Hi, I wonder if anyone has seen anything written publicly about estimating volume at price within backtest bars where you don't have any data other than up/down volume for the bar? For instance, when looking at 1 minute ES bars they are, on average maybe 6-8 price ticks tall. How might one estimate where the volume was in the bar for upticks and downticks? Clearly there's no was to be completely accurate, but maybe it's better than doing nothing. I'm playing with using sort of a skewed normal distribution which is interesting, but it doesn't take open and close into account. When I look at real data there's often a bit more up volume near the top when the price is trending strongly up, and more to the downside when the price is trending down. I could use other indicators for simple estimates of trend, and then do something based on that. Anyway, I'm just interested in reading something on the subject, if there's anything out there, before messing with R code. Thanks, Mark
Estimating volume at price for backtest data bars?
2 messages · Mark Knecht, Brian G. Peterson
Mark Knecht wrote:
Hi, I wonder if anyone has seen anything written publicly about estimating volume at price within backtest bars where you don't have any data other than up/down volume for the bar? For instance, when looking at 1 minute ES bars they are, on average maybe 6-8 price ticks tall. How might one estimate where the volume was in the bar for upticks and downticks? Clearly there's no was to be completely accurate, but maybe it's better than doing nothing. I'm playing with using sort of a skewed normal distribution which is interesting, but it doesn't take open and close into account. When I look at real data there's often a bit more up volume near the top when the price is trending strongly up, and more to the downside when the price is trending down. I could use other indicators for simple estimates of trend, and then do something based on that. Anyway, I'm just interested in reading something on the subject, if there's anything out there, before messing with R code.
If I get some time, I'll dig through my collection of papers, because there is literature on matching up Buy-driven versus sell-driven volume. However, all this literature is on tick data. You will likely need to acquire a source for tick data before you can have any accuracy at all in any resulting estimates. - Brian
Brian G. Peterson http://braverock.com/brian/ Ph: 773-459-4973 IM: bgpbraverock