# Price by volume vs. Market profile



## jj1929 (7 March 2007)

Are they the same?
My charting software does not allow market profile but allows price by volume.


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## tech/a (8 March 2007)

*Re: Price by volume vs Market profile*

No Not even close.

There is a heap of info here.
One of the few Technical methods which I think are worth the time (years) to learn.From what Ive seen its pretty powerful in the right hands.

I have pretty well all of Peter Steidlmayers books,and have a basic knowledge.

The best book is the E'book on the site below.

http://www.cbot.com/cbot/pub/page/0,3181,1168,00.html

Just noticed that charting Seems to be available now.
You could only lease it for ages.

*By the way the Chicago board of trade wouldnt be putting their name to it if it was rubbish.*


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## MRC & Co (15 April 2008)

*Re: Price by volume vs Market profile*

Yeh, I just came accross Market Profile for the first time!  Looks like it could be extremelly useful, but . Looks completely 

Don't think I would ever undertake study of this to become proficient, would just subscribe to an analysis already undertaken with outcomes of whether or not Market Profile is pointing up or down.

Anyone used this yet to help with their trading and any comments?


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## CFD (15 April 2008)

*Re: Price by volume vs Market profile*

Still trying to relate it to shares.


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## tech/a (15 April 2008)

*Re: Price by volume vs Market profile*

Simply a plot built up using 15 min data.
You develope a profile of both price plot and volume with each 15 min of charting.
This then gives you one of 3 distribution patterns.

There you go years of study in a few sentences.


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## Kauri (15 April 2008)

*Re: Price by volume vs Market profile*

I've beeeen trying it out on FX... haven't got too far in the interpretation stakes yet..    but have a pretty vetical graph..  :  

Cheers
..........Kauri


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## Timmy (9 June 2009)

*Re: Price by volume vs Market profile*

I found this free software that plots Market Profile: ATrader

It needs a live feed and is so far working with Interactive Broker data feed (and its limitations) or DTN data feed.  

I haven't used the software or even downloaded it yet so DYOR if it is any good/useful to you or not.  I have no connection with them etc., just drawing ASFers attention to something that is priced well (can't beat free).


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## CanOz (23 July 2012)

*Re: Price by volume vs Market profile*

It Seems there was some interest in Market Profile earlier on ASF.

Once you've traded with the DOM for a while, this seems like such a logical extension of that method to the higher time frame.

Cheers,


CanOz


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## sinner (23 July 2012)

The problem with Market Profile is that it is the application of parametric statistics and inferences when the market is clearly a non-parametric system.

It's like believing in Black Scholes distribution of events or Efficient Market Hypothesis. Which is why CBOT and everyone else loved it in the 80s, they were so busy convincing themselves that price fits into a normal distribution.

If you have an understanding of non-linear/non-parametric statistics, chaos theory and entropy, if you accept the market is a chaotic system where certain events occur with much more frequency than if they were random then you know that Market Profile is not going to generate you consistent profits. Ever.

In non-linear systems, complex behaviour comes from simple iterations and non-linear feedback. That is all!



> Fractals are generated by iterating a function…or by applying a feedback loop to a system.
> 
> (Iterating a function means that you take the output from the equation and feed it back into the equation.)
> 
> A “Fractal” then, is what “emerges” from these feedback systems. We call this the “emergent property” of the system.




I notice Joules likes to follow "FT71", who I watched a few webinars of his live trading, and he confirms himself that he does not trade on new highs/new lows, basically confined to previous ranges.

Worthwhile reading from Taleb
www.fooledbyrandomness.com/GIF.pdf "The Bell Curve, That Great Intellectual Fraud"


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## CanOz (23 July 2012)

sinner said:


> The problem with Market Profile is that it is the application of parametric statistics and inferences when the market is clearly a non-parametric system.
> 
> It's like believing in Black Scholes distribution of events or Efficient Market Hypothesis. Which is why CBOT and everyone else loved it in the 80s, they were so busy convincing themselves that price fits into a normal distribution.
> 
> ...




