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Market Profile Exploring the Auction Theory

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Old 11-12-2014, 11:54 PM
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eeky Market Profile Pivots

Market Profile Pivots are based on previous day value calculations to project anticipated value zone and value extensions onto the next day.

Ideally one should avoid trading between the value high and low projected for the next day as markets can be said to be mean reverting in these zones and trade when it's broken through them. The other levels are extension levels that can act as support resistance during the day


These are the values for tomorrow
  • VA Ext3 8456
  • VA Ext 2 8429
  • VA Ext1 8408
  • Value high 8383
  • Value Low 8311
  • VA Ext 1 8286
  • VA Ext 2 8265
  • VA Ext3 8238

This is how the day played out today.



Red line is the previous day POC

Blue lines are the Value high and low

Beyond that, lines in other colors like gold etc are the Value Area Extension levels.
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Old 19-12-2014, 06:37 PM
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Originally Posted by JJ View Post
Market Profile Pivots are based on previous day value calculations to project anticipated value zone and value extensions onto the next day.

Ideally one should avoid trading between the value high and low projected for the next day as markets can be said to be mean reverting in these zones and trade when it's broken through them. The other levels are extension levels that can act as support resistance during the day


These are the values for tomorrow
  • VA Ext3 8456
  • VA Ext 2 8429
  • VA Ext1 8408
  • Value high 8383
  • Value Low 8311
  • VA Ext 1 8286
  • VA Ext 2 8265
  • VA Ext3 8238

This is how the day played out today.



Red line is the previous day POC

Blue lines are the Value high and low

Beyond that, lines in other colors like gold etc are the Value Area Extension levels.

JJ

Can you please provide AFL for plotting these values ?
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Old 21-12-2014, 06:30 PM
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Originally Posted by RichTrader View Post
JJ

Can you please provide AFL for plotting these values ?

suggestion or idea of your thoughts work only when remedy also given with it.
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Old 21-12-2014, 08:56 PM
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The levels aren't generated in a AFL, it's only plotted in Amibroker after reading the values from a CSV sheet. The levels are created in excel after importing intraday data and is time consuming and heavy.

Here are the levels for tomorrow.
Code:
VA Ext3	           8333
VA Ext 2	8309
VA Ext1	           8289
Value high	8266
Value Low	8200
VA Ext 1	8177
VA Ext 2	8157
VA Ext3 	8133
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Old 22-12-2014, 05:02 PM
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breached all levels and close around Ext3
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Old 22-12-2014, 10:02 PM
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This is how levels worked today.

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Old 23-12-2014, 09:31 AM
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Value area projected for the day is 8373 and 8306, not the ideal zone to trade, wait for breach and test for trend trades.
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Old 23-12-2014, 11:13 AM
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Save the following as "MP Pivot Display.afl" in your custom AFL directory and then drag/drop into a chart. This AFL will display the level on the chart for only today. Drag and drop onto your price chart.

Code:
priceLevel = Param("Price Level", 8000, 1, 30000, 0.05, 1);
color = ParamColor("Color", colorCycle);
style = ParamStyle("Line Style", styleLine + styleNoRescale, maskDefault);
zOrder = Param("Z Order", 0, -5, 5, 1, 1);
thickness = Param("Line Thickness", 1, 1, 5, 1, 1);

darray = DateNum();

function OnlyLastDay(inArray) {
	return IIf(darray == darray[BarCount-1], inArray, Null);
}

Plot(OnlyLastDay(priceLevel), _DEFAULT_NAME(), color, style, Null, Null, 0, zOrder, thickness);
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Old 24-12-2014, 09:28 AM
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Projected value area for today would be between 8308 & 8225.
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Old 25-12-2014, 08:45 PM
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Hi sir ji

mera ek chotisi request hay "Ninja Scrip / zip plz".
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Disclaimer: I am not a Research Analyst and not registered with any regulating authority. All posts are for educational purpose only.

Consider us a dumb -dumble guy in this analysis, any type of real time example will be quick-learn approach.

Last edited by nTP; 25-12-2014 at 08:48 PM.
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