Mentally using Mp

[Anonymous]

Today's profile.

The key here is that this is the profile before tomorrow's Fed decision. (wed. 1/30/08). Notice that this is a complete profile. That is, every range is on the chart. The profile is very narrow as the market basically just meandered around today. Look for big movement tomorrow either way or both. In other words, the profile is also a defacto measure of volatility.

[Soultrader]

	Quote:	PivotProfiler
	Today's profile. The key here is that this is the profile before tomorrow's Fed decision. (wed. 1/30/08). Notice that this is a complete profile. That is, every range is on the chart. The profile is very narrow as the market basically just meandered around today. Look for big movement tomorrow either way or both. In other words, the profile is also a defacto measure of volatility.

Hi Pivot,

Do you mind elaborating on why this is the case? Are you implying that a balanced profile can be seen as a contraction bar and would expect to see movement beyond the previous days ranges tomorrow?

[Anonymous]

	Quote:	Soultrader
	Hi Pivot, Do you mind elaborating on why this is the case? Are you implying that a balanced profile can be seen as a contraction bar and would expect to see movement beyond the previous days ranges tomorrow?

Before that, take a look at this chart. The dotted line is @ 1700 hrs New York time. I've "zoomed" in by taking off Yesterday's high and low so the price action can better be seen. I need some objective opinions: am I off base here? Do these lines which were calculated based on Tues. trading 1700-1700 hrs both capture what happened on Tues. and show possible reaction levels for Wed.?






Soul: there are really two things going on here. First, remember that the Mark Fisher's pivot range is the basis for the Profile. In his book and system he uses the pivot range as a defacto volatility measure. That is, a narrow pivot range (for example narrowest range in 4 days) usually proceeds a range expansion day. When you step back for a second, this is nothing more than what is observed on a NR4 day. Hence, what we have here is as the market contracts, it reaches a point where it tends to want to expand. Low volatile preceding higher volatility.

The second thing goes to the concept of Market Profile and Value in particular. As the area of Value narrows we move towards a perceived equilibrium in value. However, this equilibrium is not stable. In fact it tends to be easily upset. Which is sort of the opposite of a situation where the area of perceived value is wide. It makes intuitive sense. As both sides (Bulls and Bears) agree on value (making a narrow range) anything that changes that perception will effect BOTH groups. Where as if the value area was wide, One group would tend to be more prone to changes in perception than the other.

[Soultrader]

	Quote:	PivotProfiler
	As both sides (Bulls and Bears) agree on value (making a narrow range) anything that changes that perception will effect BOTH groups. Where as if the value area was wide, One group would tend to be more prone to changes in perception than the other.

Excellent explanation PP. Thank you very much.

[Anonymous]

Here is a chart from today (Friday) with the Pivot Profile for Friday (to be used Monday). The only lines that change for Monday are the blue IB lines. These are based on the Opening Range (Initial Balance) and thus will be calculated after the London open Monday morning.

Remember the Profile is based on 1700 hrs to 1700 hrs as per my broker CMS. The dotted black separates Thursday from Friday.

[Anonymous]

Completed Profile:

Dotted line is at 1700- the time the profile is calculated. That means all lines except for the blue lines (Initial Balance Extensions) are done prior to today's trading.

Check out how price move within these areas before the break out.

Of note is the new green line. This is the VWAP. Thanks to Jperl for the idea. Obviously this is a static version rather than dynamic one. It is based on a 30 min chart. So this was the Volume Weighted Average Price as of 1700.

The blue lines are done after the first hour of trading (opening range=initial balance). If I was trading ACD, these would be my Aup and Adn levels. However, they are just extensions 1.1765*OR+ORH or ORL-1.1765*OR. Some may be familiar with the extension as OR/.85 same thing.

This was not a trade, but very interesting to see:

Note the No Demand just after 1700 hrs @ 1715. Price is closing outside of the Value Area (DRH-DRL). Three bars later we are back into the Value Area. Price moves all the way to the other side and beyond. Hitting the POC of the previous day (so even with this sell off, this will not be a Naked POC). Price moves down and gets rejected at the RRL (lower purple line). After that, the VWAP really contains price as does the ERL (lower dark purple line). Note the Squat as price tries to move up which ends up forming a tweezer pattern. Then note the No Demand/UpThrust bar. The top of this candle is just inside the Value Area. Yesterday's Value is truly being rejected on last time before the bottom falls out.

[Anonymous]

Very interesting.

First, I need to give more props to Jperl and his threads on VWAP. If you have not looked at them, it's your loss. One interesting thing he mentions is the idea of skew. I will not get into it here, except to say that zero skew would mean that the VWAP and the POC (PVP as Jperl calls it) would be the same. So what does that mean to me? Well, take a look at the chart below.

All the pivot lines have converged to the POC. In other words, only the POC can be seen. This happens when the range is narrow, the close is in the middle and price was evenly distributed. Take another look at those last two words: Evenly distributed. Now, an even distribution of volume and price should result in near zero to zero skew. Notice how close the VWAP is to the POC. We have almost no skew. Put another way, the VWAP and the POC are 1 pip off from being the same.

The orange line above Yesterday's high is a Naked POC. Wed did not make it back up to the POC so we now have a Naked POC. The blue line is a 2 day VWAP. As stated before, the narrowness of the profile (one line) should mean that tomorrow will be more volatile. Not so coincidently, tomorrow (Thursday) is rate decision time for the ECB.

[Râlex]

Hi, becareful ! the POC (market price distribution) is not the same thing that the PVP (market volume distribution).
Totally differents (sometimes are possibility near).

So poc near vwap, not no skew.

bye

[Anonymous]

	Quote:	Râlex
	Hi, becareful ! the POC (market price distribution) is not the same thing that the PVP (market volume distribution). Totally differents (sometimes are possibility near). So poc near vwap, not no skew. bye

It is in my world but thanks.

[Râlex]

ok, it 's simply not to merge with the very good job of jerry cause the poc have got nothing to do with volumes so the vwap too.

Thanks.