A Journey into Market Profile

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charts:
http://charts.dacharts.com/2005-08-01/

ONH: 85.0 (i think), 85.7, 86.5
ONL: 82.8 (i think), 82.1, 81.3

O: 84.5
H: 87.6
L: 82.1
C: 84.0

DDF: 84.8

2.5H: 90.1 (for tomorrow)
2.5L: 79.6 (for tomorrow)

VAH: 86.5
POC: 84.3
VAL: 83.5

Tick
VAH: 713
POC: 285
VAL: -163

Trin
VAH: 0.97
POC: 0.81
VAL: 0.75

notes: ONL-1.5 contained LOD (actually, ONL-0.7 contained LOD). ONH+1.5 did not contain HOD. PDH was a better containment area - we 1-ticked it :)

i really didn't have much (i.e. nada) on the opening - i was asleep. some days it is too much to finish work at 8am central and be mentally ready for hours of market-focused attention. no big deal; i just sleep if i don't feel i will be able to compete. anyway ...

DDF was very responsive today. fat down bar at 10:35 breaking through it, fat up bar at 11:40 breaking out of it, fat down bar at 12:20 breaking through it again, fat up bar at 14:00 breaking out of it again, and another fat down bar at 15:45 breaking though it again. obviously, being so close to the 85 level, there was more psychological weight associated with the DDF area.

we opened above VA but within PDR. IB-H was within 1-tick of conatining HOD. IB-L was broken by about 1.5-pts. VAH / DVAL was good for longs. we filled all the BC-period 2xTPOs left from 7/29 and the C-period tail. no new singles today, but did form a tail in E-period with scant volume. today was pretty top heavy with a low DPOC and close. DVAL barely overlapped VAH. basically spent most today filling in the upper portion of 7/29's "b" pattern.

3-ODC is very top heavy, down through 80.20. 5-ODC is still missing that chunk between 80.20 and 78.0. 10-ODC is pretty much a "p" with a small stem (cruel genetics :D). on the 10-ODC there's plenty of room to fill in below 69.20 but there is also plenty of upside potential for more a } shape (i.e. even distribution curve). a scenario i am looking out for is filling more area in the mid- to high-70s, all the 80s, and a thinning upside stem approaching 700. as always, not prognosticating. even if that does happen, the order is not evident to me. as it stands, i'd probably look for it to make new highs before filling in lower prices. basically poop out around 700 before retracing 20-30 pts. if it happens the other way (filling low-end first) we could be heading for the 700 Club with some impressive moementum. who knows. one day at a time ...

$Tick and $Trin are simple today. $Tick was sticky and $Trin was nowhere to be seen. real low numbers (compared to VA) on the $Trin. VAL did serve as resistance on $Trin early on, but then vanished. VAH and VAL made for nice deflection areas on $Tick.

take care and gtty -

omni
 
omni,

Will you posting trades in your journal (e.g. like Guy2's one about singles) or mainly MP analysis of ER2?

Also, since you have a method, you could apply it to different symbols (e.g. bonds) to get more opportunities.
 
Quote from mtzianos:

omni,

Will you posting trades in your journal (e.g. like Guy2's one about singles) or mainly MP analysis of ER2?

Also, since you have a method, you could apply it to different symbols (e.g. bonds) to get more opportunities.
More...

mt -

thx for your questions / interest. for now my main objective is a running analysis of ER2. i might eventually resume including trades in the journal, but even so it will not be intra-day, 'calling' type entries. either way, i want to reiterate that i don't trade strictly by MP. i use it for a general structure and for important / probable support and resistance areas. i don't mechanically apply MP.

as far as applying MP to other instruments, you are exactly right. i uderstand that the ZB, ES, NQ, and YM all respond very well to Market Profile. for now, i want to stay focused on the ER2. it is the instrument i have become most familiar with and feel most comfortable trading. however, over the next few months i will start studying / monitoring application of MP to ZB, ZN, EC, and DAX. following that phase of study, i will give attention to ES, NQ, and YM.

this doesn't necessarily mean i will trade all (or any) of these instruments, but i will at least become more familiar with their behavior within the MP structure. if i feel i have a tradeable approach to an instrument(s) i will slowly implement it along with the ER2.

hope this addressed your questions.

