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Auction Market Theory and Market Profile

  • #401
  • Feb 16, 2011 5:55am Feb 16, 2011 5:55am
Quoting Sdvsa
Very very nice VPOC visit:

Start time adjusted to 2 hour pre-London in this example.
Kindly post smaller picture like everyone else...Thank you.
The Market pays you to be disciplined
  • #402
  • Feb 16, 2011 6:07am Feb 16, 2011 6:07am
Quoting Fudomyo
hi mima,

I like the way you have the levels set up on your chart without the histogram. Is this the SP Market profile version you posted?

cheers,

Fudo
Yes
The Market pays you to be disciplined
  • #403
  • Feb 16, 2011 8:38am Feb 16, 2011 8:38am
Quoting HIFX
Hi bandung,

I am testing the Indi you posted,very nice.I wasjust wondering if anybody else had this spike on the profile ?
hi HIFX,

it is not spike, it just indicator bug... not drawing current day profile properly..

I'm working on it... fixing it.
...
  • #404
  • Feb 16, 2011 8:41am Feb 16, 2011 8:41am
looking for some selling action here at these previous days VAL for the aud and eur...
Attached Image (click to enlarge)
Click to Enlarge Name: eu.PNG Size: 239 KB
  • #405
  • Feb 16, 2011 9:10am Feb 16, 2011 9:10am
AMT guys and gals..

I fixed some bugs on the mp indicator I uploaded a few days ago, like value area on current day not updating correctly.

I added some feature too:

  1. VATPOPercent for changing the Percent of total TPOs using by value area, default is 70%
  2. ShowOpenCLoseArrow for turning on/off the arrow open and close of the day.


I found it easier to start the day with clean profile chart, so I can make a note like :

  1. yesterday day type
  2. where is today opening price in relationship with yesterday profile
  3. where is LVN, HVN
  4. and so on...


so I included the clean profile template ..

Cheers..
Bandung.

Attached Image (click to enlarge)
Click to Enlarge Name: cleanmpchart.png Size: 48 KB
Attached File(s)
File Type: mq4 ay-MarketProfileDWM.v1.1.mq4   22 KB | 1,523 downloads
File Type: tpl cleanmpchart.tpl   353 KB | 1,107 downloads
...
  • #406
  • Feb 16, 2011 9:55am Feb 16, 2011 9:55am
Wonder how much the POC is affected by the fact that my MT4 broker's timezone is EST and market profile is based on D1 candle.
  • #407
  • Feb 16, 2011 10:36am Feb 16, 2011 10:36am
Hi!

my only chart for this week. beautiful H4 test of the naked weekly POC from the week of Jan 16. also test is of this week's developing VAL. As i'm traveling and not day trading this week i entered a long on monday at around 3460 and am planing to hold this longer as value area has been moving up since monday.

Have a good week everyone!
Attached Image (click to enlarge)
Click to Enlarge Name: eu H4 Jan 16.png Size: 39 KB
Change is the only constant
  • #408
  • Feb 16, 2011 10:50am Feb 16, 2011 10:50am
Quoting HiddenGap
Becuase forex is 24 hours, it is really hard to use Initial Balance and Initial Balance extensions. I start my new day at 1700 (New York time) because that is the close used by a majority of the retail forex brokers. This makes the open pretty irrelevant because the open comes in the lowest volume/activity period of the day.

There has got to be a way to employ the IB, maybe we will be able to discover it together. I suppose one could do an "opening" range for the Asian open, the London open and then again for New York.
Hey everybody,

very nice thread you got going here. I also use AMT as my core method of trading.
Im not sure if you came up with any ideas yet on the Initial Blance Period for 24hour markets but here is maybe an idea:
Personally what is most useful to me about the IB is the following information (based on the FDAX which is my main market):
The market makes either the high or low for the day in the first two hours of trading 70% of the time(I used 2 hours for the IB because the EUREX opens 1 hour before the german stockmarket but the first hour of the stock market, whcih happens to be also the london open, is the most active).
Over 90% of days have Range Extension.

How I use that information:
Lets say the market opens and trades down to a key reference area like a naked POC and i fade that level aka I initiate a long position. From that point on I assume I bought at the bottom since 70% the time the market makes either the top or the bottom in that time period (for the DAX).
Tom Alexander who wrote "Practical Trading Applications for Market Profile" (I liked the book a lot, though a bit pricey) researched the same for the ES. I think in almost 70% of the times the ES made a high or low in the first two 30min periods (the IB).
Now that im long assuming (I dont know until im stopped out ;-)) that i bought at the bottom the second statistic helps me to stay in the trade because 90% the market makes a Range Extension, so my profit target at the very minimum will be after we have taken out the current daily high because it would not make much sense to trade against 90% odds.

