UrmaBlume

We use the JMA for most all our data smoothing work, we have found none better. While I feel that Mark is a bit weak when it comes to market and trading concepts, he works hard to keep his indicators up to date and to the best of my knowledge has always been fair with his customers and very giving of his time. He promises new and "fantastic," (his words) functions to come. I for one am skeptical of these new "fantasitc" functions as Mark's entire body of work is lacking of both original work and market understanding. Mark is very protective of his work and very tech savvy and my guess is that it will be very difficult to reverse engineer his indicators and their dlls.

BlowFish, While of course you are correct when you say "It is a complete fallacy to assume that just because someone sells aggressively.that they are opening a short position." I find the rest of your assumptions about this work a bit hasty. As to the naive reader it has never been our intent to craft our content for the lowest common denominator. The indicator in the chart above is !!!!NNTLHHL, the NNT stands for Net New Trade and is indeed our calculation of net new positions by commercial traders this session. Further our work in US and other markets shows that the portion of yesterday's massive selling in all US equity instruments that was NOT net new shorts was a significant, international relocation of equity assets. Further still our work indicates that this move was FROM US equities and while some of these equity assets went to Europe, specifically the DAX, most went to Japan. We use one technology set to track net new trade, another to track commercial intent and intensity and still another to follow equity money around the world. Our charts speak to the efficacy of our concepts, methods and technologies. cheers

Today's trade (09/01) recorded the biggest net short by commercials in recent memory. We track daily net longs and shorts by commercials and today's trade showed a net short of 188,604 contracts. The closest we can find to that was a net short of 153,682 contracts which occurred on 2/10 this year amid all that frenzied selling right before the low in March of this year. You can see a blow by blow of today's trade here. This shot of the HUD which was taken less than 2 hours after the open reflects the selling which continued throughout the day.

So far we have optimized for S&P, Treasurey Notes, SoyBeans, Crude Oil and certain ETFs with very positive results. The caveat is that it must be re-optimized and reconfigured for each new market and takes about 4 days on 3 dual quad-core workstations to do the optimizations and reconfigs for each new market. cheers

Today's trade/volume (08/31) was less than 70% of normal and the range was less than half of normal. In spite of that there was obvious intense commercial activity on the session extremes as well as at least 2 other points during the session. The session low was made shortly after the open and the high was made on the close. The total range of the day session was only 8.25 points. In spite of that very limited range this indicator demonstrated 3 opportunities, each good for 3 - 5 points, that total more than the total range for the entire session. The session low was established shortly after the open at 0652 and was foretold by a buy spike at 0630: Later at 1155 came a sell spike that propelled price down to near session lows: At 1225 there was a buy spike that propelled prices to the session high on the close:

MtnDog, How very astute. You are absolutely correct. Welcome to TL - smart gets a bias of +1 even before weighting. Before we assign the +1 or -1 we select the inputs. After we select the inputs their parameters must be optimized. We optimize each input's parameters for each of 3 time/volume frames. After the parameters are optimized we assign the +1 or -1 for each input for each bar After the +1s amd -1s have been assigned we begin to optimize the weight of each. Our range of weights is .1 - 2.6. We optimize these weights in more than a few different ways: we optimize for the execution time frame for highest net profit, lowest drawdown, highest percentage of winners and many others including certain correlations. We run these optimzations using both brute force and genetic, survival of the fittest, algorithms. The application of Neural Networks and MARS (Multivariate Adaptive Regression Splines) happens AFTER these optimizations and is the part of our work that you will probably never see posted here. The indicators we have posted are primarily training tools for our in-house traders.

