ant

Hey James, it's really no big deal. See how this version works out. There are a lot of inputs in this tool, but it beats plotting these pivot points manually. Feel free to suggest any other changes. EDIT: Alternatively, this tool could have been applied to a chart three times for daily, weekly, and monthly, instead of duplicating the code three times.

Follow my trading plan. Plan my trade strategy before the market opens. Be patient - wait for my trade setups. Do not overtrade (i.e., not trading is a position). Pass on a trade if the risk is too high. Obey money management rules at all times. Respect leverage. Do not trade with money I can't afford to lose. Stay out of dull, low volatility and illiquid markets. Do not trade ahead of a key economic number.

Let's start with this. Let me know what needs to be changed/added.

Interesting analysis James. The chart below shows the key reference areas above and below the close for the YM on 9/19. During today's trading, the YM traded up to the high volume node of the composite profile for the previous 2 days and reversed. This becomes the key reference area above the YM's close to monitor. So tomorrow I will be watching 11660 - 11670, an area that includes a high volume node and single prints. Perhaps we'll get a shorting opportunity in this area tomorrow. We'll see... The YM then traded down to the single prints from 9/13 and reversed. This becomes a support area for the YM since it appears that there are still buyers in this area.

Some questions... From the close, high, and low values that you input, how do I calculate the weekly and monthly pivots? How would they differ from the daily pivot points? If all of those pivot points are plotted, then you would have 15 to 21 lines on your chart, is that correct? I'm not sure one pivot point can be deleted manually without deleting all of the other ones. How about an input to specify which pivot point to plot? Which one is the midpoint? :o

Luke, can you describe a scalp trade used by Bill at IOAMT? Are trades taken within the value area? Is there a more efficient way to learn about Bill's trading method without participating in his chat room? Thanks in advance.

Soultrader, If you're still in need of a pivot point tool and can describe what you're looking for, I can try to create it for TradeStation. Antonio

Market Delta is 3rd party software that provides interesting ways of viewing bid/ask information. This information could be useful for analyzing market behavior as price approaches a key support/resistance level. For those that use TradeStation, I have created a simulation of Market Delta. Note that TradeStation provides a snapshot of the bid/ask so it won't be accurate most of the time. Therefore, I have provided an option in this analysis technique to use upticks and downticks instead. Although the bid/ask info is not completely accurate in TradeStation, you can determine whether it is good enough or if using upticks/downticks is preferred. This Market Delta indicator defaults to using upticks/downticks, which I find useful. For example, in the first chart below, a downswing is highlighted in the ES on 8/29. In the second chart, you can see that the simulation of Market Delta using upticks/downticks highlighted the net selling. Additional Information about the Indicator Attached is the code to simulate Market Delta. Note that if you apply this indicator to a chart and then refresh that chart, all of the Volume info at each strike price is lost. This code does not save historical information. The code supports four color gradients that are controlled by the Threshold inputs. The default Threshold settings are appropriate for the ES on a 5 or 15 minute chart. Setting the Type parameter to '1' will use upticks/downticks, setting that parameter to '2' will use bid/ask. The DisplayDelta parameter indicates whether the net selling vs net buying delta is displayed below the bars (see example below). This code can be easily modified to display Volume at each strike. This is a Paintbar indicator. From my observation, the footprint is updated in real-time in a timely manner. Experiment and play with it and see if you find it useful. Make sure to spread out the bars so that the data and bars fit neatly. I have tested this primarily with the emini S&P. This indicator was originally posted to the TradeStation Forum where other traders are making enhancements to it. MarketDelta.ELD

The volume indicator is plotted as a line indicator in the chart instead of a histogram. Putting volatility aside, the stop would have been placed 1.5 points (an octant stop) below the upper bracket limit or 1313.25 on 9/12. If the market trades below the upper octant, the long trade would have been stopped out and a responsive trade could have been taken. A responsive trade would mean entering a short trade at 1313 with a target of the middle of the distribution or the next key reference point (monitoring internals of course). The octant stop is one approach covered in the Cisco-Futures course.

