Price Acceptance / Value

[BlueHorseshoe 10]

 

semantics don't matter!! You are resting on your model to produce past results, sounds like prediction to me!

 

Yes, this probably is just a semantical argument really. I think the importance of how a trader approaches the concept of 'prediction' is probably more psychological than anything else, and it's very clear from your post(s) that you're not some novice who believes that there's some secret key to unlock and predict the markets!

 

I suppose what I am arguing is that we should 'predict' the net outcome of large number of trades, not 'predict' the outcome of any one individual trade.

 

As for justifying MP and how it has helped me in my trading - well the answer is not at all! I'm not a Market Profile trader and don't know much about it - my original involvement in this thread was just in trying to support the validity of 'mean reversion' as a method of market analysis.

[joshdance 10]

Yeah, tough market today in that it's semi-directional, but not strongly enough to move stops so quickly I suppose. Here's the chart so far, you can see it ticked down to 04.50 and got me at BE at 5.00 ... seems to me that we may have just had an order flow shift to short here at 10:57am, but I'm being a little predictive and just feel, not so objectively based yet.

[roztom 10]

Yeah, tough market today in that it's semi-directional, but not strongly enough to move stops so quickly I suppose. Here's the chart so far, you can see it ticked down to 04.50 and got me at BE at 5.00 ... seems to me that we may have just had an order flow shift to short here at 10:57am, but I'm being a little predictive and just feel, not so objectively based yet.

 

Agree: Here is something interesting that we ahve discussed here: At 10:02 cst the DVPOC shifted up to 1307.50. We have debated whether this current developing high volume area is acceptance or rejection..

 

Buying was shut off and the mnarket is rotating... so to me , at that time there was agreement on value...buyer/seller were matched...buyers were absorbed by sellers..at that time... will the buyers show up again on the rotation? Don't know..the IBH.. 1306.75 might act as support for a long...just sign posts in the profile. IMHO...

 

Still long.. might add...helmet on..

 

 

Add: At 10:08 cst we did rotate to 1306.50..we 1-ticked the IBH 1306.75.. that is profile for you... just a reference point for a position if it aligns with other tools... I did not add - I am still long with a B/E stop.

 

Regards,

 

Tom

 

Add: I just want to mention, and this is something that many of you might agree with, is that I always know that I don't know... Mentally when I think I know I tend to not allow other possibilities in since I am looking to be right... I have disciplined myself to be in the moment and to look for the opportunity - not to be right... that si why predicting is not what I do.. I want to detect and follow the order flow... t

Edited January 24, 2012 by roztom

[roztom 10]

Add: At 10:08 cst we did rotate to 1306.50..we 1-ticked the IBH 1306.75.. that is profile for you... just a reference point for a position if it aligns with other tools... I did not add - I am still long with a B/E stop.

 

 

After this test of IBH we rotated to 1309.75..I am still long target 1310.00 CHVN 1310.50 low of closing range 1310.00.. If we get through 131050..possibility of 1311.25 - 1312.25 NVPOC... Current supp 1306.00 ish...if violated structure has changed..as of now...

 

Just my current read of the MP.. @ 11:25 cst..

 

BTW: MP Practitioners say there is apx a 80% probability (I think) that once the previous days Value area is penetrated that price will go to the previous VA extreme, this would be 1314.25 area, yest VAH.. I do not trade with that...

 

Regards,

 

Tom

Edited January 24, 2012 by roztom

[clmacdougall 11]

That is wrong. There is an agreement on price, but a disagreement on value.

 

You seem so sure of what you think!! It almost sounds like you are speaking in "absolutes"

 

Someone I recently read had something to say about speaking in absolutes. It may help you.

 

"I find it annoying when people wrongly speak in absolutes." - Lornz

 

 

You'll find the quote on page 2, comment # 13 of the thread "Quit Job To Watch DOM" but I suppose you already know that!!

[Lornz 10]

You seem so sure of what you think!! It almost sounds like you are speaking in "absolutes"

 

Someone I recently read had something to say about speaking in absolutes. It may help you.

 

"I find it annoying when people wrongly speak in absolutes." - Lornz

 

 

You'll find the quote on page 2, comment # 13 of the thread "Quit Job To Watch DOM" but I suppose you already know that!!

 

Yes, but I was stating a fact -- which is very different.

 

Please take note of the word "wrongly".

 

You have no evidence of your statement, while mine is easily provable.

[roztom 10]

Current Trade Update: 12:42 cst.. We tested IBH/VWAP support 1306.75 low tick 1306.50. Earlier I posted 1306.00 was key support based on the profile distribution...

 

I do expect rotation since the market is long and especially during lunch the market will counter-trend rotate for the stops under the market..it doesn't have to but unless we are on a freight train that seems to be the norm...

