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  • #301
  • Jun 3, 2015 1:37am Jun 3, 2015 1:37am
Quoting hohgch
MzVega: Thank you for your comprehensive tutorial on AMVT. Just like to know if the spreadsheet you posted were from the export function of Bandung's indicator. I am asking because I can't seem to get anything exported. Also is there any material importance in the SF reading at all? Once, again my appreciation for your selfless act of sharing your knowledge on AMVT. Cheers!
Im not sure which indicator you are referring to, however the export files for both should be located in the same place. On your trading platform go to the "MQL4" folder and open the "Files" folder. The exported files should be located in a folder named "FXCM MetaTrader 4".

The spreadsheets I posted are actual database tables (libre base) which are created from the export files. I used to track everything in excel files which takes a lot of effort when analyzing multiple pairs. However, I have been teaching myself Python & SQL programming so I import the export files into a database which I update daily. Which does all the work for me. Then I just query the database to show me what pairs & tfs are bracketing, trending, daily net flow, etc.
All the data needed to perform the quantitative analysis comes from the export files.
Ive included a photo of the raw export file.

SF (shape factor) I personally dont use it. But when performing quantitative analysis one might use that as criteria when developing a personal strategy. It provides a measure which is a quantifiable measure describing the shape of the profile where as 1.0 would be a perfect Bell shape. Anything greater than 1.0 would tell how much and to what degree the shape of the profile deviates from the ideal bell shape. Similar to a skew. Evak could probably give you a better explanation as he applies it to his trading decisions
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Markets are not efficient, rather they are effective - Jones
  • #302
  • Jun 3, 2015 7:25am Jun 3, 2015 7:25am
Nice EJ trade mzvega!

If to choose betwwen EU & EJ. EJ would have been a better perfect storm
  • #303
  • Edited 10:00am Jun 3, 2015 8:58am | Edited 10:00am
Quoting Evak
Nice EJ trade mzvega! If to choose betwwen EU & EJ. EJ would have been a better perfect storm
It still seems to continue being the perfect storm.
I love this AMVT stuff! Not only can you take advantage of trading breaks in balance, the data also allows you to stay with the trend.
Ive taken profits and again re-entered the trade
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Markets are not efficient, rather they are effective - Jones
  • #304
  • Edited 11:01am Jun 3, 2015 10:48am | Edited 11:01am
If you follow the step by step instructions on how to build a "Market Profile" or "MetaProfile" from the CME MP Handbook, "Mind over Markets", any MP book you can easily do it in excel. Again Tick volume is not used at all.
Here is a spreadsheet that shows how a profile is built as per every published book on the subject. Don't take my word for it read the facts for yourself . It is not a tick volume distribution, or histogram.
Look at the excel formulas the MP counts "frequency" not tick volume.............
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Markets are not efficient, rather they are effective - Jones
  • #305
  • Jun 3, 2015 5:27pm Jun 3, 2015 5:27pm
For those who prefer a single click solution to exporting reference points without having to do countless calculations in excel will find a file produced from the export feature below

http://www.fxindi.net/2015/05/market...-chart-xp.html
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Markets are not efficient, rather they are effective - Jones
  • #306
  • Jun 3, 2015 5:41pm Jun 3, 2015 5:41pm
And for the composite indicator export 2 files (regular and vertical) files below

http://www.fxindi.net/2015/05/market...sual-refs.html
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File Type: csv Overlay-5Days-PriceSteps-2.MinDistPrices-4.MinDistTPOs-3.csv   62 KB | 494 downloads
File Type: csv Overlay-5Days-PriceSteps-2.MinDistPrices-4.MinDistTPOs-3.vert.csv   62 KB | 451 downloads
Markets are not efficient, rather they are effective - Jones
  • #307
  • Jun 6, 2015 12:05pm Jun 6, 2015 12:05pm
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Markets are not efficient, rather they are effective - Jones
  • #308
  • Jun 14, 2015 9:09am Jun 14, 2015 9:09am
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Markets are not efficient, rather they are effective - Jones
  • #309
  • Aug 16, 2015 5:56pm Aug 16, 2015 5:56pm
Hello Mzvega. I really want to thank you for your painstaking devotion to this thread and your benevolence. I am (or rather was) passionate about Market Profile methodolgy, but having failed to profit sustainably from the use of such methods, I dug deeper and found this thread. I have read the relevant books and have also grasped the main thrust of both MP and AMVAT. I must admit that I am a full AMVAT devotee now.