Breakout entry is one of the areas that I hope to continue to improve on with time. In general, I try to enter a partial position on the breakout using a market order and enter the balance on a retracement, if there is one, using a limit order. For the record, I didn't get into this trend until much later, but here is how one could have played it. Also refer to the previous charts for the profiles. On 9/11, the ES traded to the upper bracket limit at 1314.75 and formed a Volume divergence, as indicated on the chart. Volume was not confirming the breakout. One could have taken a responsive trade and shorted near the upper limit. The target would have been to the middle of the distribution (or the high volume node). Since we were trading above the high volume node (HVN), a bias to the upside would have been appropriate. So if a long trade were taken near the HVN, the target would be to the extreme of the bracket at 1314.75. (Note that volume decreased significantly as the ES approached the HVN, signaling that it is unlikely that the market would trade through the HVN.) However, since the ES was in a short-term balance area, imbalance was expected to follow. When the ES traded to the upper limit, its behavior should be monitored using market internals. In this case, the ES traded through the upper limit on high volume. It's important to know what constitutes high volume for the markets traded. I usually monitor internals on a 1 min and 5 min chart. Soultrader, your breakout trade setup using TRIN is a good one and I will look for it next time. Thanks. Stop Placement: Divide the ES composite range into octants (8 sections). The 8th octant at the upper and lower limits corresponds roughly to the 2nd standard deviation where approximately 95% of prices trade. The range of the ES composite from 9/7 to 9/11 was roughly 1302.50 to 1314.75 or 12.25 points. Dividing 12.25 by 8 yields 1.5 points per octant. A stop can be placed 1.5 points below the upper limit. Also, keep in mind volatility and use the greater of the two values. I won't get into volatility here. There are many ways to trade a breakout and one just needs to find the way that works for them. Another example would be to wait a certain amount of time and if the market is still trading beyond the bracket limit, enter the trade.

Piptrader, As you alluded to, it is critical to determine market condition (consolidation or trending, or in Market Profile parlance, balance or imbalance). You would then adjust your trade strategy accordingly. In a trading range, you would sell the top of the bracket and buy the bottom of the bracket. I stay away from trading in the middle because it offers poor trade location and that's where a lot of the noise is, unless the bracket is getting mature and imbalance is expected, then I would enter at the high volume node with a target to one the extremes of the balance area. If the market trades near the bracket limit, I will then monitor market internals to see if a breakout is likely. You never know what the market is going to do until it reaches a key level and then the market is monitored for strength/weakness. That's one main reason why I don't believe in mechanical systems. You can't follow these guidelines blindly, like fade the POC all the time, you won't be a consistent trader IMO. Once a market breaks out of a balance area, adjust trading strategy again. Follow the trend and buy pullbacks in uptrends and sell rallies in downtrends. Do not fade anymore. The composite Market Profile looks quite different for balance vs imbalance. See attachment. Of course, we have all experienced false breakouts and that's the way the market extends a trading range. How you enter a breakout depends on your personal trading plan, but we will always be wrong at some point and that's where our stops help. In the first attachment, you will see two profiles. The first one is of the ES in a trading range and the second one is the ES trending. My definition of a balance market is one that has at least 3 TPOs at each price level and the market is trading within the upper and lower limit. When the profile starts to look like a well-defined bell-shaped curve with a high volume node near the middle of the distribution, I will be alert for a breakout. That means, I will monitor the extremes of the bracket using market internals and I will also try to enter at the high volume node to try to get into the market before it breaks out, hopefully. When the market starts to trend, I will start to get alert for consolidation again. The markets repeat this cycle over and over again. Notice in the chart what the profile looks like when a market is trending. It is thin and long with low volume areas (single prints) from the range extension. Again, this is not a mechanical system and it takes practice. This trading style will not give you green/red lights and you have to consider the context of what the market is doing. Too many traders do the same thing regardless what the market is doing, and that's a tough way to trade, I think. The key is to enter at "unfair" prices (i.e., away from value). That will give you the best trade location and excellent risk-reward. There are many trading strategies/tactics that one can develop trading market structure and market development using the Market Profile graphic. I gave a just a few ideas. By the way, you can see consolidation and trending on any chart (see second attachment). I know I have oversimplified things quite a bit and some of it is apparrent, but I hope it helps. Good Luck!