Yeah that's right, the volume there has a shelf life, and price seems to react to more recent areas in a trade-able manner.

As Joules says though it more about the auction process and how the various participants are accepting or rejecting price...value. What are their intents, where are they positioned as well, they all have different motives. It is difficult for me to articulate the auction process as i've learned so far, but its hardly random in my opinion. 

Is an auction of steers at the sale yards random?

CanOz


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## Trembling Hand (23 July 2012)

sinner said:


> The problem with Market Profile is that it is the application of parametric statistics and inferences when the market is clearly a non-parametric system.
> 
> It's like believing in Black Scholes distribution of events or Efficient Market Hypothesis. Which is why CBOT and everyone else loved it in the 80s, they were so busy convincing themselves that price fits into a normal distribution.
> 
> ...




If you can accept that the *way *price moves is random then all thats left for me to play with is simple direction, range and time.

:venus:


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## sinner (23 July 2012)

Trembling Hand said:


> If you can accept that the *way *price moves is random then all thats left for me to play with is simple direction, range and time.
> 
> :venus:




How come you get to play with it if I'm the one doing the accepting? :

But, yes. Agree.

http://www.reinventing-business.com/2011/03/limits-to-knowing-our-limitations.html


> Ultimately, if you try to assert that you know the capital-T Truth about something you'll almost certainly be wrong. But if you take instead Taleb's prescription and become a "skeptical empiricist," you'll always focus on finding something useful to do with the data and avoid as much as possible creating a model -- unless it turns out to be helpful. If you do create a model, you will be ready to throw it away at a moments notice by not ascribing any special qualities to it -- most especially Truth. This is why the Agilist approach of collecting data and using that data only to estimate what can be accomplished in the next iteration works well. This approach intuitively understands the limitation of the billiard-ball problem: just because you can make a pretty good approximation of what happens next, doesn't mean you have a spreadsheet formula that tells you what happens any time after that.


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## CanOz (23 July 2012)

sinner said:


> How come you get to play with it if I'm the one doing the accepting? :
> 
> But, yes. Agree.
> 
> http://www.reinventing-business.com/2011/03/limits-to-knowing-our-limitations.html




Can we just accept this as being adaptive to the unfolding auction process? i.e. don't be locked into a scenario just because your analysis tells you that x or y could happen. Use the current feedback from the market to form decisions...

Sorry Sinner, i just can't frame it up as well as you do in your complex terminology! 


CanOz


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## sinner (23 July 2012)

CanOz said:


> Can we just accept this as being adaptive to the unfolding auction process? i.e. don't be locked into a scenario just because your analysis tells you that x or y could happen. Use the current feedback from the market to form decisions...
> 
> Sorry Sinner, i just can't frame it up as well as you do in your complex terminology!
> 
> ...




If you can show me the red highlight in realtime CanOz, I'd be a lot more convinced. For now I am still of the opinion that all the mathematical reasons MP was abandoned by quants in the 80s still tend to hold as valid compared to the reasons proponents give for using it.

You see plenty of HFT algos written using DOM, sure, haven't seen any written using MP!


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## CanOz (23 July 2012)

sinner said:


> If you can show me the red highlight in realtime CanOz, I'd be a lot more convinced. For now I am still of the opinion that all the mathematical reasons MP was abandoned by quants in the 80s still tend to hold as valid compared to the reasons proponents give for using it.
> 
> You see plenty of HFT algos written using DOM, sure, haven't seen any written using MP!




Market Profile, as Peter Steidlmayer first developed is not actually traded by that many now as electronic trading has become the norm. It is still used however, as way to structure the market. Most of the price acceptance/rejection you see are areas of past high volume and areas of past low volume.