I'm currently learning how to code (HTML, javascript) and I'm considering the possibility of creating an autotrader or trading robot to implement the AMVAT trading methods. The reason I want to do this is that most times, I'm not close to my laptop when the trade setups are triggered and sometimes, it requires quick reflexes or the need to re-enter a position after the stop loss is triggered, only for the price to continue in the previous direction. I am currently trying to master the data analysis aspects, but sometimes, it's confusing : the variables often seem to contradict themselves and there're far too many of them. Do you consider and analyze all (approx) 30 variables or you select the most relevant for the trading scenario?

I also noticed that neither you nor other members have been posting here for some weeks now - that leaves me wondering what's happening.

Thanks
  • #310
  • Edited Aug 19, 2015 1:26am Aug 18, 2015 4:27pm | Edited Aug 19, 2015 1:26am
Quoting ocdavids
Hello Mzvega. I really want to thank you for your painstaking devotion to this thread and your benevolence. I am (or rather was) passionate about Market Profile methodolgy, but having failed to profit sustainably from the use of such methods, I dug deeper and found this thread. I have read the relevant books and have also grasped the main thrust of both MP and AMVAT. I must admit that I am a full AMVAT devotee now. I'm currently learning how to code (HTML, javascript) and I'm considering the possibility of creating an autotrader or trading robot...
Please allow me to apologize for not responding to your post sooner. Its always a pleasure when I run into someone who shares the same enthusiasm about the quantitative analysis of AMVT as I do.
At the moment having sold our old home, we are in the process of temporarily moving into one of our rental properties until our new home is finished. So, Im doing my best, working through this major transition. You may have to allow me to respond in more than one post.

This thread doesn't get much participation, and I too have been teaching myself Python, and SQL database, in order to develop my own analytical tools. But responding to your post will give me the opportunity to post a few more things I find relevant.
I applaud you for your efforts on creating a trading robot. I myself would find it to be a near impossible to take a discretionary trading method and automate it.

Quoting ocdavids
I am currently trying to master the data analysis aspects, but sometimes, it's confusing : the variables often seem to contradict themselves and there're far too many of them. Do you consider and analyze all (approx) 30 variables or you select the most relevant for the trading scenario? ...
Variables are just that, variables (reference points). Many use them as some "signal" or "indicator" of what to do. We have to remind ourselves Auction Market Analysis is not Technical analysis (two very different belief systems)

In AMVT the market is the "sum" of all its parts. Many focus exclusively on one or two reference points, while ignoring the rest. AMVT is not a system or some type of trading strategy. Learning takes time.

The process of learning AMVT is first learning about each reference point on its own. How its calculated, and how it affects the market on its own. Then when you understand how each one affects the markets, then youre prepared to use that data in conjunction with other references. Its a learning process.
There are two kinds of references points. Some references are "directional", while others refer to "activity". These aren't mathematical measurements; they are positional tallies. We are interested the "Net" results.

i.e. the open. Is its position higher or lower than the previous? Higher or lower. This is a "directional" reference. On its own it tells you something about the market. Just because its higher per se, that is not a signal to buy. Nor is it a reason in itself to buy. The POC, same thing, this is a "directional" reference. On its own it tells you something about the market. Just because it higher per se. That is not a signal to buy. Nor is it a reason in itself to buy. Even if both those directional references are higher, its not a signal to buy. There are several directional references. We want the "Net" result. This applies to the "activity" references as well.

