Pascal Willain Effective Volume

Custom MT4 expert advisors published here.

Moderator: admin

Re: Pascal Willain Effective Volume

Postby logicgate » Wed Aug 21, 2019 2:04 pm

Large funds cannot move without leaving heavy footprints. One good relevant trace that we can find is in volume analysis, since we can assume that professional players need to place larger orders than retail players.

Even if hedge funds account for the lion's share of trading on the NYSE, we could still say that the majority of the trades (mainly small trades) originate from retail players. The simple difference is that hedge funds place larger orders than retail players (or a succession of mid-size orders). The consequence is that retail players make everything rather foggy when you look at all the data. What we therefore need is a reliable method to filter out the noise generated by retail players; we can then focus only on large players.

Using the Effective Volume Flow analysis model and separating the minute-by-minute volume by size allows filtering out such a noise. The filtering calculation is shown on Table 5 (separation size of 10,000 shares). The plotting of the LVS_VF (Large Volume Size Volume Flow) and the SVS_VF (Small Volume Size Volume Flow) results allows separating small from large players.

The separation of the effective volume flow analysis by volume size allows us to study possible divergences between price and volume patterns.

This method can be used in several instances:

A flat trading range will probably break in the direction of the LEVF.
A price uptrend with a negative LEVF indicates that problems lie ahead.
A price downtrend with a positive LEVF indicates that the downtrend is not sustainable.

Check page 34 (50 via the pdf reader) of the book Value In Time that I sent you.

According to Pascal, the best and most obvious way of to separate the volume between large and small is using the average separation method, as explained there.
Attachments
calculating-large-effective-volume.png
Effective Volume size separation.jpg
2019-08-21-135352_1280x800_scrot.png
2019-08-21-135654_1280x800_scrot.png
2019-08-21-135800_1280x800_scrot.png
2019-08-21-135820_1280x800_scrot.png
2019-08-21-135925_1280x800_scrot.png
2019-08-21-140011_1280x800_scrot.png
logicgate
FXCodeBase: Graduate
 
Posts: 372
Joined: Tue Dec 11, 2018 7:54 am

Re: Pascal Willain Effective Volume

Postby logicgate » Wed Aug 21, 2019 3:43 pm

I noticed that the last bit of the first image I posted has a typo.

He meant "every minute having a volume ABOVE median volume" , we get the Large Effective Volume indicator.
logicgate
FXCodeBase: Graduate
 
Posts: 372
Joined: Tue Dec 11, 2018 7:54 am


Re: Pascal Willain Effective Volume

Postby logicgate » Thu Aug 22, 2019 4:46 pm

Apprentice wrote:Median as described here?
https://en.wikipedia.org/wiki/Median


Yes, it sounds exactly how it was described in the first image I attached here.
logicgate
FXCodeBase: Graduate
 
Posts: 372
Joined: Tue Dec 11, 2018 7:54 am

Re: Pascal Willain Effective Volume

Postby logicgate » Thu Aug 22, 2019 10:03 pm

Hi there dear friend, I was testing the indicator here in a simulator and it is showing a weird behavior. I still have to check live if this happens, gonna leave a chart running the whole day. But in the simulator, after a while the indicator stops plotting. Then, if I delete the indicator and load it again, it catches up with price.
Attachments
cumvolweird.png
cumvolweirdA.png
logicgate
FXCodeBase: Graduate
 
Posts: 372
Joined: Tue Dec 11, 2018 7:54 am

Re: Pascal Willain Effective Volume

Postby logicgate » Tue Aug 27, 2019 2:03 pm

Hi there my friend, do you know why this indicator is lagging behind the price by a lot of bars?? Almost 3 hours behind price. Can you correct that? I was giving it a go again, I left it loaded on a chart, I noticed that after a couple of minutes it starts to stabilize and gives a decent reading. Perhaps you could update the formula using that one from the article (viewtopic.php?p=128002#p128002)? And given that this one has the Large and Total EV, you can now code the Large And Total Effective Ratio. Large Effective Ratio is the LEV divided by total volume, and Total Effective Ratio is the TEV divided by total volume.

