SPY Daily Composite

[OAC]

	Quote:	gassah
	The Market Analyst software isn't required for the standard deviation calculations. Barros states that the 12.5/87.5% fibonaccis make for a good approximation of 3rd STD, as does the 33/66% for value (1st STD). nic

nic,
Where do you get the Fib Ratio of 87.5% ? The closest ones I know are 78.6% and 88.6%.
One would arrive at 78.6% by taking the reciprical of 61.8% which is 161.8%, taking its Square Root equals 127.2%, then take the reciprical again equals 78.6%.
And 88.6% is simply the Square Root of 78.6%.

[gassah]

	Quote:	OAC
	nic, Where do you get the Fib Ratio of 87.5% ? The closest ones I know are 78.6% and 88.6%. One would arrive at 78.6% by taking the reciprical of 61.8% which is 161.8%, taking its Square Root equals 127.2%, then take the reciprical again equals 78.6%. And 88.6% is simply the Square Root of 78.6%.

100-12.5= 87.5

nic

[OAC]

By the way for those who never seen it, this is where all the Fib numbers came from:

[DbPhoenix]

Of course, one must be careful not to focus so much on the form that he overlooks the substance:

The first standard deviation correlates to the value area. This is a high volume area. It shows price acceptance confirmed by use: a fair price area.

The third standard deviation correlates to a price excess. This is a low volume area. It shows price rejection: an unfair price area.

These low volume price areas are key reference points because they can contain the range. When the market reaches these potential parameters, it can only do one of two things: trade through or reverse direction.

[BlowFish]

Gassah, I guess you have read JPerls's excellent series of threads elsewhere on this site? His approach is based on volume profiles rather than TPO's (which I'm pretty sure was adopted by Steidlmayer in the early days as a proxy for volume). Jerry's slant really resonated and its probably as well structured and written series of threads that you will find.

[DbPhoenix]

"Volume profile" is a good term, though I don't think I mean the same thing he does. In any case, today it worked out nicely: a pop up above the "extreme" for a few points, then Wham! back down toward the midpoint, through, then all the way down to within a couple of points of the midpoint of the previous range (at least on the NQ; the ES hit it exactly).

Scalping just does not appeal to me at all.

[gassah]

If it follows through tomorrow I was thinking of something more long term.

nic

[gassah]

	Quote:	DbPhoenix
	"Volume profile" is a good term, ... today it worked out nicely: a pop up above the "extreme" for a few points, then Wham! back down toward the midpoint, through, then all the way down to within a couple of points of the midpoint of the previous range (at least on the NQ; the ES hit it exactly).

This is SPY with a composite from last week and the high volume area hit by Monday's low.

nic

[heretodaygone...]

	Quote:	heretodaygone...
	arghh,you've been doing this too long...go with the flow. Here's a mp chart to show what I mean.

I was reading through some excellent threads on market statistics by jperl and came across this post - http://www.traderslaboratory.com/for...html#post15193

My thinking on it is that if you have a normal volume distribution where the vpoc or pvp as jperl calls it is in the center of the vah/val (not skewed) then gassah's 3rd standard deviation reversal trade would be high probability. But, if the volume distribution is off centered(skewed), the probability of reversal goes down. In fact the probability of continuation goes up.

any thoughts?

[gassah]

	Quote:	gassah
	Market Analyst. The blue zones are value and the green and red are the 2nd and 3rd standard deviations nic

Another way of doing this is to set the value calculations to 95% instead of the standard 68 or 70%. This can be done in MarketDelta with price or volume.

nic