A Journey into Market Profile

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charts:
http://charts.dacharts.com/2005-07-19/

numbers for 7/18 and 7/19:

VAH: 63.20 69.90
POC: 62.60 67.10
VAL: 60.60 64.70

O: 64.6 64.20
H: 66.6 71.80
L: 59.5 63.20
C: 62.2 71.00

R3: 73.10 82.70
R2: 69.90 77.30
R1: 66.00 74.10
PP: 62.80 68.70
S1: 58.90 65.50
S2: 55.70 60.10
S3: 51.80 56.90

TICK:
VAH: 579 921
POC: 201 411
VAL: -329 -37

TRIN:
VAH: 5.85 1.16
POC: 1.11 1.06
VAL: 1.01 0.88

notes: long opportunity from VAH in pre-market. two more opportunities by 10:00am. selling opp from R1 (first run). zero line and POC on TICK supportive today. DDF served well - initially as resistance, then as support.

take care and gtty -

omni

BTW: i wanted to post a running, day-to-day stare and compare of data, but don't like what formatting does to the appearance. tomorrow it will be one day's data.
 
charts:
http://charts.dacharts.com/2005-07-20/

O 67.8
H 80.7
L 67.3
C 78.8

VAH 80.7
POC 76.5
VAL 70.9

R3 97.3
R2 89.0
R1 83.9
PP 75.6
S1 70.5
S2 62.2
S3 57.1

TICK
VAH 1059
POC 339
VAL 43

TRIN
VAH 1.40
POC 1.12
VAL 1.04

DDF 68.4

notes: DDF (also Daily PP) very sticky from 10:10 to 10:50 then no-looking-back (NLB). more TICK / TRIN stickiness. ONL contained lower extreme. IBL contained LOD. after IB formed, VAH long held. several singles in two patches today (E-period and I-period; plus uncomfirmed N-period tail). 2.5H long, Daily R1 long, Daily PP long, Weekly PP long, weekly R1 long all worked with little to no heat. today was a case where a late long and an early exit still would generate a multi-point winning trade. the two toughest spots to stay in would have been buying at the 10:00 turnaround (went from 71.6 to 67.3 before the 10:30 continuation and the pullback from 79.0 at 14:30 (before the 15:00 continuation from 75.4).

take care and gtty -

omni
 
my numbers were off for yesterday's OHLC and S/R:


O 67.8
H 80.7
L 67.2
C 79.3

VAH 80.7
POC 76.5
VAL 70.9

R3 97.8
R2 89.2
R1 84.3
PP 75.7
S1 70.8
S2 62.2
S3 57.3
 
charts:
http://charts.dacharts.com/2005-07-21/

ER2
VAH: 75.5
POC: 73.1
VAL: 68.3

DDF: 78.20

O: 79.0
H: 79.8
L: 67.8
C: 69.1

2.5H: 82.3
2.5L: 65.3

ONH: 83.8, 84.5, 85.3
ONL: 76.1, 75.4, 74.6

Daily:
R3: 88.7
R2: 84.2
R1: 76.7
PP: 72.2
S1: 64.7
S2: 60.2
S3: 52.7

Weekly:
R3: 702.5
R2: 685.1
R1: 675.4
PP: 667.7
S1: 658.0
S2: 650.3
S3: 632.9

TICK
VAH: 577
POC: 89
VAL: -573

TRIN
VAH: 1.52 (adjusted timeframe to open at 9:31am)
POC: 1.34
VAL: 1.20

notes: ONH more than contained HOD. in fact, PDH contained HOD. today was an inside day range, but overlapping for MP. filled all the singles from yesterday (except the unconfirmed N-period prints). filled intraday C-period and D-period singles. IBH contained HOD. after D-period IBL break we travled almost all the way back up to IBH, filling most of the tail. then we went all the way back down to IBL and then VAL before continuing on all the way down the D-period break (even capped it off with 3-ticks). after consolidating between 74.3 and 70.9 for about an hour, VAL made for a good short in M-period. of course, there were two viable longs off of VAL, but after a failed retest of opening highs and a series of lower highs / lower lows, i was watching for the bottom to fall out. it did and we made new lows. DDF was a nice turning point to push the rally back down to LODs. highest volume in a week - even lunch time was less thin than usual. TRIN POC and VAH pretty sticky today. TICK POC was sticky. looking at 3-, 5-, and 10-ODC there is a lot of downside to fill up for a more balanced market.

