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Daily Charts, Bar Patterns
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Daily Charts, Bar Patterns

  #31 (permalink)
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Dec 14:

There are a couple of trades on the picture which I am not counting because I knew when I put them were 'illegal' in that they involved a) putting in orders before any price pattern confirmation (the #2) and b) a #2 so high above as to make combined risk too large. Because of a miscalculation on my part the combined trade lost 3 ticks versus ending up at BE as I had intended when adjusting the buy limit exit order. In any case, I never intended for these to count, i.e. these were intended as 'warm-up' SIM trades before 'real' SIM trades.

The first (and as it turns out only) 'official' trade today was later and shown on far right. Commentary in attached SS:

Simple HH pattern entry from double SRP levels, one from older SR BO, the lower from the pattern SR BO preceding it with white inside/narrow range bars. The initial entry was a little questionable because a) was a quasi 'false' HH*, but more important a gray bar which usually indicates light volume stop-hunting activity. But the level was so clear - bolstered by my nifty new tunnel indicator - that I took it with confidence that at the least there would be a pop up that would allow me to greatly reduce, and more likely eliminate, initial risk. And this is what happened although it did take time and there was initial -6 heat.
A simple trade essentially. I managed to hold in there for a while by walking away from the computer, something I have a hard time doing when trading with real $$, but which I have to get better at doing. When returned to computer adjusted PT because of hesitation for a minute or so just below my original tgt, which of course was penetrated as soon as I exited, but given the amount relative to DPT, this is perfectly fine.

Rules: 100%.
RR- 1.92 (using actual exit as referent versus original default PT)
Heat: -6 immediately after entry after slightly questionable low-vol gray bar but strong pattern/zone overall.

Acct P/L since Nov 20: $1894 = 37.8%.

* it was a 'quasi-false' setup bar because although the close did happen at the high, in fact the high had been in place since the first few ticks of the bar which then sold down and bounced up. Since this was a 'stop-hunting' gray bar which bounced back up after hitting stops lower down, this actually bolstered the bullish case. Indeed, the entry bar ended up being another low volume gray bar, this one with HL and HH, after which the market moved up sharply by more than 2 pts ($200 per contract).

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Daily Charts, Bar Patterns-bm-1214-aj-ss.png   Daily Charts, Bar Patterns-bm-1214-aj-gcam.png  
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  #32 (permalink)
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Dec 15. Interesting situation in the early going. Opened up with an experimental chart in the Default Workspace which has too many things on it, those I am checking to see the code is now working properly (CCLFibBands & CCLSR, the latter only showing its stats, the new CCLTunnel from the Ghost Journal) and also monitoring the GomVolumeLadder in 5 min chart to the right not shown in attached pic. Plus ST & LT Ichi Clouds which I am comparing to both the Delta Volume indicator and the VLadder. So a much too busy chart. BUT:

the situation as I opened up for the morning according to the 2 clouds was that we were in congestion situation in that price was between upper and lower clouds which were converging. There was also a thick area in the descending LT cloud for price to work through before the bullish case would emerge victorious. In other words, this was a conflicted, possibly changing to bullish or possibly rangebound, narrow situation. One choice would be to wait an hour. Another to go for short PT's. I elected the latter and stayed with this chart instead of switching to something cleaner in my usual trading workspace.

Trade#1: a simple BO from trading range. It worked, but I didn't move PT down to DPT quickly enough (initially going for more) and a BE+X. (BE+ = 1 tick above entry).

The second trade was a 'same again' SR BO up from a higher price; this one the PT was in place for +6, price went through, SIM didn't fill, but in the V-ladder could see that there were no sells at or above my PT, which I suspect is not possible since price went through my PT. In any case, another BE+X.

Third trade: pullback to a zone with old SR, SRP and the 'megalithic' tunnel which was now clearly trending up after several tentative, but nevertheless convincing, HH's (my 2 BO trades). So took a pullback entry with DPT and this one worked. If it hadn't, after almost making DPT twice, I would have been upset - especially in live trading.

