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What was ES Value Area on the 2010-11-01 (YYYYMMDD)
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What was ES Value Area on the 2010-11-01 (YYYYMMDD)

  #1 (permalink)
Market Wizard
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What was ES Value Area on the 2010-11-01 (YYYYMMDD)

For validation purpose i need to compare my values with others. What is the Value Area (using TPO) for November 1, 2010 on the ES RTH.

I have these values:

Using a free MP tool on Ninja:
VAH: 1188,75
POC: 1183,25
VAL: 1178,25

Using a I/RT from linnsoft:
VAH: 1191,25
POC: 1183,25
VAL: 1181,25

Just trying to figure out what caused these differences considering i used TPO in both cases ?

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  #2 (permalink)
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Different values

I think there is a number of different options to calculate the value area.

Definition

Which percentage of volume should be included in the value area. What session do you refer to, the ETH or RTH session, in particular do you include pre-session news volume? Also do you base the value area on TPOs or volume weighted TPOs?

Resolution

For accurate results, you want to use a higher resolution than 30 minute bars - by using a second data series - to calculate the value area.

Example

Below is one of my old templates using the dValueArea indicator, probably not the latest version. I have typically set the start time at 6:00 AM Est to catch the pre-opening news volume. Then use 67% of TPOs to catch the value area. The chart is a 30 min chart, but the resolution for the TPOs is set to 2 min.

The results are different, if I set the indicator to TPO or volume weighted TPO:

TPO (1st chart)

VAH: 1187.75
POC: 1185.25
VAL 1181.50

VWTPO (2nd chart)

VAH: 1191.50
POC: 1185.00
VAL: 1182.75

Both values are quite different form yours. Even if I restrict the calculations to the RTH session, my results are completely off.

Attached Thumbnails
What was ES Value Area on the 2010-11-01 (YYYYMMDD)-tpo.jpg   What was ES Value Area on the 2010-11-01 (YYYYMMDD)-vwtpo.jpg  
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  #3 (permalink)
Market Wizard
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Fat Tails View Post

The results are different, if I set the indicator to TPO or volume weighted TPO:

TPO (1st chart)

VAH: 1187.75
POC: 1185.25
VAL 1181.50

VWTPO (2nd chart)

VAH: 1191.50
POC: 1185.00
VAL: 1182.75

Both values are quite different form yours. Even if I restrict the calculations to the RTH session, my results are completely off.

As mentioned in the first post it was for the RTH session. Absolutly ridiculous all these differences. I used TPO's to calculate valuea area. I think only Linnsoft was right. Would be curious to know what these values were for someone using Market Delta.

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  #4 (permalink)
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The reason i want to get correct values is because i look at Yest. Value Area to go short or long but since my values were completly off i missed this trade this morning:

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What was ES Value Area on the 2010-11-01 (YYYYMMDD)-mp_vah.jpg  
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  #5 (permalink)
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trendisyourfriend View Post
As mentioned in the first post it was for the RTH session. Absolutly ridiculous all these differences. I used TPO's to calculate valuea area. I think only Linnsoft was right. Would be curious to know what these values were for someone using Market Delta.

The difference does not come from the RTH session. I checked it.

The difference may come from

- the resolution (very important)
- the definition of the value area (volume based or calculated from the standard deviation)
- the implementation of the formula

There is no right or wrong solution.

First of all, just taking TPOs does not make sense. It was an approximation that was used, when the information on volume was not readily available. To determine a value area, you want to know where the volume was, so you need to take the VWTPO.

This is comparable to the benchmark for institutional investors. It is not the TWAP, but the VWAP.

Then you need to make sure that you have a high resolution. If you just take 30 min TPOs, they are really inaccurate. Not only you ignore the volume of each bar, you also assume an even volume distribution within each bar, which is definitely false. So 30 min TPOs are really a "garbage in - garbage out" approach.

Also, why do you want to take the RTH session? The volume traded prior to the open on new events, is that no volume?

I can partly reproduce the bad results: If I only take 30 min TPOs to calculate the value ares, then I get

VAH 1188.25
POC 1183.25
VAL 1178.75

Note how the bad resolution shifted the point of control about 2 points. Chart attached.

Attached Thumbnails
What was ES Value Area on the 2010-11-01 (YYYYMMDD)-tpo-30.jpg  
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I got Market Delta numbers for yesterday (RTH and TPO's)

VAH: 1191.25
POC: 1183.25
VAL: 1181.25

Those values matche those of I/RT while Ninja were completly off the mark except for the POC.

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  #7 (permalink)
Market Wizard
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Fat Tails View Post
...
Then you need to make sure that you have a high resolution. If you just take 30 min TPOs, they are really inaccurate. Not only you ignore the volume of each bar, you also assume an even volume distribution within each bar, which is definitely false. So 30 min TPOs are really a "garbage in - garbage out" approach.
...

That's not my experience so far on the ES. You can expect a bounce off some of the key levels MP provide depending upon the rotational factor and whether or not we have range extention or not or if we are trading within previous day area or not. Ledges are best represented by a TPO profile than a volume profile as well as singles. All these little details you can't see on a candlestick chart. The need for a higher resolution is really not needed to get an edge and be profitable. You want to see what the majority using MP are looking at. With MP and using TPO's you can place your trade on the edge of any ledge much more accurately than with any other indicator.

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trendisyourfriend View Post
I got Market Delta numbers for yesterday (RTH and TPO's)

VAH: 1191.25
POC: 1183.25
VAL: 1181.25

Those values matche those of I/RT while Ninja were completly off the mark except for the POC.


It works as the pivots, which means it is a sort of self-fulfilling prophecy. If many use the same method, it will work anyhow.

What exactly is the method used by Market Delta? Do they use volume percentage or standard deviations? Do the use TPOs? Which is their resolution? What is the volume percentage, if applicable.

If we know the method, we can easily build that animal for NinjaTrader.

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  #9 (permalink)
Market Wizard
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Fat Tails View Post
It works as the pivots, which means it is a sort of self-fulfilling prophecy. If many use the same method, it will work anyhow.

What exactly is the method used by Market Delta? Do they use volume percentage or standard deviations? Do the use TPOs? Which is their resolution? What is the volume percentage, if applicable.

If we know the method, we can easily build that animal for NinjaTrader.

By resolution i suppose you mean the interval of the chart where MP is applied. Big institutions use the 30min interval. That's the original interval and i don't think there is any need to change that interval for something that is faster. I never felt that need.

Regarding MP on Market Delta. You need to know that Market Delta is an offspring of I/RT from Linnsoft. They are comparable. The only difference is that Market Delta offers a footprint and put more emphasis on volume analysis. But both MP's are similar.

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  #10 (permalink)
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@trendisyourfriend, don't know what indicator do u use on NT, but I think the difference u get is due to the difference on how the indicator make the calc. IRT and MD use tick, NT indicators usually use the same timeframe of chart where u use them, so is an approximation, and lower is timeframe more is accurate. U maybe can try Fin-Alg market profile that is able to use tick for calcs.

Take your Pips, go out and Live.
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