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ES/YM Market Profile Analysis


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ES/YM Market Profile Analysis

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  #1 (permalink)
 David_R 
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At the request of another member, I am doing some market profile analysis on the ES and the YM. Even though they tend to move in the same direction, there can be differences where the ares of support and resistance fall. I am minimizing the work a bit by just giving current support and resistance based on the end of day MP regular trading hours chart only. There are times that the overnight data can provide good areas of S/R to consider. Friday was an example of that on the ES. There was an area on the overnight profile that was resistance for the day session.

If the thread is useful to others and gets attention I will continue to do it as much as I can. If really only one or two members are looking at it regularly then I may not continue.

On the YM chart I do show a potential trade set up as well to give some idea how this can be used. You will notice there are no indicators on the charts. The YM does have the TS supper Trend, but that is really it and its there just to color the bars. Trading based on the profile and AMT is taking into account supply and demand as well as market structure. The reason I'm saying this is because the best point at which to take the trade would be at the NPOC or highest volume area. I'm not saying jump in front of a train, but if you see price stall and you can get an entry, that would provide the best R/R. Also, consider what is taking place. Price has gaped lower and is trading below value from the prior day. This says that traders no longer feel the value of the instrument is where it was yesterday. A further move down should be expected. In order to fill the gap it will need to clear the NPOC. The trend on the 20 range is down. Many things in favor of a short at the NPOC with the potential of better than 3:1. Just my opinions.

I hope this is useful and helps. ES and YM MP Chart.

Forgot to mention that I don't really have any bias on either the ES or YM. To me it looks like it can go either direction and there may be supporting evidence for both. From the Market Profile perspective I see selling, but at the same time i see buying. I see selling because of the selling tail at the highs on friday and I see buying because the market closed fairly strongly off the lows. I am also a firm believer that what takes place overnight has a bearing on what takes place during the day session. The open is an important part in relation to value. So, the info provided can be used as is, but I would suggest using it in context of what happens during the overnight and the open to the day sessions. Capiche?

D

David

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  #3 (permalink)
 rassi 
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David, thanks very much for this analysis, will have a look in more detail and comment tomorrow before market open.

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 phyzfer 
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David,

I'd be watching this thread intently. I'm currently getting into the whole Market Auction Theory and find it interesting. I follow the ES daily and have been using S/R with MP with some success (albeit on sim). An MP expert I follow (a friend) said that the strong close on Friday could be due to long liquidation. I personally have seen a lot of selling the past few days and am expecting a downward trend unless some initiative buying occurs because of some catalyst (news, reports, etc).

Should be a fun week.

thanks!

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 rassi 
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Looks like we got a bit of support off your lower support area on ES David, goona be interesting to see how this plays out over the course of the cash session. Wouldn't supprise me if we see a normal distrubution day today or a continuation of the down move. Less likely to see too much strength but trying to keep an open mind!

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 David_R 
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ES update as of 11:00 am PDT. There was some significant resistance above around the 40 area. Even though opening above value the overnight traded lower. See pic.

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 David_R 
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ES end of day MP charts.

Added a YM MP chart, but limited. Similar to ES.
David

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 rassi 
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if we can get to the 48.50 area its going to be interesting to see how it reacts.

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 David_R 
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rassi View Post
if we can get to the 48.50 area its going to be interesting to see how it reacts.


Well, it got to the zone of 48.50 and reacted. I hope there was some shorting going on.

Chart of ES with 24 hour profiles and day session profiles. Still have a naked POC below. The close was pretty weak as well.

David

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 David_R 
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A more in depth look at the ES profiles. I've included a merge from Feb where support has come in as well as the prior 3 days not including today. My take on current s/r for tomorrow as well.

D

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 rassi 
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Brilliant David, with analysis like this you will be a millionaire before you know it!

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 rassi 
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A more in depth look at the ES profiles. I've included a merge from Feb where support has come in as well as the prior 3 days not including today. My take on current s/r for tomorrow as well.

