar to a moving average. In general, intraday prices are falling when below VWAP and intraday prices are rising when above VWAP. VWAP will fall somewhere between the day's high-low range when prices are range bound for the day. The next three charts show examples of rising, falling and flat VWAP.
Despite this lag, chartists can compare VWAP with the current price to determine the general direction of intraday prices. It works similar to a moving average. In general, intraday prices are falling when below VWAP and intraday prices are rising when above VWAP. VWAP will fall somewhere between the day's high-low range when prices are range bound for the day. The next three charts show examples of rising, falling and flat VWAP.
Uses for VWAP
VWAP is used to identify liquidity points. As a volume-weighted price measure, VWAP reflects price levels weighted by volume. This can help institutions with large orders. The idea is not to disrupt the market when entering large buy or sell orders. VWAP helps these institutions determine the liquid and illiquid price points for a specific security over a very short time period.
VWAP can also be used to measure trading efficiency. After buying or selling a security, institutions or individuals can compare their price to VWAP values. A buy order executed below the VWAP value would be considered a good fill because the security was bought at a below average price. Conversely, a sell order executed above the VWAP would be deemed a good fill because it was sold at an above average price.
VWAP can also be used to measure trading efficiency. After buying or selling a security, institutions or individuals can compare their price to VWAP values. A buy order executed below the VWAP value would be considered a good fill because the security was bought at a below average price. Conversely, a sell order executed above the VWAP would be deemed a good fill because it was sold at an above average price.
Conclusions
VWAP serves as a reference point for prices for one day. As such, it is best suited for intraday analysis. Chartists can compare current prices with the VWAP values to determine the intraday trend. VWAP can also be used to determine relative value. Prices below VWAP values are relatively low for that day or specific time. Prices above VWAP values are relatively high for that day or specific time. Keep in mind that VWAP is a cumulative indicator, which means the number of data points progressively increases throughout the day. On a 1 minute chart, IBM will have 90 data points (minutes) by 11AM, 210 data points by 1PM and 390 data points by the close. The number dramatically increases as the day extends. This is why VWAP lags price and this lag increases as the day extends.
Thứ Ba, 22 tháng 2, 2011
The Three Skills of Top Trading: Behavioral Systems Building, Pattern Recognition, and Mental State Management
Hank Pruden "The Three Skills of Top Trading: Behavioral Systems Building, Pattern Recognition, and Mental State Management (Wiley Trading)"
Wiley (2007-04-06) | ISBN 0470050632 | 300 Pages | P
| 4.7 Mb
Wiley (2007-04-06) | ISBN 0470050632 | 300 Pages | P
| 4.7 Mb Praise for The Three Skills of Top Trading. "Professor Pruden's new book, The Three Skills of Top Trading, is unquestionably the best book on a specific trading method and the necessary attributes for trading that I have read. His logic, understanding of human foibles, and use of the Wyckoff method of trading are broadly referenced, readable, understandable, and entertaining."
- Charles D. Kirkpatrick, II, CMT, coauthor of Technical Analysis: The Complete Resource for Financial Market Technicians, Editor of the Journal of Technical Analysis, and board member of the Market Technicians Association
"At long last, someone has taken the time and effort to bring the work and insight of Wyckoff to wider public attention-and Hank Pruden has done so masterfully, with great clarity and eloquence. Hank has taken the best of Wyckoff's work, combining it with the essential aspects of trader discipline and psychology, to provide a highly readable and particularly useful guide to trading. MUST READING!"
- Jacob Bernstein, www.trade-futures.com
"Hank Pruden puts all of the elements needed for successful trading into one volume. This book not only belongs on every trader's shelf but should be close enough for continuous reference."
- Martin J. Pring, President, www.Pring.com
"Dr. Pruden has brought together his lifetime of work in developing a modern approach to analyzing and trading the markets built upon classic market analysis from the early part of the twentieth century and topped off with modern-day tenets of behavioral finance and mental state management."
- Thom Hartle, Director of Marketing for CQG, Inc. (www.cqg.com)
"I usually consider a book to be well worth reading if it gives me one paradigm shift. I believe that this book will give the average investor a lot more than just one."
