# Predicting volume one day ahead



## Gringotts Bank (23 June 2011)

I'm starting this thread to ask if anyone has tried predicting volume one day ahead, and has had some success.  

Either that, or perhaps you can suggest some variables to input/optimize.

Thanks.


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## tech/a (24 June 2011)

Yes
In SOME cases both volume and bar structure can be pretty accurately predicted.
Have done so for both entry and exit.
For arid net sake a pivot point reversal bar will generally herald a down bar on above average volume.

When back from holidays and charts in hand I don't mind doing a bit of EOD live type analysis around this.

How do you intend to use it?


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## Gringotts Bank (24 June 2011)

tech, I'd like to be able to predict when tomorrow's volume has a high probability of being +50% on today's volume.  Intention would be to trade intra-day, soon after open on a select bunch of speccy stocks.


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## Mistagear (24 June 2011)

GB,

Will be interesting to see if you can derive an edge by predicting high volume likely  follow, without there being a skill-set which in itself gives a greater understanding of the market, thus gaining greater advantage anyhow.
 High volume can act as a confirmation factor more than a cause imho, so am thinking likely more useful to be able to identify the cause ahead of the resulting volume.

It's my contention that all volume is supply, therefore low volume can sometimes be a more powerful precursor to price advance.
Additionally, very often high volume is needed prior to a direction change, in the form of soaking action to exhaust supply. In this instance you might be better knowing, after the fact.
Perhaps I'm off in the wrong direction to your intention with this, happy to gain new understanding. 

Cheers, M


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## tech/a (24 June 2011)

MG
Don't disagree with some of your obsessions and haven't tried this before.
Will be interesting back on deck mid July.


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## Tanaka (24 June 2011)

I anticipate that knowing whether there will be high volume will save time when day trading. Waiting around for hours for a setup wastes time and makes day trading quite a boring profession. I mostly day trade the ES for this reason, I get the same setups with the SPI but I’ll be in and out within 15 minutes on the ES where as I’ll be in and out in 2+ hours on the SPI. But does high volume equal high volatility? 

Anyway, if you could predetermine high volume and scan for it could produce more setups. Great idea GB! I look forward to Tech getting back and sharing his ideas, selfish bastard travelling the world :


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## tech/a (25 June 2011)

Tanaka said:


> I anticipate that knowing whether there will be high volume will save time when day trading. Waiting around for hours for a setup wastes time and makes day trading quite a boring profession. I mostly day trade the ES for this reason, I get the same setups with the SPI but I’ll be in and out within 15 minutes on the ES where as I’ll be in and out in 2+ hours on the SPI. But does high volume equal high volatility?
> 
> Anyway, if you could predetermine high volume and scan for it could produce more setups. Great idea GB! I look forward to Tech getting back and sharing his ideas, selfish bastard travelling the world :




Sitting in a park outside of ORLEAN France.
Perfect.

It's simple but complex in terms of finding setups.
As MG has pointed out much is supply but we can get an indication of when supply has dried up.
I've done a fair bit of work on extremely low volume bars and I'm sure you'll find the answer to the riddle there.

Rather than looking for high volume bars look for EXTREME low volume bars and up to 5 bars before to see if it's supply or demand drying up.

I think for the ES you may need 15 to 60 min bars to see it clearly --- could be wrong I've only traded very little in currencies.

But here is where I think the search should start---away from the obvious.
An increase in volume will come EVERYTIME you get an extremely low volume bar--- the trick is ---- is the volume lack of supply or demand.

Answer that and you have your setup.
Now dinner.


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## Gringotts Bank (25 June 2011)

Tanaka said:


> But does high volume equal high volatility?




Tan, I suspect it will translate into high volatility when applied to the right selection of stocks.  I have a few scans I can use for that aspect of it.

The tricky bit will be backtesting, because I will have to "buy" a stock's volume.  Probably need to look into custom backtesting and user defined metrics.  Anyone done this sort of thing before?

Mista, I read high volume as "market interest", and whether it's buying or selling interest, a lot of people are watching.  I like that in a stock.


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## Wysiwyg (26 June 2011)

Gringotts Bank said:


> Either that, or perhaps you can suggest some variables to input/optimize.
> Thanks.



