Hello,
I'm new to IRT and a pretty amateur coder. Looking for help with the following. First place I looked was the "developers" forum to hire someone, which is empty.. If anyone wants to assist with this it would be much appreciated, and perhaps its something other users might find useful. The study would involve identifying delta, volume, and delta percentage at fractals that meet a minimum zigzag threshold.
I was thinking it could be valuable to view Volume, Delta, and particularly Delta as a percentage of Volume, for swing highs and swing lows. Particularly excess highs / lows, but would also be interesting to see the difference for swings that eventually break during that session or a later session. It seems like a good way to do this would be to have a minimum zig zag length, and examine the stats for a given periodicity chart and given symbol. So it would be flexible for different time frame traders. Ultimately i want to utilize barstats that are currently available in IRT but see them specifically for certain bars only, and compare those to averages for other bars. They could also be profiled, so end result would be something like: For a swing high followed by a minimum 6 point move downwards, delta percentage was < -50% 35% of the time, etc.
Something along the lines of this:
inputs:
FractalBars () ,
ZigZagMin () ,
vars:
bardelta (),
barvolume (),
deltapercent (),
If Fractal then begin:
barcount = FractalBars/2 +.5
barcount =+ 1
end;
If ZigZag > ZigZagMin then:
bardelta = bardelta[barcount]
barvolume = barvolume[barcount]
deltapercent = bardelta / barvolume
print("Delta " bardelta "," "Volume " barvolume "," "Delta percent" deltapercent)
end;
IRT already has the capability of identifying delta and volume metrics at a certain bar with bar statistics, and using Profile on Indicators to gather the frequency / distribution / stats for those metrics. I just need help isolating the instances that meet the given criteria.
Thanks for any input.
I'm not completely clear where you're trying to go with this but let's start with this chart...
https://www.linnsoft.com/charts/fa-pivotvolumeanalysis-es
Import that chart. In the lower pane I'm simply extracting the volume of pivot bars (based on zig zag using the min tick move controlled by button at top). The Profile on right operates on these pivot volumes to show the distribution, most common, median, count, and count at each 1000 increment (we can adjust that as well if needed). So let me know where you want to go from here....let's take one step at a time and see if we can get where you want to to.
First off, thanks for the help Chad. That's a splendid start, the next step would be adding delta %, which is really what I'm interested in profiling. However I did realize I missed an important piece of this, so I'm not sure if the functionality is built in.. We would essentially need to separate a pivot high from a pivot low, and profile them separately. The end result would be to have a profile for Delta % of swing highs and swing lows, the severity of which could be determined by the zigzag parameter. For example, you could get an idea of what Delta % looks like proceeding a 40 tick move in the ES. We would have to use a Renko or other non time based chart to standardize this.
That's basically the general idea, if IRT has the capability to separate the pivot highs from pivot lows. The goal is to gain some more concrete insight into what volume and delta look like at extreme high's and low's, and especially to compare that to what volume and delta look like at weak highs & lows, which I believe could be extrapolated by looking at the same study with varying zigzag lengths, or even applying it the the session prices RTX. I might be missing something else or perhaps going about this in a more difficult way, so I would certainly be interested if you thought there was a better way to achieve this.
Thinking about this a bit more.. I think that was much too vague and the idea is not developed enough. If we could expand on this by substituting delta % for volume and separating the swing highs from swing lows, I think I could apply that to a renko and perhaps gain some useful info as well as determine if there are any other parameters that would make the study more beneficial (likely a way of comparing values of extreme bars to "normal" bars)
This chart separates the up and down pivots. It is currently plotting the volume of the pivot bar. Is that what you're after? Or would you like to be plotting the volume of the full leg (move) leading up to that pivot?
https://www.linnsoft.com/charts/fa-pivotvolumeanalysis-es
Nice. Yep. Just the pivot bar.
Hey Chad, how can I swap out volume for Delta % ? Thanks
In the custom indictor you just replace VO with delta percent (VB * 100 / VO) where VB is just setup as delta.
https://www.linnsoft.com/charts/fa-pivotdeltaanalysis-es
Sweet, thanks