Rules: all of these were straightforward trades and apart from going for higher PT on the first trade (1 full point versus default 2.5), stops and exits were well managed with emphasis on reducing losses in early going. Both of the first trade, if held without BE stops, would have more than made DPT, with +19 possible for #1 and +9 possible for #2. But because of the congestion context explained above in intro, had decided to play it tight and fortunately - although it took three tries - this worked.

I snapped the picture well after these first three trades because it demonstrates a classic Ichi Cloud situation: market ran up VERY quickly at one point into the LT Cloud flat top and pulled back. At this point could go either way - back to the Cloud Bottom and into congestion, or make a convincing breakthrough above the cloud. It did the latter. At this point, we are in what I regard as a strong trend, or at least strong trend potential. As I write at 10.00, mkt ran up to 1127, then made slow, steady pullback to just above the old LT Cloud Resistance level at 1121.5, with the last SRP before the post-cloud upmove being at 1122.4* (1122 + 2 ticks), and the most recent st swing low being at 1122.2. If this holds and there is another run up, could be a strong move. On the other hand since this move in entirety went from 1112 OL (overnight Low) to 1127 = 25 points = about double typical daily range last time I checked, this could be it for the day. Also price is now beneath the ST cloud and the LT cloud - which kept going down after the breakout upwards - is now about 4 points lower around 1118 and we are in another possible congestion phase unless mkt can fairly quickly push back up above ST cloud and make a run to new highs, which personally I doubt is going to happen today.
* the last gray bar on the attached picture just before the gold up bar which began the next leg up.
At 9.59 my order placed long before at 1122.5 was filled, 3 ticks heat, then PT at ST cloud top (already drawn of course) and old SR levels at 1124.7 filled and now price is above both clouds again and now at 10.17 has penetrated and exceeded the old DH (Day High). So much for my doubts...



Rules: 100%.
PL: $56.8 = 1.1%
Net P/L since 11/20: $1951 = 39%.
Still don't have good W/L and other stats in this SS.

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  #33 (permalink)
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Dec 16.
Yesterday read through and watched the videos of the TradersLaboratory mini-course on using VWAP and SD bands by Jerry Perl. Interesting how one man has built an entire method around his background in statistical probability and using combination of VWAP, bands and TPO/Volume Profile to determine approach. Very good stuff. But it messed up my head this morning in early going for many reasons, not least of which my DValue market profile is based on day-session and the VWAP is 24 hr. Also trying to get Gom's packages going but having a hard time getting to record properly etc.

In accordance with previous thought yesterday, spent more time getting ready, mainly by cleaning up a couple of the main workspaces I use for trading Gold. But then, as soon as I had finished this careful housecleaning, I saw a Vwap/Perl situation and impulsively put on a trade, then re-entered it after being stopped out, and then took a third on upside breakout anticipating larger move based on LT perspective. This worked out. More details on the trades in attached SS.

Hard to grade on rules since the first trades were impulsive and playing with new approach even though in general I am not supposed to 'play' this way with official trades. So I counted them. Since I am not sure what the rules are/were, hard to grade. I kept to the stops, reversed well based on solid analysis of likely upside breakout (not using bands-vwap approach), and caught a nice winner to almost erase the early losses. Then the market started churning around the TPO for next couple of hours, put on a couple of trades that exited early at BE+, then a final one around 12 15 which got me back to BE and now waiting until after FOMC before doing anything else.

Also went back to a more 'naked' chart with just Dvalue histogram and Better Volume paintbars. I like it better that way.

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BE for the day.

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  #34 (permalink)
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Dec 16 pm
Waited for FOMC report then placed order after a high made post-report anticipating at the very least a probe higher towards last week's POC & clear SR level around 1143. Entry price 1 tick above DH hit, fill in SIM 9 ticks better which is probably wrong versus what would have happened live, but maybe not since this was a stop limit order; on first hesitation exited with market order, DPT well exceeded. Original PT actually touched to the tick a few seconds later before mkt immediately reversed back to below where it started, as so often happens with big reports/news like this.