As Nick said to me one time "if it gives you the confidence to pull the trigger and you can generate a positive expectancy, then use whatever you want", i guess time will tell for me. In the meantime this is something that makes sense to me, that i can relate to and that helps me frame the market. I'm trading off of support and resistance,as it shows up on the volume profile. My entries need to be confirmed by the action at the market, on the DOM and the volume ladder.  

You don't see to many quants trading at Prop shops either i suspect, most are all discretionary traders following the big boys around.

I'm not quite sure what your getting at overall, but I'm not a quant. Perhaps you can just say that "all discretionary trading does not work" as well? If you can't "quantify" it it cannot work...?

CanOz


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## sinner (23 July 2012)

CanOz said:


> As Nick said to me one time "if it gives you the confidence to pull the trigger and you can generate a positive expectancy, then use whatever you want",




Agree with this.



> i guess time will tell for me. In the meantime this is something that makes sense to me, that i can relate to and that helps me frame the market. I'm trading off of support and resistance,as it shows up on the volume profile. My entries need to be confirmed by the action at the market, on the DOM and the volume ladder.




Fair enough.



> You don't see to many quants trading at Prop shops either i suspect, most are all discretionary traders following the big boys around.




I disagree here, I know a couple of quants working prop and their work (similar to work done at many other shops according to them!) is based around principal component analysis and similar tools, not (very) discretionary and not following flows. 



> I'm not quite sure what your getting at overall, but I'm not a quant. Perhaps you can just say that "all discretionary trading does not work" as well? If you can't "quantify" it it cannot work...?
> 
> CanOz




Nah, that's not the point I'm trying to make, just been waiting to raise the discussion about linear versus non-linear models since you've been discussing Market Profile a lot recently. I personally have been unable to successfully quantify intraday trading so use my models for sizing and bias rather than signals and triggers so I'd be the last person to say you *need* to quantify it. Just trying to make sure you don't get "fooled by randomness"  Fact: The market is non-linear. Fact: you are using a linear model. That's all. (said the Bollinger band lover


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## CanOz (23 July 2012)

sinner said:


> I personally have been unable to successfully quantify intraday trading so use my models for sizing and bias rather than signals and triggers so I'd be the last person to say you *need* to quantify it. Just trying to make sure you don't get "fooled by randomness"  Fact: The market is non-linear. Fact: you are using a linear model. That's all.




That's cool, and i appreciate your view...but although i post the market structure, a basic plan and my trades. You still don't know how i am deciding to enter the trades...I don't believe for a minute that i am using my volume profile as market profile was first developed to be used. This is only for providing me with areas to pay attention to. 

It puts the market in context for me. Helps me plan the session and things i need to pay attention to. I can't just sit and stare at the DOM all day, and I'm not wanting to be scalping in and out all day.

CanOz


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## Farang (11 August 2012)

sinner said:


> The problem with Market Profile is that it is the application of parametric statistics and inferences when the market is clearly a non-parametric system.
> 
> It's like believing in Black Scholes distribution of events or Efficient Market Hypothesis. Which is why CBOT and everyone else loved it in the 80s, they were so busy convincing themselves that price fits into a normal distribution.
> 
> ...




The thing is MP in its original form isn't even parametric stats, it's complete nonsense from a statistical perspective. Price values don't even come close to a normal distribution, or any distribution for that matter. Logaritmic close to close returns are modeled in basic quant models as a normal distribution, BSM model for example. I find market returns seem to fit a student t distribution as the closest quantifiable distribution, with usually between 3-10ish degrees of freedom. However variance, skewness and kurtosis are constantly changing, but the t distribution is a better fit for the fat tailed returns.

However saying that, I like MP from the price rejection vs acceptance point of view. The volume profile makes much more sense to me personally rather than the old time/price method.

I'm very interested in your view on non-linear methods, do care to elaborate? I havn't studied chaos theory yet but I have found many non-linear techniques to be less robust than simple linear methods. For example neural nets and MARS seem to fall apart far more often than simple multifactor OLS or logistic regression. Although regime switching methods such as TAR and related, I have found to be slightly better than their linear counterparts such as ARIMA at predicting smoothed/filtered signals.