So when one wants to find an appropriate time period for the IB in different markets, I would analyse in which 30 min period of the day the market makes the daily high or low and see if any periods are significant. One could also analyse in which 30 min period the currency futures generates most volume.

Maybe that information helps to find an appropriate IB for the various markets?
  • #409
  • Feb 16, 2011 11:14am Feb 16, 2011 11:14am
When it all comes together, or being right and sitting tight.

Here is a beautiful example of the power of both VSA and AMT. I wont say much about the VSA in this thread, but there is much to say about the AMT.

Check out the chart below.

Even though the trend for the day is down, this beautiful counter trend trade set up. Price moves down past yesterday's VAL into unfair low territory. Price is advertising at wholesale. On top of that, price is at unfair lows based on the developing profile as well. And as if that was not enough, price moves down to a Virgin POC.

All this brings out the Responsive Buyers en mass. The BBs are all over this type of trade.

Let's think about the reward here. Well, we would expect price to move back into the Developing Value Area. We would also expect price to move to the other end of yesterday's Value Area (80% rule in both cases). Since we are in a down trend, we expect a reaction or hold up at the Initial Balance Low. So the Initial Balance Low is the ultimate target.

No need to be greedy, a move back to the VAH would be good. What about our risk? Well, the risk is minimal. Our stop is placed just below the low of the low bar just below the VPOCv (Virgin Point Of Control volume). Professional traders would take this trade every day and twice on Sunday.

You do have to have patience. Yesterday's POC is very likely to act as a HUP (Hold Up Price) and it does. If you trade multiple contracts this is a place to take the first one or ones off.

I did think we were going to make it to the other side of value to tell you the truth. But then some news came out and the market shot up to not just the VAH but the IBL. At that moment, price was advertising at retail and its time to sell.

I have to admit, I don't like a lot of lines on my chart but it's so important to be able to see these things cause you know the BBs see em.
Attached Image (click to enlarge)
Click to Enlarge Name: Dual 11.png Size: 146 KB
Without VSA, you're playing checkers while the Smart Money plays chess.
  • #410
  • Feb 16, 2011 11:16am Feb 16, 2011 11:16am
Quoting Goldtresor
Hey everybody,

very nice thread you got going here. I also use AMT as my core method of trading.
Im not sure if you came up with any ideas yet on the Initial Blance Period for 24hour markets but here is maybe an idea:
Personally what is most useful to me about the IB is the following information (based on the FDAX which is my main market):
The market makes either the high or low for the day in the first two hours of trading 70% of the time(I used 2 hours for the IB because the EUREX opens 1 hour before the german stockmarket but...
Thank you and welcome. I can't wait to learn form your considerable knowledge.
Without VSA, you're playing checkers while the Smart Money plays chess.
  • #411
  • Feb 16, 2011 11:53am Feb 16, 2011 11:53am
Many thanks bandung,

As a point of interest do you have any idea of the CPU useage for this indi ?

Cheers,

hifx
  • #412
  • Feb 16, 2011 5:02pm Feb 16, 2011 5:02pm
Guys, what are the double IB high and lows used for? Thanks
  • #413
  • Feb 16, 2011 5:42pm Feb 16, 2011 5:42pm
Quoting HIFX
Many thanks bandung,

As a point of interest do you have any idea of the CPU useage for this indi ?

Cheers,

This indi using a lot of object, so it can use more RAM than a simple lines indicators..

but I do the trick by only update the last profile every 5 second not every tick.
so it should be reduce the memory usage.

Cheers...
...
  • #414
  • Feb 16, 2011 6:27pm Feb 16, 2011 6:27pm
Quoting Goldtresor
Personally what is most useful to me about the IB is the following information (based on the FDAX which is my main market):
The market makes either the high or low for the day in the first two hours of trading 70% of the time(I used 2 hours for the IB because the EUREX opens 1 hour before the german stockmarket but the first hour of the stock market, whcih happens to be also the london open, is the most active).
Over 90% of days have Range Extension.
hi Goldtresor,

I have found the the IB for Tokyo, London and NY are all important levels throughout the entire day. So for example, the Tokyo IB levels seems to be in play even during the London session the same day. That said, you will often see an opposing reaction during the session pre-market (for example, frankfurt moves price up before london open, then after london IB price moves down or at the least reacts to the frankfurt move). Similar action can be seen with Sydney open vs Tokyo. I still however only use the 1st hour of each session as IB lines.