Entry at 14.16pm at 1139.90,
MFE 1142.60 = +25 (the initial PT by coincidence),
MAE - 0 ticks,
Exit at 1141.50 = + 1.60 = $155.00 = 3%.

Net P/L: $2110.00 = 42% since 11/20/09.

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Another very scrappy day. Was overly influenced by Perl's Vwap method again. It is definitely an approach I will be looking into but there are quite a few variables not mentioned in his presentation that I have yet to consider properly.

SS has all the trades (far too many!). Basically, as soon as I switched back to a more naked chart, I made 3 winners which erased previous draw down and made DPT and more. It wasn't just the chart switch though. A clear trend had emerged despite overall choppy conditions and the market started moving in a 'nicer' fashion. But the simpler chart did help.

Attached picture shows the last three trades. If anyone asks I can get one of earlier trades but there were so many probably too confusing/time-confusing for anyone to study.

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Another day when grading on rules is hard to do. Basically I stuck with my decisions once entered; did not move stops impulsively; did not change PT's impulsively. Got a little rattled with being wrong on the long side so many times and/or just getting BE exits, and then missed the big up move I had rightly been expecting all along. But finally waited for better conditions and ended up on top. Another day where difference between SIM trading and live trading is probably so great that these results are not so meaningful. When only 1-3 trades, it's pretty close to live trading. When much more, especially after string of disappointments, then it gets questionable. But I do have increasing confidence and clarity in my underlying approach which is bar-pattern/SR-based and think the next step is to craft a more precise trading plan to put into effect once new internet connection comes in, hopefully tomorrow.

Note: in my SS notes have been incorrectly using 'TPO' instead of 'POC', i.e. the price at which there has been the most volume. This is perhaps the main element I have taken away so far from Perl's presentations, namely that this is an important price. Sometimes it is obvious on a chart, but often it isn't since it is buried in the middle of a busy zone. For example, on my attached chart at the top is a thick magenta line. That is the weekly POC and given it is Thursday, that is a significant price. Well, waddya know: price went up there to the tick and then turned around. I think I was typing out in the SS when it happened, but in retrospect, given it was near the 24 hr VWAP, an aggressive short with or without pattern would have been perfectly valid at around that price.

Results Today:
Summary:
3.4%/ $170.80.
Since 11/20 PL = $2281 = 45.6%.

18 trades
12 +
6 -
66% winners, albeit most of these were BE+.


Last edited by cclsys; December 17th, 2009 at 12:39 PM.
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  #36 (permalink)
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Dec 18. After yesterday's chat session, which I very much enjoyed on many levels, not least of which is the mutual respect and camaraderie our host has managed to engender here, decided to take a look at these infamous 5-minute charts. There are definite pluses and minuses and I will need time to consider this. The entry today, for example, basically involved my 'seeing through' the 5-minute bars to the sort of thing that is presented more clearly on the shorter tick charts, albeit the exact same strategic logic (in this case a retracement back to a recently penetrated SR level, aka SR-R or SR-Retrace in my lingo) is being used. Here, though, the entry happened in the middle of the bar at a price I thought was significant (and it was given the sudden acceleration in speed at the time of my entry). On the tick chart I put up afterwards (pic 2), there was a clear pattern entry at this price, unusually clear actually. On the 5 minute chart, I was 'seeing through them' but at the same time their slower reference point had me waiting longer before jumping in which is actually good. There are more notes on the trade logic in the attached SS.

And of course what was really nice is that 30 seconds after entry I was out with DPT*2. So I take that as a positive sign about the 5 minute approach.

Chart: Indicators are just BV2, I have an ATR there because I am studying relation between that and the band expansion-contraction, FibBands with new (tentative) lookback feature and also the MA anchored to VWAP (or rather formula is (MA+VWAP)/2) which I think I like. But mainly I was just looking at SR levels as usual with the bands and volume indicators providing a little additional context in the case of the former, and detail about price action in the case of the latter.