Just out of interest, are your friends in the propshops using PCA trading fixed income?


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## sinner (12 August 2012)

Farang said:


> The thing is MP in its original form isn't even parametric stats, it's complete nonsense from a statistical perspective. Price values don't even come close to a normal distribution, or any distribution for that matter. Logaritmic close to close returns are modeled in basic quant models as a normal distribution, BSM model for example. I find market returns seem to fit a student t distribution as the closest quantifiable distribution, with usually between 3-10ish degrees of freedom. However variance, skewness and kurtosis are constantly changing, but the t distribution is a better fit for the fat tailed returns.








> I'm very interested in your view on non-linear methods, do care to elaborate?




Maybe over PM or in a new thread would be better, but happy to.



> havn't studied chaos theory yet but I have found many non-linear techniques to be less robust than simple linear methods. For example neural nets and MARS seem to fall apart far more often than simple multifactor OLS or logistic regression. Although regime switching methods such as TAR and related, I have found to be slightly better than their linear counterparts such as ARIMA at predicting smoothed/filtered signals.




Not all machine learning models are up to the task of financial market prediction. Personally, Support Vector Machines I find to be very good for the job and this is backed up by plenty of research. I also have been doing some work using Decision Trees but the internals of how a decision is made are much more opaque (by design) so it's harder to trust psychologically to actually trade than with SVM which is very robust and easy to trust.

Regime switching is definitely a must! Check out SWARCH as an example of something I like *a lot*. There is even a pretty good SWARCH model on the net for free if you have GAUSS. Hint: volatility is much much easier to predict than price itself.



> Just out of interest, are your friends in the propshops using PCA trading fixed income?




AFAIK its equities. The components aren't necessarily what you'd think.


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## CanOz (12 August 2012)

Farang said:


> However saying that, I like MP from the price rejection vs acceptance point of view. The volume profile makes much more sense to me personally rather than the old time/price method.




+1

Do you use VP in your trading? If so, would you mind commenting on my blog?

Cheers,

CanOz


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## Joules MM1 (19 September 2012)

the only thing i recall is that Linn always said stuff that made sense to me.....i found this thru FT71

disclaimer: not connected, i make no dosh from you looking at it or buying it.....free trial as at the todays date, just a heads up s'all!

http://www.linnsoft.com/landing/index.php?ref=3871

http://www.charthub.com/images/2012/09/18/DayTypes_3.png

lol@ft71 chart sizes.....he likes them size of your bedroom wall


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## CanOz (21 September 2012)

Joules MM1 said:


> the only thing i recall is that Linn always said stuff that made sense to me.....i found this thru FT71
> 
> disclaimer: not connected, i make no dosh from you looking at it or buying it.....free trial as at the todays date, just a heads up s'all!
> 
> ...




I looked at both Marketprofile and Investor RT. the thing that got me though is all I needed was something to organize the data on my charts. So in the end I just went with Rancho Deniro because I could import the stuff into ninja trader...

I wish I had done that twelve months ago though...

CanOz


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## havaiana (4 October 2012)

Steidlmayer has a recent (and free) video 

here: http://www.cmegroup.com/education/steidlmayer-volume-strips-video.html

In it he seems to kind of admit that the old market profile doesn't really work well anymore in the current markets.


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## CanOz (4 October 2012)

havaiana said:


> Steidlmayer has a recent (and free) video
> 
> here: http://www.cmegroup.com/education/steidlmayer-volume-strips-video.html
> 
> In it he seems to kind of admit that the old market profile doesn't really work well anymore in the current markets.




Yeah, thats why no one really uses it anymore...just VP.


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## Trembling Hand (4 October 2012)

CanOz said:


> Yeah, thats why no one really uses it anymore...just VP.




Who/what is VP?


