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  • #501
  • Dec 22, 2015 11:57am Dec 22, 2015 11:57am
Quoting billmac3
OK - I'm going to ask a direct question. What is the definition of a Bracket? If the answer is 1 distribution and no other factors, then why does the info box below the profile say 'Non-Bracketing'. The exported file says there's only 1 distribution for the profile ending on 12/21/15 for each of the 3,5,10 day profiles.
unbroken distribution between 3-5 tpo's
http://www.forexfactory.com/showthre...92#post8294192
Markets are not efficient, rather they are effective - Jones
  • #502
  • Dec 22, 2015 12:09pm Dec 22, 2015 12:09pm
'Hello Houston, we have a problem...'. When you get a chance, export the data for GBPAUD for 12/21/15 for 3-day using 'Min. tpo's in distribution' == 3. BTW, this is no big deal, just a labeling issue. The lower part of the indicator should say 'Bracketing'. Just wanted to be sure, so thanks.
Karma is a bitch, so play nice w/her
  • #503
  • Edited 12:35pm Dec 22, 2015 12:17pm | Edited 12:35pm
Quoting billmac3
'Hello Houston, we have a problem...'. When you get a chance, export the data for GBPAUD for 12/21/15 for 3-day using 'Min. tpo's in distribution' == 3. BTW, this is no big deal, just a labeling issue. The lower part of the indicator should say 'Bracketing'. Just wanted to be sure, so thanks.
can you show me the tpo count......
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Markets are not efficient, rather they are effective - Jones
  • #504
  • Dec 23, 2015 4:35am Dec 23, 2015 4:35am
Hi Bill,

you can find the defenition here: Jones, "VBPT" page 78.

merry christmas
  • #505
  • Dec 27, 2015 3:58pm Dec 27, 2015 3:58pm
Quoting billmac3
'Hello Houston, we have a problem...'. When you get a chance, export the data for GBPAUD for 12/21/15 for 3-day using 'Min. tpo's in distribution' == 3. BTW, this is no big deal, just a labeling issue. The lower part of the indicator should say 'Bracketing'. Just wanted to be sure, so thanks.
I see what you're talking about. That is the first time I've seen this type of mis-labeling. This is not a pair I actively trade often. It shouldn't be too big of a deal as no one should blindly trade the indicator.

Part of the trade selection process should include the "quality of the distribution" (shape factor). Determining how well the tpos are distributed throughout the bracket is something to take inconsideration when placing a trade I'm curious if that mis-labeling is "pair" specific, as I have not come across it before.
Markets are not efficient, rather they are effective - Jones
  • #506
  • Dec 28, 2015 9:40am Dec 28, 2015 9:40am
Hey Bill,

sometimes markets become volatile at the end of a trend and there is no clear consenus on value. At that "time" or better condition the price can be bounded in a bracket. There is no clear trend or bell shaped bracket. In that ill-defined value, the bracket can show 2 or 3 peaks (poor destribution). According to Jones, it would be better to avoid these markets. (VBPT, p.85)

When you look in this forum you can find Evak talking about "shape factor" and "good basis".

http://www.forexfactory.com/showthre...482744&page=21
http://www.forexfactory.com/showthre...482744&page=19

greetings
C
  • #507
  • Dec 28, 2015 10:31am Dec 28, 2015 10:31am
Thanks Chris and mzvega for the info. I don't remember reading about Shape Factor 'SF' in VBPT, MOM, MIP or CBOT manual. The Cisco site is mostly down now and has been for a week or more. Is there a formula for SF? If so, I would greatly appreciate using it in my program. I'm mostly done with it and will show all soon. It bypasses MT4 almost entirely and allows for fast, easy analysis of any pair/CFD in any/all MT4 Marketwatchs I happen to have open. Basically, I have an EA that saves all bar info to a file which my program then reads into memory and stores into mysql. I'm then able to analyze this data and come up with the same info the indicator shows, more or less, including charts. I'm working on a back-testing module which will allow me to pick a point in time and trade just like it was today. Working so closely with the data has given me better understanding of what is going on in the markets and hopefully will translate into better trading Cheers Bill
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Karma is a bitch, so play nice w/her
  • #508
  • Dec 28, 2015 11:03am Dec 28, 2015 11:03am
I think the developer of the mt4 indicator can help you with formulas, if you cant find them on the website.

http://www.fxindi.net
  • #509
  • Dec 28, 2015 12:07pm Dec 28, 2015 12:07pm
Quoting billmac3
Thanks Chris and mzvega for the info. I don't remember reading about Shape Factor 'SF' in VBPT, MOM, MIP or CBOT manual. The Cisco site is mostly down now and has been for a week or more. Is there a formula for SF? If so, I would greatly appreciate using it in my program. I'm mostly done with it and will show all soon. It bypasses MT4 almost entirely and allows for fast, easy analysis of any pair/CFD in any/all MT4 Marketwatchs I happen to have open. Basically, I have an EA that saves all bar info to a file which my program then reads into memory...
I am very impressed!
I wish data wrangling came that easily for me. I continue learning, but at a much slower pace. In time I will improve..