Piptrader, As you alluded to, it is critical to determine market condition (consolidation or trending, or in Market Profile parlance, balance or imbalance). You would then adjust your trade strategy accordingly. In a trading range, you would sell the top of the bracket and buy the bottom of the bracket. I stay away from trading in the middle because it offers poor trade location and that's where a lot of the noise is, unless the bracket is getting mature and imbalance is expected, then I would enter at the high volume node with a target to one the extremes of the balance area. If the market trades near the bracket limit, I will then monitor market internals to see if a breakout is likely. You never know what the market is going to do until it reaches a key level and then the market is monitored for strength/weakness. That's one main reason why I don't believe in mechanical systems. You can't follow these guidelines blindly, like fade the POC all the time, you won't be a consistent trader IMO. Once a market breaks out of a balance area, adjust trading strategy again. Follow the trend and buy pullbacks in uptrends and sell rallies in downtrends. Do not fade anymore. The composite Market Profile looks quite different for balance vs imbalance. See attachment. Of course, we have all experienced false breakouts and that's the way the market extends a trading range. How you enter a breakout depends on your personal trading plan, but we will always be wrong at some point and that's where our stops help. In the first attachment, you will see two profiles. The first one is of the ES in a trading range and the second one is the ES trending. My definition of a balance market is one that has at least 3 TPOs at each price level and the market is trading within the upper and lower limit. When the profile starts to look like a well-defined bell-shaped curve with a high volume node near the middle of the distribution, I will be alert for a breakout. That means, I will monitor the extremes of the bracket using market internals and I will also try to enter at the high volume node to try to get into the market before it breaks out, hopefully. When the market starts to trend, I will start to get alert for consolidation again. The markets repeat this cycle over and over again. Notice in the chart what the profile looks like when a market is trending. It is thin and long with low volume areas (single prints) from the range extension. Again, this is not a mechanical system and it takes practice. This trading style will not give you green/red lights and you have to consider the context of what the market is doing. Too many traders do the same thing regardless what the market is doing, and that's a tough way to trade, I think. The key is to enter at "unfair" prices (i.e., away from value). That will give you the best trade location and excellent risk-reward. There are many trading strategies/tactics that one can develop trading market structure and market development using the Market Profile graphic. I gave a just a few ideas. By the way, you can see consolidation and trending on any chart (see second attachment). I know I have oversimplified things quite a bit and some of it is apparrent, but I hope it helps. Good Luck!

Soultrader, the attached TradeStation ELD file contains code that draws the daily Market Profile graphic. I haven't tested it on every market though. It creates the Market Profile in real-time; however, if you see any discrepancy in the Market Profile for the current day, just reapply the indicator. The indicator is currently password protected, but I may open up the code at a later time. Below is a sample of a chart with Market Profile study applied to it. In general, the indicator is easy to use and is intended for use on intraday charts less than or equal to 30 minutes. Let me know if you have any problems with the files. Enjoy. Some additional info: // MarketProfile: Generates Daily Market Profile // // Supporting functions: CountTPOs(), CalcPOC(), CalcValueArea(), PlotMarketProfile(), and GetArrayIndex() // // Note: The Market Profile graphic is updated in REAL-TIME and starts // drawing on the second bar of the day. Make sure that there is // enough bars in the chart to successfully plot this indicator (according // MAXBARSBACK). // // To determine the recommended value of the ArraySz parameter, run // this indicator with the GetArraySz parameter set to true and view the // EasyLanguage Output Bar. When this parameter is enabled, the profile // will not be drawn. // // Intended for use on 30min charts, but may be used on intraday charts from // 1 to 30 mins. P.S. How do I post charts/images so that they display larger? Thanks. EDIT: The latest Market Profile indicator has been posted in the Trading Indicators forum.

Breadth is basically the difference between the NYSE advancing issues and NYSE declining issues. During the trading session, I use breadth primarily to help confirm a trend day like today. Sometimes, I also use it on higher timeframes to look for divergences with price, but not often.

Soultrader, I can post the Tradestation ELD code for the Market Profile study, but it is an invalid file type for posting to this forum. The files will be password protected though.

Although I've studied Candlestick charts before, I prefer using bar charts. I find candlesticks to be too bulky and the bar charts provide the same info anyway. I use daily and composite Market Profile graphics during my nightly preparation. During the trading session, I'm looking at a bar chart with the S/R levels already plotted on them and a graphic of the developing daily Market Profile. I also look at volume, Ticks, breadth, TRIN, and bid/ask info.

Soultrader, I created several Market Profile indicators for TradeStation and WealthLab since they weren't available without paying for them. As an engineer, this part comes easy.

Carter, I meant that almost an ideal bell-shaped curve formed with a well-defined high volume node centered almost in the middle of the distribution. This part of the analysis is subjective since the markets doesn't usually create "perfect" bell-shaped curves. In general, the market profile of a balanced market resembles a bell-shaped curve.

