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dsalas

Market Profile in 24 Hr Markets??

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Hi guys, i am finishing reading, mind over markets, obviously, a must for every trader... Now that was back in the 80s. Today we have 24 hr markets, and maybe for the ES, CL ,ZN.... and electronic markets which still have pit sessions using market profile can be easier...at least for what i have seen....now with the eur/dollar, Eurostoxx, DAx, etc..it is harder volatility is not, let´s say, "organize¨"...into a timeframe of time like the US market from 930 to 415 EST. there are no pit sessions in this electronic markets making it harder to spot an interval of time where to apply market profile. (obvioulsy you can apply it to 24 hr market, but trading becomes longer)

 

Living in europe i would like to trade the FESX or eurostxx 50 or the 6E or 6B...BUT they dont have a pit sessions, so form my experience you can sit on the screen for 3 hours and not get a trading signal in a 5 min chart.

 

1)What have you guys spotted about this?

2)do you use RTH profiles in US market ?

3) what time intervals do you use for markets like eur/dollar and FESX

 

It will be interesting to open up a thread with this discussion since i think that many have encounter this issue with electronic markets that dont have pit sessions...

 

thanks

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Hi dsalas,

 

a very good question I believe. I have the same problem trading the 6E.

The best way I found so far is to split it into the different sessions (Frankfurt/New York/Tokio). I asked Tom (Electroniclocal), who is a seasoned MP trader this question and he answered that one should look for movement away from value to split the distributions in an objective manor. For me this is still difficult, but I have to say that using MP the way I do improved my trading a lot. He recommended to toggle the different letters to see, which one contained the movement.

 

I believe for ES and FESX (EuroStoxx) it's not that hard, because they usually have a narrower range I would say. The Stoxx in general.

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Hi timok...basically i understand your approach sounds rasonable ,now,i dont get what electroniclocal says...what he means is that one should use the 24 hr session and look out for where the movement out of value began?

 

For fesx do you use the entire session of fesx?

 

Thanks for your answer

 

Daniel

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Yes, using the period of the movement to split the distributions is what he meant as far as I understand.

 

Yes, for FESX I use the whole day, which ends 22:00 our time (Spain/Germany).

 

Hi timok...basically i understand your approach sounds rasonable ,now,i dont get what electroniclocal says...what he means is that one should use the 24 hr session and look out for where the movement out of value began?

 

For fesx do you use the entire session of fesx?

 

Thanks for your answer

 

Daniel

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dsalas, before you go over board with market profile, I think that you should know that real-time volume was not available back in the 80s so market profile was a useful approximation for the actual volume back then. Nowadays we do have real-time volume so you might want to look at the actual volume distribution instead of the time-based market profile. This will also negate the 24h problem because there is less volume traded in the overnight hours. Btw, Eurex trades most volume from 9:00-17:00 CET (12:00-13:30 less though), the underlying exchange closes at 17:00 CET so that might explain why volume drops off so much after that most days.

 

P.S.@market profile lovers: I am not attacking market profile, just pointing out the facts. You can apply the same market profile concepts to the volume distribution.

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AgeKay,

 

it would be interesting, how you use the volume to find meaningful S/R levels. I mean high volume areas are pretty obvious, but from my experience price levels can be more exact.

 

Would be nice to hear opinions on that in general.

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I don't apply market profile's concepts at all to my trading if that is what you mean.

 

On my charts S/R is clearly visible as it's either just the local extreme of a move or a price where moves have reversed repeatedly. I also pay attention to S/R turning into R/S. The market I trade isn't too volatile (with the exception of days like today which was crazy) so there aren't S/R "areas" but exactly one S/R price where price could reverse. This is likely to be different with more volatile markets like stock indexes.

 

For me S/R are just prices to watch for a possible low risk entry. How much volume trades at exactly that price is what makes me decide whether to enter or not. I am also looking for the same thing in another highly correlated market to confirm my decision.

