[BlowFish]

Dog,

Err I am not sure how to say this without appearing argumentative but I think you are just plain wrong. The modal volume point often as not is the same as the modal TPO point. Providing you sample the data in the same way of course (both in price and time). Actually the volume profile will generally be more accurate as commonly it is sampled every tick rather than every half hour.

Market Profile is simply a way to 'map' market structure. The stuff it is maping (supply and demand balances and imbalances etc.etc.) is best represented by volume as this actually is where traders met and agreed value. Order flow (volume) is the underlying stuff you are mapping.

When Steidlmayer 'invented' Market Profile he ingeniously came up with using time as a proxy and it works remarkably well. Even PS acknowledges that it is "volume that extends time" and "It (volume) is therefore the closet measurement possible to the start of non-randomness."

I guess I should I should read the second PS book. Most of the work he was doing between the books was more about detecting order flow and was an interesting departure from MP.

Cheers.

[BlowFish]

Jerry,

A couple of questions if I may. What if the gap between VWAP and PvP is 'large'. By large I mean placing the stop at the PVP would be too far away. I also wonder what newbie would do if the PvP jumps mid trade (I believe I am right in thinking you use today's developing PvP rather than yesterdays static one?)

Very much enjoying your posts, simple but elegant. Chomping at the bit for newbies next steps.

Cheers.

[Dogpile]

Blowfish, I think you miscontrued what I said. I never said volume was wrong or unimportant, I believe the opposite is true -- I just said that the PVP, at a given time of day, is not necessarily useful as a proxy for POC.

[jperl]

These are all good questions Blowfish:

Originally Posted by BlowFish »

What if the gap between VWAP and PvP is 'large'. By large I mean placing the stop at the PVP would be too far away.

In Part IIIyou will notice in the videos that NEWBIES stops are larger than his profit targets. This is one of the dilemmas that NEWBIE is going to have to confront head on when we discuss the issue of what's wrong with the whole concept of a fixed stop loss. That's going to be a very interesting thread.

Originally Posted by BlowFish »

I also wonder what newbie would do if the PvP jumps mid trade (I believe I am right in thinking you use today's developing PvP rather than yesterdays static one?)

Yes NEWBIE for now only knows about todays data. We will leave to a later thread the significance of previous days,weeks,months PVP and VWAP. I will anticipate that discussion by telling you here that when NEWBIE is no longer wet behind the hears, he is going to want to know about previous PVP's, VWAP's, as they are going to tell him all about what price action to anticipate in the daily intraday time series.
As far as jumps in the PVP, that is another important event in the price action which we will discuss in a future thread. Again, I will anticipate that discussion by telling you that a jump in the PVP often will signal the onset of a reversal in the price action. For NEWBIE now that means exit the trade immediately and sit on the sidelines.

[nelo]

As I see the relation between PVP and POC, PVP is more precise and correct view on the market. It was difficult concept and complex to calculate so "time" proxy was chosen by P.S. for "value acceptance". 30-minutes MP and POC are just very simple (yet powerful) proxies for PVP and volume based profile in general.

The concept of PVP and HVL / LVL is independent on anything, it is just pure trade-based information, no time is required. I like time-based MP for simplicity, but for example little action and interest during lunch hours shifts the perceived value, it is not accepted in true sense, just nobody really wants to trade that time - 30-min based MP treats lunch time as great period of acceptance but nothing will fool volume profile.

Another advantage of volume profile is that it is much more detailed - the reality is that there is never (mostly) single accepted daily value as MP shows, but there are many levels with different strength. This might be considered as disadvantage since it makes it harder to read (to be honest I still struggle to use this advantage properly, right now mostly for timing profit targets).

Anyway, the concept of volume profile is logical, as elemental as it gets, chart independent and provides detailed fundamental view on market. These are the reasons it is useful for me.

[NAVEEVIa]

Hi Jerry,
i have benn following your threads for about a week now & have gained more insight than all tomes i have read earlier combined.
I was adviced to start with statistics & probability to learn about trading & its getting claerer now.

Some doubts

1. You said about VWAP that it being a average the volume traded above & below shoild be identical, i take the word identical as equal here.
So my question is , Is there a mathematical proof which says that for ANY distribution
P[X>=E(X)] = P[X<=E(X)]
i am thinking of VWAp as the expected value.
2. can this method be applied to stocks too.
Thnx
Naveen

[jperl]

Originally Posted by NAVEEVIa »

1. You said about VWAP that it being a average the volume traded above & below should be identical, i take the word identical as equal here.
So my question is , Is there a mathematical proof which says that for ANY distribution
P[X>=E(X)] = P[X<=E(X)]
i am thinking of VWAp as the expected value.

There is no proof Naveen, because my statement about equality is only partially true. It's true for the median value by definition. You can see why it is true for a normal distribution and other well known distributions when the mean equals the median. For all other non analytic distributions what you can say and prove is that the
mean-median< 1 standard deviation
The proof is here
proof

Originally Posted by NAVEEVIa »

can this method be applied to stocks too.

Short answer is yes. I qualify it with the statement, that there needs to be sufficient data to be statistically meaningful. So very low volume stocks would not work.

[Râlex]

Hello Jerry & day-traders,

For the programming of the VWAP (pro real time software):

Is it necessary to re-initialize (delay meters in zero)the VWAP ?

So yes, the first VWAP will be equal to the first price (first close for me, Pi=close(i)), since Vi (1) = Vtot.

Vtot= complete volume held concurrently there intraday, precise?

NB: Having grieved for my writing's errors, i hopes that you understand me.

Thanks.

Alexandre.