Large Effective Ratio = EMA(250)( LEV(i) / Volume(i) ) M1 charts

Total Effective Ratio = EMA(250)( TEV(i) / Volume(i) ) M1 charts

250 = one day
Attachments
Effective Volume All.mq4
(9.33 KiB) Downloaded 24 times
evall.png
evall1.png
logicgate
FXCodeBase: Graduate
 
Posts: 372
Joined: Tue Dec 11, 2018 7:54 am

Re: Pascal Willain Effective Volume

Postby Apprentice » Wed Aug 28, 2019 2:44 pm

Based on Cumulative Effective Volume.mq4, median split added.
Effective Volume Split Version 1.mq4
(4.2 KiB) Downloaded 34 times

Effective Volume Split Version 2.mq4
(4.2 KiB) Downloaded 37 times
User avatar
Apprentice
FXCodeBase: Confirmed User
 
Posts: 22471
Joined: Thu Dec 31, 2009 11:59 am
Location: Zagreb, Croatia

Re: Pascal Willain Effective Volume

Postby logicgate » Wed Aug 28, 2019 4:42 pm

Hi there my friend, thanks.

What is the difference between the two versions?

Is it split in large and small?

Large is the red by the looks of it. The indicator does not plot anything with the setting of PI = 0. The best settings I could find that gave a decent reading were period 50 and PI 0.00001, but this is taking a toll on the computer, I can hear even the cpu fan speed going up.

Also, there is no need to plot the small effective volume (if the other IS the small, I don´t know), we don´t care about it.

What we are interested in is the Large and Total. So, what the indicator have to show us is the Large effective volume line and the Total effective volume line (large + small). Then with those values you can code the effective ratio.
Attachments
effecvol.png
logicgate
FXCodeBase: Graduate
 
Posts: 372
Joined: Tue Dec 11, 2018 7:54 am

Re: Pascal Willain Effective Volume

Postby logicgate » Wed Aug 28, 2019 5:21 pm

Alright, I know what happened. I was loading the indicator on my MT4 installation which I run the simulators, when I loaded it on a chart that had history data converted from tick data via script, then it would not work on PI 0, just with those settings I posted in previous post.

Now I loaded on another installation which has the history generated via broker´s data and it is working with PI of 0. I looked at the code and it answered my question regarding what are the lines, but visually it does not seem right, the small effective volume is meaningless and it does not move price, only the large volume moves price. If you check the images of the book, you can see how the small volume always kind of stay flat and in a small range, and the large volume is the one that trends with price and give the divergence signals.

One more thing, I looked at the code now of the indicators, both cumulative effective volume and the last two you posted, and I noticed another thing that is wrong: you are telling the indicator to calculate using bars and no other instruction. If you had read chapter 1 of the book I sent you, you would have known that the indicator needs 1 minute bars data to work properly, you have to tell it to use ONLY 1 minute bar data in it´s calculation, in whatever timeframe it is loaded in.It is in 1 min timeframe that the activity is hidden and the separation of volume makes sense. On higher timeframes it is diluted.
Attachments
effecvol1.png
logicgate
FXCodeBase: Graduate
 
Posts: 372
Joined: Tue Dec 11, 2018 7:54 am

Re: Pascal Willain Effective Volume

Postby logicgate » Wed Aug 28, 2019 5:36 pm

And now I discovered that the indicator does not plot anything if PI set to 0 if loaded on 1min or 5min timeframe, even using broker´s data.
logicgate
FXCodeBase: Graduate
 
Posts: 372
Joined: Tue Dec 11, 2018 7:54 am

PreviousNext

Return to MT4 Expert Advisors

Who is online

Users browsing this forum: Bing [Bot] and 6 guests