Pretty basic but for an increasing volume event with a greater than 50% possibility, what about looking back at volume for the number of occurrences there are over e.g. 5 years  

1) ref(v, -1) > ref(v, -2) & ref(v, -2) > ref(v, -3);
2) ref(v, -1) < ref(v, -2) & ref(v , -2) > ref(v, -3); 

1) the number of times that volume had increased for two days equals 100
2) the number of times that volume increased for 1 day and decreased the next day equals = 500

then the probability of volume decreasing the next day after an increase is more likely by 5:1.

Adding an increase above MA or an increase in multiples or an increase in % are variables.


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## tech/a (27 June 2011)

While I've not completed detailed analysis PEN would be one I'm on I posted the trade in #1510 post in the PEN thread it had a volume setup that suggested the move it had in the end ---a few days after my post.

Worth watching going forward
The stop is the low of the most recient double bottom.


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## Gringotts Bank (27 June 2011)

Thanks for the input wys, but can you explain a bit further please.  I'm not following.  How does one make condition 1 = 100 and condition 2 = 500?


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## samanne1 (27 June 2011)

Gringotts Bank said:


> Thanks for the input wys, but can you explain a bit further please.  I'm not following.  How does one make condition 1 = 100 and condition 2 = 500?




Just need to look at the conditions graphically (tho drawing horizontal cause I cant be bothered to insert piccy)

example 1 is like this

day -3 xxx
day -2 xxxxxx
day -1 xxxxxxxxxx

whereas example 2 is like this

day -3 xxx
day -2 xxxxxxxx
day -1 xxxx

(just twist your head 90 degree to see it the right way)

the references to 100 and 500 only relate to the number of time that pattern was found. Think it was only meant to be an example of detecting increasing volume.

Cheers


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## Gringotts Bank (27 June 2011)

right thanks sam.

This look right?  I guess it's not unexpected to have results that are <.5 for most stocks.  What else can I try - anyone?

a = ref(v, -1) > ref(v, -2) & ref(v, -2) > ref(v, -3);
b = ref(v, -1) < ref(v, -2) & ref(v , -2) > ref(v, -3); 
d = cum(a);
e = cum(b);
f = filter = d/(d+e);

addcolumn(f,"probability of 3rd day V increase");


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## Gringotts Bank (16 July 2011)

What conditions should I look at *today *  to predict tomorrow's volume?

What would make most sense?  Breakout?

I only want to know if the volume is likely to be higher or lower than today's.


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## tech/a (16 July 2011)

Is your question rhetorical?
I don't think you can predict EVERY day
But quite a few.
Put up a list of codes and we can see how good I think I am.
Better than 50 % would e significant I feel.
60% + would be above chance I would suspect.

Hang on I gear ge kettle boiling got a LOT of tea to make


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## Gringotts Bank (16 July 2011)

Just having an earl grey myself...

Let's say CEO, NWE, LEG, CGM.


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## tech/a (16 July 2011)

Gringotts Bank said:


> Just having an earl grey myself...
> 
> Let's say CEO, NWE, LEG, CGM.




*CEO* not one Id trade.
But Monday up or neutral 43c most likely immediate destination.
*NWE* wouldn't trade that either.
Best opportunity was at the bottom of the recent consolidation.
Small rise then reversal could be in the same day.Short term blimp.
*LEG* nor this.
4c area max move see more consolidation here. But not the worst.
*CGM* you have my interest.
Only problem is the lateness of finding this one.Great break from long consolidation and was easy to see.
One that we all want to find!!
I see this ranging a little and would like to see a few more days of price action before I took a trade.
I feel the low will be tested  as will the high.At those points decisions will become clearer. So up to neutral.


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## rnr (17 July 2011)

Gringotts Bank said:
			
		

> I only want to know if the volume is likely to be higher or lower than today's.




Tech,

I think this is the question GB wants answered.


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## Gringotts Bank (17 July 2011)

Tahnks rnr.

I see CEO Monday having volume < Friday.

The others I can't tell.


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## rnr (17 July 2011)

Gringotts Bank said:
			
		

> I see CEO Monday having volume < Friday.




Okay, so we both share the view that the volume will be down from Friday but how will you trade CEO given that belief (if it helps then assume you could also short the stock)?


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## Boggo (17 July 2011)

Gringotts Bank said:


> tech, I'd like to be able to predict when tomorrow's volume has a high probability of being +50% on today's volume.  Intention would be to trade intra-day, soon after open on a select bunch of speccy stocks.






rnr said:


> Tech,
> 
> I think this is the question GB wants answered.





