My hard work

[Tubbs]

Thought I would post something that took a while - it's the YM over the dates given.

What the excel file shows is the Market Profile of 5 minute data put in to hourly distributions. I start at 8:20 and do an hour for each distribution from that point. Therefore the actual 9:30 open is the C period in the second hour. The funny colours are for the Fisher ACD methodology which you may be able to find or know. I have used the opening range of 10 minutes from the 9:30 open and a 10 point A from this range.

I post it merely for other people to see if there are any consistent patterns out there that may be tradeable.

 

[Tubbs]

No takers eh?

Oh well - I guess the holy grail will be mine alone!

 

[Directional]

thats an interesting spreadsheet Tubbs, I've never seen MP displayed like that in excel - nice work! how did you go about putting that together?

 

[Tubbs]

As the thread says - hard work!

No really I've got a sheet that I just cut and paste the 5 min high and low data and it produces the profiles. I think it really does show some interesting tendencies. I'm beginning to make some pretty good market calls based on the observations. The good thing is that if you look at the profiles long enough you can see what happens with regular charts - so then you don't actually have to plot the profile real time. I guess it's a kind of new style tape reading.

An example would be that the market creates a bracket. The market then stays mostly in the upper half of that bracket - well that you signify a good probability of an upward breakout. The system would give a good set of stops as firstly the midrange of the current bracket & finally the bottom of the bracket. If the market breaks below the bracket then it is showing extreme weakness and should be shorted. Only however when it has established the low or midrange of the old bracket as resistence should it be shorted.

As I say this kind of method is pretty pure but works quite often. Worth I look I think

 

[haub]

very interesting....i used to use ACD on stocks some years back and have been concentrating on Market Profile lately. Can you elaborate on how you are using the combined strats to make trading decisions? Are you using wide stops (ie...if you take an A up, using an A down as the stop)?

 

[Tubbs]

Well haub I think the main fault of the method is that most stops should allow a fair loss. Depends on your risk. At the moment it really only is a thing I'm looking at, and not getting a great deal of success with. The method as you may know is to use the opening range low as the stop for the A up. If you want more info I can supply you with that (if you know what I mean). I think my main problem is trying to find a trade every day. I so doing I end up trading over a very short time frame and making a loss in the long run. The data shown was uploaded to give another form of pattern recognition for people. Effectively they are hourly bars with the added information of showing where most of the trading took place in those bars. I have don the same with 10 minute profiles of 1 minute bars. That is very enlightening but does indeed force the trader to scalp the market, which when you're spread betting, like me, is a loser's game.

The main problem with the ACD methodology of Fisher is that there is no profit target discussion in any of the literature. Most markets just eventually reverse and ruin the trade. I'm coming to the conclusion that short term trading over a few days offers the best potential for letting profits run, at least more so than day trading. If I haven't answered your questions I'll try to with another post.

 

[rateesquad]

Tubbs, I am really interested in your reseaerch but the fact that I dont have excel is very troubling I was wonderning iof you can post the data in word and post it up again it will be gladly appreciated, thanx. :cheesy:

 

[charliechan]

http://www.cisco-futures.com/

http://www.cisco-futures.com/vbpt/index.htm

has lots of stuff on mp. the 'back ground reading' section may have some stuff of interest.

cant coment on its usefulness as i dont use mp, but i have read the cbot handbook and see the value (no pun intended!)

 

[charliechan]

Tubbs, I am really interested in your reseaerch but the fact that I dont have excel is very troubling I was wonderning iof you can post the data in word and post it up again it will be gladly appreciated, thanx. :cheesy:

microsoft do a free download called xl viewer - that will allow you to open xl files but not alter them.

 

[Tubbs]

My method

rateequad I would prefer you find the excel viewer option as there is a lot of data shown in the file and it would take ages for me to post it.

I have attached a taster of what it looks like though.
Essentially what you have are hourly distributions (bell curves) made up of 5 minute bar data. The data is for the DOW starting at 8:20 with the red distribution. The actual open of the NYSE is at 9:30 or the C letter in the next blue distribution. The C&D letter in this distribution makes up 10 minutes which is the opening range of the Fisher ACD method. 10 points above and below this range is the orange box that is the breakout A value. (All is explained if you search for Fisher ACD). You may want to buy a breakout of this or fade it. The green line is the pivot value from the previous day, using the open instead of the close. The light green is the pivot range, also explained in the Fisher literature.

The method works on identifying levels to buy or sell. As I said I am not the best at trading it yet. I am more interested in pattern recognition of the bell distributions.

 

[dcraig1]

Tubbs, I am really interested in your reseaerch but the fact that I dont have excel is very troubling I was wonderning iof you can post the data in word and post it up again it will be gladly appreciated, thanx. :cheesy:

I opened the spreadsheet successfully on Linux using gnumeric. You can also get gnumeric for Windows. gnumeric is a full function spreadsheet, and is free.

http://www.gnumeric.org

I havn't tried it on this file, but the spreadsheet in OpenOffice (also free) should also work

http://www.openoffice.org

 

[dcraig1]

There is an excellent thread on MP over on elitetrader run by user 'bolter' that is well worth reading.

 

[Tubbs]

You're right - a good thread. Very rare for MP. I'm really surprised how little coverage MP gets. Strange.....

 

[haub]

Hey Tubbs--

"The method works on identifying levels to buy or sell. As I said I am not the best at trading it yet. I am more interested in pattern recognition of the bell distributions."

What method are u using for integrating the 2 different pieces of the puzzle: ACD w/ MP. For identifying support/resistance do you mean to say that if the hourly profile, for example, is showing single prints at the top and it's near the "A Up" that you would fade the move?

Could you share how you are devising the entries/exits for this. Maybe we can all fine tune it here and make it work with targets?

 

[Tubbs]

Let's drop the ACD for now

I've attached a note regarding some recent action. Should give a clue as to some kind of method development. Let's see how it goes.

 

[Tubbs]

Today's action

Here is what today may hold, plus my take on yesterday.