Cross currents from non-speculative trade can often confuse certain indicators. Premium arbitrageurs don't care about trading near an extreme they care that the premiums they are trying to capture are at the proper level. Because of liquidity issues almost all of this kind of trade occurs during the day session. Oftentimes during the nite session there is striking precision in the occurrence of these signals - last night was no exception:

taotree - absolutely correct and very well said. cheers

For those that have been able to reverse engineer these indicators none of this will be new information. For those that are still working on it, another hint - it's not just volume or transactions over time. The calculation involves both acceleraton and deceleration as well as measures of both buying and selling. While these spikes occur throughout the session they are present on almost every session extreme. The session extremes on both Thursday and Friday were all FORETOLD by this measure of commercial trade; On Thursday 08/27 the session low came at 0710+ and 7-8 minutes BEFORE that low there was a very intense spike in commercial buying as shown below: Some hours later, at 1144, and 1 minute before the session high there was a corresponding spike in selling: On Friday 08/28, just at the Open there was a sell spike that came some 7 minutes before and within .50 of the session high: Soon after the session high there was a buy spike that offered the opportunity for a "reaction trade" of some 4-5 points: Friday's session low occurred arount 0925 and was Preceded by a strong spike in intense commercial buying:

James, Great improvements in so many areas. No wonder this is the only site around with real, on-topic content and a real sense of community. You do a great job running this forum and managing the community. The new look is crisp and clean and the technical improvements and fixes make postive advancements on many fronts. I recently made a couple of posts on ET - I don't know whether to describe that site as a snakepit or a sewer. It is for sure that the content and general tone is far beneath what you find here and the technology is miles behind TL. Your tireless efforts to manage the community, imporve the technology and eliminate off-topic attack posts are the reason TL reigns as #1. Thank You. Congratulations on the site and its new look and feel. cheers pat

Thanks for the thanks. While of course you are right that trade managment is very important - it is always easier to manage a trade that has been well and precisely entered. Our indicator of biased commercial intensity is one of our more heavily weighted entry qualifiers. After entry we use such indicators as our indexes of weighted biases in multiple volume/time time frames to keep us "in synch with the legs inside the legs." Here is a shot of that index overlaid with price on an 8k chart of ES. As it leads price in most instances it is possible to apply this all the way down to the 1k level and take the legs and profits as indicated by the higher level biases and executed according to the lowest level biases - helps catch the overlap.

Thanks Tams. That all of that power is on the "other side" is the bad news. The good news is that not all of those trades are closed within fractions of a second and what is left over carries a bias that is detectable. This intense - "Ultrafast Computerized Trading" is the trade that often forms local extremes as it did Yesterday the 24th. You can see how yesterday's extremes were made by exactly this kind of trade in this post cheers

While the captain of small freighters on the world's trading routes I had made a dozen or more transits of the Panama Canal and was amazed everytime. The scenery is beautiful, the wildlife amazing and to see every kind of vessel from everywhere in the world very educational. This first shot is a current picture of the Gatun Locks which is the first set of locks when entering from the Caribbean Sea. These pics will update everytime the page is loaded or refreshed. This next shot is of the Miraflores Locks which is the first set of locks when entering the canal from the Pacific.

Dan, Thank you very much for the kind words. Really only one of the indicators I have posted uses such micro time frames and that is our indicator of the bias and magnitude of the intensity of commercial trade. When I studied under Peter Steidlmayer he taught us the importance of locating this trade. In those days pit traders knew the commercials personally and knew that when they put their hands out that there was size business to be done. From palms inward for buys and outward for sells - the bias of this trade was plain for all to see. Yesterday's trade (Monday 24th) completely demonstrated the efficacy of spotting this trade as shown in the charts below. In direct answer to your question - yes I believe that it will continue to be that kind of trade that dominates local extremes and yes I believe that there will continue to be technologies that can spot such trade in a timely manner and allow its users to "join the party" that this trade offers several times each trading session. Today what we call the commercial trade is that trade done by hedge funds, trading houses and others with the power, resources, technology and size to establish local extremes. Our indicator, which several on this forum have been able to successfully reverse engineer, was designed to spot this trade. Its calculation is described as - "When taken in combination, the acceleration and deceleration of buying and selling volumes, total volume and the velocity/rate of change in the balance of trade reveal a certain dynamic that we find present at many, if not most, intra-session extremes." The high of Monday's trade in ES occurred at 0808 PST up 5.5 points from the 0630 open. Note the huge spike in sell biased intense commercial trade that occurred at least 2-3 minutes BEFORE the final tick at the high. The low of Monday's trade occurred a little over 4 hours later at 1221 and 13.75 points lower and was pre-indicated by another, even bigger, spike in commercial intensity - this time on the buy side and it came plenty early to get trades in.