Rules: Followed all rules. Could have gone for larger PT given plenty of room below to YL around 1098 and I entered around 1104, but am happy to get $100 net on first trade and call it a day. So 100%.

On the tick chart which was opened up a little late so all the Volume Profile data is wrong since this is a live-only indicator (am checking out Gomi's work in the background every day - having problems with Volume Ladder - either it jumps around up and down all the time or if I have AutoScale = false everything is scrunched together or you can only see 1-2 bars action), but I have circled the area where today's trade happened. The arrow points to my entry and there is a clear, clean pattern at this SR-R area. I could have just entered there earlier as soon as market reached the price - actually 3 ticks higher was the 'official' SR-R entry price, and you don't always get such a clean later entry pattern, but this is a good example of why I value the enhanced bar granularity of a tick chart, especially since I am using basic SR calculations (using eyeball, volume confirmation in some cases, and drawing lines - or not even drawing them except for this journal presentation!) to determine my pivot zones of interest, not bar patterns like head and shoulders, swing formations etc. In other words, I am not using the enhanced granularity to determine overall trend etc, rather to fine-tune entries and stops.

I do like the slowness and sober feeling of the 5 minute, though, so have to give this some attention for a while.

In sum: compared to yesterday's 361 trades, today's 2% singleton looks a lot better. Maybe that is due to 5 minute approach; maybe I was just lucky to get such a clear setup and a more clear market in the early going.

1 trade, 1 winner = $100.00; MAE $25.00 MFE (based on PT exit) $105.60. Initial RR was negative, but that is the norm when going for DPT on first trade.

Net P/L since 11/20: $2386 = 47.7%.


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Last edited by cclsys; December 18th, 2009 at 11:22 AM. Reason: deleted tick pic by mistake entering next post
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A picture of another classic SR-P entry bolstered by bands approach. The SR-P happened some time back after a significant top was made around 1111 with the SRP at 1109.7.

Added to this, something I picked up this week from Perl's approach to VWAP-band trading, the 'skew' was negative in that the day-session VWAP was beneath the current POC (price with most volume), meaning that statistically there was a good chance for a pullback.

So in experimental mode (official trades finished today already), placed order to sell there which worked out perfectly. If had not moved stop down and kept above the RH only a few ticks above entry, the PT around the dayVWAP and POC at around 1105.50 would have been hit for a nice $400.00 per contract winner. As it was, I was stopped out for a few ticks profit. But this is a great example of the value of paying attention to the SR-P levels, something which I have not read about anywhere - though surely other people have noticed this - but have 'developed' as a core part of my way of viewing the market based on observing how often the price comes back there. Especially on shorter-term charts and fast retraces, it seems that is often where the floor boys take the market to clean out the stops of recent entries before the market heads on lower which is why I add 2 ticks to the price (or minus when down market) to get in at the point that the floor boys are just about finished with the risk being above/below the recent SR around which the SR-P is formed.

To review SR-P: it is that point from a swing high - let us say - that a clear break-out down LL violation occurred and a new downmove started after a recent swing high. So it is a 'pattern' Support-Resistance pivot point versus a High or Low SR point. Of course it doesn't always work, but it usually does, even after some time as in this case.

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Chart: there are 2 VWAP lines: the brighter one starts at the Day-Session at 8.20. This one had the negative skew relative to the POC price around 1107. The 24-hour VWAP also has a negative skew. Frankly, I am finding this a little confusing in terms of evaluating Perl's approach because on many days they two have different skews. PS edit: actually, the LT line is not the VWAP but a collective averaged with VWAP, but on checking this after posting the LT VWAP was very close to this collective MA line and telling the same story.

