Chartmill | Aroon indicator and oscillator

Popular Screens 5: large effective volume + pocket pivot today

In this series we are discussing our popular screens a little bit more in depth. Also check out the introduction, which gives some general pointers.

This time, we will be covering the large effective volume + pocket pivot today screen, a screen shared by user stockeye.

Pocket Pivots

Let start by explaining what a ‘pocket pivot‘ is. This is a price/volume pattern. We say todays price forms a pocket pivot, when:

  1. The price goes up compared to yesterdays close.
  2. The volume today is higher than the maximum down volume of the past 10 days.

More details on pocket pivots and how they are implemented in chartmill can be found here.
Note that both screens use the setting ‘pocket pivot today’, so this screen will look at the current candle. When you run this screen right after the opening of a new trading day, almost certainly zero results will be returned as we need at least more volume than the maximum down volume of the last 10 days. But, during the trading day nice candidates may appear, and after the current trading day you will get a list of all pocket pivots of the day.

Effective Volume

Effective Volume analyses the intraday volume on the minute level to determine what small and large players are doing in terms of accumulation and distribution. For using the indicator you should basically understand: if the red line goes up, large players are buying on average, if it goes down, they are selling. But we really advice you to get a more detailed understanding of the indicator. This article contains some more details, but we also recently published a more in depth article on Effective Volume in Traders Magazine which you can read here. For a complete understanding you should read the book from Pascal Willain which is reviewed here.

The Screen: large effective volume + pocket pivot today

Basically, this screen will combine 2 types of indicators searching for institutional accumulation: pocket pivots which are based on daily data and effective volume, which is based on intraday data.

These are some of the filters applied:

  • LEV: Above Rising 20 SMA: The red Large Effective Volume line should be above a rising 20 day average. This filters for a rising large player EV line.
  • Acc/Dist: 5DER > 3%: The daily average ratio in the last 5 days should be above 3%. This means that on average, during the last 5 days, the percentage of the volume accumulated by large players is at least 3%.
  • Pocket Pivot: At least 1 PP in last 5 days: there should be at least one pocket pivot in the last 5 days. This may be a bit confusing, because this will require at least one pocket pivot in the previous days, not counting the one today. Although, after the end of the day, the pocket pivot from today will count.
  • Signal: Pocket Pivot Today: there should be a pocket pivot on the last/current trading day.

Running the screen produces some very nice results. We note here that the most interesting pocket pivots are still inside a base formation, so where a breakout still needs to happen. Also for effective volume, the most interesting situation is when you see a stock slightly declining or steady while you see large players accumulating. We will show 2 examples that rolled out of the screen today which have the properties:

JBLU MNTA