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@Roman77 This is solid gold. I've come to the startling realization that traders that don't use/integrate VWAP and volume profile analysis (primarily POC) into their trading decisions are analogous to a society that just produced an automobile vs a society that has mastered space flight.
I searched and found the 'summary' thread by the original author, however the links to all his .swf videos are dead. The text and intact images are great, but videos show the real meat and potatoes of this style. Since the POC and VWAP changes as price and volume change, a video is a better demonstration of this trading methodology vs a static chart. If the content is gone forever and jperl unreachable, I propose that we recreate his content. While JohnnyBoy may have given us the golden ticket to enter the chocolate factory, I feel like jperl is the Willy Wonka that met us at the gates.
EDIT:
I forgot to mention that one of the most interesting concepts regarding moving the volume profile's beginning is very similar to JohnnyBoy's use of anchored VWAPS to 'interesting' levels or swing lows/highs. Jperl talks about anchoring the order flow volume profile to a user-defined point after the market open (ETH/RTH). His reasoning and analysis is to accommodate scalping, however similar to JohnnyBoy's use of anchored VWAPS, I think the applications are broader.
Ninjatrader's native 'order flow volume profile' indicator can move the start to predefined market hours (e.g. futures ETH or futures RTH), but cannot be anchored to a user-defined bar or time stamp. I'm looking at Rancho Dinero's indicator set, and specifically their 'Range Volume Profile Drawing Tool' to fulfill the user-defined volume profile anchoring. Wondering if anyone has experience with their volume profile indicators or maybe the whole suite.
Can you help answer these questions from other members on NexusFi?
Forget about Rancho Dinero's tool. It gives errors every now and then to the point where you can't trust it in the battle. Ninjatrader has a drawing tool to draw a custom profile which can be anchored anywhere.
I found the native order flow drawing tool, however it doesn't print the POC nor value area values in the data box. Do the Gomi or Rancho Dinero indicators print the POC or value area values? The reason I ask is I'm interested in coding an indicator to display shifting/historical relationship between VWAP and POC.
POC is a great value, however it's real time. I don't see a method to display historical POC prints throughout a period in the native order flow tools. You can look at the heat map or volume values and make a decent guess as to where previous POC prints may have been, but not necessarily in chronological order unless you watched the whole session and remember the prints.
@trendisyourfriend , what type of errors occur in the Rancho Dinero volume profile indicators? I've heard generally good things about their indicators.
don't know about rancho dinero, but I know everything in the gomi tools is available.
as far as the relationship between poc and vwap, we did extensive research here on fio. that was a long time ago (~10 years). I don't remember who was all involved, but I do remember nobody found a noticeable edge. maybe it changed in today's market. either way I wish you good luck
I am looking for Jerry Perl. I don't know if that is his real name, but that is the name he used to post under on Traders Laboratory (TL) back in 2007. I wonder if he is still around or if he continued to post somewhere else.
Here is his …
When you say there wasn't a noticeable edge, does that mean that the method laid out by jperl wasn't found to have a positive expectancy? I've been doing market replay using an order profile w/ POC anchored to ETH and it has performed well. Better on more volatile pairs with larger daily ranges like the NQ. Both Rancho Dinero's 'Volume Profile Metrics' and Gom's GomMPPro prints a consistent line for POC that jumps vertically when it changes, but I'm concerned with the accuracy. I'm interested to know what happens in the Rancho tools that is cause for concern.
I really don't remember what was involved in that research. but if your testing is showing some interesting results, I would definitely continue.
not sure what you mean by "prints a consistent line for POC that jumps vertically when it changes". you can use whatever plot style you want, but changes in the poc could involve a big jump in price. and when it comes to accuracy, I would be surprised if you find anything better than the gomi tools.
