Since my last post I have been trying to create new indicators from PositionBook data but unfortunately I have had no luck in doing so. I have have tried differences, ratios, cumulative sums, logs and control charts to no avail and I have decided to discontinue this line of investigation because it doesn't seem to hold much promise. The only other direct uses I can think of for this data are:
- modifying existing indicators that use volume such as Accumulation/distribution index, On balance volume and Money flow index. The idea would be to use the PositionBook data relationships instead of the price bar relationships to calculate the intermediate steps of CLV and Money Ratio.
- create a sort of PositionBook profile chart, similar to a volume profile chart. However, I suspect that this would be redundant as the high/low PositionBook nodes would be almost identical to the high/low volume nodes.
- directly use the PositionBook data as input to a machine learning model, either as a stand alone “indicator” or in a Meta learning paradigm as outlined in Advances in Financial Machine Learning.
I am not yet sure which of the above I will look at next, but whichever it is will be the subject of a future post.