There's a little more to it, but I will see if I can find you some more detailed info. I used to track this data on spreadsheets. But Ive acquired enough programming skills to do the job for me as well as update my database which performs the various AMVT studies.
But yes I do use about 29 or 30 reference.

In the mean time you might refer to this post and the post after it
http://www.forexfactory.com/showthre...05#post7856605


"The real danger, as I see it, is that we have come to expect too much from each piece of data! Our ideal is to take a reference point, say value area or initial balance, and predict the coming market activity; or to be able to compare one day's value with the next to explain and project the market's behavior. This is our most fervent wish, but reality throws doubt on this premise. If we could read markets, as demonstrated by Steidlmayer in CBOT Market Profile 1991, we would hold the keys to untold wealth. Reality says "you are in a complex environment and it is highly unlikely that any one or two market elements will insure your success. (In fact, with Value Analytics we typcally use some 15 reference points as flow variables, summing over three days to find internal directionality, market bias, etc.) "
http://www.cisco-futures.com/dialog_...t_profile.html
Markets are not efficient, rather they are effective - Jones
  • #311
  • Aug 19, 2015 1:16am Aug 19, 2015 1:16am
Quoting ocdavids
Hello Mzvega. I really want to thank you for your painstaking devotion to this thread and your benevolence. I am (or rather was) passionate about Market Profile methodolgy, but having failed to profit sustainably from the use of such methods, I dug deeper and found this thread. I have read the relevant books and have also grasped the main thrust of both MP and AMVAT. I must admit that I am a full AMVAT devotee now. I'm currently learning how to code (HTML, javascript) and I'm considering the possibility of creating an autotrader or trading robot...
ocdavids,
Here are a couple of articles explaining the "context" in which reference points are used. Reference points aren't used as signals, targets,projections or entry points.
http://www.cisco-futures.com/daytrad..._example1.html
http://www.cisco-futures.com/daytrad..._example2.html
Markets are not efficient, rather they are effective - Jones
  • #312
  • Aug 20, 2015 4:41am Aug 20, 2015 4:41am
Hello mzvega,

Thanks for your illuminating explanations. I find your deep insights really motivating. I have a background in Economics and Statistics , hence I understand clearly the potent power of data analysis. For long I have questioned the assumptions of Technical Analysis, which I studied and utilised for several years, but found to be very unreliable. I shall access the pages at the links you've provided and update you on my progress.
  • #313
  • Aug 29, 2015 10:47pm Aug 29, 2015 10:47pm
MZVEGA, I hope you're having a lovely weekend. I have noticed that working with Excel will limit my analysis to (at most) 3 or 4 bracketing currency pairs. For me, it's not feasible to include trending pairs yet because Excel doesn't simplify the work sufficiently. I need practical suggestions with regard to the easiest way to manage the data using Excel. I hope you can overlook the fact that this might appear to be a "newbie" question. Please I'd like to know the technical details of how you handled the data when you were using Excel. (When you can afford the time !)
I'm not done with the programming adventure yet. Thanks so much for being kind.
  • #314
  • Aug 31, 2015 5:50am Aug 31, 2015 5:50am
Quoting ocdavids
MZVEGA, I hope you're having a lovely weekend. I have noticed that working with Excel will limit my analysis to (at most) 3 or 4 bracketing currency pairs. For me, it's not feasible to include trending pairs yet because Excel doesn't simplify the work sufficiently. I need practical suggestions with regard to the easiest way to manage the data using Excel. I hope you can overlook the fact that this might appear to be a "newbie" question. Please I'd like to know the technical details of how you handled the data when you were using Excel. (When you...
Importing your excel data into a database will simplify the task of managing data for multiple pairs. Bandungs indicators come with a built in export feature which exports the raw data to the mt4 file folder, which I import into my database, which I can then query the questions I want to ask from my data. Give me a little time to put together examples of how I manage the data.

