[VSA] Volume Spread Analysis Part I

[Blu-Ray 10]

To anyone who knows,

Can Pivotprofiler's code be translated into Easylanguage for us Tradestation users?

Thanks, Taz

 

Taz

 

Yes it should be possible, I'm on with it now and I'll let you know how I get on

 

Cheers

 

Blu-Ray

[jjthetrader 10]

Thanks for showing us your trade Seb.

What software are you using that's painting your bars?

[jjthetrader 10]

Sledge, keep up the good work. Like you said, most of your trades are good ones. You're going to have losing trades even following VSA. I made two trades last week that were good calls but my stop got hit. Losing trades happen for a lot of reasons.

You've got to play to win.

You're certainly not a moron. In fact there was a chance that that support of the previous low could have held.

cheers mate.

 

PS, why is the GBP called cable?

[tawe trader 10]

JJ, here's what I know.

 

GBP/USD - 'cable' (in the 1800s, the pound/dollar exchange rate was transmitted via transatlantic cable)

 

Out of interest with you being Canadian, do you know why the CAD is nicknamed the 'loonie' ?

 

 

Regards

Darren

[jjthetrader 10]

JJ, here's what I know.

 

GBP/USD - 'cable' (in the 1800s, the pound/dollar exchange rate was transmitted via transatlantic cable)

 

Out of interest with you being Canadian, do you know why the CAD is nicknamed the 'loonie' ?

 

 

Regards

Darren

 

Hey Tawe, Our one dollar coin has a loon on it. It's that simple!

On the off chance people don't know what a loon is, it's a native waterfowl species similar to a duck but way stealthier looking.

[jjthetrader 10]

This is our one dollar coin, the 'Loonie'

[Seb Manby 11]

Metastock, and it took me 2 hours to program and test them

 

Thanks for showing us your trade Seb.

What software are you using that's painting your bars?

[jjthetrader 10]

Metastock, and it took me 2 hours to program and test them

 

I don't suppose you'd share your code?

[Sledge 13]

Sledge, keep up the good work. Like you said, most of your trades are good ones. You're going to have losing trades even following VSA. I made two trades last week that were good calls but my stop got hit. Losing trades happen for a lot of reasons.

You've got to play to win.

You're certainly not a moron. In fact there was a chance that that support of the previous low could have held.

cheers mate.

JJ-

Thank you. I just could not for the life of me figure out why it was in Freefall mode (you figure the supply would have to dry up sooner than later) After watching the Cable exclusively for the last 5 months it just fell harder and faster than its usual pace. You seem to get a gut feel in a sense of the range of which it will go after a while when you deal in only one currency/stock etc. I think I got my answer today- the rocket north was a thing of beauty to see for any trader- in the trade, on the sidelines or otherwise.

 

Seb: If you still would comment on your earlier post about the lack of support by the professional smart money- I am still very interested in understanding more about this!

 

Sledge

[mister ed 10]

would greatly appreciate if you could outline the maths behind POC calculation,

 

Hi Monad

The Point of Control (POC) is the price that traded most frequently during the day according to time at price. The POC is the longest line of TPOs on the Market Profile chart. Not sure of the maths, but the POC sticks out as the longest horizontal line when one is looking at a MP chart.

Hope that helps?

[bh_trade 10]

Taz

 

Yes it should be possible, I'm on with it now and I'll let you know how I get on

 

Cheers

 

Blu-Ray

 

 

Blu-Ray, thanks in advance. I look a look at the huge block of Metastock code and was considering converting it to easy language myself, but the only thing I could come up with is condition1, condition2, etc, so I passed. Regardless, converting that code into easy language is not as easy task. Many thanks to you for all of your generous contributions to this forum.

[bertg 10]

Sorry, it is a 15m minute chart.

Sebastian,

 

The chart looks like a 20-min chart to me.

 

In any case, how far back do you go to analyze the background and would you say there was weakness in the background?

 

I assume by confirmation you mean this: the 1620 red no demand bar got painted red when the 1640 bar closed and it was a down bar.

 

Your trade was so simple and so profitable. Congratulations to you.

 

Thanks for all your contributions,

Bert

 

P.S. The chart attached is Sebastian's from several posts ago.

[Anonymous 11]

Just a chart dump. Pay no attention: it does look good though.