- Van K. Tharp, PhD, President, Van Tharp Institute
Thứ Hai, 21 tháng 2, 2011
Force Index
The Force Index is an indicator that uses price and volume to assess the power behind a move or identify possible turning points. Developed by Alexander Elder, the Force Index was introduced in his classic book, Trading for a Living. According to Elder, there are three essential elements to a stock's price movement: direction, extent and volume. The Force Index combines all three as an oscillator that fluctuates in positive and negative territory as the balance of power shifts. The Force Index can be used to reinforce the overall trend, identify playable corrections or foreshadow reversals with divergences.
Calculation
Force Index(1) = {Close (current period) - Close (prior period)} x Volume
Force Index(13) = 13-period EMA of Force Index(1)
Three factors affect Force Index values. First, the Force Index is positive when the current close is above the prior close. The Force Index is negative when the current close is below the prior close. Second, the extent of the move determines the volume multiplier. Bigger moves warrant larger multipliers that influence the Force Index accordingly. Small moves produce small multipliers that reduce the influence. Third, volume plays a key role. A big move on big volume produces a high Force Index values. Small moves on low volume produce relatively low Force Index values. The table below shows the Force Index calculations for Pfizer (PFE). Line 27 marks the biggest move (+84 cents) and the biggest volume (162,619). This combination produces the biggest Force Index value on the table (136,600).
The chart above shows the Force Index in action. Notice how the 1-period Force Index fluctuates above/below the zero line and looks quite jagged. Elder recommends smoothing the indicator with a 13-period EMA to reduce the positive-negative crossovers. Chartists should experiment with different smoothing periods to determine what best suits their analytical needs.
Interpretation
As noted above, there are three elements to the Force Index. First, there is either a positive or negative price change. A positive price change signals that buyers were stronger than sellers, while a negative price change signals that sellers were stronger than buyers. Second, there is the extent of the price change, which is simply the current close less the prior close. The "extent" shows us just how far prices moved. A big advance shows strong buying pressure, while a big decline shows strong selling pressure. The third and final element is volume, which, according to Elder, measures commitment. Just how committed are the buyers and sellers? A big advance on heavy volume shows a strong commitment from buyers. Likewise, a big decline on heavy volume shows a strong commitment from sellers. The Force Index quantifies these three elements into one indicator that measures buying and selling pressure.
Trend Identification
The Force Index can be used to reinforce or determine the trend. The trend in question, short-term, medium-term or long-term, depends on the Force Index parameters. While the default Force Index parameter is 13, chartists can use a higher number for more smoothing or a lower number for less smoothing. The chart below shows Home Depot with a 100-day Force Index and a 13-day Force Index. Notice how the 13-day Force Index is more volatile and jagged. The 100-day Force Index is smoother and crosses the zero line fewer times. In this regard, the 100-day Force Index can be used to determine the medium or long-term trend. Notice how a resistance breakout on the price chart corresponds to a resistance breakout on the 100-day Force Index. The 100-day Force Index moved into positive territory and broke resistance in mid February. The indicator remained positive during the entire uptrend and turned negative in mid May. The early June support break on the price chart was confirmed with a support break in the Force Index.
Divergences
Bullish and bearish divergence can alert chartists of a potential trend change. Divergences are classic signals associate with oscillators. A bullish divergence forms when the indicator moves higher as the security moves lower. The indicator is not confirming weakness in price and this can foreshadow a bullish trend reversal. A bearish divergence forms when the indicator moves lower as the security moves higher. Even though the security is moving higher, the indicator shows underlying weakness by moving lower. This discrepancy can foreshadow a bearish trend reversal.
Confirmation is an important part of bullish and bearish divergences. Even though the divergences signal something is amiss, confirmation from the indicator or price chart is needed. A bullish divergence can be confirmed with the Force Index moving into positive territory or a resistance breakout on the price chart. A bearish divergence can be confirmed with the Force Index moving into negative territory or a support break on the price chart. Chartists can also use candlesticks, moving average crosses, pattern breaks and other forms of technical analysis for confirmation.
The chart above shows Best Buy (BBY) with the Force Index (39) sporting a series of divergences. The green lines show bullish divergences, while the red lines show bearish divergences. A bullish divergence is confirmed when the Force Index (39) crosses into positive territory (green dotted lines). A bearish divergence is confirmed when the Force Index (39) crosses into negative territory (red dotted lines). Chartists can also use trendline breaks on the price chart for confirmation.