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## CanOz (4 October 2012)

Trembling Hand said:


> Who/what is VP?




Volume Profile


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## CanOz (5 June 2013)

*Thoughts from Jim Dalton*

I subscribe to James Dalton's daily updates for the dollar, oil, gold, bonds, and the S&Ps...

Every now and then he comes out with a real gem that resonates with me...this was today's...



> Also like gold, crude has formed an upward trading trend line.
> When markets are trading with only limited or no meaningful participation relative to longer-term timeframes they become more dependent upon traditional technical tools; one of those traditional tools is the trend line. When a market almost perfectly fits a trend line it flashes a warning sign to me; the message I get is that weaker trades are being placed very mechanically on the line.  If the trend line fails to support higher prices it is not unusual to see a substantial liquidation. - J.Dalton




For more information on James Dalton this is his site *here: *

CanOz


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## CanOz (17 June 2013)

Link explaining Peter Steidlymayers comments regarding market profile trading methods....

This is a summary of one of latest videos...too difficult for me reproduce the whole summary using my iPad but my point is that his statement gets taken out of context...he still uses the profiles but uses the information differently...


> .    Due to the rise of the quant, the market has become much more focused on the short-term. Movements away from "value" now have the potential to become a positive feedback loop, wherein movement begets more movement, and fading breakout moves can lead to disaster, as prices can simply keep going without laying down much volume (translation: if you trade size, you can't get out easily).




That's why most people consider Dalton's work the most current work on market profile, in my view. Also, I find Dalton better at articulating his thoughts better...

Anyway, with today's software, it's much easier to split the profiles. Here is a link to peter steidlmayers recent webinar...


This is the ppt...
CanOz


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## boofis (17 June 2013)

havaiana said:


> Steidlmayer has a recent (and free) video
> 
> here: http://www.cmegroup.com/education/steidlmayer-volume-strips-video.html
> 
> In it he seems to kind of admit that the old market profile doesn't really work well anymore in the current markets.




Interesting video none the less, thanks for the link.


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## boofis (17 June 2013)

CanOz said:


> Anyway, with today's software, it's much easier to split the profiles. Here is a link to peter steidlmayers recent webinar...
> 
> 
> This is the ppt...
> CanOz




I'm getting those links as cannot find page Can? Don't know if it's on my end or not.


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## CanOz (17 June 2013)

I emailed you the PDF, the link just goes to the CME site, no idea why...can you attach the PDF of the presentation for me?

iPads are a pain sometimes...

CanOz


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## ChaosHedge (23 August 2013)

I've only just started scratching the surface of this topic and was hoping someone could please explain a couple points?

1. In the preceding posts the terms 'market profile' and 'volume profile' appear to be interchangeable. Is this correct, or is there a difference between the two? From what I've read, it seems market profile is just a volume profile plot at regular time periods.

2. There was a comment that HFT don't use MP (or VP) anymore. Would this be because more effective methods have evolved, even though using MP can improve your edge. Or has it been proven to provide no benefit at all?

Thanks


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## Trembling Hand (23 August 2013)

ChaosHedge said:


> 2. There was a comment that HFT don't use MP (or VP) anymore. Would this be because more effective methods have evolved, even though using MP can improve your edge. Or has it been proven to provide no benefit at all?




I wouldn't worry what HFT'ers do or use or find beneficial. Whatever they do isn't on a time scale or type of trade that will effect you.


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## havaiana (23 August 2013)

ChaosHedge said:


> I've only just started scratching the surface of this topic and was hoping someone could please explain a couple points?
> 
> 1. In the preceding posts the terms 'market profile' and 'volume profile' appear to be interchangeable. Is this correct, or is there a difference between the two? From what I've read, it seems market profile is just a volume profile plot at regular time periods.
> 
> ...




1. MP is plotted based on how much time price spent at a price, VP is how much volume trades at a price
2. I have no idea, think a few guys on here use it, sure they will chime in.