[monad 10]

Just a chart dump. Pay no attention: it does look good though.

 

Would greatly appreciate info. on how to calculate the Value Area High, low and POC , can that be done in a spreadsheet with the High, Low , Close, Open of the previous day, if , what are the formulae.

[mister ed 10]

Would greatly appreciate info. on how to calculate the Value Area High, low and POC , can that be done in a spreadsheet with the High, Low , Close, Open of the previous day, if , what are the formulae.

 

No, the Value Area High, Value Area Low and POC cannot be calculated from the previous day's HLCO.

 

VAH, VAL and POC are Market Profile terms, and to be honest to understand them it would be a great idea to read some of the introductory posts you will find here at the Market Profile forum. Very educational indeed and well worth the time spent.

 

In brief, the value high and low are plotted around a central price referred to as the Point of Control (POC), which is the price that traded most frequently during the day according to time at price (so there is no way this can be calculated from the OHLC data). The POC is the longest line of TPOs on the Market Profile chart. The VAH and VAL are plotted so as to contain 70%, or thereabouts, of the day's trading, again as measured in number of TPOs (so again, they cannot be calculated simply from the OHLC data).

[monad 10]

Thanks mister ed for info. on POC etc

 

I was referring to the post 1342 by Pivotprofiler who mentioned Mark Fisher's pivot method which reflects to a large degree the POC, VAH and VAL provided by the traditional MP i.e counting TPOs. It is a poor man's tool so to speak and I believe it is calculated from previous day's high, low, close,open values, although I am not 100% but checking into it. PivotProfiler has obviously mentioned that and see them plotted on his charts posted here, hence the question.

 

Anyway appreciate your kind response

[monad 10]

VSA question for PP/Sebastian:

 

Under what circumstances can a 1. Wide Ranging Bar with Low vol and

2. WRB with High Volume (above average but not

excessive

be considered bullish???

 

other VSA traders, please feel free to comment, am sure all inputs will shed more light

[Anonymous 11]

Would greatly appreciate info. on how to calculate the Value Area High, low and POC , can that be done in a spreadsheet with the High, Low , Close, Open of the previous day, if , what are the formulae.

 

 

Yes and No. Actually, Yes, if you believe the work done by Mark Fisher. The Pivot Profile is my tweaked version of his Pivot Range. He contends that the Pivot Range give the same area as Market Profile roughly 95% of the time. When I heard that, a light went off. Being a believer in Market Profile, but not have data available, I took the Pivot Range and set out to make it better and even more akin to Market Profile. Some will notice that the colors used are a direct reflection of the Enthios Price Histogram.

 

Enthios talks a lot about some key Market Profile concepts. One of which is the retouch of the previous day's POC. This is also where I first saw the term Virgin POC: a POC that has NOT been touched (insert own sexual innuendo here).

 

Anyway, Mark's formula for the Pivot Range do only use High, Low, Close data. I added to the formula and made a small change. The language I use is directly from Market Profile because that is what I am attempting to emulate. Ironically, how close of an approximation it is to an actual Market Profile matters little. Why? Because all I have to do is focus on what the Smart Money is doing around these levels. And time and time again there is Smart Money activity around the levels. Time and time again, the market will trade back to the POC (see below).

 

YH:=HIGH1;
YL:=low1;

POC:=(high1 + low1 + (2*close1) ) / 4;
PivotDiff:= POC-(high1+low1)/2;
DRHb:= POC+PivotDiff;
DRLb:= POC-PivotDiff;
RRHb:= POC+(1.750*PivotDiff);
RRLb:= POC-(1.750*PivotDiff);
ERHb:= POC+(2.875*PivotDiff);
ERLb:= POC-(2.875*PivotDiff);

ERH:=If(ERHb>High1 or ERHb<Low1,Null,ERHb);
RRH:=If(RRHb>High1 or RRHb<Low1,Null,RRHb);
DRH:=If(DRHb>High1 or DRHb<Low1,Null,DRHb);
DRL:=If(DRLb>High1 or DRLb<Low1,Null,DRLb);
RRL:=If(RRLb>High1 or RRLb<Low1,Null,RRLb);
ERL:=If(ERLb>High1 or ERLb<Low1,Null,ERLb);

 

What you end up with are lines (Areas) that do a good job of defining where the market traded that day. In other words, at the close of trading on Tuesday (1700 by my broker) a New Profile is calculated and applied to Wednesday. Take a look at my previous post, the one I said pay no attention to. Note how the line do indeed define where volume and price were heaviest.

