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Market Profile Exploring the Auction Theory

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Old 20-01-2012, 10:46 AM
alex alex is offline
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Default Day trading with MP, rule based system

Would come direct to the point -
Tools :Basic Market profile charting software, intraday data for cash with volume (Avoided NF because I trade it with different methodology in options so don't want to mix it. )

Instrument : Any cash instrument as per your choice, I would be trading HDIL as that's the only cash scrip I am familiar with.

Time frame: 15 min.

Methodology: wait for first 30 min( two 15 min candles) to form the initial balance (IB). Judge which type of open it is ( would give definations for it in next thread, it's there in MP in theory thread). Based on the type of open crate the position using higher high or lower low. That's it, simple as it gets.

Rules:
1) If type of open is open drive up then buy IB high or highest high of last 4 bars provided volume delta is positive. ( volume delta = upvolume/ticks- down volume/ticks). Exit when low is lower than low of last 4 bars. ( no volume needed for exit) else exit at 3.14.

Opposite is true for open drive down.

2)If type of open is open test drive up/down then same as rule 1

3)if type of open is Open rejection reverse up/down then same as above rule but only difference is position size will be half than regular. As such type of open mostly lead to neutral or double distribution day.

4) Auction open - If open is gap up/down then same as rule 1 if open within previous value then No position, play video game or flirt on FB.

P.S. There are other things you can add as per your choice like exit on stopping volume or low/high of WRB(wide range bar) taken out, single print filled up etc. Would post as per trades, just don't want to confuse so didn't add as formal rule.
Attached pl (multicharts) file for volume delta, and type of open ( just to give idea, it's not perfect)

Also I am working on coding the strategy in multicharts but there are lot of ifs and buts and it is getting complicated by weekend would post rough code for it. So far when I tested open drive up gave profit factor of 2.8 on 6 years NF data but it's very early to say as it's in very crude form.

For open type pl code, put input 0945, that is the time when code stops looking for day types.
Attached Files
File Type: rar opentypDelta.rar (2.6 KB, 105 views)
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Last edited by alex; 20-01-2012 at 10:49 AM.
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Old 20-01-2012, 10:52 AM
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See the attachment for definition of day types and what should we expect from it. Also added 80% rule.
Courtesy J sir.
Attached Files
File Type: pdf MP THEORY - Notepad.pdf (7.9 KB, 151 views)
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Old 20-01-2012, 11:09 AM
alex alex is offline
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Setup would look like this. ORRU stands for open rejection reverse up. ple file will automatically print the text on chart.
So as per rules buy above 81.80 and no shorts for today.
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Old 20-01-2012, 11:47 AM
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Will add rules as per observation - Now brought 1/4 th quantity at 80.95 as stp loss is very near that is 80.50 and its only buy day, also delta is getting positive on lower tick, that means some one is buying on the dips. ( hope so that's not only me loll)
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Old 20-01-2012, 12:15 PM
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Excellent Alex...i will follow...to see wat can i import from ur methodology...in my arsenal..

Well i cant say how i will input here without NF...only thing i trade...so i think a make a duo thread with you...its long pending task...let it begin. I not assure of full time...im subjected to many time constraints, even lets enjoy the game.
Here its

SIMPLE
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Old 20-01-2012, 01:40 PM
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Thanks d2 bro..sure it will be fun..
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Old 20-01-2012, 01:43 PM
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Originally Posted by alex View Post


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Setup would look like this. ORRU stands for open rejection reverse up. ple file will automatically print the text on chart.
So as per rules buy above 81.80 and no shorts for today.

I am extremely sorry, made noob mistake, there wasn't first 2 bars present in my chart, and found it later, would post revised chart and it was open rejection reverse down as per indicator ( you can check in ur chart to believe it ..lol) ..anyways lost profit and minimum loss as stop loss was near.

Okay..Here is the chart without missing first two candles, marked it with arrow in chart



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Last edited by alex; 20-01-2012 at 02:13 PM.
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Old 20-01-2012, 06:20 PM
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Here is the chart and trades for last 4 days with the system mentioned.
Abbreviations on chart are( few may come later as per the open type)
OTDU - open test drive up

ODU - Open Drive Up

ODD - Open Drive Down

ORRU- Open Rejection Reverse Up

ORRD - Open Rejection Reverse Down

OTDU - Open Test Drive Up

OTDD - Open Test Drive Down



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Old 20-01-2012, 06:54 PM
alex alex is offline
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Here is NF ( for D2). Note that sometimes there can be two open types trigger within 9.45( 15 min tf) like it triggered on 19th(third from left,) on first bar its open test drive down and on second bar its open rejection reverse up, so we don't take any trade. (Code doesn't look back to prev day to see imp reaction zones, as i am thinking about the logic to code it)



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Old 20-01-2012, 07:59 PM
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bhaiya ye kaun sa platform he.....
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