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hegh

POC and VA

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hello,

 

to calculate the VA, we first calculate the POC.

Therefore, the POC is still within the VA. But it is possible, POC = VA_h or POC) VA_b.

 

The question is:

 

Is it possible that the POC is outside of VA. POC> VA_h or POC <VA_b.

I think not, but maybe I'm wrong.

 

adrien

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Hi adrien,

 

I have seen VAH or VAL equal to POC. As you said, I compute POC first and then the ValueArea (from the TPO distribution). I have never really seen POC outside of

the VAH or VAL.

 

Here I plotted just POC (Magenta) and VAH and VAL values (Black) on @ES.D.

 

attachment.php?attachmentid=17687&stc=1&d=1263391870

 

Regards,

Suri

PriceProfile_ESD.gif.5f4cf799c81db2d6a4915ddf9eef4c2d.gif

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hello,

 

to calculate the VA, we first calculate the POC.

Therefore, the POC is still within the VA. But it is possible, POC = VA_h or POC) VA_b.

 

The question is:

 

Is it possible that the POC is outside of VA. POC> VA_h or POC <VA_b.

I think not, but maybe I'm wrong.

 

adrien

 

POC being the most widely accepted point of value is alway encompassed by the value area. It can be toward the top, bottom or right smack in the middle.

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POC being the most widely accepted point of value is alway encompassed by the value area. It can be toward the top, bottom or right smack in the middle.

 

Arguably the VWAP or Volume 'POC' are but that's a discussion for another place and another time.:D

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For intra day value on the ES, esp for scalping purposes, I use vwap and the 1st stand dev as a dynamic value area so in that case VWAP is contained within value.

 

As far as daily or weekly profiles based on volume or TPO's, I'll have to slap a vwap on them and see but having vwap outside of value is hard to conceive.

 

Since the range on ES has been lacking I've been much more active trading currencies. With currencies I look at tpo profiles alongside volume profiles and the poc in either case is always contained.

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Just to add one thing here, its useful to note the differences between VWAP and volume poc, they can coincide, but are not the same mathematically. vwap is essentially the mean of the volume distribution. The vpoc is the mode, which is the highest bin in the volume histogram or most frequent volume. In a biased distribution, or non-gaussian distribution, they may not be the same.

 

But to answer the traditional poc,va, the value area is calculated starting with the poc, and then going up and down from it, so yes, the poc will for sure be within the value area

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For intra day value on the ES, esp for scalping purposes, I use vwap and the 1st stand dev as a dynamic value area so in that case VWAP is contained within value.

 

As far as daily or weekly profiles based on volume or TPO's, I'll have to slap a vwap on them and see but having vwap outside of value is hard to conceive.

 

Since the range on ES has been lacking I've been much more active trading currencies. With currencies I look at tpo profiles alongside volume profiles and the poc in either case is always contained.

 

MP guys seem to fall into one of two camps, the purists who would not dream of anything but a profile chart made up of 30min TPO's and the young maverick that use *gasp* volume *shock* and other new fangled thangs. Glad your a maverick :)

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Personally, I use both methods, MP and VWAP.

The two distinct ways.

The MP Classic (daily and weekly, 30 mn) and the VWAP (without MP or ValueArea), daily, 1 days and 4 days.

That is all that is on my graphics, nothing else, is quite sufficient

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Personally, I use both methods, MP and VWAP.

The two distinct ways.

The MP Classic (daily and weekly, 30 mn) and the VWAP (without MP or ValueArea), daily, 1 days and 4 days.

That is all that is on my graphics, nothing else, is quite sufficient

 

Agreed Hegh....only thing I would add is the 20 day profile.

 

Oh yeah...and a couple of bar charts for reading vertical volume and order flow. :cool:

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Agreed Hegh....only thing I would add is the 20 day profile.

 

Oh yeah...and a couple of bar charts for reading vertical volume and order flow. :cool:

 

20 days daily ?

 

For me, 10 days daily.

3 profiles weekly.

Monthly only, the POC and VA last month.

 

bar charts and volume on VWAP.

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20 days daily ?

 

For me, 10 days daily.

3 profiles weekly.

Monthly only, the POC and VA last month.

 

Yes...I use a 20 day profile to approximate the monthly view, a 5 day for weekly view, a daily, 30 minute for es intraday and 60 min for currencies intraday.

The exact amount of days contained is not important as I merge profiles to give a clearer picture.

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Agreed Hegh....only thing I would add is the 20 day profile.

 

Oh yeah...and a couple of bar charts for reading vertical volume and order flow. :cool:

 

Might I ask what you use to guage order flow? Some sort of marketdelta indicator?

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Might I ask what you use to guage order flow? Some sort of marketdelta indicator?

In a nutshell yes Blowfish. Most of what I use for order flow is similar to out of the box market delta offerings like volume breakdown.... just the basics. The only unique study I use is something I came up with and had a programmer/trader friend code for me, It's just a little different way at looking at bid/ask trades but has served me well.

 

For me MP is the base and order flow/ volume is secondary.

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Yes...I use a 20 day profile to approximate the monthly view, a 5 day for weekly view, a daily, 30 minute for es intraday and 60 min for currencies intraday.

The exact amount of days contained is not important as I merge profiles to give a clearer picture.

 

I trade

Please could you post a pic ?

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Vittorio..what did you want to see...a merged profile?

 

If you can ,an examples on ES of your preliminary trading plan:

with the pictures based on your different MP profile: daily , merged, xxx

(with support ,resistance, accepted area , rejected area ...)

 

Thank you

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hello,

.....

The question is:

 

Is it possible that the POC is outside of VA. POC> VA_h or POC <VA_b.

I think not, but maybe I'm wrong.

 

adrien

 

I'm familiar with the Market Profile charts from eSignal and Market Delta. The software relies on the user to merge or segment the distributions into meaningful clusters (market units). The software makes no attempt to qualify the input data before displaying a VA.

 

Here's what I mean. Consider [1] a trend day, and [2] a double distribution day.

 

[1] A trend day predominantly has higher highs or lower lows. The computed Mean, VA_H and VA_L would move higher or lower during the day but wouldn't serve as trading reference points they same way they could on a balanced (normal or normal variation) day. On a trend-up day price will likely be above the VA. The ever rising VA_H and VA_L prices on a trend-up day don't help me. I don't look for a VA on a trend day.

 

[2] A typical double distribution day will have an early price cluster, then a breakout from that cluster, and a distinct later price cluster. The computed Mean might be midway between these clusters, perhaps a price with hardly any volume at all. A VA computed from this mean would encompass prices shown to be unpopular. The POC (price with the most TPOs) might be found in the earlier price cluster. When a mid-day event, like releasing FOMC minutes, causes a double distribution, I will split the day into two distributions, they will provide me with more useful reference points.

 

The POC can temporarily be outside the calculated VA. Under such circumstances I think the VA should be disregarded. I would look for VA in a longer time-frame distribution, or shorter under special circumstances.

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