How to use volume in ES trading

csw2002

In Cobra's 白天灌水 thread, not only I attempt to provide real time S&P pit information and institutional participation, I also often comment on ES cumulative volume. I have been asked a couple of times how volume comes into play and here is how I use it:

I calculate 2 volume parameters: Today's ES Cumulative volume/9 Day average of ES Cumulative volume, and current bar (15 min) volume/9 day average volume of the same bar.

The cumulative volume is calculated based on contracts transacted since midnight (and reset to zero at midnight). The first ratio tells me how active the big players are in relation to last 9 days' average as at the same time and the second ratio tells me how much participation by the big players there is in the current bar compared to the 9 day average.

The reason that I choose 9 days average is simply that the platform I use can only provide intraday volume data going back that far on a 15 min bar basis. In my experience, when a move occurs without active participation by the big players (as seen by average or below average cumulative volume ratio and current bar relative volume), the move tends to peter out. There was an instance of it yesterday (29th July) when market gapped up on the open and continued higher with quite significant paper activities on the buy side in the S&P pit. However, at the time, I commented that the cumulative volume was running at 80% of average and that normally indicates that the big players are not interested in the move up. Sure enough, we then saw steady declines that not only retraced the significant upmove but some more to the downside as well. However, the volume was still only average when the down move occurred and then we saw the upmove back into yesterday's trading range. This was a very frustrating day, I'd imagine, for both bulls and bears. However, if you keep track of volume information, at least you'd know such moves could be potentially on the card.

The problem with using volume data is that you'd need to be glued to the screen all the time and it is not necessarily suitable for everyone.

dommy

学习了

Kami

bendzhao

Thanks

zippo

回复 1# csw2002

Ding!  Thx!  Which software do you use for the calculation?

cw8888

Thanks

QWE

nstar

oda

学习

Forevergreen

thanks

CRxyz

Thx

happyface

thanks for sharing

sooners

回复 1# csw2002


   

zipcode

Thank you very much!

slowstep

xnz

thanks

overdrunk

netbanker

rosyrosy

zhizhengwd

thanks a lot