In the mean time, heres a little food for thought consider a Database. Are you familiar with LibreOffice Base,Mysql, or postgresql? (free resources)
One of the first things you learn is that MP/AMVT is that a profile is a visual representation of a database. For a few years, I assumed that by having an indicator, was the same thing. Not.
I want to quote a few references from an old article in Active Trader Mag, featuring an interview with P. Steidlmayer. The article can be read in its entirety in the pdf or link posted below

J. Peter Steidlmayer: In step with the markets.....

Market Profile's future as a database
Steidlmayer explained these concepts when we visited him in his CBOT offices in late May. We also spoke with him about the hurdles facing individual traders and the importance of proprietary databases, among other issues.

AT: How can traders profit from Market Profile and Liquidity Data Bank these days?
JPS: They need to get their own database, measure time, and find imbalances in the market. If you don't find imbalances, you have nothing. Trading's biggest cost is time, which is also its biggest lever.

Take the Long-Term Capital Management's (the high-profile hedge fund that collapsed in 1998) model of trying to find historic trades and borrowing money. That's very risky.
Instead, expand your database so you don't have to rely on leverage. You'll get $10,000 in annual interest if you're making 10 percent, but what if I give it to you in a shorter time period? Saving time pays a higher rate of return vs. leverage, which decreases as time goes on.
If your strategies don't measure time - which Market Profile does - you don't have much of a chance.

AT: How do you compare Market Profile to traditional price based technical analysis?
JPS: Market Profile does not use chronological time. And if time is your biggest cost, you'd better have a "market time." Everyone else uses chronological time and price-to-price relationships. Price has very little or no value as a data point.
AT: Why?
JPS: Because there's a buyer and seller at each price. Time only defines price in the past tense. Assume a new contract began trading at 10. There's nothing you can say about it. But you'll have some reference if it traded at 4 last month.
Take a look at the trading industry. It's not using the database as an asset, and it's toiling instead of working. Technical analysis uses price against price, and price itself is not a data point. Moving averages don't exist in the real world.

Market Profile has survived even though the market's changed dramatically in terms of how it's used. It differs from technical analysis because you are now closer to being a part of the market rather than just making observations. There's a big difference there.

AT: What would you say to traders who are using Market Profile as a "visual display" on different charting platforms and are studying your original theories?
JPS: It's a pass-through cost (i.e., it won't be very helpful), not an asset. I'm building a database with Market Profile. Everyone should have their own database and understand the nature of the markets they're trading, which allows them to create opportunities instead of finding them - a big step.

http://www.trading-naked.com/in-step-with-markets.htm


And to quote Dalton
"Market Profile Description

The Market Profile graphic is a time sensitive, evolving database that updates in real-time to reflect the structure of the market's natural two-way auction process. Market-generated information is the byproduct of this natural two-way auction process and it is conveyed through the Profile graphic."
http://www.jdaltontrading.com/market...e-description/
Attached File(s)
File Type: pdf Steidlmayer PDF.pdf   854 KB | 2,207 downloads
Markets are not efficient, rather they are effective - Jones
  • #315
  • Sep 1, 2015 1:57am Sep 1, 2015 1:57am
Quoting ocdavids
MZVEGA, I hope you're having a lovely weekend. I have noticed that working with Excel will limit my analysis to (at most) 3 or 4 bracketing currency pairs. For me, it's not feasible to include trending pairs yet because Excel doesn't simplify the work sufficiently. I need practical suggestions with regard to the easiest way to manage the data using Excel. I hope you can overlook the fact that this might appear to be a "newbie" question. Please I'd like to know the technical details of how you handled the data when you were using Excel. (When you...
Before Bandung added an export feature, I created Macros which imported the data as objects, then painstakingly created other macros which organized the data into a format I could work with.
Bandungs export feature was a one click solution that that provides profile data for each pair and TF (all references (variables) included)

In this post are a couple of examples of the raw data sheets I use to update my database.
http://www.forexfactory.com/showthre...36#post8303736

Once you import data for all pairs & tfs into your database, you simply query the data you want,
i.e. Pseudo code select all pairs & tfs that are bracketing EOD it searches the database and provides you a list of pairs & tfs that meet that criteria in a matter of seconds. Save it as a report. Then you have a one click daily report that will give you a daily list of bracketing pairs (see attached photo)