Soultrader, Thanks for the tape reading videos! They were very helpful. One question though... When do you decide to reset the bracket while tape reading? On the start of every new bar? Thanks in advance. Antonio

Carter, Below is a chart containing examples of what I look at each day. Keep in mind that I have the benefit of hindsight here... On the left side of the chart is a composite profile for 8/16 to 8/31. You can see from the normal distribution that a mature, short-term, balanced area has formed and imbalance is expected. While the bracket is forming, I would focus on fading the extremes of the bracket on weak internals. As price approaches the extremes I would monitor market internals and look for divergences between price and ticks/volume, etc. on a 1 min or 5 min chart. I would also look for divergences between the S&P and Dow, look at bid/ask info, and identify high volume nodes and single prints as key reference areas. I am always looking for a confluence of key reference areas. On 9/1, the market broke out of balance, but the higher prices were rejected, and the market traded back into the balance area. Within the next two days, the market returned to the lower limit of the composite profile and bounced off it. As the market traded, it left clues behind (i.e., it "tipped its hand"). So here is what I saw today and what I'll be looking at tomorrow... Today, 9/11, the market traded away from the high volume node of the previous 2 days and tested the lows of the composite of 8/16-8/31 and 9/7-9/8. This set up a high probability trade to the long side. Notice that the market will test one extreme, and if rejected, will often test the opposite extreme. This happens enough times to make it worth watching. In fact, this is one of my favorite trades. Notice where the market stopped today - in the single print area of 9/6 and 9/7. That is, on 9/6 there were single prints around 1314.75, and on 9/7 the market bounced off that area. Today it did the same. So what are the key reference points for tomorrow... The ES closed at 1312. To the downside, the key reference area is around 1309, the single prints from today, the high volume node of 9/7-9/8, and the high volume node of 8/16-8/31. To the upside, I will be paying close attention to how the ES trades around 1314.25, the high of today and 9/7, and the single prints of 9/6. I'll stop here, but I hope this gives you some idea of how I trade.

Hi Carter, I primarily trade the ES, but also trade the Euro and Yen occassionally. Every night I develop a trade plan for the next day that I rarely change during the trading session. My goal is to capture the 2-3 major swings of the day, and if I can get in near the high or low of the day in the first hour of trading, even better. My daily routine is to determine whether the market is in balance (trading range) or imbalance (trending), identify the support/resistance levels using daily and composite market profiles, and then devise a trade plan. During the trading session, I monitor price action and market internals as the market approaches these key reference points. If the market is in a bracket I will look to fade key levels on weak internals, and stay away from entering in the noise. However, I am always alert for a possible breakout. If the market is trending, I always go with the trend and only buy pullbacks in uptrends and short rallies in downtrends. My trading style does not require me to be fast but I always use stops in case the market goes against me. Earlier this year, I removed all indicators from my charts and started to focus on trading market structure and market development using Market Profile. This was the best thing I did for my trading. Antonio

The markets I have started to follow, besides the emini S&P, are the 30 yr Bonds, Euro, Crude Oil, Natural Gas, and Gold. I also look at the emini Dow to identify divergences between the Dow and the S&P, but I've been trading the emini S&P only. I plan on trading only the electronic markets, not the pit-traded markets. Any thoughts on applying Market Profile principles to these markets? I wish there was another market, in a different area, with the volatility and volume of the S&P. Why do some traders prefer the emini Dow over the emini S&P (besides the tick value of $5 vs $12.50).

Are there people trading the CME currencies (Euro or Yen) using Market Profile? If so, what time period do you use to generate the Market Profile using TPOs? I use 7:20am to 3:30pm EST because of the light trading during the overnight sessions. I'll use 24 hours to generate a volume profile though. Also, I would be interested to hear about people's success trading the currencies using Market Profile. Thanks.

I don't trade full-time right now, but my style of trading would average about 2-4 trades a day since my method tries to capture the major swings of the day. However, sometimes the market I trade, emini S&P, doesn't generate any trades, which brings me to my question. In order to trade for living, is it required to trade more than one market? For example, over the last week or so, volatility has really dried up in the ES and there have been few trade opportunities using my trading strategy. Specializing only in one market makes sense, but if you're trading for a living, you need to trade to generate income. Seems like this could be a real problem if the market one follows hits a dry spell for weeks, months, or longer. Thoughts?

Hi Soultrader, Great site! Very relevant to the way I trade. I don't use indicators either and use price action, Market Profile (daily and composite profiles) to identify a confluence of support/resistance levels, and market internals for trading. Your tape reading videos were quite interesting, but I couldn't really follow along what you were doing. I would like to learn to tape read using time and sales and was wondering where I could find more information on how to develop that skill. More tape reading videos would be great. Thanks.