take care and gtty -

omni

BTW: i use RTH data for S/R. not sure that is good or bad, but it is what it is. here's S/R for all data:

95.3
89.6
79.3
73.6
63.3
57.6
47.3
 
charts:

http://charts.dacharts.com/2005-07-25/

ONH: 80.4, 81.1, 81.9
ONL: 77.5, 76.8, 76.0

2.5H: 82.4
2.5L: 64.8

O: 78.5
H: 82.3
L: 71.5
C: 74.6

VAH: 81.8
POC: 77.8
VAL: 75.6

TICK
VAH: 570
POC: -22
VAL: -385

TRIN
VAH: 1.05
POC: 0.92
VAL: 0.70

notes: ONH contained HOD within 2-pts, but i look for 1.5-pts max and prefer 7-ticks for containment. ONL did not hold. 2.5H play was perfect. playing a ORH-L into a 2.5H-S wasn't too shabby either. DDF served as support until 12:20 when it became a resistance area (tested between 13:40 and 13:50). IB did not hold either HOD or LOD. singles in L-period. second distribution area overlapping VA (with M-period tail). DVAL good for short. POC good for long reversal. long at VAH was a bust. filled L-period and N-period singles from 7/22. didn't have 7/22 VA info up on Tick/Trin so only used them directionally (i.e. if the two diverged i looked for movement in the direction of Tick). didn't see many extreme bars on Ticki. bottom heavy on 3-ODC though more top heavy on 5-ODC and 10-ODC. Daily R1 and S1 held.

take care and gtty -

omni

BTW: just noticed i never posted Friday's entry. my bad.
 
charts:

http://charts.dacharts.com/2005-07-26/

ONH: 75.8, 76.5, 77.3
ONL: 74.1, 73.4, 72.6

2.5H: 84.8 (for today), 81.3 (for tomorrow)
2.5L: 69.0 (for today), 68.8 (for tomorrow)

DDF: 75.35

O: 74.7
H: 78.8
L: 71.3
C: 76.3

VAH: 77.2
POC: 73.8
VAL: 73.2

Tick
VAH: 728
POC: 318
VAL: -216

Trin
VAH: 1.05
POC: 0.90
VAL: 0.88

neither ONH or ONL contained today's extremes. initially, the ONH+1.5 did contain an upward movement (stalled at 77.0). DDF was pretty sticky resistance until 12:05 and then became support at 13:40 as a nice fat bar breaking through it. yesterday's DDF turned out to be resistance for HOD today. daily R1 and S1 easily contained today's action.

we opened very near PDC, so while we were below VAL we were within PDR. today's VA ended up overlapping yesterday's VAL and friday's VAH. the IB didn't contain either extreme. no singles today and we filled yesterday's L-period singles as well as the M-period tail. we formed double tpo's up to 78.8 - the same point where yesterday's secondary rally stalled (J-period).

the Trin was sticky at VAH and POC. in fact, today's VAH is the same as yesterday's and today's VAL is very near yesterday's POC. there was a solid amount of stickiness in the Tick as well, though it seemed to happen more in phases (i.e. VAH was sticky for a while, then it was POC, etc.).

today we essentially spent most of our time filling in the skinny parts of yesterday. also, not a lot of volume below today's VAL - unlike the previous two trading sessions.

take care and gtty -

omni
 
charts:
http://charts.dacharts.com/2005-07-27/

ONH: 78.4, 79.1, 79.9
ONL: 75.9, 75.2, 74.4

O: 77.8
H: 78.3
L: 69.7
C: 77.8 (a net zero day - woot, woot.)