 

For me the rotations are key and this is where seeing the fat part of the profile gives me an idea of where the rotation ought to go to... Currently the train is on time. Of course there is no guarantee that the structure won't fail but it is just a map...

 

Also by waiting for this rotation this would be an area to enter a new position or to add... I did not do either. If I had targets higher up and I had better scales previously today I would have but my trade location is 1305.50 so I am sitting with my current positions at that price..

 

So we have a current triple top @ 1309.75... If this structure holds I "anticipate" the possibility of a new high this afternoon.. I am extending my target higher 1311.00 ish since if that current high is breached there should be some energy there...

 

I am only posting this to show one way of using MP..

 

I hope some of you find these helpful..

 

I cannot post charts since my trading platform is on a dedicated computer..sorry.

 

If someone could post a TPO/Volume Profile of today it would be helpful to show some of the structure...tx

 

Regards,

 

Tom

Edited January 24, 2012 by roztom

[joshdance 10]

Yes, but I was stating a fact -- which is very different.

 

You have no evidence of your statement, while mine is easily provable.

 

You can easily prove that all market participants disagree on value while agreeing on price? That's one heck of a poll you're going to take! j/k ;-)

[Lornz 10]

You can easily prove that all market participants disagree on value while agreeing on price? That's one heck of a poll you're going to take! j/k ;-)

 

Haha, that won't be necessary. Didn't you know that I'm omniscient?

 

It's just a question of semantics, really:

 

There has to be a buyer and seller for each transaction.

 

No trades can take place unless there is an agreement on price.

 

They agree on the price, but disagree on the (future) value of the instrument.

 

The more transactions that occur at a given price, the more value the participants see at that level -- but their views are diametrically opposite.

 

What do you say, ol' Macdougall? Does this fit with what you learned at the funny farm?

 

 

I would like to add that I think it's a fallacy to think the market can be fully explained by the observer. All of these theories sounds nice, but they work best in hindsight. Markets are not normally distributed, so I would take it with a grain of salt.

 

However, it is possible to trade profitably with Market Profile, just as it's possible to trade profitably with only a DOM or T&S. It's just a way of filtering information to make decisions, not a quantitatively provable trading strategy.

 

One can go mad trying to explain everything, but most people have a hard time embracing the uncertainty needed to succeed as a discretionary trader.

 

Personally, I think that the markets largely are undecipherable, except for certain instances. That is when I make move.

[roztom 10]

Current Trade Update: 12:42 cst.. We tested IBH/VWAP support 1306.75 low tick 1306.50. Earlier I posted 1306.00 was key support based on the profile distribution...

 

I do expect rotation since the market is long and especially during lunch the market will counter-trend rotate for the stops under the market..it doesn't have to but unless we are on a freight train that seems to be the norm...

 

For me the rotations are key and this is where seeing the fat part of the profile gives me an idea of where the rotation ought to go to... Currently the train is on time. Of course there is no guarantee that the structure won't fail but it is just a map...

 

Also by waiting for this rotation this would be an area to enter a new position or to add... I did not do either. If I had targets higher up and I had better scales previously today I would have but my trade location is 1305.50 so I am sitting with my current positions at that price..

 

So we have a current triple top @ 1309.75... If this structure holds I "anticipate" the possibility of a new high this afternoon.. I am extending my target higher 1311.00 ish since if that current high is breached there should be some energy there...

 

I am only posting this to show one way of using MP..

 

I hope some of you find these helpful..

 

I cannot post charts since my trading platform is on a dedicated computer..sorry.

 

If someone could post a TPO/Volume Profile of today it would be helpful to show some of the structure...tx

 

Regards,

 

Tom

 

2:15 cst.. I took my initial target of 1310.00 Made new high 1310.50..and Delta dropped

I still have 1311.00 + ish target but stomach lining...

 

MP: Sure... Great tool if it fits for you..It is in how you integrate it...and sorting out all the nonsense that doesn't matter to use the pieces that add value to your plan...

 

I did all these posts today win/lose or draw to show how a profile might be interpreted and used as a tool in someones trading plan to support trade location, support, resistance, targets... and failure..

 

Regards Tom..

Edited January 24, 2012 by roztom

[clmacdougall 11]

Haha, that won't be necessary. Didn't you know that I'm omniscient?

 

It's just a question of semantics, really:

 

There has to be a buyer and seller for each transaction.

 

No trades can take place unless there is an agreement on price.

 

They agree on the price, but disagree on the (future) value of the instrument.

 

The more transactions that occur at a given price, the more value the participants see at that level -- but their views are diametrically opposite.

 

What do you say, ol' Macdougall? Does this fit with what you learned at the funny farm?

