Attachments: Auction Market Value Theory & Analytics

Auction Market Value Theory & Analytics

#1,001
Dec 22, 2016 10:31pm Dec 22, 2016 10:31pm

ruma29
| Membership Revoked | Joined Aug 2015 | 1,243 Posts

Quoting thetail

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{quote} Which question ruma ? Can you point me?

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make some effort and read page #50

#1,002
Edited 7:15am Dec 23, 2016 7:04am | Edited 7:15am

thetail
| Joined Oct 2016 | Status: Trader | 80 Posts

Quoting ruma29

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{quote} make some effort and read page #50

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done ... and ...

Quoting ruma29

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what is reference number for SF( complete bell curve) since it is calculated : i saw bellow 1 and above 5?

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... that's no so clear what you ask, so I write something, hope can helps you.

SF from csv data is simply the ratio between "TPO above POC" and "TPO below POC" , so SF= TPO_AB /TPO_BL; I'm planning to remove that 2 columns from my report and use only the ratio.
This parameter taken alone can't give you complete information about "quality" of the bell curve, 1 identify an equal number of TPO above and below but distribution may not looks as a bell curve.
SF used in VBPT book and CISCO website use a different proprietary algorithm.

#1,003
Dec 23, 2016 7:50am Dec 23, 2016 7:50am

dljonesFan
| Joined Oct 2015 | Status: Trader | 159 Posts

Quoting thetail

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{quote} done ... and ... {quote} ... that's no so clear what you ask, so I write something, hope can helps you. SF from csv data is simply the ratio between "TPO above POC" and "TPO below POC" , so SF= TPO_AB /TPO_BL; I'm planning to remove that 2 columns from my report and use only the ratio. This parameter taken alone can't give you complete information about "quality" of the bell curve, 1 identify an equal number of TPO above and below but distribution may not looks as a bell curve. SF used in VBPT book and CISCO website use a different proprietary...

Ignored

Hi tail,

you should not remove buyer seller tpos rfpoint.
Jones states that the buyer and seller tpos give you significant information about the balance behaviour (and you should only use that rfpoint in balances).

greetings
C

#1,004
Dec 23, 2016 8:02am Dec 23, 2016 8:02am

ruma29
| Membership Revoked | Joined Aug 2015 | 1,243 Posts

Quoting thetail

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{quote} done ... and ... {quote} ... that's no so clear what you ask, so I write something, hope can helps you. SF from csv data is simply the ratio between "TPO above POC" and "TPO below POC" , so SF= TPO_AB /TPO_BL; I'm planning to remove that 2 columns from my report and use only the ratio. This parameter taken alone can't give you complete information about "quality" of the bell curve, 1 identify an equal number of TPO above and below but distribution may not looks as a bell curve. SF used in VBPT book and CISCO website use a different proprietary...

Ignored

Thank you. I thought that SF is shape factor.

#1,005
Dec 23, 2016 8:30am Dec 23, 2016 8:30am

dljonesFan
| Joined Oct 2015 | Status: Trader | 159 Posts

Quoting ruma29

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{quote} Thank you. I thought that SF is shape factor.

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Hi ruma,

sf=shape factor. Jones shows us that: shape factor=1=perfect bell curve. Thats all.

greetings
C

#1,006
Dec 23, 2016 9:11am Dec 23, 2016 9:11am

thetail
| Joined Oct 2016 | Status: Trader | 80 Posts

Quoting ruma29

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{quote} Thank you. I thought that SF is shape factor.

Ignored

Yes, it's Shape Factor, I thought it was already clear

Quoting dljonesFan

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{quote} Hi ruma, sf=shape factor. Jones shows us that: shape factor=1=perfect bell curve. Thats all. greetings C

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but just for clarity, as I stated above, you can't compare our SF_exportedindicator with the SF_cisco, they are not comparable.
SF_cisco=1 is a perfect bell curve for sure, SF_exportedindicator=1 may or may not be a perfect bell curve.