DDF: 77.65

2.5H: 80.8 (for tomorrow)
2.5L: 67.2 (for tomorrow)

VAH: 75.9
POC: 74.1
VAL: 71.1

Tick
VAH: 721
POC: 431
VAL: -135

Trin
VAH: 0.94
POC: 0.85
VAL: 0.78

notes: we opened up (nice gap), above VAH by less than 1-pt, and within PDR. ONH contained today's HOD and served as initial resistance. ONL was blown out. IB was within +/- 4-ticks of containing today's LOD and HOD. IB-H held until late in P-period. VAH short was a nice play. on the rally, a long at VAL was nice. overall today, lower lows, lower highs, a net zero O vs C, descending VA, slightly ascending POC. we finished the day with net positive rotations and did so due to M- through P-periods.

Tick was very sticky near POC. VAH was frequently a magnetic strip of resistance. later in the day, VAL got to participate in offering magnetic support.

Trin VAH served as a huge drop-off point. then by 9:49 (0.60 on TRIN) it started its steady climb up to POC. it then spent most of the day bouncing off of POC and through VAL (though in fairness, VAL was very near POC).

no new singles today. took out yesterday's GH-period 2xTPOs. found volume again below 73.3. couldn't take out KL-period 2xTPOs from yesterday. scant volume above 76.7 (except 77.7).

take care and gtty -

omni
 
charts:
http://charts.dacharts.com/2005-07-28/

ONH: 79.5, 80.2, 81.0
ONL: 76.7, 76.0, 75.2

O: 78.4
H: 85.0
L: 75.3
C: 84.6

DDF: 78.75

2.5H: 87.5 (for tomorrow)
2.5L: 72.8 (for tomorrow)

VAH: 82.1
POC: 80.3
VAL: 76.5

Tick
VAH: 855
POC: 449
VAL: 25

Trin
VAH: 1.12
POC: 1.04
VAL: 0.90

notes: gapped up a bit with decent ON range, so looking to fade the open, but with an eye on the ONH as an initial target. ONH+1.5 did contain the gap and ONL-1.5 (which was also Daily PP) contained the fade. saw nice conviction breaking DDF on both sides - nice fat bar at 10:05 breaking down and another fattie at 11:40 breaking out.

the IB-L contained LOD and a VAL long worked out quite nicely. not much business below 76.5 today and less than yesterday. nice supportive ledge at POC that formed and held from the J- and K-periods. rotationally, today was overwhelmingly net positive. if i recall, there were only two negative rotational periods and one wash.

interesting fact about today's HVBs: between 77.2 and 80.70, the .7 and .2 ticks were the highest volume bar within every point. in other words:

80.0 - 80.9 HVBs = 80.20, 80.70
79.0 - 79.9 HVBs = 79.20, 79.70
78.0 - 78.9 HVBs = 78.20, 78.70
77.0 - 77.9 HVBs = 77.20, 77.70

and 76 didn't quite play along and was off by 1-tick:

76.0 - 76.9 HVBs = 76.10, 76.60

coincidence? who knows. the HVBs just stuck out pretty plainly so i noted it.

no new singles. small tails in C- and N-periods. 2xTPOs in CD-, JK/KL-, LM-, and MN-periods (2-ticks in LM- and MN-periods).

PP contained LOD and we broke through R1 and R2.