 

 

I would like to add that I think it's a fallacy to think the market can be fully explained by the observer. All of these theories sounds nice, but they work best in hindsight. Markets are not normally distributed, so I would take it with a grain of salt.

 

However, it is possible to trade profitably with Market Profile, just as it's possible to trade profitably with only a DOM or T&S. It's just a way of filtering information to make decisions, not a quantitatively provable trading strategy.

 

One can go mad trying to explain everything, but most people have a hard time embracing the uncertainty needed to succeed as a discretionary trader.

 

Personally, I think that the markets largely are undecipherable, except for certain instances. That is when I make move.

 

Perhaps you've gone mad trying to explain everything coupled together with having a terribly hard time embracing the uncertainty you need to succeed as a discretionary trader. I find you largely undecipherable except for certain instances. That is when I make my move to read someone else' comments.

[Lornz 10]

Perhaps you've gone mad trying to explain everything coupled together with having a terribly hard time embracing the uncertainty you need to succeed as a discretionary trader. I find you largely undecipherable except for certain instances. That is when I make my move to read someone else' comments.

 

Cheers!

 

 

(notenoughcharacterstopost)

[joshdance 10]

Yeah, tough market today in that it's semi-directional, but not strongly enough to move stops so quickly I suppose. Here's the chart so far, you can see it ticked down to 04.50 and got me at BE at 5.00 ... seems to me that we may have just had an order flow shift to short here at 10:57am, but I'm being a little predictive and just feel, not so objectively based yet.

 

And the result of today is that the market painfully meandered all the way up to a high of 1311.00 ... but I can honestly say I would not have held that long.

 

First arrow in chart was beginning area of the trade.

 

The target of 11 was based on the fact that 1311.00 is yesterday's close, as well as just below last week's high and close. Monday's RTH open is 10.75.

[roztom 10]

And the result of today is that the market painfully meandered all the way up to a high of 1311.00 ... but I can honestly say I would not have held that long.

 

First arrow in chart was beginning area of the trade.

 

The target of 11 was based on the fact that 1311.00 is yesterday's close, as well as just below last week's high and close. Monday's RTH open is 10.75.

 

Thanks for posting the chart... There is "Logic" to MP.

 

BTW: there were at least 3 trades in there on rotations.. I was working on my taxes today while trading so I positioned which is typically not what I do.. The parameters would be the same it just is I would have traded around my positon.

 

I hope everyone who has wondered about MP found my posts today helpful.. let me know.

 

Regards,

 

Tom

Edited January 24, 2012 by roztom

[TheNegotiator 13]

First off, sorry Josh as I'm late to this thread. So if I am repeating anything anyone has already said, that's the reason why! I think it's a very useful discussion to have and I'll finish reading/comment on the rest of it later today.

 

Firstly, what does a profile represent? Either time spent in the form of touches for different 30min periods(traditional MP) or volume traded at price. The first is a proxy for time spent at price and shouldn't be dismissed as swiftly as it often is. Time at price gives and idea of balance imo because it shows that participants continuing (cumulative) idea of value is or isn't. If a market spends a decent amount of time going back and forth around a POC then it says that perception of value isn't changing. For volume, it shows where exactly previous trading has taken place. It is an invaluable tool for confirming or negating other points of reference. For example, how many times does an intraday low volume area form directly at say the IBH or the VWAP or anything else for that matter?

 

Like every other tool or indicator out there though, people confuse themselves into thinking it doesn't work. This is because they often infer meaning from something that is not correct. This is certainly not a criticism of anyone or a specific endorsement of MP/VP. Far from it. Use what you are happy with and make sure you have sound strategy and reasoning behind said strategy. In the case of VP and in the particular example Josh showed(btw very nice clear video-good to see), in one instance VPOC shifted down and there was a reversal and in the other, VPOC shifted up and there was a continuation. Tools like delta and contextual understanding as Tom points out are indeed usful in determining the likelihood of one or the other.

 

I would point out a couple of things however. Value is not the same as volume building up in my book. Here, the market tests the overnight low(amongst other things from what I remember), fails and pushes higher. This happened early on in the session and all relatively quickly. Look at an RTH MP of the day and you'll see what I mean. There was "competition" for price. Just below the first high formed(the one at 98.50), volume built up a bit suggesting people were selling here as people were buying. Time also passed and the MP built too. To me there was more of a question here about which way we'd go. What I'd suggest here is that rather than the 'building' of profiles indicating value, what was being shown was disagreement. On the one hand an Open-Test-Drive had many traders thinking a the test of 1300 was finally on, while on the other, sellers were willing to risk a few points near the previous day's high which was also at an important longer term low volume area just below 1300. One side had to win. One side ultimately was going to be stronger. In this case, there were probably more reasons for a break higher. When the test lower failed to take out the area Josh noted as previous supply, the balance tipped in favour of longs imo. Just think about the people who had previously sold there and when it didn't break, they added fuel to the move higher by exiting.