The SF had me stumped for awhile, until I found out it was a "proprietary" value. Jones did not say it was, but compared it to "chi-square" test. I look at tpo counts per quad. Using percentages imo would be the best way to grade the shape of the profile

Another more simplistic way, is to use something similar to MP "day types", i.e. a MP "non trend day" It is characterized by no extension outside the Initial Balance Period. In our case, Initial Balance would be UQ-UQ (80% of tpos are within UQ-UQ), with few tpos in the outer octs. (i.e. SF=1),
A mp "Normal Variation Day", It is characterized by extension beyond the Initial Balance Period , in our case, about 70% of tpos located between UQ-UQ and the other 30% outside to one side (i.e. sf=1.5).........something along those lines. These are just crude examples.

Use this link, it will allow you to use the site as if it where online, just click & follow the links.
https://web.archive.org/web/20151107...o-futures.com/
Markets are not efficient, rather they are effective - Jones
  • #510
  • Dec 28, 2015 12:25pm Dec 28, 2015 12:25pm
Quoting dljonesFan
Hey Bill, sometimes markets become volatile at the end of a trend and there is no clear consenus on value. At that "time" or better condition the price can be bounded in a bracket. There is no clear trend or bell shaped bracket. In that ill-defined value, the bracket can show 2 or 3 peaks (poor destribution). According to Jones, it would be better to avoid these markets. (VBPT, p.85) When you look in this forum you can find Evak talking about "shape factor" and "good basis". http://www.forexfactory.com/showthre...482744&page=21...
You have definitely come a long way in a short amount of time, impressive!
It's great to see you reading VBPT. There are so many little things, that are important and that can be missed, by not reading the material. It's impossible for me to try to explain them all. Many people do themselves a "dis-service", by not reading the material......great job!
Markets are not efficient, rather they are effective - Jones
  • #511
  • Dec 28, 2015 1:42pm Dec 28, 2015 1:42pm
Quoting billmac3
Thanks Chris and mzvega for the info. I don't remember reading about Shape Factor 'SF' in VBPT, MOM, MIP or CBOT manual. The Cisco site is mostly down now and has been for a week or more. Is there a formula for SF? If so, I would greatly appreciate using it in my program. I'm mostly done with it and will show all soon. It bypasses MT4 almost entirely and allows for fast, easy analysis of any pair/CFD in any/all MT4 Marketwatchs I happen to have open. Basically, I have an EA that saves all bar info to a file which my program then reads into memory...
In this example is the daily, it wouldn't hurt me to include the other tf's so I have a quick reference at a glance But using those counts imo, will help in developing your own SF formula. I haven't developed a formula yet, but a quick visual of the data allows me to see the shape of the distribution.
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Markets are not efficient, rather they are effective - Jones
  • #512
  • Dec 29, 2015 5:52am Dec 29, 2015 5:52am
Hi mzvega.

What book do you recommend for anyone wanting to understand the Auction Market Theory?
I plan on buying the "Practical Applications of Trading Market Profile" Tom Alexander , what do you think ?



Thank you
  • #513
  • Dec 29, 2015 8:37am Dec 29, 2015 8:37am
Quoting Matheuzera
Hi mzvega. What book do you recommend for anyone wanting to understand the Auction Market Theory? I plan on buying the "Practical Applications of Trading Market Profile" Tom Alexander , what do you think ? Thank you
Post #1
and
http://www.forexfactory.com/showthre...19#post8651119
Markets are not efficient, rather they are effective - Jones
  • #514
  • Dec 29, 2015 9:16am Dec 29, 2015 9:16am
Quoting mzvega
{quote} Post #1 and http://www.forexfactory.com/showthre...19#post8651119

Thank's ! I'm reading Cisco Futures website..
I get the books on the first post.