D

Just seen this, missed the pit afternoon session today but looks like we moved back into value after a range extension to the downside, again you nailed the res area at the high that we sold off from David! great work am learninglots from this.

Do you have a special or specific indicator for the NT mkt profiles? might give it a try if it is freely available as opposed to mkt delta.

Thanks!

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 David_R 
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If I could only trade. I'm on the sidelines now and as I've told others I do a great job with the hindsight approach. My broker won't let me trade yesterday today or today tomorrow. I think the analysis and the methods are less important. I agree with Mike that its having control over yourself and your demons.

David

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 David_R 
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rassi View Post
Just seen this, missed the pit afternoon session today but looks like we moved back into value after a range extension to the downside, again you nailed the res area at the high that we sold off from David! great work am learninglots from this.

Do you have a special or specific indicator for the NT mkt profiles? might give it a try if it is freely available as opposed to mkt delta.

Thanks!

I forgot to mention the MP indicator. I use an add on from Financial algorithms or Fin-Alg.com. It is $250, I think and worth it. I believe there is one or two on the forum that will do the job as well. I think Gomi did one and one called imarketprofile65.

D

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 rassi 
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Thanks! I think you can do it! you have the levels in advance so far on this thread and the hh/ll trend folowing entry method should work a treat. thanks for you invaluable input, awesome.

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 David_R 
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Well,

Levels don't do much when you have a huge gap, huh? This is where the overnight profile can help because the lower balance area on the overnight was resistance for today. You can see it MP chart for 5/20. More levels indicated, but need to see what takes place overnight. Also, pretty tough to zero in on levels with such large range, so the levels are really zones. If you like to have specific levels within a narrower range then can focus on the VAH, VAL, POC of the current and last few days and anywhere there are single prints, or buying and selling tails.

David

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 David_R 
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MP chart for ES with S/R for Sun going into Monday. I I also show the Orderflow Analytics software for some possible orderflow entry methods. I think the key is to use the orderflow in whatever form at key predefined levels. I feel the S/R levels derived from the profile are preferable than say floor pivots, but they could be used as well, or even levels determined by price. Then watch the orderflow. The Gomi package is probably sufficient.

David

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 rassi 
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Very interesting thanks for posting this david, seems like the OFA charts take a lot of the work out of reading the footprints. Very interested in how you find it and get on, please keep us updated!

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 rassi 
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David, out of interest how does this differ from the IOAMT stuff on MD platform? Will post a screenshot of this later with my 24h profiles of ES.

Edit, whoops looks like i was getting a bit of crossed wires there!

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 David_R 
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MP for 5/24 on ES.

I'm not very familiar with IOMT. I would say the MD and OFA are similar, but OFA is only orderflow via the chart you see. They don't have regular charting or periodicity settings such as 5min ets. the bars are based on individual auctions.

D

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 Big Mike 
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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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 David_R 
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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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 Big Mike 
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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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 David_R 
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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 
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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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 David_R 
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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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 rassi 
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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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 David_R 
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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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 rassi 
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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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 David_R 
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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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  #31 (permalink)
 ct1942 
Kansas City,MO
 
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David...What program are you using to color your charts?

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 David_R 
San Jose, Ca
 
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ct1942 View Post
David...What program are you using to color your charts?

I use Snagit and the Snagit editor to do the chart mark-ups.

D

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 David_R 
San Jose, Ca
 
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MP chart for ES

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  #34 (permalink)
 rassi 
the congo
 
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Thanks David, how are you finding OFA? thinking about trying them....

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 rassi 
the congo
 
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should be some great shorting opportunitys around 10380 to 10400 on ym today if it can get there....

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 David_R 
San Jose, Ca
 
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MP update for ES and YM.

David

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 David_R 
San Jose, Ca
 
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MP charts for YM and ES with possible S/R.

D

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 David_R 
San Jose, Ca
 
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Here is a 24 hour MP session for the YM. Today high is at a low volume area from the overnight session.

D

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