I am interested in what you may find GB.


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## Gringotts Bank (17 July 2011)

If volume is very likely to be down, then to my reckoning, CEO should go lower on Monday.   

My whole thing centers around this: volume drives price more then price drives volume.  So I want to predict volume in order to predict price.  I think it works better that way.


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## againsthegrain (17 July 2011)

Techa what do you reckon about kgl?

Broken out of a ling term down trend thrusday with lots of volune, friday died down on the volume but kept the price. More volume likely mon-tues or slow trading?

Been watching this one since 15-17c


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## tech/a (17 July 2011)

rnr said:


> Tech,
> 
> I think this is the question GB wants answered.




Im aware of that.
*Not every stock will give a definitive/tradable signal.*
Personally I'd want a pretty clear signal to place my $s even on an intraday move.
I dont wish to guess or go by gut feel.
*If the analysis isn't there I'm not going to manufacture it to support a gut feel or bias!*

The other way to do it is to place a bid above the expected open and be taken out.
The analysis would then need to be along the lines of a sustained move.
As Im getting to in the TREND thread and probably more-so in what GG wants to do.* POSITION SIZING* is really important! Ill touch on that both here and over there when I get time--anyone got a spare week!

Back to the 4 in question

I wouldn't trade CEO
The analysis on the last few bars is a very strong reversal from the high.
While volume is high it is likely that there is still supply so a further fall is likely.It will steady but not a day trade.---or any other trade in the near future. (Seems I looked up COE in the first post!!!).

The rest are as I have stated.
Rather than expecting to find a way to predict the outcome of the next days trading on* EVERY* stock why not find a way to predict the next days trading of those charts which give a CLEAR indication.
Surely this puts the odds in your favor.

There are 100s of setups each day and not all setups are equal.

*Often a lower time frame chart* will help with confirmation of a daily trade setup and help with both timing and position sizing.

But I and you can still get your initial signals and analysis from EOD charts.

I've been away 7 weeks so haven't had a look at many charts.
Ill attempt to find a few which are relevant to NOW.


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## tech/a (17 July 2011)

GG just saw your post and I agree largely to your observation---however there does come a time where price will influence both SUPPLY and DEMAND.

The chicken--volume is likely to come before the Egg---Price.
Ill see what I can find in view of your post.

With regard to COE
volume will be down but that means Supply is slowing.
If it stops then price could rise on low volume.If it does it wont be a lot ---in the rise.
Its just not one that screams---buy me!

*KGL*
Exhaustion was very clear on 29/6.
That was the time to buy---for a short term trade or a sit and forget.
Any buying now is into consolidation.
These long down moves aren't generally supportive of a "V" bottom like reversal in an up move.
The longer term struggle of accumulation over bottom distribution needs time to develop.
Patience is not often a traders strong point---it should be----its less expensive than IMPULSE!


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## againsthegrain (17 July 2011)

Thanx tech, shows how much more I need to learn. Out of the trade basket into the investment basket for kgl


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## Boggo (17 July 2011)

againsthegrain said:


> Out of the trade basket into the investment basket for kgl




As a once graceful lady with political aspirations is known to have said "please explain"


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## againsthegrain (22 July 2011)

Boggo said:


> As a once graceful lady with political aspirations is known to have said "please explain"




Well I just pretty much see KGL undervalued at under 10c which was the price when I asked tech about, it has now closed at 11c a nice 10 - 12% gain since I was contemplating on entering it as a quick trade, looking for 7- 10 % gain but I missed out. Also didn't end up going in as a longer investment as didn't expect it to break the 10c this quick after tech's tip. Oh well as a trade I missed it, as a investment there will be plenty more opportunities in the future.


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## tech/a (22 July 2011)

Sorry I forgot about this thread.
AED
I posted up as it flew.
TVN 
I posted on the sister thread to this.

Both Flew.

Ill try to point them out as I find them.
With some commentary.
I tend to hold longer than a day.


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## againsthegrain (22 July 2011)

Yes I saw that the stocks you posted did fly, also CEO didn't do bad. As a matter of fact I have bought into another stock that you spoke positively of on another thread, will give it a week and see how it goes. As you said traders are not good with patience and lately I have not been a good investor, so not even sure if I would of have held onto KGL for that whole week


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