Volumes, volatility and Hearst index - page 2
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What are you worrying about? mt5 is coming soon and there will be both tick and actual volumes in currencies.
I don't know how long we have been waiting for this, but we are still waiting. Perhaps, the developers will catch most of the bugs during the Championship and launch MT5 as a trading platform, not as a toy for the demo.
And there is absolutely nothing to catch on the tick volumes. We will not get them for trading, we will not get them for real trading.
They generally show that the nature of the market has changed in the sense that it has become much faster. Judging by the daily session peaks, volumes have roughly doubled. The same can be said about ATR. The curves in the charts are divided into two groups: 2006-2007 and 2008-2009-2010. That is, the crisis since mid-2008 has had the machine spinning at full throttle. I think that brokers just had to upgrade the hardware and software to keep up with the times. And now there is no turning back.
The volatility is really coming down after the highs at the end of 2008-beginning of 2009, maybe I will add a picture later
P.S. I am adding a picture, it is the volatility on monthly bars, smoothed by EMA12. The months were chosen to show more history, the experiments with my ZZ show, that if the volatility grows, then it grows on all horizons (i.e. timeframes, as we say here :))
P.P.S. The move with Hurst is interesting, I just do not understand, what will happen to it when readjusting the filters of quotes? Log(High-Low) will not change much, but Log(N) will have to be added to a constant. And where will be the reference point (h=0.5)?
In times of progress one always draws conclusions about its irreversibility :) .
I wrote "no turning back" in the sense that brokers are not going to change hardware, software and filtering settings just to restore the quote flow density that was there before the crisis. I like philosophy too. Especially about wise men. :-)
Really volatility is now falling after the highs of late 2008/early 2009, maybe I'll add a picture later.
Yes, you can see it from Hearst's charts. And the volumes of 2009-2010 are no less than 2008. And ATR in 2008 was certainly higher than now.
... If the volatility goes up, then it goes up on all horizons (i.e. timeframes, as we say here :))
I don't know. It's difficult to judge it by eye. Later I will post the Hearst's picture for different timeframes. Maybe you will see something.
Interesting move with Hurst but I do not understand what will happen to it after resetting filters of quotes? Log(High-Low) will not change much but Log(N) will have to be added to a constant. And where will be the reference point (h=0.5)?
Yes, it is an interesting question. It is difficult to answer it using GainCapital data. This data seems to be 5-digit, but, for example, according to eur for 2009 out of 4 million ticks only 69 have a real 5-digit. So I myself am now recording quotes from 3 different brokers with flow densities that differ significantly from each other. And there's a real 5th digit there. These are the very 5-digit quotes that come with some high density, and the Hearst calculations (and all other calculations in this thread) use 4-digit quotes. To convert 5 -> 4 I use a renko grid and it will naturally produce a very different density. So reconfiguring the filters can certainly change the flux density, but it cannot change the course of the price. And here the intersection of the reneko grid levels just connects in an unambiguous way the appearance of the 4-point and the change in price by one 4-point. So I don't think my Hurst should depend on broker settings. It will be definitively clear when I post his charts for these 3 brokers. I hope I have explained everything clearly.
But the 2009-2010 volumes are no less than 2008. And ATR in 2008 was certainly higher than now.
Highlighted the point of principle in the last post in bold.
And there is absolutely nothing to catch on tick volumes. Every brokerage house has different volumes - whoever draws them will draw them.
The question is how to use it.
For the 5 -> 4 conversion, I am using a Renko grid and it will naturally produce a very different density. Therefore, the filter retuning may of course change the flux density, but it cannot change the price movement. And here the intersection of the reneko grid levels just connects in an unambiguous way the appearance of the 4-point and the change in price by one 4-point. So I don't think my Hurst should depend on broker settings. It will be definitively clear when I post his charts for these 3 brokers. I hope I explained everything clearly.
I think I got it, good move with renco, now a five digit may just the opposite, stabilise 4 digit tick volumes, and ticks may become a "good" indicator. By the way, 3-digit ones will be even more stable then :) . Interesting.
With Hearst, more reasoning would still be helpful. Classically Hearst is the slope of a linear regression on a log-log plot. This method is insensitive to the presence of a substrate, i.e. the presence of a constant multiplier at N. You replace it with the slope of a ray drawn to a point from the origin. This is only correct if the points lie on a line passing through the origin. Do you have a graph of points of different TFs in Log(N) - Log(High-Low) coordinates ?