Thank you paolfili, Your question brings to light a little known dynamic that occurrs on many local extremes. We feel that the bid/asked approach to designating buying or selling volume is flawed in several ways and the synchronization, or not, of these feeds is not part of our calculations. To demonstrate one of those flaws, please consider the situation where a very large buyer places a limit order at the current asked price - the order is larger than the asked size so he is partially filled at the asked and as the order took all the asked size the asked moves up and so does the bid. Now the remainder of this large buyer's order is on the bid and trade that fills this large buyer, on his bid, is recorded as selling volume. Thankfully there are intelligent agents capable of sorting all this. The formation of many local extremes, especially in the futures and options on the equity indexes, is a result of the bid or asked being replenished by auto placement at a rate faster than the market can absorb. Thus action at the top would not reflect this selling and show a top/reversal made on buying instead of the selling that is represented by this auto replenishment of the asked. Anyone with direct experience with the application of such systems will verify that great lengths are taken to 1) disguise this trade and 2) increase the effectiveness of the buy or sell by making both buys and sells - as they used to say in the past - "sometimes you can sell a few to help you buy many at a better price." When when backed by unlimited resources and done by very smart code executing in the microsceond time frame, this approach can be very effective indeed, plus it confuses the competition. This is an example of a strong move up that runs into opposing activity and demonstrates one of the main flaws in VSA - it shows in at least one instance that a move up on dramatically increasing volume is not bullish - it means that rising prices have found the seller and the volume recorded at this extreme is shown as buying when it is the opposite.

I have known Mark Jurik for years and anybody can contact him directly from his website. He has always been very fair with this kind of issue. I don't know which of his products is of interest to you but we find his JMA to be the best data smoothing function around. cheers

Thank you rigel, I don't think it is so much a matter of relevance as it is a matter of efficacy. For us the approach I have described makes more sense and has proven to be more effective accross all markets and all time frames. The technology for both has existed for decades. To me, increased volume on a move means the move was opposed - higher total volume on an up move means that selling was encountered. We believe that the power of a move, in any time frame, is derived from the extent of the imbalance and NOT the total volume in the move. I was taught that moves in price are but advertisements for opposing activity and until that opposing activity begins the move is likely to continue. Further, that oposing activity slows/ends moves and adds volume. It is all in how you break down the balance of trade. This graph shows a harmonic of our measure of the balance of trade. From this graph it is easy to see when the opposing activity over powers and ends the move to mark a new begining - notice how the change in color in the X's on the bottom graph comes BEFORE the change in direction in price. cheers

The 2 most common methods used to determine buy and sell volume by most data vendors are 1) "Up and Equal and Down and Equal" - that is if the most recent price is higher that the previous or equal to a price previous price that was equal to a price that was higher than the previous price it is designated as UpVolume 2) Bid and Asked - Trade on the asked/offer is designated as buy volume and on the bid as sell volume. While we do not deal with or divide ticks, we do, indeed, designate volume as either buying or selling and yes we do use a different means/method.

While the bias and power of Sunday's Nite Session was manifest - the day's trade was less obvious and posed some serious challenges. Here is our technical dissection of the day's trade and a demonstration of the day's 4 key points of opportunity. Most of the indications shown here are LEADING indicators and not information transposed by hindsight. First is a shot of the HUD taken a few minutes before the open that reflects the much stronger than normal volume and very strong selling accross the board. This next shot is of an 8k chart showing the intersection of time and price at the open and downward bias in price, an index of weighted biases and net new commercial trade - note the early signs of change beginning 10 - 15 minutes afte the open in the index of biases: After 15 minutes of trade, 0645, there was very intense commercial buying as indicated by this chart and it turned the market for point of opportunity #1: After less than an hour and 4 points higher the commercial seller revealed himself: One of the better points of opportunity for the session came a little more than 30 minutes later with a very strong spike in commercial buying making a double bottom in the 977 area: That spike started the 5-6 point 40 minute move shown here on the 1k chart; With the exception of the 10 minutes of trade right after the open the UpLeg demonstrated above made the high of the session which attracted the strong commercial selling shown in this shot: That strong, intense, commercial selling established a downward bias in both price and net new commercial trade that continued for the rest of the session, 4 hours, and made new session lows near the close as shown in the 8k chart below:

