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Yes, you are right. In my calculations, I am using SEV = 0.9 LEV. That way, I collect slightly more shares on the LEV side. The difference is not fundamental though. Both methods would give about similar results.
I tweaked the formula after the book was published.
Pascal
[QUOTE=Pascal;30884]Yes, you are right. In my calculations, I am using SEV = 0.9 LEV. That way, I collect slightly more shares on the LEV side. The difference is not fundamental though. Both methods would give about similar results.
I tweaked the formula after the book was published.
Pascal[/QUOTE]
Thanks for the explanation! I guess now I'm fully ready to program the algorithms and experiment with real data.
Michael
[QUOTE=jagin;30360]Hi Pascal,
i'm also working on the indicators from your excelent book 'Value In Time'. Would be possible to get a picture of Effective Volume of minute data for the company X for the comparison purpose. I would be very greatfull.
Thanks
Jarek[/QUOTE]
do you have the codes for all the indicators yet(LEV , Active Boundaries)?
[QUOTE=Pascal;30375]here is the "X" data
Pascal
[ATTACH]32396[/ATTACH][/QUOTE]
Dear Mr. Pascal,
In following column the effective value is calculated as 0 but as i calculate base on formula it shall be -216,082 it there any exception?
Date time Open High Low Close Vol Eff Vol
9/11/2015 16:00:00 14.14 14.15 14.09 14.11 432163 [COLOR="darkred"][COLOR="red"]0[/COLOR][/COLOR]
Regards,
Soleimani
[QUOTE=soleimani;33308]Dear Mr. Pascal,
In following column the effective value is calculated as 0 but as i calculate base on formula it shall be -216,082 it there any exception?
Date time Open High Low Close Vol Eff Vol
9/11/2015 16:00:00 14.14 14.15 14.09 14.11 432163 [COLOR="darkred"][COLOR="red"]0[/COLOR][/COLOR]
Regards,
Soleimani[/QUOTE]
It is because I have set an option that filters out large one minute volume as "block trades"
I believe that I set the filter at 5%, but it could be 3%.
Pascal
[QUOTE=Pascal;33310]It is because I have set an option that filters out large one minute volume as "block trades"
I believe that I set the filter at 5%, but it could be 3%.
Pascal[/QUOTE]
thanks a lot,
3% of that day volume?
[QUOTE=soleimani;33313]thanks a lot,
3% of that day volume?[/QUOTE]
I checked and it is 5% of the day volume!
For the RT Effective Volume, of course the volume used for the 5% cut-off calculation is the trading volume upto calculation time.
Pascal