Are you using number of trades or sum of trade sizes?
Because if the former, there is little distinction between me firing off two market buys of 100 shares each in quick succession vs me firing off one market buy of 200 shares, so your sampling shouldn’t be impacted by the difference.
I’m not altogether convinced by volume sampling. It’s an idea popularised by De Prado, but I’ve never seen it actually work in practice. It makes you trade more when the market is going through turmoil, it makes you trade more over time (as volume per day generally increases), and I haven’t seen any evidence of the importance of information content.
If you’re trading based on patterns in the market, it’s easy to lead yourself to believe that you’re predicting the market. That isn’t the case, though - the market is formed of many many independent people making guesses.
The thing you’re actually doing is predicting what other people are going to predict. If there’s an established pattern, like some moving average crossing another or a wedge or anything else like that, the reason it tends to complete is not mystical - it completes because other people see the pattern, think it’s going to go up (or down), buy (or sell), and then that has the effect of pushing the market in that direction (it also means that anyone late to the game can’t benefit from the movement).
As such, the strongest strategy when trying to use technical analysis to determine possible market moves is to use the resolution that everyone else is using. This is overwhelmingly time-based. There are people trading in the 1s regime, the 1m regime, the 15m regime, etc, and they’ll often stick to that and execute trades with a proportional rollout time and aim for a proportional profit.
If you pick just a random number of trades or amount of volume that suits you, you can easily find that you are out of sync, competing against no one in particular, and you’ll see that it’s impossible to find a pattern.
Many other people use price levels. So they’ll have their limits and stops at round numbers, or at percentage changes on the day, week, month, etc. So there is an argument for price bars too.
Do you mind sending me an email and maybe we could chat?
Thank you for your amazing comments. I really like your idea about indicators and saving state. I'll give that a try! Yeah, Marcos López de Prado is actually where I read about the tick bars and sampling at higher rates. You need like 2 phd's to read his books though. haha. I am doing this based on X number of ticks and not even looking at volume. I was using tick count as an indicator in that you can really see patterns when activity picks up. This sync issue is really really interesting and I'll explore this.
"The thing you’re actually doing is predicting what other people are going to predict." I think I've actually seen this in the data. In that you can see this mini-cycles almost when you really zoom into a fast moving stock. I'll check out. Both your comments are amazing and it 100% shows you know what you're talking about.
Are you using number of trades or sum of trade sizes?
Because if the former, there is little distinction between me firing off two market buys of 100 shares each in quick succession vs me firing off one market buy of 200 shares, so your sampling shouldn’t be impacted by the difference.
I’m not altogether convinced by volume sampling. It’s an idea popularised by De Prado, but I’ve never seen it actually work in practice. It makes you trade more when the market is going through turmoil, it makes you trade more over time (as volume per day generally increases), and I haven’t seen any evidence of the importance of information content.
If you’re trading based on patterns in the market, it’s easy to lead yourself to believe that you’re predicting the market. That isn’t the case, though - the market is formed of many many independent people making guesses.
The thing you’re actually doing is predicting what other people are going to predict. If there’s an established pattern, like some moving average crossing another or a wedge or anything else like that, the reason it tends to complete is not mystical - it completes because other people see the pattern, think it’s going to go up (or down), buy (or sell), and then that has the effect of pushing the market in that direction (it also means that anyone late to the game can’t benefit from the movement).
As such, the strongest strategy when trying to use technical analysis to determine possible market moves is to use the resolution that everyone else is using. This is overwhelmingly time-based. There are people trading in the 1s regime, the 1m regime, the 15m regime, etc, and they’ll often stick to that and execute trades with a proportional rollout time and aim for a proportional profit.
If you pick just a random number of trades or amount of volume that suits you, you can easily find that you are out of sync, competing against no one in particular, and you’ll see that it’s impossible to find a pattern.
Many other people use price levels. So they’ll have their limits and stops at round numbers, or at percentage changes on the day, week, month, etc. So there is an argument for price bars too.