As for range extensions, 90% seems about right. But extension is generally limited to the double IB line. Prior to moving to a DIB line, price will gerenally visit the opposing IB line first, and this generally soon after the IB. For example, after the Ib is formed, price tests near the IBL, then will generally move to the DIBH, or vice versa.

Also what I have noticed is the DIB lines usually coincide with the previous day's value area high/low.
Change is the only constant
  • #415
  • Feb 16, 2011 6:31pm Feb 16, 2011 6:31pm
Quoting NaughtyPip
Guys, what are the double IB high and lows used for? Thanks

double IB lines are almost always capping levels for the day/session. They are known as corporate capping areas as there is a large amount of reactive trading that occurs at those levels. For day traders, this represents the ideal place to enter or exit trades, as they also generally coincide with the previous day's value area high or low. I use VSA to confirm entry at these levels, and am trying to exit at those levels as well, although i still need to work on that as I still hold on too long looking for a breakout move. However, it is generally rare for a breakout to occur. The size of the IB can give an idea if a reakout is likely or not - the smaller the IB, the greater chance of a breakout, but still not a guarantee.
Change is the only constant
  • #416
  • Feb 16, 2011 7:46pm Feb 16, 2011 7:46pm
bandung,
Thank you for doing wonderful job on indicator. Is it possible to have option to enable/disable the histo gram and value area. If we have that option then you can attach 3 indicator one for D, W, and M on the same chart, which will help us finding the major support./resi. Currently also we can do that but due to Value area and histogram charts gets cluttered.
Thank you again.
Quoting bandung
This indi using a lot of object, so it can use more RAM than a simple lines indicators..

but I do the trick by only update the last profile every 5 second not every tick.
so it should be reduce the memory usage.

Cheers...
  • #417
  • Feb 16, 2011 8:20pm Feb 16, 2011 8:20pm
Quoting tgwhbb
Hi!

my only chart for this week. beautiful H4 test of the naked weekly POC from the week of Jan 16. also test is of this week's developing VAL. As i'm traveling and not day trading this week i entered a long on monday at around 3460 and am planing to hold this longer as value area has been moving up since monday.

Have a good week everyone!
Well, this is working out nicely EU has broken out of this week's VAH and closed on H4 above and into last week's VA. My target for this longer term trade is now last week's VAH at around 3660 -3680 (3680 is a weekly POC form 3 weeks back). I don't expect a straight line there but EU is now close at 1.3600. daily VA also increasing as well as daily POC's. 3560 looks like a good place to enter for a long - Wednesday's POC, and Thursday's developing asian IBL.
Change is the only constant
  • #418
  • Feb 16, 2011 9:00pm Feb 16, 2011 9:00pm
Quoting skyscraper
bandung,
Thank you for doing wonderful job on indicator. Is it possible to have option to enable/disable the histo gram and value area. If we have that option then you can attach 3 indicator one for D, W, and M on the same chart, which will help us finding the major support./resi. Currently also we can do that but due to Value area and histogram charts gets cluttered.
Thank you again.
It can be... i'm thinking of it too...
will be included on next update...
...
  • #419
  • Feb 16, 2011 9:57pm Feb 16, 2011 9:57pm
Quoting tgwhbb
double IB lines are almost always capping levels for the day/session. They are known as corporate capping areas as there is a large amount of reactive trading that occurs at those levels. For day traders, this represents the ideal place to enter or exit trades, as they also generally coincide with the previous day's value area high or low. I use VSA to confirm entry at these levels, and am trying to exit at those levels as well, although i still need to work on that as I still hold on too long looking for a breakout move. However, it is generally...
Very informative post. Thanks
Without VSA, you're playing checkers while the Smart Money plays chess.
  • #420
  • Feb 16, 2011 10:23pm Feb 16, 2011 10:23pm
The market traded up to the Nearest VPOCv (Virgin Point Of Control volume) after finding some Initiative Buyers.

It's not magic but the VPOCv brought in the Responsive Sellers. Now the market is slowly drifting down back into value. Not sure it is going to make it though as the volume is so low at this time of night.
Attached Image (click to enlarge)
Click to Enlarge Name: Current1.png Size: 118 KB
Without VSA, you're playing checkers while the Smart Money plays chess.
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