 

In my opinion, even the volume distribution won't show you the complete picture. It's the volume at individual prices of recent moves that tells you whether a S/R is going to hold or not. To give you an analogy: If you wanted to cure an illness, volume distribution would be the symptom not the cause, while volume traded at individual prices would be the cause.

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THANKS FOR THE REPLIES GUYS,

 

AGEKAY...what do you mean with the volume at price? do you mean the volume that is generated through the volume profile(cumulative) level where you can spot the volume OR do you mean the volume that that price generated at an specific time? that is important as well no?.

 

2)....whatdo you mean by

 

"just the local extreme of a move"

 

3)with the following....." It's the volume at individual prices of recent moves that tells you whether a S/R is going to hold or not"....do you mean the volume generated at that price in a given time period ? explain a bit more on this if you can please...

 

4) which market do trade? which timeframe and which trading hours ?

 

 

thanks a lot, i really appreciate your help

 

thanks to all of you guys

 

daniel

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Note that in Peter's recent material he talks about volume and time ... and for the profile he still regards time at price to be the key.

 

And that is despite volume being available so you need to do your research if you are serious about mp. Understanding why might prove important to you (or not).

 

Here's a reference.

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what do you mean with the volume at price?

 

I mean the volume that was traded at one price while the inside market hasn't moved much.

 

what do you mean by "just the local extreme of a move"

 

an extreme is a high or low of a move. local means that it's not necessarily the high/low of the day, just some high/low.

 

3)with the following....." It's the volume at individual prices of recent moves that tells you whether a S/R is going to hold or not"....do you mean the volume generated at that price in a given time period ? explain a bit more on this if you can please...

 

Example: Market is going up to a price that you have determined to be resistance. When the inside market reaches that price, how much volume trades at that price? If it's way above average then it's likely to hold. If it doesn't stop at that price and trade only average volume, then it's most likely to break. But you also have to take the momentum into consideration, if the market shoots up to that price, it's not likely to hold no matter how much volume trades.

 

4) which market do trade? which timeframe and which trading hours ?

 

Bund, but also looking at the Bobl. No time frame, just short-term. Trade morning to afternoon, usually done by noon if I reach my daily target.

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I agree with you AgeKay in terms of price/volume relationship. How do you track the volume at the levels (bid ask studies, T&S?).

 

For me S/R are just prices to watch for a possible low risk entry. How much volume trades at exactly that price is what makes me decide whether to enter or not. I am also looking for the same thing in another highly correlated market to confirm my decision.

 

In my opinion, even the volume distribution won't show you the complete picture. It's the volume at individual prices of recent moves that tells you whether a S/R is going to hold or not. To give you an analogy: If you wanted to cure an illness, volume distribution would be the symptom not the cause, while volume traded at individual prices would be the cause.

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How do you track the volume at the levels (bid ask studies, T&S?).

 

I developed a custom chart. It looks like the one called "Volume Figure Chart" in Chapter 8 of "Studies in Tape Reading" (also floating around the internet with the ridiculous title "The Day Trader's Bible") by Richard D. Whykoff.

 

Other than that, you could just remember the volume at price (VAP) at the S/R before the inside market reaches that and then substract that in your head from the new VAP. So let's say price 10 was support and the VAP at 10 is 6000. If it goes bid and trades and then VAP shows 8000 contracts traded at that price, then you know 2000 contracts just traded at that price. Today, I went short 126.43 at 10:03 (I know I could have gotten 126.44 but I didn't have my offer there when it blasted through it the first time) and then exited 126.34 (in hindsight, I wish I had held it down to 125.75 but who knew it would drop so much?) based on this which was a very good entry and perfect exit.

Edited by AgeKay
chapter was wrong

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Is this basically a combination of point & figure and VAP?

 

You could say that. My chart is a little bit smarter though because it doesn't only use the trades but also inside market to determine when to start a new column.

 

Very interesting, would be great if you could post a pic of it.

 

I usually don't do this but what the hell. Attached is the trade I mentioned earlier with comments in green (text connected to boxes means that I am talking about the volume/price in that box). Numbers like "1,5" are an abbreviation for 1500 contracts.

Edited by AgeKay
removed attachment

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