Thank you mzvega
  • #515
  • Jan 1, 2016 9:29am Jan 1, 2016 9:29am
Quoting mzvega
{quote}a MP "non trend day" It is characterized by no extension outside the Initial Balance Period. A mp "Normal Variation Day", It is characterized by extension beyond the Initial Balance Period. Use this link. https://web.archive.org/web/20151107...o-futures.com/
Great thread thanks mzvega, I recently read a statement along the lines of 'TPO analysis within the IB range can tell us if trading is dominated in public or institutional control' please could you tell us your thoughts regarding this statement if possible? many thanks
  • #516
  • Jan 1, 2016 3:00pm Jan 1, 2016 3:00pm
Quoting JohnDalio
{quote} Great thread thanks mzvega, I recently read a statement along the lines of 'TPO analysis within the IB range can tell us if trading is dominated in public or institutional control' please could you tell us your thoughts regarding this statement if possible? many thanks
Part 1 of answer........
Four Types of Trading on the Floor: The Participants

Floor Members: These are the 'middlemen'. They do about sixty percent
of volume. They seek a well defined fair price, and hence are happiest
with balanced markets. Known as 'short timeframe traders', they are in
control during the initial balance, or approximately the first hour of
the trading day. Floor members end the day with no open trades. Floor
members are identified as Cti1 in the Liquidity Data Bank Report

Commercial Members: These are the 'businessmen' on the floor. They trade
for their institutions. They know value better than any other type of
trader. They are in control in balanced markets, where they buffer the
edges of the distribution. Commercials end the day either hedged or out
of the market. Commercial members are identified as Cti2 in the
Liquidity Data Bank Report (see below).

Off Floor Members: Members trading from screens outside the floor.
Otherwise very similar to Floor Members. Off floor members are identified
as Cti3 in the Liquidity Data Bank Report

The Public: (members trading for): Speculators, funds and all others
outside the first three types. This type takes both long and short term
positions in the market. Usually long timeframe traders, they dominate
the trends and drive prices away from the center (value) in balanced
markets. The Public ends the day with positions open, creating demand.
Members trading for the public are identified as Cti4 in the Liquidity
Data Bank Report

Two Primary Trader Time Frames

Short Timeframe Trader: Floor members, commercials (sometime), off floor
members and public (at trend end). Provide about 80% of trading volume.
Must trade. Floor controls market's first hour (initial balance).
Commercials control balanced markets (buffer tops and bottoms). Short
timeframers like stable, balanced markets. Can support slow trends.
Short timeframers must trade, it is their living.

Long Timeframe Trader: Commercials (when buffering tops and bottoms),
Public (except at end of trend). Provide about 20% of volume. Do not
have to trade, pick advantageous entries. Are present beyond the initial
balance, their entry moves the market. Drive trends.


The ratio of long/short timeframers mix varies. Market understanding
comes, in large part, from isolating and understanding, collectively,
what each timeframe trader is doing.
Markets are not efficient, rather they are effective - Jones
  • #517
  • Jan 1, 2016 3:02pm Jan 1, 2016 3:02pm
Quoting mzvega
{quote} Part 1 of answer........ Four Types of Trading on the Floor: The Participants Floor Members: These are the 'middlemen'. They do about sixty percent of volume. They seek a well defined fair price, and hence are happiest with balanced markets. Known as 'short timeframe traders', they are in control during the initial balance, or approximately the first hour of the trading day. Floor members end the day with no open trades. Floor members are identified as Cti1 in the Liquidity Data Bank Report Commercial Members: These are the 'businessmen'...
part 2.........
Keep in mind, references/ref points are the Raw data used for analysis
Profiles (MP) is just a tool. In order to use the tool correctly, you need to understand how auction markets operate, as well as its Participants.

We know that floor traders, are short tf participants, end the day flat (creating no demand), and make up about 60% of the days trading volume. We also know they dominate the initial balance period

The refs IB range, tpos in IB range, TPOs above & below, therefore it also has a poc, an imbalance can be identified. That shows you their motivations and intent. The % of tpos in the IB relative to the total tpos allows you to identify & isolate market activity, which creates no demand.

Commercials (when buffering tops and bottoms), Public (except at end of trend). Provide about 20% of volume. We know they operate at the extremes. By using TPO analysis at the extremes & outside the IB (in this thread VA), in a similar way allows us to identify the motivations & intents of those participants.