 

Just there I'll also mention about OTF and "weak hands" in the market. This btw is why I separate the sessions and weight them differently. If the 1298.50's had seen a strong rejection and then the market had built with a VPOC/POC shift, then how likely do you think the continuation would have been?

 

Last point. Where these minor balances or builds occur matters. The example happened right up against the key area just below the 1300's which many had been watching. My experience tells me that on a good number of occasions this can be the prelude to a break.

 

Anyway, logic is the most important thing coupled with the willingness to adapt and change ones views in the face of stronger logic.

[roztom 10]

N: Good summary and review of the recent events and posts by Josh and myself...

 

It demonstrates how MP can assist in identifying areas of interest and how it can help monitor changes and the areas to watch for where the OTF balance will tip for directional movement.

 

BTW: Yest I came in, got short right after the open..grabbed a few points and wondered what was next... With Fed time setting up I stood aside "thinking that we moght take the low out after the Fed but we were building higher value and finally had RE up...so I turned my brain around 180 degrees and traded the long side... One thing, eventhough the short side was rejected, I had no idea of the power of the up move until it started to unfold, but it didn't matter. I got on the right side and followed my plan... amd was appropriately rewarded for it...

 

Regards,

 

Tom

Edited January 26, 2012 by roztom

[SunTrader 10]

Actually ST, as I think about this a little more before heading off to bed, perhaps I might state it this way: as far as regular trading hours (9:30 - 4:00 or 4:15 for futures) goes, the opening price at 9:30am is significant only in its relation to the prior closing price (not the prior opening price). And the closing price at 4:00 (or 4:15 for futures) is only significant in relation to the morning's opening price (not the prior close).

 

.........

 

Missed your earlier couple of posts.

 

Above is what I said, but the more important of the two is how the market opens and closes today because what happened yesterday is history.

 

eMini S&P being comprised of 500 stocks is a lot harder to manipulate than single stocks. It happens but not for long. Don't confused that with volatility though.

 

But when I'm talking about the opening I should say the opening range, i.e. first 5 mins.

[robster970 10]

eMini S&P being comprised of 500 stocks is a lot harder to manipulate than single stocks. It happens but not for long. Don't confused that with volatility though.

 

Surely that depends on whether the futures market is leading or the cash is leading.

 

I think it's less hard than you make out as the futures market tends to lead more than the cash with thin overnight markets being easier to manipulate. Just my

[BlueHorseshoe 10]

Surely that depends on whether the futures market is leading or the cash is leading.

 

I think it's less hard than you make out as the futures market tends to lead more than the cash with thin overnight markets being easier to manipulate. Just my

 

My understanding was that the futures always led nowadays?

[joshdance 10]

My understanding was that the futures always led nowadays?

 

If one market always led, there would be an always-present exploitable edge (trade the lagging market based on the leading market), which the market does not allow, at least not for very long at all.

[SunTrader 10]

During this Euro Crisis period the eMini has had many a day where the range overnight was close to, equal, or greater than the U.S. trading session. Only to see price reversed once we started trading during regular session.

 

Stocks are valued on projected earnings. The futures are not going to deviate, much, from where stocks are headed. The futures lead only because there is, in the case of ES, one futures contract and 500 stocks to trade. One decision versus 500. Faster execution. Simple as that.

[khamore1 10]

My understanding was that the futures always led nowadays?

 

The SP Emini futures leads in a Bull market lags in a Bear market

[SunTrader 10]

The SP Emini futures leads in a Bull market lags in a Bear market

I was referring to actual price movement, tick by tick and not where fair value is.

[BlueHorseshoe 10]

If one market always led, there would be an always-present exploitable edge (trade the lagging market based on the leading market), which the market does not allow, at least not for very long at all.

 

Although I wouldn't go as far as to say that this edge is always present, it's the existence of edges of this type that the HFT firms tend to exploit. The market doesn't leave this type of edge open to all participants, though. To exploit this you would need:

 

a) to have the capital to take some type of weighted position in a basket of 500 stocks.

 

b) the capital to make small price differentials profitable.

 

c) the means to identify and respond to such opportunities with great speed and precision.

 

I'd be curious to know how the big S&P contract relates to the cash market and the e-mini in this respect.

[SunTrader 10]

...........

 

I'd be curious to know how the big S&P contract relates to the cash market and the e-mini in this respect.

 

HL Camp & Co - The Secret World of Program Trading

 

Also arbi in the pit between eMini and large.