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Auction Market Theory and Market Profile

  • #3,821
  • Dec 17, 2011 8:55pm Dec 17, 2011 8:55pm
Quoting Scrat
my interpretation for this COT data is this: for medium/long term positioning and trading, i look closely for breaks below/above 0 for commercials. that is the moment when the change in trend is confirmed (although the beginning is much earlier...! but i am not picking tops or bottoms, i am most interested in what's easier to get).
here's my example, on euro chart. black arrows are places where commercials contracts went through 0. that's when the change in trend is confirmed. weekly chart looks more neat, it also gives you some values - but...
and it right at 50% yearly value(300 days/432000 mnts in my chart)
Attached Image (click to enlarge)
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  • #3,822
  • Dec 18, 2011 12:05pm Dec 18, 2011 12:05pm
bandung, for you latest indi, what settings do you recommend to use with higher profiles? starting from weekly, there are discrepancies because of the weekend -
for example, weekly tf should be 10080, but on my chart the week only has 6 days (5 + 1)... in minutes it's even more complicated; monthly tf should be 43200, and yearly should be 518400 (360 x 12).
how come your yearly is 432000?

Quoting bandung
and it right at 50% yearly value(300 days/432000 mnts in my chart)
Nihil Sine Deo.
  • #3,823
  • Edited 10:33pm Dec 18, 2011 4:34pm | Edited 10:33pm
just a thought: we are very close to the yearly close. right now, price is well below both quarterly and yearly VA (also below monthly). perhaps it is time for a retrace, at least to 3350 area (quarterly vaL) although i would target at least 3620 (yearly vaL) for a retrace during the first part of the next year. and this is a configuration where i just wait for a confirmation on a smaller timeframe (an upside break of weekly dynamic value will most likely do the trick), because the value area of such 'heavy' timeframes WILL GET tested sooner or later.

bandung... man, again, i can't thank you enough...!!! all your indicators are VERY useful. superb !!!
Attached Image(s) (click to enlarge)
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Nihil Sine Deo.
  • #3,824
  • Dec 18, 2011 10:23pm Dec 18, 2011 10:23pm
Quoting Scrat
bandung, for you latest indi, what settings do you recommend to use with higher profiles? starting from weekly, there are discrepancies because of the weekend -
for example, weekly tf should be 10080, but on my chart the week only has 6 days (5 + 1)... in minutes it's even more complicated; monthly tf should be 43200, and yearly should be 518400 (360 x 12).
how come your yearly is 432000?
Hi, Scrat...

I based on number of daily bars for the year, as you can see on attached image below.

considering of Sunday's bar(chart using ibfx), I choose round number 300 as number of daily bar for yearly. so the period is 1440*300 = 432000.

I my self still not comfortable with this way. maybe i'll try another way for calculating the numbar on dynvalue indicator.

  1. yearly : instead of using fixed numbars like 300 bars from the calculated bar, i will try where is the bar of 360*1440 minutes ago on data timeframe(D1)
  2. monthly : will use the bar of 30*1440 minutes ago on data timeframe(H4)
  3. weekly : will use the bar of 5*1440 minutes ago on data timeframe(M30)
  4. daily : will use the bar of 1*1440 minutes ago on data timeframe(M5)

so the numbars for every bar can be different.
but there will be the problem for daily dynvalue when M5 bar is on sun/mon.
because it will look at saturday data which not exist or sunday data which only have 2 hours data(ibfx).

what do you think?

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  • #3,825
  • Dec 18, 2011 10:52pm Dec 18, 2011 10:52pm
i don't know what to say. i didn't think about it, and honestly i guess it depends on the broker. for instance, oanda prints 6 days in a week; plus, more h4 bars in a week... so this is going to be a problem if you use a fixed number of bars. a more intuitive approach would be to use the date of the bar -
let's say, we want to calculate yearly profile on dec.15th - we look at data between dec15th this year and dec16th last year; so something like [day(x).2011, day(x+1).2010]. same should be valid for lower timeframes.
just an idea.

empirically, i could try different settings for dynamic values and compare with what i get from ay-tpo at the closing time of a specific timeframe. but that carries a higher amount of variability, and it would only work for my broker.
Nihil Sine Deo.
  • #3,826
  • Dec 19, 2011 4:41am Dec 19, 2011 4:41am
Your swing volume seems interesting
was that posted somewhere , I did check you blog
Attached Image
  • #3,827
  • Dec 20, 2011 3:08am Dec 20, 2011 3:08am
Yesterday's US session see price retracted back into Value & almost balance. I expect TK session today to repair whatever inventory void there is for a counter trend move. TK too have a fail RE & went back to IBR.

UK open above TK range, my entry one on the opening price with initial risk of only 7p. Exposure reduce at 20p.

Next ref would be the resistance of UK high in this overall downtrend & current increase in selling pressure in which to look for a extended trade downwards.

http://img9.imageshack.us/img9/5013/...9dec201701.gif

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  • #3,828
  • Edited 6:22am Dec 20, 2011 6:09am | Edited 6:22am
Quoting toddanderson
Your swing volume seems interesting
was that posted somewhere , I did check you blog
it based on weis wave here

it's using czigzag from zup's indicators to get a swing, which i mod to use only price close, and then just summing the volume of bars on the swing.

here it is if you/anyone want to try out..
Attached File(s)
File Type: mq4 CZigZagClose.mq4   5 KB | 1,368 downloads
File Type: mq4 ay-SwingVolume.mq4   4 KB | 1,773 downloads
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  • #3,829
  • Dec 20, 2011 6:20am Dec 20, 2011 6:20am
Quoting Evak
Yesterday's US session see price retracted back into Value & almost balance. I expect TK session today to repair whatever inventory void there is for a counter trend move. TK too have a fail RE & went back to IBR.

