[VSA] Volume Spread Analysis

[bh_trade]

	Quote:	Blu-Ray
	Taz Yes it should be possible, I'm on with it now and I'll let you know how I get on Cheers Blu-Ray

Blu-Ray, thanks in advance. I look a look at the huge block of Metastock code and was considering converting it to easy language myself, but the only thing I could come up with is condition1, condition2, etc, so I passed. Regardless, converting that code into easy language is not as easy task. Many thanks to you for all of your generous contributions to this forum.

[bertg]

	Quote:	Seb Manby
	Sorry, it is a 15m minute chart.

Sebastian,

The chart looks like a 20-min chart to me.

In any case, how far back do you go to analyze the background and would you say there was weakness in the background?

I assume by confirmation you mean this: the 1620 red no demand bar got painted red when the 1640 bar closed and it was a down bar.

Your trade was so simple and so profitable. Congratulations to you.

Thanks for all your contributions,
Bert

P.S. The chart attached is Sebastian's from several posts ago.

[Anonymous]

Just a chart dump. Pay no attention: it does look good though.

[monad]

	Quote:	PivotProfiler
	Just a chart dump. Pay no attention: it does look good though.

Would greatly appreciate info. on how to calculate the Value Area High, low and POC , can that be done in a spreadsheet with the High, Low , Close, Open of the previous day, if , what are the formulae.

[mister ed]

	Quote:	monad
	Would greatly appreciate info. on how to calculate the Value Area High, low and POC , can that be done in a spreadsheet with the High, Low , Close, Open of the previous day, if , what are the formulae.

No, the Value Area High, Value Area Low and POC cannot be calculated from the previous day's HLCO.

VAH, VAL and POC are Market Profile terms, and to be honest to understand them it would be a great idea to read some of the introductory posts you will find here at the Market Profile forum. Very educational indeed and well worth the time spent.

In brief, the value high and low are plotted around a central price referred to as the Point of Control (POC), which is the price that traded most frequently during the day according to time at price (so there is no way this can be calculated from the OHLC data). The POC is the longest line of TPOs on the Market Profile chart. The VAH and VAL are plotted so as to contain 70%, or thereabouts, of the day's trading, again as measured in number of TPOs (so again, they cannot be calculated simply from the OHLC data).

[monad]

Thanks mister ed for info. on POC etc

I was referring to the post 1342 by Pivotprofiler who mentioned Mark Fisher's pivot method which reflects to a large degree the POC, VAH and VAL provided by the traditional MP i.e counting TPOs. It is a poor man's tool so to speak and I believe it is calculated from previous day's high, low, close,open values, although I am not 100% but checking into it. PivotProfiler has obviously mentioned that and see them plotted on his charts posted here, hence the question.

Anyway appreciate your kind response

[monad]

VSA question for PP/Sebastian:

Under what circumstances can a 1. Wide Ranging Bar with Low vol and
2. WRB with High Volume (above average but not
excessive
be considered bullish???

other VSA traders, please feel free to comment, am sure all inputs will shed more light

[Anonymous]

	Quote:	monad
	Would greatly appreciate info. on how to calculate the Value Area High, low and POC , can that be done in a spreadsheet with the High, Low , Close, Open of the previous day, if , what are the formulae.

Yes and No. Actually, Yes, if you believe the work done by Mark Fisher. The Pivot Profile is my tweaked version of his Pivot Range. He contends that the Pivot Range give the same area as Market Profile roughly 95% of the time. When I heard that, a light went off. Being a believer in Market Profile, but not have data available, I took the Pivot Range and set out to make it better and even more akin to Market Profile. Some will notice that the colors used are a direct reflection of the Enthios Price Histogram.

Enthios talks a lot about some key Market Profile concepts. One of which is the retouch of the previous day's POC. This is also where I first saw the term Virgin POC: a POC that has NOT been touched (insert own sexual innuendo here).

Anyway, Mark's formula for the Pivot Range do only use High, Low, Close data. I added to the formula and made a small change. The language I use is directly from Market Profile because that is what I am attempting to emulate. Ironically, how close of an approximation it is to an actual Market Profile matters little. Why? Because all I have to do is focus on what the Smart Money is doing around these levels. And time and time again there is Smart Money activity around the levels. Time and time again, the market will trade back to the POC (see below).

YH:=HIGH1; YL:=low1; POC:=(high1 + low1 + (2*close1) ) / 4; PivotDiff:= POC-(high1+low1)/2; DRHb:= POC+PivotDiff; DRLb:= POC-PivotDiff; RRHb:= POC+(1.750*PivotDiff); RRLb:= POC-(1.750*PivotDiff); ERHb:= POC+(2.875*PivotDiff); ERLb:= POC-(2.875*PivotDiff); ERH:=If(ERHb>High1 or ERHb<Low1,Null,ERHb); RRH:=If(RRHb>High1 or RRHb<Low1,Null,RRHb); DRH:=If(DRHb>High1 or DRHb<Low1,Null,DRHb); DRL:=If(DRLb>High1 or DRLb<Low1,Null,DRLb); RRL:=If(RRLb>High1 or RRLb<Low1,Null,RRLb); ERL:=If(ERLb>High1 or ERLb<Low1,Null,ERLb);

What you end up with are lines (Areas) that do a good job of defining where the market traded that day. In other words, at the close of trading on Tuesday (1700 by my broker) a New Profile is calculated and applied to Wednesday. Take a look at my previous post, the one I said pay no attention to. Note how the line do indeed define where volume and price were heaviest.
The bottom portion of the code is used to keep lines off where price did not trade that day. That is, the Extended Range High (ERH) should only be drawn if it is less than the day's high (YH). That is why the profile below has some levels below the Value Area (defined as the Deviation Range (pink lines) and not above them.

On to the chart below.

First note the low volume time that trades between the black line (YH) and the Deviation Range High (DRH) or the top of the Value Area. Price then falls into the Value Area. We then get a No Supply as price moves out. The next thing we get is a Squat at the top of the Black line which send price down back into the Value Area. At that same time, we see a squat on the 5 min that pushes down price as supply enters. We get the second Dark WRB to engulf a Test bar further showing weakness.

The trade. Price makes a move back up. Notice that as price tries to exit the Value Area we see a No Demand sign. Up bar on a narrow range closing off its highs and making a higher high on volume less than the previous two bars. On the 5 min, we see a squat within the range of a WRB. High volume WRB with a squat within the range of its body (I think I have said that before ). Price wants to do what it failed to do before: trade down to the POC (yellow line). It does. It may not be an actual Market Profile, but the trade is based on concepts from Market Profile. In fact, the next target would be to touch the lower pink line (Deviation Range Low) as this would be the 80% Value Area trade from Market Profile. Which states, that 80% the market trades outside the Value Area then reenters, it trades to the opposite side of the Value Area. The trade from yesterday used this concept.

P.S. Mark uses (H+L+C)/3

[Anonymous]

Just an updates shot with the POC on the 5 min. Again it was touched. In fact we are trading just below it as of this screen shot.

Green lines are stop placements levels.

I have no idea what the market will do, I let it take me where its going. Having said that, the Deviation Range Low (Value Area Low) is 1.4504. That would be the next price target based on the 80% rule trade.

[volume]

Sebastian can you educate me please, i run VSA real time with an esignal feed, is metastock another feed?