This relates to a related problem with the 5-minute charts. The Gold market -which I am now following exclusively of late - is really a 24-hour market unlike some other American futures markets (like Crude for example) where the US day-session is still king. But in forex this is not the case and increasingly also gold, which of course is related to currency price valuations. It's active in Asia overnight, in Europe in the early am. Yes, there is increased volume on the Comex exchange during the day-session and yes this is significant, but having a 5 minute chart on the overnight action is not really as good as a tick chart which compresses the time during some of the slow periods that happen between Asian input, European input and then US day-session input. In any case, there is often a conflict in the early going between the 24-hour VWAP and the day-session VWAP viz. Perl's approach, but it seems his approach really does work better with the day-session VWAP, especially in the first 2 hours or so which is when I do 90% of my trading every day. On his videos for the ES, he usually didn't start any of them until 11 am, i.e. 90 minutes after the open which is when most people go away for the slow lunch period. So obviously he also has problems with his approach at the beginning.

In sum: although his approach has much to it, I suspect it's best for trading the last 3 hours of a session, which are also tricky on many levels. After the daily range is more or less established, in other words, at which point an approach which generally favours a 'return to the mean' type strategy makes sense. Whereas in the early going it is not so hot and I suspect I will just have to leave it behind despite its obvious intelligence. Still, noticing the skew seems significant, also paying attention to the POC prices both from current and previous sessions is definitely worth doing. They are powerful pivot areas and I was not paying attention to them at all before viewing Perl's stuff. So thank you to Alyosha from Russia for posting those links to the Trader's Lab series which are well worth going through.


Last edited by cclsys; December 18th, 2009 at 11:36 AM.
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  #38 (permalink)
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Another great setup using SR-P pivot. In this case, the negative skew mentioned above came through (whilst I was typing). From the high, mkt worked back down to MA-VWAP support beneath POC, rallied a little back to POC, then headed south and stalled within 2-3 ticks of the SR-P line drawn from earlier point when market bounced back from initial DL at the 9.10 am bar.

So: market bounces off the SRP. I have an order 2 ticks below the recent RL (run low) at 1101.8 because the SRP will not have held and next stop is the DL 1.5 pts lower with probability - given negative skew and general downtrend across the board now - of LL.

Again, around entry the market sped up, a good sign, an immediately dropped. My PT is well above YL at 1095.7, and around the lower Band 3 at 1097. After this pic was snapped I exited with over 2.3 profit on a Volume Trail at 1099.6 and has since come back to, guess where, the new SR-R price at 1101.8 - 2 ticks = 1101.6 The current Run High? 1101.7. And now it is heading down making new LL and about to hit original PT.

So I guess I am sharing these to bolster my own confidence in my SR work. I see this happen again and again and again every day and feel that even though I still have issues as a day-trader in terms of clarifying rules, having clear plan, discipline, emotions etc. that I have managed to develop an accurate, simple way of viewing price action that is not dependent on any indicators or even sophisticated volume analysis, just basic support-resistance work.

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PS. Went down to 1197.4, a few ticks above the original rough PT around Band3. By the time it got down there this was Band2, there was a double test of the RL so an exit at 1198 or better could easily have been managed for a nice 6 point (60 tick) winner.

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cclsys,

Since I don't trade gold, I would be curious to see a screen shot of your setup based on a CL chart (CL 02-10) when you have a moment.

Mike

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POC-VWAP trend study



Big Mike View Post
cclsys,

Since I don't trade gold, I would be curious to see a screen shot of your setup based on a CL chart (CL 02-10) when you have a moment.

Mike

Mike. Appreciate your interest here. Will post Crude after doing this post which I came back here to make. My highspeed connection appointment today was cancelled (why am I not surprised). The power company - always in bed with current main telecom provider who has refused to hook us up to the fiber optic cable they got rights to when they took over as private operator here 9 years ago) has once again failed to connect the tower which is 1 mile from my house and which has been up since July. Next apptmt: January 8th after the holidays, usually terrible weather, quite likely they will not connect until spring even though the connection is between a wire on a pole that is less than 15 yards from the tower and which takes them about 15 minutes to do. Go figure.

OK. Attached picture shows action after last post and very interesting in terms of Perl's VWAP approach. I have circled the rough time when the POC flipped. Before it was around 1107, now it moved down - following the down move - to around 1102.8 where it still is now. This meant that the skew changed from negative to positive because the VWAP was now above the POC versus being below.

