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  #21 (permalink)  
Old 16-03-2012, 10:02 PM
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Originally Posted by MatSol View Post
LEAP options automatically become "regular" options once they are 6 months into expiry. There is no such thing as LEAP options expiring once in four months.

The reason why there are only four triple witching days in a year (in US) is not because of LEAP options as you keep saying, but because the index futures are available only for March, June, September and December series.

Therefore triple witching happens only in these four months. It has nothing to do with LEAP options.

Please get your facts and fundamentals right.

So you have added US in bracket, and that was the only point
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  #22 (permalink)  
Old 16-03-2012, 10:15 PM
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This is how I have started screening delivery % , criteria is delivery volume should higher than 70% for a day or sum of last 4 tading days delivery volume should be more than 70% and following day close should be in green...
why 70%... just like that.. But usually it indicates healthy delivery status.

Here is the Easylanguadge code which will print text as UP on chart when above conditions met and it will export those days in excel in C folder.
So far didn't find much co-relation as Avadhoot said though would like to perform tests on more data as with above criteria tests results were very less to come to any conclusion. Though Goldbees (GOLD ETF) exploration was slight encouraging. But it will be meaningful if test performed directly on Gold.

code

Code:
INPUTS: LEN(5),len2(4);
VALUE1 = average(volume,len);
value2 = SumList(volume,len2);
if (volume[1] > 70 OR value2[1]>70) and close> close[1] then 
VALUE3 = text_new(date,time,close,"UP");
if (volume[1] > 70 OR value2[1]>70) and close> close[1] then 
Print(File("C:\VOLDPup.xls"),DATE,TIME,CLOSE,VALUE1); 
if (volume[1] > 70 OR value2[1]>70) and close< close[1] then 
Print(File("C:\VOLDPDown.xls"),DATE,TIME,CLOSE,VALUE1); 
if (volume[1] > 70 OR value2[1]>70) and close< close[1] then 
value4 = text_new(date,time,close,"dwn");
plot1(SumList(volume,len2),"sumvol");
PLOT2(70);
PLOT3(30);
plot4(value2,"cumV",magenta);


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  #23 (permalink)  
Old 17-03-2012, 01:14 PM
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Originally Posted by alex View Post
criteria is delivery volume should higher than 70% for a day or sum of last 4 tading days delivery volume should be more than 70%

sum or average


Quote:
and following day close should be in green...

plz elaborate following day.

is it next day (immediate right candle) to the candle under consideration(at a particular point of time)?



Quote:
But it will be meaningful if test performed directly on Gold.

I think u mean to test on MCX (and others) data but significant positions are not settled on daily basis.
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Old 17-03-2012, 02:49 PM
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Originally Posted by avadhoot View Post
sum or average

It is Sum, if average deliver% is not greater than 70% then other alternative is sum of few tradings days delivery% so that we won't miss if some one is accumulating positions slowly but steadily.

Originally Posted by avadhoot View Post
plz elaborate following day.

is it next day (immediate right candle) to the candle under consideration(at a particular point of time)?

Following day here means if on 15 march AVERAGE delivery% of x days is greater than 70% OR SUM of x days delivery% is greater than 70% then
on 16th march close should be higher than close of 15th march.


Originally Posted by avadhoot View Post
I think u mean to test on MCX (and others) data but significant positions are not settled on daily basis.

Yes that is valid point so should use open interest instead of delivery% because problem with Goldbee is it is ETF ( I think by GoldmanSacs ) and investors may tend to buy deliveries more as investment so no immediate repercussions about demand and supply. So for studies let's drop Goldbees
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Old 17-03-2012, 08:10 PM
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Alex Bro,

2 Volume Charts one with total volumes and other with delivery volumes from 8th Feb to 16th March are here.

Can u figure out some major difference ?

atleast I couldn't.......







Originally Posted by alex View Post



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Old 17-03-2012, 10:01 PM
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Originally Posted by Cac View Post
Alex Bro,

2 Volume Charts one with total volumes and other with delivery volumes from 8th Feb to 16th March are here.

Can u figure out some major difference ?

atleast I couldn't.......


Bro here is the chart of ICICI bank and it has very less co-relation with delivery percentage as it is the case with other scrips as I said in previous post.
So can't tell much based on that
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  #27 (permalink)  
Old 19-03-2012, 11:53 PM
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So sorry about the funny drawing. Look like two dragons kissing
That's the cycle equities follow, in demand-supply mismatch we often find the big moves that we can observe using market profile, we call it single prints.
One of the big reason why delivery percentage dont work or wont work because in equity delivery can be taken for long side, so there is no trigger for the later cycle which is higher supply and less demand. That's why open interest come handy compare to delivery percentage. Now it is interesting to see securities which are not listed in F&O. They must follow some path to distribute to complete the cycle.
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Old 20-03-2012, 02:28 PM
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Originally Posted by alex View Post
...
One of the big reason why delivery percentage don't work or wont work because in equity delivery can be taken for long side, so there is no trigger for the later cycle which is higher supply and less demand...

Exactly There is no 'delivery volume' on selling So theoretically, the reverse logic - delivery vols shrinking (as a percentage of total volume) might give better clues on distribution But practically, i've tried this too Doesn't help much.
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  #29 (permalink)  
Old 20-03-2012, 03:08 PM
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Originally Posted by kkseal View Post
Exactly There is no 'delivery volume' on selling So theoretically, the reverse logic - delivery vols shrinking (as a percentage of total volume) might give better clues on distribution But practically, i've tried this too Doesn't help much.

Yes, I have also tested it by using highest high than last 4 along with delivery % jump for long and lowest low for last 4 and delivery % less than 70% but it gave worst results than simple lowest low trigger, still wonder how they liquidate the position without any trace..
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  #30 (permalink)  
Old 22-03-2012, 08:57 PM
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Originally Posted by avadhoot View Post
Theoretically it makes sense but practically very difficult to trace a clear trend.
in my observation, i hardly saw any significant delivery percentage gain in a rally but in a decline there is little higher probability of visible higher 'delivery percentage volume' under a large bearish candle.

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