#1,007
Dec 23, 2016 9:19am Dec 23, 2016 9:19am

thetail
| Joined Oct 2016 | Status: Trader | 80 Posts

Quoting dljonesFan

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{quote} Hi tail, you should not remove buyer seller tpos rfpoint. Jones states that the buyer and seller tpos give you significant information about the balance behaviour (and you should only use that rfpoint in balances). greetings C

Ignored

Oh yes sure, but I don't want to remove them from the calculation,
I only visually remove them from the last 2 columns from my report and substitute them with the SF, so I have same info, but concise and in less space

#1,008
Dec 23, 2016 8:39pm Dec 23, 2016 8:39pm

ruma29
| Membership Revoked | Joined Aug 2015 | 1,243 Posts

Anyone has composite indicator with alert? excel sheet /data base(ms access or other) with alert?

#1,009
Edited 1:59pm Dec 25, 2016 1:42pm | Edited 1:59pm

mzvega
Joined May 2009 | Status: Trader | 1,879 Posts

Quoting mzvega

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{quote} ............ Many of the earlier links in the thread no longer work and need updating, but all links can be found in the following links. I will post a list of updated links from previous posts when I have a minute................

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Markets are not efficient, rather they are effective - Jones

#1,010
Dec 25, 2016 6:14pm Dec 25, 2016 6:14pm

bignuts
| Joined Mar 2016 | Status: Trader | 10 Posts

@mzvega post #1009 is pure gold.. I finished the books yesterday i was trying to figure out all the info on the website starting at FAQ! That's perfect for me..

#1,011
Dec 27, 2016 8:59am Dec 27, 2016 8:59am

dljonesFan
| Joined Oct 2015 | Status: Trader | 159 Posts

Quoting thetail

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{quote} Yes, it's Shape Factor, I thought it was already clear {quote} but just for clarity, as I stated above, you can't compare our SF_exportedindicator with the SF_cisco, they are not comparable. SF_cisco=1 is a perfect bell curve for sure, SF_exportedindicator=1 may or may not be a perfect bell curve.

Ignored

Hey tail,

yes the SF from the composite mt4 indi and Jones SF are NOT the same (different calc). I dont use the SF and never used it. Why should I? You can clearly see the dists on the screen....

Greetings
C

#1,012
Edited 11:57am Dec 27, 2016 10:37am | Edited 11:57am

global3
| Joined Jul 2008 | Status: Trader | 134 Posts

Hi dljonesFan,

I only discovered this thread a couple of weeks ago and I'm fascinated by this discovery. Thank you all for making this knowledge available and readily accessible by putting all the parts in perspective. I'm still reading MOM and VBPT and still reading through the thread. When I'm finished reading those sources, I'll start to build my spreadsheet to interpret all the references. As far as I understand, knowing whether or not the market condition is balanced (bracketed or non-bracketed) is essential before any further analysis is done. I know that the Multiple Composite Profile Indicator (MCPI) tells us if the market condition is balanced but is the Shape Factor as SF = (TPO_AB / TPO_BL) an essential part of that formula? If it is and Jones' SF is part of his original balanced market formula and the MCPI's SF is different, then wouldn't that inject error into the MCPI's balanced market condition calculation? Please forgive my ignorance but rather than wait until I'm finished reading all the sources I decided to ask this question anyway since the answer may be helpful to others new to this thread. Thanks and I'm looking forward to hearing more.

#1,013
Dec 27, 2016 11:42am Dec 27, 2016 11:42am

dljonesFan
| Joined Oct 2015 | Status: Trader | 159 Posts

Quoting global3

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Hi dljonesFan, I only discovered this thread a couple of weeks ago and I'm fascinated by this discovery. Thank you all for making this knowledge available and readily accessible by putting all the parts in perspective. I'm still reading MOM and VBPT and still reading through the thread. When I'm finished reading those sources, I'll start to build my spreadsheet to interpret all the references. As far as I understand, knowing whether or not the market condition is balanced (bracketed or non-bracketed) is essential before any further analysis is done....

