CAT Tool Plot and Update: Dollar Weighted OBV for ES

Here’s a plot of part of the day’s Dollar Weighted On Balance Volume superimposed over the price of the S&P E-mini (ES) futures. It only covers the part of the time my laptop was connected to the intertubes today, but I thought it was interesting. The Pink is the ES, the Blue is the DWOBV. There was a divergence around 10:30 AM that was followed by a big drop:

Also, I updated the dollar weighted CAT tool to record and plot the ES price (or whatever you put in your list as the first symbol), as well as added a capability to add a start time. That way you can click “Start” and it will wait to record until the time hits, or leave it blank and it will just start immediately. The update is in the “CAT_TOS_DDE_Recorder.zip” file in “Released Tools“. In the future I plan to do a bit of a re-do of the tool to make it more generic, so keep your eyes peeled for that.

CAT Tool Updated

It was pointed out to me that the prior CAT tool is really making a plot of On Balance Volume. I called it Advance / Decline, but it’s not really doing that in the official sense of the term. Anyway, it was also pointed out to me that 5 million shares of a biotech bomb move this indicator just as much as 5 million shares of GOOG, which is right, of course. So I added another file in my CAT tool release, called “CAT_DollarWOVB.xls”. It’s a dollar-weighted On Balance Volume calculation. This way, the 5 million shares of biotech bomb at $1.20 isn’t as important as the 5 million shares of GOOG at $525.

Download the “CAT_TOS_DDE_Recorder.zip” at “Released Tools” to get the update.

Daily Average Volume Study with Alerts for Think or Swim

This study will plot a color coded box in the volume pane that shows the percentage of daily average volume that a stock has traded for the current day. The two inputs are:

1. How many days of past volume to average (from 1 to 60, currently)
2. An alert level in percent of average volume

In the picture above, “days” was 60 and the alert was set to 100, meaning that if GOOG traded more shares for the day than the average daily volume of the past 60 days, the box would turn from red to green and you would get an alert. Here’s an example of how C looked at the end of the day today (the alert at 100 never triggered):

You could set this study with a level of say 20, and use it during the first 30 minutes of the market to be alerted to stocks with high volume relative to their average. Of course you’d have to have plots open, since I don’t think it works on a watchlist. It’s meant to be used real-time, as it always shows the sum of the current day so far. You can configure the alerts and also turn the chart label off if you hate the box but still want the alert.

How I Did It

The hardest part was writing a gigantic definition for average daily volume that accepted a variable input. To get the volume from the daily timeframe, you use

def dailyvol=volume(period=”DAY”);

That would return today’s volume on the daily timeframe. To get yesterday’s daily volume, you’d use

def yesterdayvol=volume(period=”DAY”)[1];

You can imagine that a 3 day average volume would look like this:

def threedayavgvol=(volume(period=”DAY”)[1]+volume(period=”DAY”)[2]+volume(period=”DAY”)[3])/3;

So imagine that stretched out to 60 times. Yikes. Then I just compared today’s volume to the average volume, calculated a percentage, and then used the addchartlabel() function to make the box. I changed the color coding with the assignvaluecolor() function, depending on if the percentage was above or below the alert level. I added my alerts block code, changed the alert parameter to percentage>=alert level, and that’s a wrap.

So now you know how to make one of your own, or you can use mine if you donate to my blog. The file “DailyAvgVolSTUDY.zip” is in the “Released Thinkscript Studies” section of my Google Site. If you are not yet a donor, you can become one by clicking the button below:

One Trade Today in ES: Sometimes You Are Just Wrong

I took a trade in ES this morning based on what I thought was an imminent breakdown of a channel boundary. I stayed out until after 10:00 ET for the new home sales to come out. I was watching a 1600 tick chart and a real-time plot of the Advance-Decline of the S&P from my CAT tool. We touched the lower channel boundary and stalled. The A-D chart was pressing towards a new low, so I went short, expecting a quick move out of the channel towards the daily pivot. Here’s the charts:

Price:

A-D Zoom showing time of Trade:

And overall A-D plot:

Bada bing, bada boom. Quick 2 point loss. On this one I was just wrong. This highlights the fact that you can’t know for sure what will happen in advance. You always take a risk when you put on a trade. If I would have gone long instead of short, I would have won. And then about 10 minutes later, a channel breakout was the right trade.

I still struggle at my entries. I have discipline to stop trading, ability to accept a loss and be wrong, and discipline to stick to the pre-trade plan. My entry timing is just plain wrong. That adds up to net losses.

Complex Analysis Tool (CAT): Analyzing and Recording Think or Swim DDE Data in Excel

Donors rejoice: It’s finally here! My Complex Analysis Tool (CAT) for Think or Swim. This tool is an extension of my TOS_Excel_DDE tools, with the addition of macros that record the data at time intervals you choose. I covered the full how-to on DDE linking in a previous post. An earlier version is what I used to create the plots in these two posts.

The CAT tool comes pre-configured to take the S&P 500 and calculate an Advancing / Declining Volume for the index in real time. You can get data as often as every second. If the price of a stock now is above the price at the last time step, then the volume for that stock since the last step is positive. Vice versa for down. The result is summed for the whole list and then plotted. Here’s an example plot:

You could adapt this tool to other calculations or stock watch lists. Instructions are in the file; hopefully it’s self explanatory, but I can answer any questions you may have as you try to modify it to your needs.

The CAT tool is for donors only. You can download the file “CAT_TOS_DDE_Recorder.zip” from the Donors Only folder under the “Released Tools” section on my Google Site. If you haven’t yet become a blog donor, you can do so now by clicking the donate button. Donate an amount you feel my tools are worth to you.

If you want me to make you a custom version of the CAT tool, you can also email me for a price quote. Thanks for your support!