This chart shows two versions of the Force Index. The Force Index (13) captures short-term fluctuations and is more sensitive. The Force Index (39) captures medium-term fluctuations and is smoother. The 39-day Force Index produces fewer zero line crossovers and these crossovers last longer. There is no right or wrong answer for these settings. It depends on trading objectives, time horizon and analytical style.
Confirmation is an important part of bullish and bearish divergences. Even though the divergences signal something is amiss, confirmation from the indicator or price chart is needed. A bullish divergence can be confirmed with the Force Index moving into positive territory or a resistance breakout on the price chart. A bearish divergence can be confirmed with the Force Index moving into negative territory or a support break on the price chart. Chartists can also use candlesticks, moving average crosses, pattern breaks and other forms of technical analysis for confirmation.
The chart above shows Best Buy (BBY) with the Force Index (39) sporting a series of divergences. The green lines show bullish divergences, while the red lines show bearish divergences. A bullish divergence is confirmed when the Force Index (39) crosses into positive territory (green dotted lines). A bearish divergence is confirmed when the Force Index (39) crosses into negative territory (red dotted lines). Chartists can also use trendline breaks on the price chart for confirmation.
This chart shows two versions of the Force Index. The Force Index (13) captures short-term fluctuations and is more sensitive. The Force Index (39) captures medium-term fluctuations and is smoother. The 39-day Force Index produces fewer zero line crossovers and these crossovers last longer. There is no right or wrong answer for these settings. It depends on trading objectives, time horizon and analytical style.
Identifying Corrections
The Force Index can be used in conjunction with a trend following indicator to identify short-term corrections within that trend. A pullback from overbought levels represents a short-term correction within an uptrend. An oversold bounce represents a short-term correction within a downtrend. Yes, corrections can be up or down, it depends on the direction of the bigger trend. Alexander Elder recommends using a 22-day EMA for trend identification and a 2-day Force Index to identify corrections. The trend is up when the 22-day EMA is moving higher, which means the 2-day Force Index would be used to identify short-term pullbacks for buying. The trend is down when the 22-day EMA is moving lower, which means the 2-day Force Index would be used to identify short-term bounces for selling. This is an aggressive strategy best suiting for active traders. The timeframe can be adjusted by using a longer moving average and timeframe for the Force Index. For example, medium-term traders might experiment with a 100-day EMA and 10-day Force Index.
There are two-schools of thought regarding the correction play. Traders can either act as soon as the correction is evident or act when there is evidence the correction has ended. Let's look at an example with the 22-day EMA and 2-day Force Index. Keep in mind that this is designed to identify very short corrections within a bigger trend. The chart below shows Texas Instruments (TXN) with the 22-day EMA turning up in mid September.
With the 22-day EMA rising, traders are looking for very short-term pullbacks when the 2-day Force Index turns negative. Traders can act when the Force Index turns negative or wait for it to move back into positive territory. Acting when negative may improve the reward-to-risk ratio, but the correction could extend a few more days. Waiting for the Force Index to turn positive again shows some strength that could signal the correction has ended. The green dotted lines show when the 2-day Force Index turns negative.
There are two-schools of thought regarding the correction play. Traders can either act as soon as the correction is evident or act when there is evidence the correction has ended. Let's look at an example with the 22-day EMA and 2-day Force Index. Keep in mind that this is designed to identify very short corrections within a bigger trend. The chart below shows Texas Instruments (TXN) with the 22-day EMA turning up in mid September.
With the 22-day EMA rising, traders are looking for very short-term pullbacks when the 2-day Force Index turns negative. Traders can act when the Force Index turns negative or wait for it to move back into positive territory. Acting when negative may improve the reward-to-risk ratio, but the correction could extend a few more days. Waiting for the Force Index to turn positive again shows some strength that could signal the correction has ended. The green dotted lines show when the 2-day Force Index turns negative.
Conclusions
The Force Index is uses both price and volume to measure buying and selling pressure. The price portion covers the trend, while the volume portion determines the intensity. At its most basic, chartists can use a long-term Force Index to confirm the underlying trend. The bulls have the edge when the 100-day Force Index is positive. The bears have the edge when the 100-day Force Index is negative. Armed with this information, traders can then look for short-term setups in harmony with the larger trend, such as bullish setups in a larger uptrend or bearish setups within a larger downtrend. As with all indicators, traders should use the Force Index in conjunction with other indicators and analysis techniques.
Đăng ký:
Bài đăng (Atom)
