Multi-Pivots and Gap Up for June 21, 2011

[adam ali]

Billy,

I can't recall you ever discussing volume in the context of these charts. Now I understand the 20DMF gives us a look at volume but it pays more attention to the size of that volume in a snapshot sort of way rather than as a sequence. (I think that's right.) Bob looks at volume - does it play an important part in your pivot methodology? Obviously, one of the reasons I'm bringing this up is yesterday's move was on low volume and many are pointing to that fact as indicative of a weakness in this potential rally's market structure.

[brrim]

Billy; Yesterday and today the Robot maintained the stop for the trade initiated on 6/10 at 76.97. This translated to 65.82 for TNA yesterday. Today it translates to 65.72 which would involve lowering the TNA stop. In these instances that call for TNA stop lowering should the Robot be ignored?

Thank you in advance.
Best regards,
Robert

[adam ali]

Correction: "...does it play an important part..."

Meant "...does it play any part..."

[Billy]

Billy; Yesterday and today the Robot maintained the stop for the trade initiated on 6/10 at 76.97. This translated to 65.82 for TNA yesterday. Today it translates to 65.72 which would involve lowering the TNA stop. In these instances that call for TNA stop lowering should the Robot be ignored?

Thank you in advance.
Best regards,
Robert

Robert,

This issue will ever be recurring and I repeat that I am against providing indicative limits and stops for related ETFs!
These are kindly provided by Pascal based on the volatility correlation between the instruments. With the way triple leverage ETFs are adjusting daily with a decay or compounding factor, it is normal that their volatility is varying daily from the correlation with IWM. The actual stop is not changed. If IWM stop is hit, you get out of TNA whatever the indicative TNA stop. Period.
Billy

[Billy]

Billy,

I can't recall you ever discussing volume in the context of these charts. Now I understand the 20DMF gives us a look at volume but it pays more attention to the size of that volume in a snapshot sort of way rather than as a sequence. (I think that's right.) Bob looks at volume - does it play an important part in your pivot methodology? Obviously, one of the reasons I'm bringing this up is yesterday's move was on low volume and many are pointing to that fact as indicative of a weakness in this potential rally's market structure.

Adam,
Volume used to play an important role, not anymore. In 2008 and 2009 my setups discussed in the VIT group (see archives) involved much volume monitoring at breakouts of clusters and major floor levels.
Then, several research papers revealed that the official exchange reported volume had dwindled from 85% of total consolidated volume in 2007 down to only 25% in 2009. That's 75% of total true volume that you cannot monitor anymore as a retail investor and it is only traded by professionals, your most important actors to monitor.
The only way left to use official volume data confidently for tracking large players activity is Pascal's Effective Volume and 20 DMF. Since they are at the basis of the robot's signals and market direction, I don't need to add anything to Pascal's comments.
Traders who are still using old volume indicators and interpretations are lost and confused for a good reason. Only price pays. Billy

[adam ali]

Then, several research papers revealed that the official exchange reported volume had dwindled from 85% of total consolidated volume in 2007 down to only 25% in 2009. That's 75% of total true volume that you cannot monitor anymore as a retail investor and it is only traded by professionals, your most important actors to monitor.
The only way left to use official volume data confidently for tracking large players activity is Pascal's Effective Volume and 20 DMF.

The concept of dark pools and ATS is easy to understand. What is unclear to me is how all this volume is reported in an aggregate sense and what is the meaning of official exchange reported volume in relation to total consolidated volume. When you say it is only traded by professionals, how does that work?

Parsing out official exchange volume as Pascal does is one approach (and perhaps the best one). But isn't this data available to everyone?

Sounds like it may be time for me to revisit Larry Harris' book.

[Billy]

The concept of dark pools and ATS is easy to understand. What is unclear to me is how all this volume is reported in an aggregate sense and what is the meaning of official exchange reported volume in relation to total consolidated volume. When you say it is only traded by professionals, how does that work?

Parsing out official exchange volume as Pascal does is one approach (and perhaps the best one). But isn't this data available to everyone?

Sounds like it may be time for me to revisit Larry Harris' book.

Sure the estimated data is available from Markettells.com but for NYSE only and EOD.
Not very useful for monitoring and interpreting IWM volume and even less intraday.
I attach the file with the historical % of reported volume compared to total consolidated volume.
Please promise me that you will swear to yourself never looking seriously at official reported volume again, or at people interpreting doctrinally such misleading data or I will think you are out of your mind!

NYTOTVOL.xlsx

Billy