$Tick was pretty sticky at POC. both VAH and VAL gernerally served well as bounce-off points, more so the VAL today.

on the $Trin, VAH was sticky, but served more as a DPOC, while POC proved to be a nice bounce-off point, serving as a DVAL.

take care and gtty -

omni
 
i don't like bumping my thread, but since i missed the 60 min window to edit my post, i'll have to bump it if i want to add anything to today's entry. anyway ...

looking at the 3-, 5-, and 10-ODC we see:

1. bottom-heavy 3-ODC - anticipate filling the area between 85.0 and 78.2 at some point (anticipation, not prediction)

2. bottom-heavy 5-ODC - same goes here

3. 10-ODC - this one is actually top-heavy. there's a bit of a tail from 85.0 to 82.0, then a bunch of action between 81.0 and 68.20. then it thins out quite a bit. impossible to fill this area given current conditions? no. likely? eh, who knows. i know i have a short-side biased (i'm always rooting for the bad guy :cool: ), so i gotta keep my tendencies in check for my own trading.

if we look at the 20-ODC it thins out to the point of singles between 57.60 and 59.20, bracketed by 2xTPOs (59.30-59.40 and 56.40-57.50). there's basically a big bite taken out of the ODC from about 54.0 to 61.0.

i'm not suggesting a massive downward move or anything like that, but it's just something i wanted to note here in the journal. if everything continues, what i would more likely anticipate is a bigger upswing, creating a valley in the mid- to low-80's that will work its way to being filled.

again, i'm not prognositcating; i'm trying to stay prepared. i trade via intraday signals, but i sure don't need to be surprised by a move that is fulfilling its role - even if it is a cameo - in a bigger movement. anything can happen and you never know.

take care -

omni
 
charts:
http://charts.dacharts.com/2005-07-29/

ONH: 85.8, 86.5, 87.3
ONL: 84.1, 83.4, 82.6

O: 85.0
H: 87.5
L: 79.6
C: 83.6

DDF: 85.25

2.5H: 90.0 (for tomorrow)
2.5L: 77.1 (for tomorrow)

VAH: 83.7
POC: 81.7
VAL: 80.3

Tick
VAH: 585
POC: 192
VAL: -318

Trin
VAH: 1.30
POC: 1.20
VAL: 1.12

notes: i think my ON data is accurate, but i didn't save it in the usual place, so i'm going by my handwritten notes. if it is right, ONH+1.5 was very close to containing HOD. it didn't, but the 2.5H did to the tick. ONL-1.5 contained LOD until about 11:30 and then it broke down. DDF held pretty much from the 10:00 turn through the rest of the day.

we opened right at PDH and very near PDC, which meant we were above VA but essentially within PDR.

IB-H contained HOD. IB-L did not contain LOD. in fact, once it was broken, price never went more than 6-ticks back up into the IB.

after breaking through IB-L, i was looking for KL-period 2xTPOs from 7/28 to be filled and possible move from VAH. given the general direction of the day, the short looked more probable than the long, with an eye on POC (also a ledge in the JK-period on 7/28).

if the POC / Ledge offered support, i was looking for a possible turn-around and retest:
1. IB-L, then
2. DVAH, then
3. IB-H

it did retest IB-L and failed. i think DVAH at the time was up into IB. if not, then it tested DVAH first then IB-L. either way, it failed both tests and dropped back down to POC and DVAL. another possible long very late in the day.

i was also anticipating some of the space on the 3-odc and 5-odc to be filled. in fact, it behaved very similarly to what i anticipated - popped up a few points from PDH then spent some time filling in the mid- to low-80's.

i don't know why, but my mind kept describing the late afternoon, end of the week, end of the month, 3-pt pop as ... cute.

the day was pretty much down from very early in the AM and with minutes to go before closing we were barely treading above LODs (less than 1-pt above LOD), when POP! we moved up 3-pts and closed at DVAH. cute :)

this late pop started on the second largest 5-min vol spike of the day (15:55) - the largest spike was the following 5-min bar (16:00). after that volume dropped off, but price closed higher on the last two bars of the day.

as for the $Tick, POC was stickiest, especially for resistance. VAL acted more as a POC. later in the day VAH served as a resistive deflector, but POC was the most frequented area.

the $Trin, on the other hand, used VAH as support for nearly the entire day.

take care and gtty -

omni
 
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