UK open above TK range, my entry one on the opening price with initial risk of only 7p. Exposure reduce at 20p.

Next ref would be the resistance of UK high in this overall downtrend & current increase in selling pressure in which to look for a extended trade downwards.

http://img9.imageshack.us/img9/5013/...9dec201701.gif

Uploaded...

i'm on that trade too, i'm in just after London A period close, still hold some in case it goes higher than 3080
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  • #3,830
  • Dec 20, 2011 7:00am Dec 20, 2011 7:00am
Thank you bandung

Quoting bandung
it based on weis wave here

it's using czigzag from zup's indicators to get a swing, which i mod to use only price close, and then just summing the volume of bars on the swing.

here it is if you/anyone want to try out..
  • #3,831
  • Dec 20, 2011 7:24am Dec 20, 2011 7:24am
Quoting bandung

i'm on that trade too, i'm in just after London A period close, still hold some in case it goes higher than 3080
I am still holding on with my remaining as the resistance did not break OTF as it move higher, instead. Now targeting to 3100 instead or beyong with possible excess of it. Immediate reference would be UK high as inventory could be deem too long.

Good entry after A which conforms to an OTF breakout entry. Every time when NY shift it's confidence, Frankfurt would react prior to UK..how interesting
  • #3,832
  • Edited 7:49am Dec 20, 2011 7:33am | Edited 7:49am
Quoting bandung
it based on weis wave here

it's using czigzag from zup's indicators to get a swing, which i mod to use only price close, and then just summing the volume of bars on the swing.

here it is if you/anyone want to try out..
Thanks B. Interesting stuff that i used to use when i have my sierra charts. I don't think weis have it on MT4, which makes yours the one & only in the the World of mt4 i reckon.

I use the Ord volume & his program for stocks for some years now but never occur to me to use it on forex

Great stuff, i am sure alot of VSAers would be eyeing for this gem once the news get around...

Thanks..

PS: The law of divergence would dictate that price would make a higher highs as swing volume shrinks...

http://img403.imageshack.us/img403/2...0dec202146.gif

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  • #3,833
  • Dec 20, 2011 9:59am Dec 20, 2011 9:59am
  •  s7c
  • | Joined Mar 2011 | Status: try and fail but don't fail to try | 289 Posts
i'm surprised about today's move into obvious weakness. i had a short after asia failed to auction above previous day POC, i closed it for a small loss after i saw it fails to continue lower near by yesterdays low and in the same time fails to extend the range.
i wasn't awake when london initiated so i didn't took the long but this up move looks more like a short covering rallies so just old business. we have another one in NY, i got short after pit session open and made and excess reflecting that we got too long. we are into an excess made into 13/12 so price action rotated up in order to fill the excces, from my point of view everything points down at this moment but we could have another up day on lower volume...
Attached Image (click to enlarge)
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  • #3,834
  • Dec 20, 2011 10:27am Dec 20, 2011 10:27am
I liked the concept of the Swing Volume. But it CRUSHES my terminal, lol.
  • #3,835
  • Dec 20, 2011 10:33am Dec 20, 2011 10:33am
Quoting Bilstein
I liked the concept of the Swing Volume. But it CRUSHES my terminal, lol.

Bil, try this, isnt a "swing indicator" but its called delta. Its pretty much does the same but it combines both volumes at certain bars maybe it will do the same thing. I use it quite successfully.
Attached File(s)
File Type: mq4 Delta Force.mq4   3 KB | 1,241 downloads
Markets are not efficient, rather they are effective - Jones
  • #3,836
  • Dec 20, 2011 10:33am Dec 20, 2011 10:33am
Never mind. Fixed, sorry for double post stupidity.

  • #3,837
  • Dec 20, 2011 10:51am Dec 20, 2011 10:51am
Soo, anyone wanna fill a brother in on some basic usage instructions for swing volume? How do those of you who use it interpret the data?
  • #3,838
  • Dec 20, 2011 12:48pm Dec 20, 2011 12:48pm
as
Quoting Bilstein
Soo, anyone wanna fill a brother in on some basic usage instructions for swing volume? How do those of you who use it interpret the data?

FYI, a primer perhaps http://www.tradingpsychologyedge.com...the-weis-wave/


Just a simple e.g here for EU today too.

As i have noted earlier that in order for volume to diverge from price, EU have to make a higher high.

As you can see that we have it & swingvol here indicates the 2nd swing high to have a lower sum of volume as it heads higher. Weakness see price dip rapidly as volume surge. We have an "inertia" as agressive sellers enters. Now we have weak demand on a minor swing up which indicates furthur weakness ahead; VSA test if you will...Opportunity here.

Previously in the TK session the intiatial dip resulted from what it seems like a failure to auction higher as noted by s7c. Actually created some kind of absorbtion as seen by Swing volume.

I also included the Deltaforce indi as a comparison. But do note that this indi do not take into account the volume information (correct me if i am wrong). Is is similar to true range i suspect (which is use as a proxy to volume) Hence the similarities but could be usefull for Daily TF & above since spot forex volume on these TF can be misleading. True range is often use as a substitute instead.

http://img856.imageshack.us/img856/9...2dec210235.gif

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  • #3,839
  • Dec 20, 2011 1:01pm Dec 20, 2011 1:01pm
I reverse my position as it fails to takeout UK high. Price break 1TF low eventually. Potential interim support would be yesterday's high or the spike base. Initial risk was 11p. Exposure reduce at 55p.

http://img638.imageshack.us/img638/3...4dec210259.gif

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  • #3,840
  • Dec 20, 2011 1:30pm Dec 20, 2011 1:30pm
Thanks, Evak!

Nice trade by the way.

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