The bottom portion of the code is used to keep lines off where price did not trade that day. That is, the Extended Range High (ERH) should only be drawn if it is less than the day's high (YH). That is why the profile below has some levels below the Value Area (defined as the Deviation Range (pink lines) and not above them.

 

On to the chart below.

 

First note the low volume time that trades between the black line (YH) and the Deviation Range High (DRH) or the top of the Value Area. Price then falls into the Value Area. We then get a No Supply as price moves out. The next thing we get is a Squat at the top of the Black line which send price down back into the Value Area. At that same time, we see a squat on the 5 min that pushes down price as supply enters. We get the second Dark WRB to engulf a Test bar further showing weakness.

 

The trade. Price makes a move back up. Notice that as price tries to exit the Value Area we see a No Demand sign. Up bar on a narrow range closing off its highs and making a higher high on volume less than the previous two bars. On the 5 min, we see a squat within the range of a WRB. High volume WRB with a squat within the range of its body (I think I have said that before ). Price wants to do what it failed to do before: trade down to the POC (yellow line). It does. It may not be an actual Market Profile, but the trade is based on concepts from Market Profile. In fact, the next target would be to touch the lower pink line (Deviation Range Low) as this would be the 80% Value Area trade from Market Profile. Which states, that 80% the market trades outside the Value Area then reenters, it trades to the opposite side of the Value Area. The trade from yesterday used this concept.

 

P.S. Mark uses (H+L+C)/3

[Anonymous 11]

Just an updates shot with the POC on the 5 min. Again it was touched. In fact we are trading just below it as of this screen shot.

 

Green lines are stop placements levels.

 

I have no idea what the market will do, I let it take me where its going. Having said that, the Deviation Range Low (Value Area Low) is 1.4504. That would be the next price target based on the 80% rule trade.

 

[volume 10]

Sebastian can you educate me please, i run VSA real time with an esignal feed, is metastock another feed?

[jjthetrader 10]

Sebastian can you educate me please, i run VSA real time with an esignal feed, is metastock another feed?

 

Metastock is software that uses a few differend data feeds, the main one being Reuters.

[volume 10]

thanks JJ any ideas where i can find out more please?

[jjthetrader 10]

thanks JJ any ideas where i can find out more please?

 

//http://www.metastock.com

[mister ed 10]

Thanks mister ed for info. on POC etc

 

I was referring to the post 1342 by Pivotprofiler who mentioned Mark Fisher's pivot method which reflects to a large degree the POC, VAH and VAL provided by the traditional MP i.e counting TPOs. It is a poor man's tool so to speak and I believe it is calculated from previous day's high, low, close,open values, although I am not 100% but checking into it. PivotProfiler has obviously mentioned that and see them plotted on his charts posted here, hence the question.

 

Anyway appreciate your kind response

 

Ahhh...sorry Monad, my mistake.

Can I ask what instruments you are trading? If US index futures there is a website that provides the figures (VAH POS VAL) each day before the RTH open,

[monad 10]

Just an updates shot with the POC on the 5 min. Again it was touched. In fact we are trading just below it as of this screen shot.

 

Green lines are stop placements levels.

 

I have no idea what the market will do, I let it take me where its going. Having said that, the Deviation Range Low (Value Area Low) is 1.4504. That would be the next price target based on the 80% rule trade.

 

 

Many thanks, PP, info on Market Profile greatly appreciated. From the study of the formulae, it looks like you have tweaked the traditional Pivot calc. (H+L+C)/3 , then taken the midpoint of the Range i.e (H-L)/2 , subtracted this value from the Pivot to obtain the differential and then added them on to the Pivot to get Deviation Range H/L , RR, and Extended Range H/L.

 

1. What does RR stand for

2. Interesting one of the values inevitably ends up as the midpoint range ie. (H-L)/2

 

As for the VSA question in respect of Wide Range Bars, I meant an upbar:

 

Under what circumstances would one regard a Wide Range Up Bar (close higher than previous close and higher than open on the same bar) either on low volume or on above average high vol as bullish????