Идея индикатора замена маркет дельты

ruticker 29.08.2021 10:24:00

Идея в чем. По номеру сделок из ленты всех сделок можно определить покупку/продажу по рынку

   Таким образом собираем все покупки/продажи по рынку и видим каким образом двигает рынок тот или иной трейд
  
   Сила трейда пропорциональна объему. Дальше можно посчитать среднее арифметическое силы всех трейдов и определить таким образом силу рынка

   Конечно растущем рынке сразу понятно куда идет. Но на боковике это далеко не всегда так. А с помощью этого индикатора легко можно будет понять как работает стакан — кукл подставляет стакан или раздает    Я пока бегло протестировал — довольно интересные результаты пока нахожу. Сейчас смотрю на акции UWGN — у меня получается что посчитал сила покупок в 20 раз меньше силы продаж и похоже на правду — бумагу давно раздают 


Назад

Идея интересная

Как можно посмотреть (попробовать) этот индикатор?

 

avtin 30.08.2021 23:32:00

Пока что не понятно нужен ли он людям. Пишите инструмент и период для анализа, буду выкладывать результат в текстовом виде

ruticker 31.08.2021 12:32:00

Интересно.

Давайте на классике. Газпром. :)

Периоды месяц-квартал-год

G Tr 31.08.2021 13:42:00

Вот по Газпрому. AvgSpeed - это среднее движение цены от объема при покупке/продажи  (сумма всех дельт трейдов поделить на весь объем в контрактах)

AvgDelta - среднее движение ( сумма(объем дельты)*дельта /объем в деньгах)

  Dir 1 - покупки по рынку -1 продажи

 

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ruticker 31.08.2021 13:47:00

Спасибо

На каких минимальных периодах работает на Ваш взгляд? Годится ли для торговли в течении дня?

avtin 31.08.2021 23:40:00

    Я предполагаю, что лучше всего будет работать на акциях, период от нескольких часов до нескольких дней, анализировать хорошо боковики что бы понимать идет набор позиции или просто пустая проторговка.

  При наборах позиции "сила" покупок должна быть выше

ruticker 01.09.2021 6:58:00

Спасибо

avtin 01.09.2021 23:20:00

Залогинтесь, что бы оставить свой комментарий

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