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ES/YM Market Profile Analysis
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ES/YM Market Profile Analysis

  #21 (permalink)
Site Administrator
Manta, Ecuador
 
Futures Experience: Advanced
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Favorite Futures: E-mini ES S&P 500
 
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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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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)
Site Administrator
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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

Due to time constraints, please do not PM me if your question can be resolved or answered on the forum.

Need help?
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4) Accept responsibility for your actions. Stop looking elsewhere to explain away poor performance.
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  #24 (permalink)
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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

Attached Thumbnails
ES/YM Market Profile Analysis-esmarkup.jpg   ES/YM Market Profile Analysis-esvolume.jpg  

Last edited by David_R; May 25th, 2010 at 02:38 AM. Reason: added second chart
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  #25 (permalink)
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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)
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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)
Sharpening mental edge
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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...

Attached Thumbnails
ES/YM Market Profile Analysis-tpoprof.png  
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  #28 (permalink)
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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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  #29 (permalink)
Sharpening mental edge
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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)
Elite Member
San Jose, Ca
 
Futures Experience: Beginner
Platform: Ninja
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Posts: 1,511 since Nov 2009
Thanks: 2,267 given, 2,370 received



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

Attached Thumbnails
ES/YM Market Profile Analysis-es528mp.jpg  
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