While you have missed a couple of important steps, you are certainly closing in on the basic concepts. Here again most of this work is based on Peter's early teachings and is, what I believe to be, another bit of technology evolved from market profile theory that better and more precisely expresses some vital bits of information than does any version of the profile graphic - N.B. Information = Equity.

Whether it is the HUD or any of the other indicators I have posted here, they are mostly derrived from my experience with market profile and reflect some of my ideas of how to develop trade decision support technologies that more fully and more precisely fulfill the early promises of the profile. From your questions I must ask that you please not get too bogged down in unimportant, very finite, detail and only see the trees and no forrest. My indicator of commercial intensity spots the commercial whether he is on the extreme of in the middle of value - impossible for the profile graphic. My Harmonic of buying and selling tells the precise measure of imbalance while in value - again impossible for the profile. Whether it is the pie charts on the HUD or the measure of commercial net new trade they both precisely, down to the contract, define the balance of trade in multiple time frames, again impossible for the profile graphic. Yet, still, all of this work is based on the early market profile theory. I present all of this not to dump on market profile theory which is the basis of most of what I do but to present how I have tried to use some of today's methods and technologies to advance the theory and to challenge others to take a more forward looking view and utility of some great theoretical work from a very smart man, Peter Steidlmayer. As the markets are constantly evolving - so must our efforts to deal with them be constantly evolving. Before Peter, I had another mentor. He was the founder of an international brokerage and trading house and bought me out of a small retail broker dealer that I had co-founded. His message was always that this is not a last trade business it is only the next trade that matters and how to make it better. For us traders, developers and technologists its not about what someone else has done in the past or what someone else is doing now, it is about how or what we can do/invent something new or dramatically improve something old to facilitate trade going forward. Again as Peter said many times that for all of us it is ALL about the facilitation of trade. Whether we be brokers, exchanges, system developers, or traders - the more the trade the better it is for all of us.

Thank you Frank. If you will have a bit of patience and bear with me through a bit of detail and a few graphics, I believe I can completely answer your questions and do it mostly with terms and concepts from Peter's earliest teachings. The short answer is that it is not total volume that drives price but rather it is an imbalance in order flow that drives price. When there are no sellers it takes very little volume to move price up. One basic concept that was foremost in Peter's mind in those days was that what he called "the other time frame traders" and what I call today's commercial traders were divided up into buyers and sellers and that most of the time commercial buyers did not trade with commercial sellers as between the 2 were the public and the locals on the floor, the speculators. The idea was that when a supplier, a farmer, thought that prices for his crop were high engouh he would sell futures short against his production and when the user of of his crop thought that that prices were low the user would lock in his supply by going long the futures. One of the main reasons behind Southwest Airlines success is their successful long term hedging in fuel markets. It is assumed that both the producers and the users of the product were knowledgeable about the market and so they very seldom found prices that were attractive to both the producer and the end user. The nite session trade is almost all commercial and so most of the time it is pretty one sided and often that one side dominates into the day session. The first graphic below is an overlay of the day and 24 session with the 24 hour session in red. Below the price chart is a graph of what we call cumulative commercial trade. One can see at a glance that on the majority of days one extreme is formed in the nite session and forms what Peter used to call a (red) tail of rejection that often sets the tone for the rest of the day, the blue. Here we should note one basic market profile concept/face that flies in the face of conventional wisdom - up on big volume is not as bullish as up on small volume. When there are no sellers it is easy for price to move up and move up on small volume. Trade is very imbalanced and that imbalance is what drives price - imblance, not total volume. If you look at day bars of almost any liquid instrument you will notice that the highest volume days are the reversal days and that is because they are days when a strong force in one direction ran into opposing activity. It is a day when both the longer term/commercial sellers were active and so were the buyers, hence the high volume. Opposing activity slows price movement and increases volume We teach that the nite session actvity is very important as it is mostly commercial trade and when it is one sided we can predict that it will spill over into the day session. In the graphics below the day bars I will show a couple of examples from our Market Heads Up Display HUD that accurately prediced the day session several hours before it opened. Here is the day chart - note how often the nite session leaves a tail and how often that tail sets the tone of the day session. This first shot of the HUD shows nite session activity 4 hours before the open. Note the very low levels of both volume and more importantly the complete lack of long term/commercial trader commitment. This was taken before the open on the 10th of this month which turned out to be a day with about 40% of volume, 40% of range and 40% of volatility - a nothing day. This second shot of the HUD shows the market condition near the close of the same day - again no volume and no commitment - no imbalance as was the day. This last shot of the HUD is taken an hour and a half before day session trade began on the 11th - a very strong down day. Note that there is more volume and more committment but that the committment percentages are much bigger than the volume percentages and all red - a huge imbalance to the downside which was reflected in the trade of both the nite and day sessions. Its not the volume it is the imbalance and if you can accurately read imbalance in multiple time frames you can predict future price in multiple time frames.

