Historical MP Day Types and Open Types?

[PointHarvester 10]

Hi,

 

Does anyone know of a database of historical day types and opening types for the ES and maybe other symbols? I would like to use it to support some statistical analysis.

 

Similarly, has anyone tried to create a measurable definition of each of the types so that day type / open type identification can be automated?

 

This site starts to articulate some rules, but stops short of a set of rules that could be implemented:

http://www.mypivots.com/investopedia/details/116/market-profile-day-types

 

 

Thanks,

pH

[alleyb 10]

I have the data but regret it is only available to my website members. I am always willing to learn from those with greater statistical analysis skills and especially from those whom have programming skills but am open to suggestions

[KalixMOR 10]

Try zenfire demo or xovian

[Jthoma 10]

This seems like a good site. hope it helps.

 

rotationdaytypes

 

 

I am also looking for the same info.

[alleyb 10]

jthoma. that site comes from Erik who is one of my students from some years ago

[CCP1200 10]

Everyone always thinks that if they can get some type of statistical edge on the number of days that we get certain day types that he will have a trading edge. it would be better to come to an understanding about the forces that cause the days to look the way that they do... namely the order flow that changes the structures. And to be more precise, to see the imbalance in the order flow because that is what caused the price movement.

[Tradewinds 12]

This seems like a good site.

 

My internet protection software blocked that site when I clicked on the link. I have no idea why, or whether it's justified or not. But that's what happened.

[Jthoma 10]

alternating-symmetry.com is site. try a search

 

I don't know why you were blocked.

 

 

hope it helps.

 

JT

[sundaram iyer 10]

why don't we discuss about the opening price concept and get the views

[AldPixto 10]

pH, is there a statistical hypothesis you're trying to prove? A correlation of serial day types?

 

I can download about 5 months of 30-min OHLC bars from eSignal (I think CQG users can get longer history).

 

Do you have IF-THEN-ELSE-like programmable rules that define the classic MP day types?

 

Do you need something more detailed than 30 minute OHLC bars?

[alex_laxya 10]

I am also working on the same concept. I have coded few open types but those codes I found are little rough especially those types where we need to see previous support/resistance areas. EX. Open Test Drive, here market test previous support to check if there is any buying interest remain and afterwords it goes up. Now to see what was the support area previous day is challenging to code. So I have just added today's opening price action. Here is an example for open drive

 

inputs:timeopen(0945);
vars:od(0);
od = (h-l)*4/5 ;
condition1 = (h-l) >= ((o - l) + od) and
time<= timeopen;
condition2 = close>open and (h-l)> average((h-l),10);
condition3 = low> low[1] + ((h[1]-l[1])/2) and c >c[1];
if condition1 and condition2 and condition3 then
value1 = text_new ( date, time, open, "OD");

 

It's coded in MC. When you apply on the chart and open drive conditions are true then Text will print below the bar ( Text : OD )

See if the logic is correct, would post other codes for other open types.

 

While going through statistical details about type of open and market trend I have found market takes at least 2 hour to establish which type of open is it. If we tried to make assumptions based on first half an hour then it is not that accurate ( Theory says first half or 1 hr )