Volume in Time book companion

[jagin]

Hi,

are there any such a valuable books like 'Value In Time' worth reading to deepen the knowledge about the topic?
Please share your type.

Regards

Jarek

[Pascal]

You'd need to define the "topic".

The topic of the Value in Time book is to try to better understand and measure market activity. This is a vast definition that can be applied to 95% of the trading books. However, my stand in Value in Time was to uncover hidden activity with large players.

I believe that there are many traders/firms that have developed tools to unveil hidden activity. For example in analyzing transactions around earnings dates, by statistically evaluating options activity, by analysing the largest funds' positions in different stocks/sectors, but combing through hedging activity, by measuring the demand/supply through millisecond order spoofing, etc...

There is no limit to what competitors will achieve to gain a market advantage and most of it will not be written in books, except after the techniques have become useless.

Why would somebody write something in a book that has offered a trading advantage.
Only a naive guy like me will write a book.


Pascal

[jagin]

That's why your book is the most valuable one i have ever read :)

By the topic i mean the books that tell more about how the volume influence the price which are worth reading.
There are A LOT of books about the market but life is not enough to read them all :)

Jarek

You'd need to define the "topic".

The topic of the Value in Time book is to try to better understand and measure market activity. This is a vast definition that can be applied to 95% of the trading books. However, my stand in Value in Time was to uncover hidden activity with large players.

I believe that there are many traders/firms that have developed tools to unveil hidden activity. For example in analyzing transactions around earnings dates, by statistically evaluating options activity, by analysing the largest funds' positions in different stocks/sectors, but combing through hedging activity, by measuring the demand/supply through millisecond order spoofing, etc...

There is no limit to what competitors will achieve to gain a market advantage and most of it will not be written in books, except after the techniques have become useless.

Why would somebody write something in a book that has offered a trading advantage.
Only a naive guy like me will write a book.


Pascal

[PeterR]

Why would somebody write something in a book that has offered a trading advantage.
Only a naive guy like me will write a book.

Who wrote: "I could advertise my secrets in the Wall street journal and few would read it" (paraphrased) ?

IMO your EV is remarkable :) - but it still needs a human mind to analyse the information and put it all together - into a picture of what goes on in the market.

My hope is, that the need for human analysis will protect the EV-edge for a litte time.

[Pascal]

Who wrote: "I could advertise my secrets in the Wall street journal and few would read it" (paraphrased) ?

IMO your EV is remarkable :) - but it still needs a human mind to analyse the information and put it all together - into a picture of what goes on in the market.

My hope is, that the need for human analysis will protect the EV-edge for a litte time.

The Money Flow which is based on EV (and on a few not published tricks) offers edges that other tools do not offer. I often recognize it when real-time divergences occur.



Pascal

[adam ali]

The Money Flow which is based on EV (and on a few not published tricks) offers edges that other tools do not offer. I often recognize it when real-time divergences occur.



Pascal

Agree with others about your book, Pascal. Question that may have already been asked in the past: have you closely examined Laszlo Birinyi's money flow work and, if so, how does yours differ?

[Pascal]

Agree with others about your book, Pascal. Question that may have already been asked in the past: have you closely examined Laszlo Birinyi's money flow work and, if so, how does yours differ?

Adam,


The volume/price based indicator that use daily data tend to try to catch bullish/bearish moves. Birinyi's indicator is from that type.

The EV indicator is very different because it works on smaller intervals of one minute and it basically measures an equilibrium around small minute price changes. Then, the LEV/SEV separation allows to detect what large players are doing because their activity has a greater impact on the small equilibrium modifications.



Pascal

[xavik]

The Money Flow which is based on EV (and on a few not published tricks) ...

I was planning on coding myself the Total Money Flow the way it's explained in the book. Does this mean I won't obtain the same values as the ones you publish here?

[Pascal]

I was planning on coding myself the Total Money Flow the way it's explained in the book. Does this mean I won't obtain the same values as the ones you publish here?

Hi Xavik,


Only the Effective Volume, the Total Effective Volume, the Effective Ratio and the Active Boundaries indicators are fully explained in the VIT book.

The sectors based Money Flow is derived from the above indicators, but not fully explained in the book.

However it is not that difficult to do: the Total Money Flow based on the EV calculation is the EV figure multiplied by the price. When you calculate that for a sector, you need to weigh each stock. You can use a capitalization based weight, a fixed weight or any other method you can think of. For the XLX ETFs for example, I use the weights that are officially published by the S&P. That is you to decide.

The main difficulty is how to code the EV indicator, but many developers could do it.



Pascal

[xavik]

Thanks Pascal.