Ignored

Hi global,

there is no formula for balanced markets.

greetings
C

#1,014
Dec 27, 2016 12:04pm Dec 27, 2016 12:04pm

thetail
| Joined Oct 2016 | Status: Trader | 80 Posts

Quoting dljonesFan

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{quote} Hey tail, yes the SF from the composite mt4 indi and Jones SF are NOT the same (different calc). I dont use the SF and never used it. Why should I? You can clearly see the dists on the screen.... Greetings C

Ignored

SF is one of the references that can be useful to understand what happens in the market.
For example, if there is a bracket, the flow is neutral and SF is >1 (so TPO_AB>TPO_BL) probably I get more chance that the market goes south then if SF<1.

I analyze and trade (if there's an opportunity) all 28 pairs that consists of 7 profile each, it's easier to look at all references in the report and make comparative analysis using the database then scrolling all pairs and eyeballing the screen, so I can easily discard bad pairs. After the selection I look at the charts.
The printed report allow me to take notes at the end of day, ( or when the market is slow, or during weekend ) and check if and how references and levels has worked and try to discover some "hidden holy grail"

#1,015
Edited 12:54pm Dec 27, 2016 12:43pm | Edited 12:54pm

ruma29
| Membership Revoked | Joined Aug 2015 | 1,243 Posts

Quoting dljonesFan

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{quote} Hi global, there is no formula for balanced markets. greetings C

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Really? Indicator MP-Multi Composite Profiles calculate RF, gives the message: BRACKETING....NO-BRACKETING. Indicator itself has no AI ( artificial intelligence) to think and recognize something by itself. there are numbers calculated based on some formula(s) to be compared and acordingly give a message BRACKETING....NO-BRACKETING.

bellow are some definitions to support above ...
Balance - commonly referred to as consolidation, wedge, flags, pennents, triangles, trading ranges, brackets, balance areas, congestion areas, and consolidation ranges etc which are all tantamount to the establishment of value and trade facilitation where rotational two-sided trade is taking place within a defined bracket. Balance is fractal, thus, it appears on charts in all timeframes from Tick charts to Monthly charts. These areas on the intra-day chart present fade-trade opportunity galore for the patient and informed day trader.

Rotational Market- a market confined by an upper price limit and a lower price limit and rotating back and forth from one side to the other. Also called a balanced or bracketed market.
RF=> rotational factor

Imbalanced Market - a trending market that is being dominated by Commercial/Longer Timeframe traders and lacks two-sided trading.

Bracket - a very well defined trading price range containing market activity within its upper and lower limits such that it provides the disciplined trader with opportunity to timely deploy a Bracketed Buy Order or Bracketed Sell Order.

So is there formula?

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#1,016
Dec 27, 2016 12:53pm Dec 27, 2016 12:53pm

mzvega
Joined May 2009 | Status: Trader | 1,879 Posts

"Each of the 30 or so reference points in the Value Analytics table have the potential for contributing information about the market's intent. Each profile variable, by itself, rarely dominates. It is the collective that counts. (This is the reason that traders who concentrate on value area alone find a high variability in their trading results.)

Not all reference points are important in any one case. You must learn about each of them and how to discriminate. This is called experience. In some profile teaching the operative word is 'holism', looking into the pot with some 30 or so elements and somehow divining which control the taste today. Value Analytics goes the other way, separating the elements, measuring them and their flow individually and eliminating those that do not apply to the case at hand. Feedback is involved: if your understanding of a particular item (say trade facilitation) is in error and you continually make that error in your market strategy; your error will become apparent to you rather quickly. This illustrates the value of isolating the reference points and examining them individually...."
https://web.archive.org/web/20130902164723/http://cisco-futures.com/amva_background.html

There are 30 or so reference points..each one is a descriptor which and carries it's own information. All tools use a set of references. Which references depends on the tool and the trader.

Value area is not a Bracket, nor is VA calculation the same as a bracket calculation. In VBPT, Value (Big "V") is not the same as value (Little "v") Those are 2 very different references, have there own calculations, and carry there own info is describing the market They are not used interchangeably to mean the same thing.

If you model your spreadsheets after the examples in the source material, using the data sets describe in the source material, it will explain what references to use, what they mean and how to read it.

Different tools use different data sets i.e. net flow analysiswhen you read and understand the source material . The source material explains what we are measuring and why.

As per the source material Net flow uses "directional" & "Activity" references.
SF describes the shape & "quality" of a profile, it is not a "directional" reference. Nor is it a measure of "activity".