This is a crude explanation, but to make it short, understanding How and where each of the Participants operate within a profile and then monitor it (takes effort). Auction Market Analysis allows you to estimate what % of market participants did what, where, and by how much. EOD analysis, will tell you if the days activity was dominated by public or institutional control. TPOs within the IB range is a reference (variable). Used in isolation wont provide any insight.

IB is an old legacy MP concept exclusive to CBOT, CME. And with the now 24h trading, somewhat obsolete, imo. It might have some value to someone who trades exchange hours. But IB belongs to old legacy MP which uses daily profiles. We dont use MP methodology, or daily profiles in this thread. We use the data from the daily profile for analysis.

There is value in tpos within the IB, for those who trade daily profiles. But that is something we dont practice here. However, we do use the data for analysis.

Both MOM & VBPT go into great detail about how each of the different Market Participants operates.
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Markets are not efficient, rather they are effective - Jones
  • #518
  • Jan 1, 2016 8:39pm Jan 1, 2016 8:39pm
Quoting mzvega
{quote} part 2.........
Astounding knowledge mzvega, much appreciated, will read thread twice.
  • #519
  • Jan 3, 2016 1:18pm Jan 3, 2016 1:18pm
The Market Unit (tm)
By Donald L. Jones, March 17, 2005
Copyright 2005
Foreword
Auction market analysis is based on value. Day value is from Market Profile/ Meta-Profile and longer term value comes from the Overlay Demand Curve. (Market Profile is from a CBOT Liquidity Data Bank, Meta-Profile is from tick data.) Constant value defines a market in balance. Changing value (trend) starts from balance, runs directionally, stops changing and ultimately ends back in a balance. The process of balance-to-trend and back to balance is a Market Unit. The elapsed time of a market unit varies from unit to unit. A series of market units forms a new, deeply revealing sort of market data. A market in balance offers traders quantitative knowledge of their market. Balance limits (upper and lower), center of value and price range are all parameters highly useful in a trade set-up.

We begin by a simple examination of the structure of markets in general. Markets move in waves, from high to low and low to high etc., continuously. The time to complete a wave varies from wave to wave. One cycle might be 10 days and the next can be 30 days in a completely irregular manner. Likewise, the amplitude from top to bottom of a wave varies widely. For instance from April 7 to September 2003 for the SP there were 5 complete waves. The number of days per wave varied from 13 days to 28 days. An example of wave dates and their amplitude illustrates the irregularity.
Attached Image


In this short run (under six months), wave periods varied by over a factor of two. In the earlier months of 2003 the variation in period was a factor of three. Such variations are found in all markets. We conclude that markets show little regularity. A consequence is that 'smoothing', as with moving averages, is on a slippery slope indeed since there is no general smoothing value (e.g. the 14 days in Wilder's book on technical analysis). These results play a major role in the general ineffectiveness of technical analysis based on moving averages and oscillators. However, we are primarily interested in the support lent to the market unit studies by this look at market variability. Market unit analyses flesh out our bare-bones study of market waves.
Markets are not efficient, rather they are effective - Jones
  • #520
  • Jan 3, 2016 1:31pm Jan 3, 2016 1:31pm
A market unit of an auction market is defined by the markets progression: from the start of a balance, to the end of the balance (breakout), through a trend phase and then back to the start of the next balance. Balance, or short term equilibrium, is a non-directional, volatility dominated time period. Breakout from the balance initiates a directional, or trend, phase. As the trend decays, a new balance initiates the next unit. The market over time is merely the conjoining of the separate market units as they evolve. Balances and trends are market defined and hence market units have neither a standard time period nor a standard amplitude for their trends. Market condition (balancing or trending) is a local descriptor of the current state of the market and defies generalization (e.g. the previous market unit was ten days, so this one will be around ten days). Knowing where you are within a market unit is imperative to the trader. Inside the balance you are dealing with non-directional volatility. In the trend, market movement is dominated by directionality, with volatility secondary.

The market unit is the fundamental element of market structure. It is the primary element of information for market understanding. As a market unit develops, the first phase, balance, arises out of the dying trend. Then, breakout from balance signals a potential change in market condition from balance to directional. The directional phase includes any trending and the prelude, consolidation, to end of trend. As the market returns to non- directionality, the balance phase of the next market unit begins.

Market units break a market into discrete pieces. Each piece follows it's own scenario; spending time in balance and then being driven in the directional phase.

The Market Unit (tm)
By Donald L. Jones, March 17, 2005
Copyright 2005
Markets are not efficient, rather they are effective - Jones
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