TRADING SYSTEMS
EURGBP data, showing the Marney Volume Indicator™ as the top study and the Marney Range Indicator™ as the bottom study. As described in ‘FX Trader Magazine’ Jan-Mar 2010 edition, by studying historic data, we know that both hourly volumes and ranges throughout the trading day are both highly correlated and predictable. By plotting both the MVI and MRI together we can see this in real-time.
The chart below shows the indicators appl ied to AUDJPY.
explained in this series of articles. Real - time Volume and Range Analys is
As i l lus trated in the las t ar t icle, prof i table trading s trateg ies can be developed f rom being able to predict when the highes t volumes and rang es dur ing the day are l ikely to occur in an individua l market .
By being able to plot expe cted volume and rang es in rea l - t ime, those concept s can be enhanced even fur ther. Us ing the MVI and MRI , we can se e whether the current rang e and volume i s higher or lower than expe cted for a g iven t ime of day.
If the market i s making a new high and both the rang e and volume i s higher than expe cted for that t ime of day, then the move may be cons idered to be more s igni f icant and conver sely i f a move occurred on par t icularly low volume and rang e, then i t might be cons idered les s s igni f icant .
As we might expect, the ranges and volumes are much higher during the Asian session than for a currency such as EURGBP and the peaks are much more def ined when Asia, Europe and then the US enter the market.
We also see the highest volumes and ranges for AUDJPY during the London af ternoon session, although not a natively active time zone for the currency pair, a common characteristic of currency pairs, previously identif ied and
I have carr ied out a cons iderable amount of research around thi s bas ic idea and found a number of ways that these indicator s can be used, to prof i tably exploi t predictable behaviour in the market s .
The code for both indicator s i s ava i lable for f re e f rom my webs i te and I hope that i t provides reader s wi th an addi t iona l edg e in thei r trading , whether sys temat ica l ly or as an addi t iona l tool for di scret ionar y de ci s ions .
FX TRADER MAGAZINE July - September 2010 15
FX
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