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## CanOz (23 August 2013)

Is it any use? I reckon you could get by without it just using Prior OHLC's, and defining the ranges by eye balling. It provides a context for the market for me, its very handy for key levels too.

The high volume areas known as Points of Control are quite uncanny. If one has not been tested before it is said to be naked, or untested. If the market is making a bee line, chances are its heading for one of these....

All in all its a great way to understand the auction market theory and put the structure of the market in context.


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## ChaosHedge (23 August 2013)

Thanks for all the replies!

CanOz, your comment about the market making a bee line towards a point of control sounds very useful. I've just started incorporating the volume profile into my trading to help decide whether a sweep through a key level is more likely to revert or continue further. When it does continue I had no idea what I should be looking for in terms of a target level. I'm looking forward to testing this tonight. Cheers!


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## CanOz (23 August 2013)

ChaosHedge said:


> Thanks for all the replies!
> 
> CanOz, your comment about the market making a bee line towards a point of control sounds very useful. I've just started incorporating the volume profile into my trading to help decide whether a sweep through a key level is more likely to revert or continue further. When it does continue I had no idea what I should be looking for in terms of a target level. I'm looking forward to testing this tonight. Cheers!




Yeah, that's the best way too, just watch how the market behaves in context...i think you'll be surprised.

The thing is, a level is only as good as the key players. The locals could play a range all day and then a big knob comes in and smashed it to pieces on news etc...sometimes no news too...

As soon as i started putting things in the context of "where are the stops", i found my opportunities for sweeps have increased. 

Watching for size in the book at these levels is valuable too.


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## Gringotts Bank (23 August 2013)

CanOz said:


> As soon as i started putting things in the context of "where are the stops", i found my opportunities for sweeps have increased.




Where are the stops, most often?  Can you show a chart with points of control?  Thanks.


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## CanOz (23 August 2013)

Gringotts Bank said:


> Where are the stops, most often?  Can you show a chart with points of control?  Thanks.




The stops are usually around levels, especially gaps, round numbers, small areas of congestion...it depends on the time frame that these people are trading too. Sometimes the last push higher or lower has a good cluster of stops....

Here's an old FTSE chart with as an example of the POCs...


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## CanOz (2 June 2016)

For those looking for a cheaper version of volume profile tools for ninjatrader this guy has some interesting stuff....

http://www.criticaldata.com/


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## hamli (2 June 2016)

I've only just started looking into tech analysis. Currently reading Mind Over Markets by Dalton.

When he discusses the auction process,logically it makes sense (to an extent). However, there will be these 'break' out patterns that are shown, but then he will say hey, these aren't always breakouts. So essentially, he can't be wrong, because he has just hi-lighted all the possible scenarios. And the book proceeds to be written that way.

I understand that no patterns etc are 100% correct. But for these 'patterns' to be tradeable and for him to discuss them, shouldn't he have provided some sort of backtest for the last 5 to 10 years across liquid products such as ES/NQ/CL/NG/GC/SI etc on such pattern?

How else am I to know, that it wasn't a case of "curve fitting". Are there any technical analysis books that at least 'claim' to have back tested their work, and provide statistics per pattern. Maybe I'm asking for too much, but that's why I'm buying the book.


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## banco (2 June 2016)

hamli said:


> I've only just started looking into tech analysis. Currently reading Mind Over Markets by Dalton.
> 
> When he discusses the auction process,logically it makes sense (to an extent). However, there will be these 'break' out patterns that are shown, but then he will say hey, these aren't always breakouts. So essentially, he can't be wrong, because he has just hi-lighted all the possible scenarios. And the book proceeds to be written that way.
> 
> ...




His articles are a lot better than his books IMHO. I think his answer would be you use context to asess the likelihood of the breakout happening and then monitor it after it's happened and take your position off (rather than waiting for it to hit your stop) if it fizzles out.  Breakouts from balance are probably one of the worst ways to trade with market profile though. Waiting for inventory to get too long/short and then trading the reversal is the best risk/reward trade I've picked up from market profile as you can get a very tight stop and once it goes and it goes a long way.