If it is neither a "directional" or "activity" measure, It has no place in the net flow calculations

Just like att dir is a reference, although a reference that carries it's own info, it is not added to the Net count. It is a "predictive" measure and therefore not used in net flow analysis

SF describes the "quality" of something, it is not a "directional" reference. Nor is it a measure of "activity". If it's not a "directional" reference. Nor is it a measure of "activity". What purpose would it serve in the netflow analysis?

"Not all reference points are important in any one case. You must learn about each of them and how to discriminate.."

This is why I stress the point of not putting the cart before the horse. You cant perform calculations on references, if you dont know the definition of each reference, and how each reference is calculated, what it calculates, and how to read it, first.

The first thing you learn about overlays is what defines a Bracket/Balance it's (quantitative measure not a formula). If you haven't read the absolute basic of what an overlay is and what defines a bracket, you haven't read VBPT.

It's the first thing you learn about overlay's!

Markets are not efficient, rather they are effective - Jones

#1,017
Dec 27, 2016 1:18pm Dec 27, 2016 1:18pm

mzvega
Joined May 2009 | Status: Trader | 1,879 Posts

Quoting thetail

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{quote} SF is one of the references that can be useful to understand what happens in the market. ........

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Can you provide me with a reference & page from VBPT that provides an example how & why the SF is used in analysis?

TPO_AB>TPO_BL , TPO_BL>TPO_AB ,TPO_AB/TPO_BL....... none = SF
They are TPO measures of imbalance , and have nothing to do with the "quality" of the shape of the profile. It seems you missed TPO analysis in both MOM and VBPT.

Markets are not efficient, rather they are effective - Jones

#1,018
Dec 27, 2016 1:21pm Dec 27, 2016 1:21pm

ruma29
| Membership Revoked | Joined Aug 2015 | 1,243 Posts

{SF describes the shape & "quality" of a profile, it is not a "directional" reference.

SF describes the "quality" of something, it is not a "directional" reference.}

Right. it has number , it is compared to reference (IF, THEN, =, >,<...formula) in order to "describe something"

-----

Bracketing L, Bracketing S comes from IF, THEN which creates formula, compare to something , has reference to be measurable. Excel spread sheet has no artificial intelligence nor educational classes from JD to conclude about market...intention , advertising/ trending, if market is efficient or inefficient ...must have numbers,, formulas , criteria, reference..Colors have numbers too to be compared or determined; excel sheet is not color blinded...work by numbers and formulas, doesn't need to read VBPT. "Today will be rain, 5-10mm" Quantitative measure? Excel sheet will not give message: "take umbrella" unless instructed with formulas IF, THEN = > <

#1,019
Dec 27, 2016 1:45pm Dec 27, 2016 1:45pm

mzvega
Joined May 2009 | Status: Trader | 1,879 Posts

Quoting ruma29

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{quote} Really? Indicator MP-Multi Composite Profiles calculate RF, gives the message: BRACKETING....NO-BRACKETING. Indicator itself has no AI ( artificial intelligence) to think and recognize something by itself. there are numbers calculated based on some formula(s) to be compared and acordingly give a message BRACKETING....NO-BRACKETING. bellow are some definitions to support above ... Balance - commonly referred to as consolidation, wedge, flags, pennents, triangles, trading ranges, brackets, balance areas, congestion areas, and consolidation...

Ignored

In big red letters posted at the beginning of the thread it states This is not a MP thread..The topic of the thead is Value Analytics, not MP. So it is inappropriate to post references from "Market Profile Trading A to Z".
http://www.itradepod.com/home/glossaryb

None of those references & definitions apply here, AMVA has it's own definitions & calculations.
But you wouldnt know that , because you refuse to read the material related to the topic of the thread.

Those definitions can be found in VBPT as they relate to the thread

If you are not going to read the thread, or the source material, do not participate here.
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Markets are not efficient, rather they are effective - Jones

#1,020
Dec 27, 2016 2:11pm Dec 27, 2016 2:11pm

global3
| Joined Jul 2008 | Status: Trader | 134 Posts

Thanks for all the responses. Looks like I need to do some more reading

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