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ES/YM Market Profile Analysis


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ES/YM Market Profile Analysis

  #21 (permalink)
 
Big Mike's Avatar
 Big Mike 
Manta, Ecuador
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Not a MP expert... so excuse me

The ES 1052 level seems to be holding so far tonight. That's from Friday on your chart, and represents the VAL or is it simply the day low Friday? (blue line)

Mike

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  #22 (permalink)
 
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 David_R 
San Jose, Ca
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Big Mike View Post
Not a MP expert... so excuse me

The ES 1052 level seems to be holding so far tonight. That's from Friday on your chart, and represents the VAL or is it simply the day low Friday? (blue line)

Mike

The 1052 area is Fridays low. The value area of each of the profiles is indicated by the Pink colored lines above and below the yellow POC line.

D

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  #23 (permalink)
 
Big Mike's Avatar
 Big Mike 
Manta, Ecuador
Site Administrator
Developer
Swing Trader
 
Experience: Advanced
Platform: Custom solution
Broker: IBKR
Trading: Stocks & Futures
Frequency: Every few days
Duration: Weeks
Posts: 50,396 since Jun 2009
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David_R View Post
The 1052 area is Fridays low. The value area of each of the profiles is indicated by the Pink colored lines above and below the yellow POC line.

D

Ok, that was a dumb question and I realized that now. LOL. But, it won't stop me from asking another probably.

a) Can you mark up that chart and just label each of those lines? For instance, the blue dashed lines, specifically the three equally-spaced ones in the middle, what are they?

b) I was thinking the VAH and VAL were correlated to the POC and somehow you could mathematically formulate the VAH and VAL by using like stddev +/- the POC. Am I wrong here? Because the VAH and VAL on your chart, if I am reading it right, is not equal distance from the POC. Why in my head am I also thinking something like VAH/VAL is where 80% of the volume trades?

Sorry for the rookie questions.

Mike

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  #24 (permalink)
 
David_R's Avatar
 David_R 
San Jose, Ca
Legendary Market Wizard
 
Experience: Beginner
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Big Mike View Post
Ok, that was a dumb question and I realized that now. LOL. But, it won't stop me from asking another probably.

a) Can you mark up that chart and just label each of those lines? For instance, the blue dashed lines, specifically the three equally-spaced ones in the middle, what are they?

b) I was thinking the VAH and VAL were correlated to the POC and somehow you could mathematically formulate the VAH and VAL by using like stddev +/- the POC. Am I wrong here? Because the VAH and VAL on your chart, if I am reading it right, is not equal distance from the POC. Why in my head am I also thinking something like VAH/VAL is where 80% of the volume trades?

Sorry for the rookie questions.

Mike

I don't think its a dumb questions. If you don't know.

Value area is 70% of the volume traded. Or, if one uses the TPOs as the value area it would be 70% of the trading activity or price levels. The value area is supposed to be the 1st std dev. of a bell curve. Hence the 70%. It will not always be a bell curve. The bell curve usually come when you have balance. In other words, consolidation or a trading range. If you don't have balance then it will be skewed where the VAL and VAH are not equally space about the POC. I hope I answered you questions.

Okay, I goofed. I had the Value area set to calculate based on TPO's and not volume. So, the second chart is with the value area calculated based on volume. Sorry...

D

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  #25 (permalink)
 
rassi's Avatar
 rassi 
the congo
 
Experience: Advanced
Platform: North sea oil rig
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Geeze my profiles are definatly screwy, thanks so much for yours they are keeping me on the straight and narrow. Great opportunitys yesterday around the 1070 level, it was key.

Shame i was asleep when the big push came in. Weak sentiment and i have a longer term tgt on the snp cash of 1000 - 1005 ish. Curnetly stabilising around the hourly exstension level.

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  #26 (permalink)
 
David_R's Avatar
 David_R 
San Jose, Ca
Legendary Market Wizard
 
Experience: Beginner
Platform: Ninja
Broker: AMP/CQG
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rassi View Post
Geeze my profiles are definatly screwy, thanks so much for yours they are keeping me on the straight and narrow. Great opportunitys yesterday around the 1070 level, it was key.

Shame i was asleep when the big push came in. Weak sentiment and i have a longer term tgt on the snp cash of 1000 - 1005 ish. Curnetly stabilising around the hourly exstension level.


Rassi,

can you show me your profiles? Are you using Volume or TPO's for the value area? It will make a dif.

d

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  #27 (permalink)
 
rassi's Avatar
 rassi 
the congo
 
Experience: Advanced
Platform: North sea oil rig
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David_R View Post
Rassi,

can you show me your profiles? Are you using Volume or TPO's for the value area? It will make a dif.

d

heres what i got on 24hr tpo profile...

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  #28 (permalink)
 
David_R's Avatar
 David_R 
San Jose, Ca
Legendary Market Wizard
 
Experience: Beginner
Platform: Ninja
Broker: AMP/CQG
Trading: Something moving
Posts: 1,582 since Nov 2009
Thanks Given: 2,335
Thanks Received: 2,524


rassi View Post
heres what i got on 24hr tpo profile...


Rassi,

It is tough to tell from the pic, but what I think is that your profiles are using the TPO for value areas high and low as well as the POC. I don't see a volume histogram on your profile chart. I base my value area and the POC on volume. To be honest i don't know what is more important, but from a logical perspective volume seems like the thing to use. I guess you could use both. If this is what is taking place then it would explain why your levels vary from mine.

sorry for no chart yesterday. I am doing some non-trading consulting work and it gets in the way of my forum activities.

D

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  #29 (permalink)
 
rassi's Avatar
 rassi 
the congo
 
Experience: Advanced
Platform: North sea oil rig
Trading: Cl
Posts: 927 since Jun 2009
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David_R View Post
Rassi,

It is tough to tell from the pic, but what I think is that your profiles are using the TPO for value areas high and low as well as the POC. I don't see a volume histogram on your profile chart. I base my value area and the POC on volume. To be honest i don't know what is more important, but from a logical perspective volume seems like the thing to use. I guess you could use both. If this is what is taking place then it would explain why your levels vary from mine.

sorry for no chart yesterday. I am doing some non-trading consulting work and it gets in the way of my forum activities.

D

Thanks David, i will take a look at that, i think there is some data missing from my market delta so i will have to get that sorted when my trial period ends, i have been hanging out on trial as long as possible to keep the cost down . Enjoy your real world work!

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  #30 (permalink)
 
David_R's Avatar
 David_R 
San Jose, Ca
Legendary Market Wizard
 
Experience: Beginner
Platform: Ninja
Broker: AMP/CQG
Trading: Something moving
Posts: 1,582 since Nov 2009
Thanks Given: 2,335
Thanks Received: 2,524



rassi View Post
Thanks David, i will take a look at that, i think there is some data missing from my market delta so i will have to get that sorted when my trial period ends, i have been hanging out on trial as long as possible to keep the cost down . Enjoy your real world work!


Unfortunately there real job gets in the way of what I enjoy.

Here is an updated MP chart for ES.

May be some more upside, but I'm not convinced it will be sustained. JMHO.

D

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Last Updated on August 24, 2010


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