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## CanOz (2 June 2016)

hamli said:


> I've only just started looking into tech analysis. Currently reading Mind Over Markets by Dalton.
> 
> When he discusses the auction process,logically it makes sense (to an extent). However, there will be these 'break' out patterns that are shown, but then he will say hey, these aren't always breakouts. So essentially, he can't be wrong, because he has just hi-lighted all the possible scenarios. And the book proceeds to be written that way.
> 
> ...




First of all Markets in Profile seemed a more relevant read for me.



> shouldn't he have provided some sort of backtest for the last 5 to 10 years across liquid products such as ES/NQ/CL/NG/GC/SI etc on such pattern?




Thats a bit like asking a pit trader, like Danny Riley or Lewis Borsellino or even a guy like Marty Schwartz if he had backtested anything. These guys don't backtest. They get a feel for the market, after developing a few hypothetical possibilities, throw a few hundred contracts around at thier levels and see if anything sticks...If that's not for you, then focus on the systematic techniques. You need to use the tools to provide the context, maybe back it up with some statistical evidense, then use your screen time.


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## hamli (2 June 2016)

CanOz said:


> First of all Markets in Profile seemed a more relevant read for me.
> 
> Thats a bit like asking a pit trader, like Danny Riley or Lewis Borsellino or even a guy like Marty Schwartz if he had backtested anything. These guys don't backtest. They get a feel for the market, after developing a few hypothetical possibilities, throw a few hundred contracts around at thier levels and see if anything sticks...If that's not for you, then focus on the systematic techniques. You need to use the tools to provide the context, maybe back it up with some statistical evidense, then use your screen time.




I was just curious/intrigued by tech analysis and trying to figure out where that edge comes from. At the moment I do scalp. I buy if I think something is high/low. I hold until I'm right and then sell out - I don't use any 'tech analysis'.

Even though its working for me, I'm always trying to improve. At this point, I can't figure out where the edge will come from with MP if there are no confidence levels assigned. My specialty doesn't lie in back testing. But of course, I'll still look-out for these patterns and the auction process... just my initial thoughts.


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## Roller_1 (2 June 2016)

hamli said:


> I was just curious/intrigued by tech analysis and trying to figure out where that edge comes from. At the moment I do scalp. I buy if I think something is high/low. I hold until I'm right and then sell out - I don't use any 'tech analysis'.
> 
> Even though its working for me, I'm always trying to improve. At this point, I can't figure out where the edge will come from with MP if there are no confidence levels assigned. My specialty doesn't lie in back testing. But of course, I'll still look-out for these patterns and the auction process... just my initial thoughts.




Just buy Nick Radges Adaptive Analysis for stocks it's like 9 bucks for the e-book. Plenty of good quality examples in there


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## Modest (2 June 2016)

The CME Market Profile handbook is golden...It is free 

https://www.cmegroup.com/education/interactive/marketprofile/handbook.pdf

Don't use the charts but understanding Auction Market Theory definitely helps!


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## Wysiwyg (16 April 2018)

Poor highs and poor lows explanation  ....


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## Wysiwyg (21 May 2018)

Preferring a discreet chart layout (less clutter), I think the best for me would be an across chart transparent band for POC + 2 or 3 nodes either side and transparent bands for the VAH & VAL + 2 or 3 nodes either side. The VAL/VAH bands could also be volatility based to make it wider/narrower as price over time action determines.


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## CanOz (21 May 2018)

If you were to calculate bands based on volatility then would they still represent Value Area Highs and Lows? Bands used in Auction Market Theory are the 1st and 2nd standard deviations of the Volume Weighted Average Price, the VWAP. Its a good reference and reminder of where value is developing.