Time at price was Peter's way to approximate volume at price. That he clings to this notion today is, I bleive, his biggest failing. "The briefest relationship of time and price" is the transaction/tick under this view all ticks or all amounts of time at price, however long or short, are treated equal and this is where the approach fails. Ticks or letters at price for a 1 lot do not have the same effect on future price as a tick/transaction of a 1,000 lot. The weakness of using time at price is that all times at price, however long or however short, do not contain the same amount of trade. The weakness of time at price is the same weakness as tick vs volume charts - ticks or times at price that are for a one lot are treated the same as as any other tick or time at price and they don't all contain the same amount of trade. The passage of time does not motivate price - it is the occurrence of trade that motivates price. The bigger the imbalance in that trade the bigger the effect on future prices and methods that treat all units of trade the same regardless of the amount of trade inside them have no way to indicate the extent of the imbalance that is the ultimate motivator of future price. Information = Equity if the information that spawned the trade is good then most likely trade equity will increase. Fundamental information about the future movement of price comes from the amount and imbalance of trade. To have any chance to precisely measure this amount or imbalance you must first know the amount of the trade, impossible with time at price or tick based methods, and then you must break down that total amount to determine the imbalance within that total amount - again impossible if all you have is time at price or the number of transactions and not the amount of each transaction. While most of Peter's early work is still valid, we are in an age of huge very fast databases, neural networks that have been genetically optimized and a host of other intelligent tools that are readily availble. His concepts still work but the use of the market profile graphic today is for the market Neanderthal. Today's rennaissance market man has all of these tools and more to test, validate, disprove or more important for the trader - improve the efficacy of Peter's early teachings and of any other concept we chose to test, validate, disprove, optimize or enhance. That the markets are faster and in many cases driven by computer trading is not scary it is a huge opportunity for after all someone programmed those computers and after knowing some of those programmers and program managers, I can assure that you that at least some of them are not as smart as some here. Good Luck and Good Hunting cheers PS I advertise no products and my indicators are not for sale or lease. If I have any ulterior motive for my posts it is that it helps me to spot talent. My head trader came from exchanges such as these. I am not recruiting, I am only stating - If you are good and if your work has merit and you have ethics - hang in there - money and opporutnity will find you.

Tams, Many thanks. Your post means a lot to me. No one has done more for this community than you. Your patience, measured approach and constant contributions at all levels is much appreciated. Your words are my feelings. I have turned down every request to buy my technologies and tried my best to answer every question short of supplying the code/equations. thanks again cheers

shreem, If you will take another look at the post, I never mentioned banning Frank or anybody else. That was a quote from the referenced post and it did not apply to Frank but to another, long gone, poster. The post was in quotes and the name of the poster and the date of the post mentioned above the post. I did not recommend banning anybody and never have. I know you guys are hard core market profile fans and I can respect that, I was once one too, but please try and read a little more carefully and not let your negative biases towards me get the better of you.