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Standard Deviation Moves
Updated November 4, 2015
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Standard Deviation Moves
June 12th, 2015, 06:43 AM
Prospect, KY. USA
Experience: None
Platform: Sierra Chart
Broker: Infinity
Trading: /CL
Posts: 687 since Jan 2012
Thanks Given: 309
Thanks Received: 617
Here is a link to a study based on Jeff Augen's SD price spikes. Although it does not incorporate volume it does very well with standard deviation moves in price (which by theory volume will accompany the price action .)
https://www.sierrachart.com/supportboard/showthread.php?t=33846
Assumption - the ID for the above mentioned study is one (1)
You would then use the study Color Bar Based on Alert Condition
The alert would be =and(ID1.SG1>=2,ID1.SG1<3)
What this will do is place an alert on the bar when it has moved two standard deviations, less than three relative to the set number for the lookback period
-William
Can you help answer these questions from other members on NexusFi?
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June 15th, 2015, 07:05 AM
Prospect, KY. USA
Experience: None
Platform: Sierra Chart
Broker: Infinity
Trading: /CL
Posts: 687 since Jan 2012
Thanks Given: 309
Thanks Received: 617
Here's a formula that I've put together for low spread, low volume
Assumption: ID5 is Numbers Bars Calculated Values
Study: Color Bar Based on Alert Condition
=and(c>=o,abs(h-l)<=ticksize*3,ID5.SG2<50)
-William
June 15th, 2015, 08:27 AM
Melbourne, Australia
Experience: Intermediate
Platform: NT8, Multicharts,Sierra
Broker: CQG, IB
Trading: YM,CL,GC,6E,6J
Posts: 97 since Mar 2013
Thanks Given: 85
Thanks Received: 60
Really interesting stuff.
Why though would you exclude any pops above 3 ?
I'd have two instances, one with a pop above 2 and one with a pop below -2.
I try and keep it simple and not draw any conclusions on what the pops may mean without context
June 15th, 2015, 10:04 AM
Prospect, KY. USA
Experience: None
Platform: Sierra Chart
Broker: Infinity
Trading: /CL
Posts: 687 since Jan 2012
Thanks Given: 309
Thanks Received: 617
Thank you
I'm only psoting examples of syntax and how to make easy use of studies already in SC vs custom
The parameters can be changed to what fits your style, instrument etc
For example on /CL I'll use different criteria after 0930amET vs Globex
I use this primarily for "hello" something out of the ordinary is taking place
For example on the Augen price spikes I use GT(>) 2 LT 3, GT 3 LT 4 and GT 4
Most of this comes from many moons of screen time which started with Thinkscripter VSA_Lite
I mostly use the same settings for /6B, E and /CL with some minor tweeks here and there - obviously of those three, each has it's own character
The Numbers Bars Calculated Values is a very powerful study in SC. The study Numbers Bars takes up too much real estate
90% of my decisions are based on price action and not MACD, CCI, Stochastics etc
-William
June 15th, 2015, 11:33 AM
Melbourne, Australia
Experience: Intermediate
Platform: NT8, Multicharts,Sierra
Broker: CQG, IB
Trading: YM,CL,GC,6E,6J
Posts: 97 since Mar 2013
Thanks Given: 85
Thanks Received: 60
I'm grateful William.
You showed me a way to get some form of useful VWAP type thing on my screen without it cluttering anything up.
Thank you
June 16th, 2015, 08:30 AM
Prospect, KY. USA
Experience: None
Platform: Sierra Chart
Broker: Infinity
Trading: /CL
Posts: 687 since Jan 2012
Thanks Given: 309
Thanks Received: 617
Regarding the study Numbers Bars Calculated Values
As I mentioned above the Numbers Bars Study takes up too much real estate (at least for me)
So in lieu of this I've been poking at various components of NBCV
Something that I look at instead of Volume Delta is Tick Delta
Anyway throwing that out there
-William
EDIT
For /CL
EDIT2
Here's the alert syntax that I'm using for /CL
=ID5.SG24<=-21 ,, =ID5.SG24>=21
Different instruments, different trading styles, different objectives will most likely warrant an adjustment of that Tick Delta GT/ LT/ ET
June 18th, 2015, 06:31 AM
Prospect, KY. USA
Experience: None
Platform: Sierra Chart
Broker: Infinity
Trading: /CL
Posts: 687 since Jan 2012
Thanks Given: 309
Thanks Received: 617
Here's a cheat sheet of the Numbers Bars Calculated Values Descriptions
-William
NumbersBarsCalcValDesc.xls
July 2nd, 2015, 11:34 AM
Prospect, KY. USA
Experience: None
Platform: Sierra Chart
Broker: Infinity
Trading: /CL
Posts: 687 since Jan 2012
Thanks Given: 309
Thanks Received: 617
I track the bar delta for certain levels of price action /participation using the above study
/CL has different levels (/6E does but not near as much) of participation Globex vs NY typically starting about 8amET so the rate of change is more/ higher
How I get around having to change the threshold is having the same study loaded twice
ID5 is numbers bars calc val and SG1 is delta
=ID5.SG1>=50 (lime green triangle)
=ID5.SG1>=75 (dark green triangle)
They are loaded in that order and the last will overwrite the first (LIFO)
-William
July 2nd, 2015, 09:06 PM
Melbourne, Australia
Experience: Intermediate
Platform: NT8, Multicharts,Sierra
Broker: CQG, IB
Trading: YM,CL,GC,6E,6J
Posts: 97 since Mar 2013
Thanks Given: 85
Thanks Received: 60
William,
Does your last post mean you've gone back to bar delta instead of tick delta (ie SG1 instead of SG24) ?
July 6th, 2015, 12:45 PM
Prospect, KY. USA
Experience: None
Platform: Sierra Chart
Broker: Infinity
Trading: /CL
Posts: 687 since Jan 2012
Thanks Given: 309
Thanks Received: 617
I'm watching both but now with more emphasis on volume change
To a degree they go hand in hand because /CL trades a bunch of one contracts
Plug in what works best for you
As you know no two days are the same when it comes to trading
-William
Last Updated on November 4, 2015