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## Wysiwyg (21 May 2018)

Good point to drop the volatility idea. Maybe one or two nodes either side of the VAH/VAL to get a banded area rather than a straight line because from the charts i have seen there is not much precision with these nodes rather a general reference area.
So high volume node is likely consolidation area and low volume node likely breakout or rally area. (Tradingview ref.)


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## CanOz (21 May 2018)

Yeah, high volume acceptance, low volume rejection


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## Wysiwyg (22 May 2018)

peter2 said:


> Thank you. Very interesting presentation on the Mesch method using market profile. I hadn't seen that technique before. I'm disappointed that my software can't construct MP charts so that I may look at it on a variety of markets.



I didn't get the part about trading the range. She used long periods for demonstration and of course the range had been established. When range becomes the range is an interesting interpretation.


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## Wysiwyg (22 May 2018)

I'm thinking to trade the 5m and lower time frames, a MP with completed bell curves from a higher time frame (e.g. 1h) would be needed for 'context'.


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## Wysiwyg (22 May 2018)

Past pockets of low usage becoming the future trading range "we're gonna see this pattern play out again and again".


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## Wysiwyg (22 May 2018)

Trading is always of underdeveloped bell curves. This image shows a bell curve is incomplete and the areas of future range being established. 



Then the ensuing profiles form within the larger profile for which the term "context" is derived.


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## peter2 (22 May 2018)

You've almost got it. The bell curve is undeveloped so that's the best time to trade the range between the top and bottom value levels. 

The blue dot shows the current price, so the first trade is a short from the top value area to either the mid point of the low usage area or below if you want to trail stop. The conservative trade is from top to mid point. 

The next trade is available when price makes it's way back to either the top or bottom value area. 

Over the next 16 months there were numerous opportunities to trade from the top or bottom value area to the mid point. After 16 months the bell curve is more fully developed (insert A) and range trading is stopped as the odds now favour a directional move. We would need to see a bell curve of an even larger time frame to get an indication of (context for) the next most likely direction.

This technique requires the functionality to generate bell curves (market profiles) of the price data for any given time frame. 

I found the concept quite interesting because once the context is established (bell curve developed or undeveloped) the trading opportunities are clearly defined (trade the range or directional). Once again the data is fractal in that one could use it across any time frame.


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## Wysiwyg (23 May 2018)

peter2 said:


> This technique requires the functionality to generate bell curves (market profiles) of the price data for any given time frame.



WindoTrader seems to be the only dedicated seller of MP software via subscription. Dislike subscriptions.


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## CanOz (23 May 2018)

There are many platforms that have market profile plugins...likely one of the cheapest is TradingView but it’s volume profile only, may not be suitable for the purists


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## CanOz (23 May 2018)

Quarterly profiles on the dax, both the market profile and the volume profiles for comparison. Looks like a while before the dax might be “ripe”


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## CanOz (23 May 2018)

Yearly Dax profiles....


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## CanOz (23 May 2018)

A range profile based on the current long term range and another with the range profile and the yearly TPOs and volume profiles....


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## peter2 (23 May 2018)

Thanks W.
Most software will do a volume profile which seems to give similar shaped distributions to market profile.
Thanks for that CanOz.

The aspect that I liked in the Mesch presentation was the ability to specific any time frame for the profile. So we can find the last almost completed Bell curve and get ready for the directional move, trade it and then look for historical context to indicate the next type of opportunities. 

I liked the structured process which I think is essential to trading consistently.


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## CanOz (24 May 2018)

Copper, getting very "ripe".....


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## Wysiwyg (24 May 2018)

CanOz said:


> Copper, getting very "ripe".....



Without the MP it looks to me like a distribution stage in the greater down trend. From what I gathered in the CQG/R. Mesch video, the new trading range could be 2.97 to 2.83 using the longer term low activity range. ???


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## CanOz (24 May 2018)

Makes sense doesn't it Wys...Also a stronger US dollar, pressure on EM means less growth and less demand for industrial metals...


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