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Dynamic Market profile
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Dynamic Market profile

  #21 (permalink)
 Vendor: www.auctionprofile.com 
Norfolk, VA, USA
 
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Big Mike View Post
I use rolling weekly and monthly VWAP. Rolling VWAP just makes the most sense to me. Much more than x period MA.

Can't see doing the same for profile however.

Sent from my LG Optimus G Pro

I've always thought of VWAP as being peculiar to a day session as brokers use the term in that way and algorithmically it's an anchored MA (like MIDAS) rather than a fixed-period MA so a rolling VWAP is a contradiction in terms. You use a VWMA.

Yes, I'm a pedant.

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  #22 (permalink)
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erniebilko View Post
I've always thought of VWAP as being peculiar to a day session as brokers use the term in that way and algorithmically it's an anchored MA (like MIDAS) rather than a fixed-period MA so a rolling VWAP is a contradiction in terms. You use a VWMA.

Yes, I'm a pedant.

True. I use both actually.

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  #23 (permalink)
 Vendor: www.auctionprofile.com 
Norfolk, VA, USA
 
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josh View Post


BTW, I think it's also helpful to begin the VWAP at the beginning of a certain "event" or structural realignment.

This was pioneered by Paul Levine. It's called MIDAS and starts a moving average at important swing points, so it's an anchored MA.

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  #24 (permalink)
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erniebilko View Post
I've always thought of VWAP as being peculiar to a day session as brokers use the term in that way and algorithmically it's an anchored MA (like MIDAS) rather than a fixed-period MA so a rolling VWAP is a contradiction in terms. You use a VWMA.

Yes, I'm a pedant.

They will yield the same ending value. But a moving average will always cut off prior data (before X+1 periods) vs a VWAP, which can usually be set in the software to start on a certain date and compute until an ending date or the present, requiring no modification to keep it over the same period.

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  #25 (permalink)
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erniebilko View Post
This was pioneered by Paul Levine. It's called MIDAS and starts a moving average at important swing points, so it's an anchored MA.

Cool, I learn something new every day, and will have to check it out... thanks! And sorry for cluttering up this vendor thread!

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  #26 (permalink)
 Vendor: www.auctionprofile.com 
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This isn't really a vendor thread - it's more about different ways of using profile concepts. Each have their use and each their deficiencies. e.g. a day profile makes sense because the trading day - pit session - has a definite beginning and end. To a lesser degree, a week, month and quarter are too.

But, there are deficiencies with a static profile and not just in the case of a trend day rendering the VA useless because there was no value. Think about a double distribution day. The VA on this day type is even more useless as it will include the trend phase between the two distributions. This type of day should really be split in 3: balance - imbalance - balance with a separate profile for each of the 2 periods of balance.

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  #27 (permalink)
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erniebilko View Post
I started work on it in earnest about 3 years ago. i've been a student of MP for last 7 years - it was the only methodology i had learned that made any kind of sense. I don't believe in fibs, elliot waves, indicators with fixed periodicities, cycle theories or any other of the weird and wonderful subsets of technical analysis. AMT (and its implementation in MP) was the first method that seemed rooted in the real world. It's really hard to trade a method if you don't believe its in-built theory of the market and, with all other forms of technical analysis, I just don't.

However, although I believe wholeheartedly in AMT, I became disenchanted with MP for several reasons.

Firstly, there's an element of magical thinking in MP: e.g. that the POC and the VAH/VAL have some mystical significance and can be used as perennial reference prices to lean on. If you think about the Value Area on a trend day, what does it represent? There will be a Value area but only because the MP algorithm produces one regardless of how prices are distributed, but what use is it if it were produced on a trend day? It's not just useless, it's worse than useless if you use it as a guide to make trades.

This is one of the problems of MP and it is because the profiles are static: you have a profile for the day session and maybe a separate one for globex. If the profiles were dynamically created by market action then this deficiency would be eliminated and analysis would be much simpler.

I had no idea about the presentation you referenced at the time and was not influenced by it. I don't particularly like it as it is just a moving profile average essentially and I don't like moving averages because it implies there is a fixed cyclicality to the markets.

My view is that we should let the market tell us when it changes from a phase of balance to one of imbalance and base our profiles on the market action rather than starting them at arbitrary times.


erniebilko View Post
How about letting the market tell you where to begin a profile? A profile (and its Value Area) is only a useful tool (at least I believe so) when it defines a balance, so start it when the market starts balancing. End it when it moves out of balance. Obviously, you need the market to have shown signs that it is coming into balance and then you can apply it retrospectively.

Cool, I like your concepts( I checked out your website), however I also like that the original Market profile is based around a constant( time), which regulates your point of reference. If you start a profile when the market "defines a balance", then you still have to be basing that balance off a previous reference/ anchor point, x amount of bars prior. So i'd describe that as more of a "variable profile", and wouldn't call it dynamic, because it's not defined by a "constant", but by a variable. Not using a constant means your making MP more open to interpretation.

From your website- "Until the balance breaks – when the general perceptions of the future change and one side gains strength at the expense of the other – the market tends to oscillate from one side of the balance to the other in order to test that the extreme high and low prices are still considered to be unfair."

When i'm applying a DMP i'm using it as more of an oscillator, and i'm looking for a divergence between value area extremes. I'm not looking to define "areas" of support/ resistance or "areas" to buy/ sell, but "exact" entry points( off small time frames) that have good trade location and are supported by 30min TPO's.

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  #28 (permalink)
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Neo1 View Post
...Not using a constant means your making MP more open to interpretation...


That's the weak point of drawing custom profiles each time you see an area of balance, sometimes it's subjective. When do you start drawing a new area of balance and which bar defines a break of balance, and on which timeframe do you make this decision? If you use a daily or weekly profile then there is no subjectivity no matter the timeframe.

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  #29 (permalink)
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trendisyourfriend View Post
If you use a daily or weekly profile then there is no subjectivity no matter the timeframe.

Sure there is.

If you have a trend day, a double-distribution day and a normal day, do you use and interpret the reference prices from the profile in the same way? If not, then the subjectivity you have is in parsing the profile for the correct interpretation. If you do interpret and use the reference prices identically in the three different scenarios (I don't think you do) then I think this would be taking a simplistic and dogmatic (and probably unprofitable) approach to MP.

I prefer to parse the market action to create the profile rather than creating the profile and then having more difficult and time-consuming work unpacking it again in order to understand what it means.

Regardless of what we want, there will always be subjectivity in analyzing the market's actions.

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  #30 (permalink)
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erniebilko View Post
...

I prefer to parse the market action to create the profile rather than creating the profile and then having more difficult and time-consuming work unpacking it again in order to understand what it means.
....

Not sure to follow you here. Could you show us an example using this past week price action?

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