Now Perl recommends not doing much around the POC area which I played with anyway for learning and took a few chop losses which I have taken off the chart, partly out of vanity and partly to keep the chart clean and partly because I went off to do other things when the market finally broke and in theory I would have made it all back then. Anyway.

So we have the circled zone when the market came back sharply off the new DL and back to the new POC. The large white OVB bar at end of this sideways action went down to 4 ticks below the last SR-P price (not marked) which was above the white inside bar at 10.55.

OK, now price advances up to the VWAP (thicker, brighter Magenta dashline). It then goes through previous SR at 1105.30 up to 1105.80 (green bar following gold up bar).

Hesitates again, with a final probe down to old SR level 1103.20 + 2 = 1103.40 to the tick at 11.50 bar.

The bar before this is where I have drawn the orange arrow. According to Perle's method, once you have a zone/band entry trigger established, you wait for the 'Schapiro effect' he calls it. If you are looking to go long, and in this case we are because a) skew is bullish and b) managed to get through iffy POC area lower down then you wait for a down bar after the trigger and enter on a penetration of its high. This is very similar to a Brooks approach actually, just using pivot areas as the key zones versus swing patterns.

So the market takes out that orange arrow high and up she goes. Note how that high is well below the RH and that RH is around the same price as a much earlier gray bar RH at 10.20, so a cleaner SR play would have been to take the BO of that RH at 1107.20 + 2 = 1107.40.

Market goes up and then pulls back to... 1107.40 so an SR-P entry would have been at 1107.60 and filled nicely with 2 ticks heat. Picture perfect.

Then we have a second Perl setup because market has penetrated Band1. The second arrow marks the high of the second-in-a-row down bar after the penetration. That high is taken out, and again is below the recent RH, and off she goes.

Now for fun I earlier placed an order to sell at yesterday's POC up there at 1115.4. It was hit, RH was only 1 tick higher(!!) - the second day in a row I have observed this happen and to within 1 tick, and then came down to 1112.20, a nice 3 point move which I did not get in SIM because I was beginning to type this out and got stopped out above the RH entry but of course a BE at the least was easily possible.

So the purpose of this post is to show how I am incorporating marketprofile type analysis of VWAP and POC with my basic SR work. Although I would prefer not to have the indicators on the chart, the fact is that they show things that are very hard to see from the price bars alone - impossible in fact. The POC zones tend to be buried in congestion areas, but after the fact they can become key areas, especially it seems ones from the day before or earlier. I have checked back and 1115.4 price is not one I would have identified as an SR level of any significance based on previous highs/lows or SRP's. And yet clearly it is/was an important level.

Anyway, hope this sort of thing is of interest to some, esp. those who are asking about incorporating volume into method. I am not all-in with Market Profile stuff, partly because I don't know it and it's complex, partly because it's busy, and perhaps mainly because you have problems in Ninja with keeping the data accurate in that if you don't run the machine on that contract it doesn't have the data. The DeltaVolume indicator works by averaging things out based on historical action and so is not so dependent. It's also clear, uncluttering and generally accurate so although I really like Gomi's stuff, until I have studied about Delta - which have yet to do - the DValue does it for me.

Summary: this chart shows good examples of how paying attention to POC and the 'skew' can help determine which direction/trend one wants to follow. It also shows, although not clearly marked, how often SR and SRP levels come into play providing very accurate pinpoint entries or caution areas to help determine current trend/bias.

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PS. Now you can see why I keep begging Gomi to make the POC a bar-by-bar plot. In this chart example we would be able to see exactly when the POC flipped to the new lower level. I think this would be extremely helpful. I am going to look into the Dvalue code to see if I can figure out how to make a data series that would do this because Gomi's code is way too advanced for me. But if anyone else who is better at coding likes this idea, PLEASE come up with an indicator that
a) plots the POC bar-by-bar and
b) can do so using Dvalue which does not need the machine to be running live in order to accumulate the data correctly.

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