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Market/Volume Profile Indicator on Tradestation

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Hi

 

MP uses 70 % for the VA

 

1 standart Dev is 68.268

 

This is true, however as MP is a completely heuristic approach the VA is just a number with no statistical relevance.

 

There were a couple of discussions about this in the trading with market statistics thread...a search for 'heuristic' should find them.

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When I think of Volume Profile and Price Profile in terms of Logic makeup of indicator its very easy for me to say that a volume profile amkes more sense on purly logical terms.

 

but the markets dont think and function in terms of logic, reason , science. The markets are what they are.

If you have some trading experience and monitor both Volume and Price profile it is quickly obvious that Price(TPO) profile is much more effective then Volume profile.

 

For trading results I would recommend a classic TPO profile.

For scientific studies I would recommend a volume profile :)

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I'd agree on your first point VAH VAL are watched (and traded) by enough people to be significant. I disagree on the second though peak volume price, and VWAP are also pretty significant (I'd say it edges them out:)) the standard deviations of the VWAP are pretty neat too. Another nice thing about those measure is they are a lot more flexible in how they can be applied. As with most thing it's how you apply them that counts.

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In J Dalton's book Mind Over markets he talks about TPO counts above and below the developing POC (not including single prints). He then uses this ratio to see if a short term balanced mkt is more likely to breakout to the upside or downside.

 

Has anyone looked at this?

 

I have just coded this and reversed the ratio so if it is above 1 the mkt should tend to break up.

 

See pics

 

Z

5aa70ff219db1_TPOCount1.thumb.jpg.b87774d360f303118f517a9010c8665e.jpg

5aa70ff21d29e_TPOCount2.jpg.6d9ac5ba24e92d8a2dc4a3bcfd0356d2.jpg

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I'd agree on your first point VAH VAL are watched (and traded) by enough people to be significant. I disagree on the second though peak volume price, and VWAP are also pretty significant (I'd say it edges them out:)) the standard deviations of the VWAP are pretty neat too. Another nice thing about those measure is they are a lot more flexible in how they can be applied. As with most thing it's how you apply them that counts.

 

BF, Although im familiar with VWAP, I rarely have used... (TPO)POC and VWAP are very similar. I prefer the POC as In my observations and the way I approch the market POC works better for me.

 

You are 100% correct... As with most thing it's how you apply them that counts.

 

That said I can only speak from my experience and if someone asked me about Volume Profile or TPO prfoile I would say go with Price profile.

However In the Future Im going to ammend that statement too... primary focus should be Price Profile but monitor Volume profile as you may end up liking it and finding it useful too.

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Hi Mustang ..... If you haven't read them you might enjoy the 'trading with market statistics' threads by JPerl. If you are pushed for time the first couple of posts in each thread will get you by. If they take your interest or raise questions you will likely find answers further in. Fascinating approach, novel and clearly and concisely presented. Excellent stuff.

 

http://www.traderslaboratory.com/forums/f6/trading-market-statistics-links-4803.html#post51595

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Hi BlowFish,

 

As it seems that you have a good understanding of VWAP, I thought it would be approriate to ask you what your thoughts are about Weekly VWAP and Monthly VWAP including SD bands that are associated with them. with respect to Day trading or Swing trading.

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The threads on market statistics certainly captured my imagination though I am sure Jerry is much better qualified to comment. Having said that the principles that he presented are equally applicable to larger data sets (weekly and monthly) as they are small ones. I have not personally traded those but they certainly appear to give 'lines' that describe price well. The last couple of threads in the series (position trading & HUP's) deal with these larger sets. I am a bit pushed for time right now but will give it some more thought and see if I can come up with any observations that might be relevant.

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Hello,

 

I am looking for a developing VPOC and value areas, showing the intraday generation of these 3 levels. Any kind soul out there having coded this?

According to zardoz an easy approach can be to modify the tpo pro5 which is available in forum.

 

Thank´s a lot.

Goody

 

Thanks garp and Crazynas for replying. This was probably not the correct thread to make this inquiry. As for posting the code TPO Pro6.0b, it is pretty much the same as TPO Pro5 and that has been posted to Traders Lab a few times already. If one can't change that to a weekly or multi day profile then it can't be done to TPO Pro6 either. I have some coding experience i.e I created all of Dr Elder's indicators for myself but the TPO is complicated and because I don't know all the limitations of TS or MCharts I don't even know if a weekly MP is possible. Before I spend many days (spent a few hours already) going through the code I would like to know that it is at least possible.

 

The TPO Pro 5 can be easily modified to show developing POC and Value areas even if you don't understand 80% of the code.

 

I went to that site garp and even there it was not clear to me whether or not they can do multi day compressed MP.

 

 

 

Z

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