You're not limited to the questions you can ask of your data. i.e. "show me all pairs & tf's that have been trending for more than one day" or "show me all pairs & tf's that stopped trending"
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Markets are not efficient, rather they are effective - Jones
  • #316
  • Sep 1, 2015 2:20am Sep 1, 2015 2:20am
Quoting mzvega
{quote} Before Bandung added an export feature, I created Macros which imported the data as objects, then painstakingly created other macros which organized the data into a format I could work with. Bandungs export feature was a one click solution that that provides profile data for each pair and TF (all references (variables) included) In this post are a couple of examples of the raw data sheets I use to update my database. http://www.forexfactory.com/showthre...36#post8303736 Once you import data for all pairs & tfs into...
Here is an actual query used to show my selected criteria for the 5 day TF for the last 25 days
You can also save querys as an excel or csv file.
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Markets are not efficient, rather they are effective - Jones
  • #317
  • Edited 3:33pm Sep 13, 2015 3:17pm | Edited 3:33pm
Quoting mzvega
{quote} ocdavids, Here are a couple of articles explaining the "context" in which reference points are used. Reference points aren't used as signals, targets,projections or entry points. http://www.cisco-futures.com/daytrad..._example1.html http://www.cisco-futures.com/daytrad..._example2.html
I should have posted this link which contains the previous posted links
http://www.cisco-futures.com/daytrad...tickstudy.html

I used to use excel to perform the analysis and changed to using a database which allows me to analyze multiple pairs simultaneously with little effort
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Markets are not efficient, rather they are effective - Jones
  • #318
  • Sep 14, 2015 11:37am Sep 14, 2015 11:37am
Quoting ocdavids
MZVEGA, I hope you're having a lovely weekend. I have noticed that working with Excel will limit my analysis to (at most) 3 or 4 bracketing currency pairs. For me, it's not feasible to include trending pairs yet because Excel doesn't simplify the work sufficiently. I need practical suggestions with regard to the easiest way to manage the data using Excel. I hope you can overlook the fact that this might appear to be a "newbie" question. Please I'd like to know the technical details of how you handled the data when you were using Excel. (When you...
I previously showed you some examples of how I currently manage the data using a database. I suggested using a database first because it will greatly simplify the process. But you did ask how I handled the data when I did use excel. It took me awhile to find my old files.
I would first use excel to build my profiles buy cutting & pasting 30m data into a excel sheet
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Markets are not efficient, rather they are effective - Jones
  • #319
  • Sep 14, 2015 11:52am Sep 14, 2015 11:52am
Quoting mzvega
{quote} I previously showed you some examples of how I currently manage the data using a database. I suggested using a database first because it will greatly simplify the process. But you did ask how I handled the data when I did use excel. It took me awhile to find my old files. I would first use excel to build my profiles buy cutting & pasting 30m data into a excel sheet {image}
By updating one workbook, you create a macro that will automatically update another workbook, which all my calculations are stored, which automatically updates a cleaned up summary of the data. (I no longer do this step, as I have a one click feature that exports the data (already calculated) to a single csv file)
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Markets are not efficient, rather they are effective - Jones
  • #320
  • Sep 16, 2015 4:18pm Sep 16, 2015 4:18pm
Quote
I previously showed you some examples of how I currently manage the data using a database. I suggested using a database first because it will greatly simplify the process. But you did ask how I handled the data when I did use excel. It took me awhile to find my old files.
I would first use excel to build my profiles buy cutting & pasting 30m data into a excel sheet.



I have downloaded some MySQL and Liber Office pdf study materials. In the interim, I'll also have to learn how to work with macros and utilise your method of working with excel - pending when I'll learn MySQL and Liber Office. Meanwhile, my trading results have vastly improved since I started using AMVAT. It easily cures the ills of impatience, overtrading and greed. It's the best tool I've used so far.

Thanks for sharing your excel methods.
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