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How to Calculate Value Area in unbalanced market profile ?
Started:September 6th, 2016 (07:48 AM) by sameers Views / Replies:193 / 2
Last Reply:September 20th, 2016 (10:33 PM) Attachments:0

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How to Calculate Value Area in unbalanced market profile ?

Old September 6th, 2016, 07:48 AM   #1 (permalink)
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How to Calculate Value Area in unbalanced market profile ?

How one should calculate Values Area in unbalanced market profile ?

On balanced profile, method described in "Mind Over Markets"( where we move two levels up or down starting from POC) works very well.

But consider profile that contains Single Prints in middle.

Can following method/algo give better value area levels for any profile(balanced or unbalanced) ?

resultVAL = POC;
resultVAH = POC:

CurrentVolume = POCVolume

CurrentValIndex = POC - 1;
ValVolume = volume[CurrentValIndex-1];

CurrentVahIndex = POC + 1;
VahVolume = volume[CurrentVahIndex-1];

while CurrentVolume < (70% of Total Volume)
if ValVolume > VahVolume:
CurrentVolume += ValVolume;
resultVAL = valIndex;

valVolume = volume[vahIndex]; (new volume)

// This is idea I am suggesting where we also advance vahIndex
vahVolume += volume[vahIndex]; (cumulative volume)

CurrentVolume += VahVolume;
resultVAH = vahIndex;

vahVolume = volume[vahIndex];

// This is idea I am suggesting where we also advance valIndex
vahVolume += volume[valIndex];

so in each iterations we advance both valIndex and vahIndex.

Last edited by sameers; September 6th, 2016 at 07:58 AM.
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Old September 6th, 2016, 05:24 PM   #2 (permalink)
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Omer עומר / Israel י
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There are several ways to do the calculation...

Few algorithms are documented in the dvalue indicator, but it's not using tick data, it's a proximation.

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Old September 20th, 2016, 10:33 PM   #3 (permalink)
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Hartselle, AL, USA
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Please elaborate

Hi. sameers, can you please elaborate on exactly what you are doing with your pseudo-code? I am not understanding exactly what you are suggesting. If you can exemplify I can try to develop an indicator for NT8 so we can test the results.

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