I have spent much of the day looking at current and historic price and volume action across a range of markets. I have improved my average intraday volume indicator [Update: actually the idea for this, along with much other good trading advice, comes from Caspar Marney, who will shortly be publishing his (probably much better) version of this indicator in Currency Trader magazine]  (I have pasted the code at the bottom of this entry, in case anyone is interested) and made a game that allows me to play a historic market as if I had been there at the time.

I have not bought gold on a pullback to the bottom of its post-breakout range, because the pullback today was on high volume — actually, notably high (see chart; green bars show volume, yellow line is the average). I am still trying to get long of gold, but I am waiting for an appropriate moment.

I won’t say that my volume measure and charts are an epiphany, but I am definitely learning more about the interaction of price and volume. I have always looked at volume, but rather as a sort of final check, rather than a key part of forming my interpretation of what the market is doing. I am really enjoying myself and feel as if I am finally moving upwards after a rather slow month for learning.

Here is the code for the average volume indicator — it shows the average over the last 10 days of the 3-bar moving average volume.

Inputs:

DaysAv(10);

Variables:

AvgVol(0),
BarsInDay(0),
SumValues(0),
CheckDate(0),
Mondays(0),
BarsAgo(0),
x(0);

Arrays:

PastVolumes[](0);

Array_SetMaxIndex(PastVolumes, DaysAv);

Mondays = 0;

For x = 1 to DaysAv Begin;

CheckDate = Juliantodate(Datetojulian(date)-x-Mondays*2);
If Dayofweek(CheckDate) = 0 then begin;
Mondays = Mondays + 1;
Checkdate = Juliantodate(Datetojulian(date)-x-Mondays*2);
End;
BarsAgo = Findbar(CheckDate,Time);
If BarsAgo < 0 then PastVolumes[x] = 0
Else PastVolumes[x] = Average(Ticks[BarsAgo],3);

End;

AvgVol = AverageArray(PastVolumes, DaysAv);

Plot1(AvgVol,”AvgVol”);

Update: I forgot to mention that US stocks fell on mixed (if you compare it to expectations) or good (in absolute terms) news today — a bearish sign.

Also, I have signed up for real-time data for more exchanges — several commodity markets were 10 minutes delayed and I was finding it annoying. Total cost is only £133/month, which doesn’t seem unreasonable.

I am wondering whether I should be sticking more closely to US hours — after all, when the US is open is when the action happens. That would mean going to bed and getting up later, and making sure all my evenings were free, rather than just most of them. It seems pretty inconsistent just to trade in the US morning when interesting things can happen in the afternoon.