take care and gtty -

omni
 
charts:
http://charts.dacharts.com/2005-08-02/

ONH: 85.9, 86.5, 87.4
ONL: 83.6, 82.9, 82.1

O: 85.5
H: 90.1
L: 84.8
C: 88.8

DDF: 85.7

2.5H: 92.6 (for tomorrow)
2.5L: 82.3 (for tomorrow)

VAH: 89.1
POC: 87.5
VAL: 86.7

Tick
VAH: 830
POC: 278
VAL: -72

Trin
VAH: 0.97
POC: 0.87
VAL: 0.77

notes: ONL was barely even a thought once we opened today. hell, ONH almost contained LOD. Weekly R1 and Daily R2 basically contained HOD. we did pop through 90 which seems like a pretty beefy psych barrier.

on the MP front, DPOC ended up being right at the 2-day High level (okay, within 1-tick of it). IB-L contained LOD and IB-H contained HOD within 1-pt. we opened within PDR and within VA.

today was a decent example of why i don't religiously trade according to MP. selling at VAH after IB was formed would have produced a possible 1.5-pt move. given the market's direction and momentum though, VAH becomes a support area. with today's tight(er) range, it is less obvious, but still, a long at VAH produced a possible 3.7-pts. either way carries potential risk, but from what i've seen with the ER2, adding some discretion can lower the probabilitiy of risk / increase the probability of proft. but, again, Market Profile is not necessarily a 'trading system' so i suppose there will always be degrees of discretion. but i digress ... :)

today's top 3 HVBs: 88.20, 87.70, and 87.20.

yesterday's top 2 HVBs (i can't visually discern the 3rd spot and don't currently have access to live charts): 83.20 and 86.70. again, it doesn't happen all day every day, but it happens enough to stand out and be noticed.

looking at the ODCs, the 3-day is pretty top heavy, with some room to fill in between 86.8 and 81.8. the 5-day is also top heavy with a lot of fill-in space down into the low-70s. it's also formed a pretty solid "p" pattern right now. the 10-day is not top heavy, but still shows ample fill-in room into the mid-70s.

so far, it looks like we are working towards an attempt at 700 before a possible retrace. however, with today's weak break of 90 and weak range, it may be that we are heading for a retrace before the real push towards and into the 700 Club. since i neglected to upload my daily chart, i don't have the volume info, but it seemed really weak through the day. dunno.

on the $Tick, VAL served as a nice deflection point and VAH as a decent deflection point. POC was, of course, very sticky. the $Trin initially used VAL as a support area, and later used POC as support. VAH was an initial point of resistance and didn't really resurface until later in the afternoon. i didn't see as much impact of the $Tick/$Trin divergences (which did occur). despite the sluggish range and volume, it seemed today did have more $Ticki spikes than it has had lately.

overall: couldn't seem to stay on the right side of anything today. got in too early and out too late. not as connected as necessary to compete.

take care and gtty -

omni
 
charts:
http://charts.dacharts.com/2005-08-03/

ONH: 89.1, 89.8, 90.6
ONL: 86.9, 86.2, 85.4

O: 86.9
H: 88.1
L: 83.5
C: 84.8

DDF: 86.25

2.5H: 90.6 (for tomorrow)
2.5L: 81.0 (for tomorrow)

VAH: 86.9
POC: 85.8
VAL: 84.6

Tick
VAH: 652
POC: 262
VAL: -150

Trin
VAH: 1.07
POC: 1.01
VAL: 0.89

notes: after some decent ON action, we opened about 1.5-pts above PDC, so i'm looking for gap fade to the south. that worked well, quickly and with relatively low heat. ON-H had no problem containing HOD and ONL-1.5 broke by 10:00. i don't see anything very significant about the 83.50 area, but it held for support. it was later retested, but 84.0 held for support. 88.0 was our intraday resistance area. DDF was again useful with an exaggerated sticky period from 11:20 to 12:15. it was penetrated three times by alternating bars (up,down,up), each almost exactly the same in range. after upside break out of DDF, it served as a nice bouncing point before it was again broken through with a fat down bar at 14:20. by 15:45 there was a weak attempt to retest DDF. plop.

MP wise, both IB ends were weakly broken (IB-L by 5-ticks and IB-H by 6-ticks). it was again a pretty tight range so there ya go. we opened within range and within value, but very near VAL. looking for the sell at VAL (POC served as initial resistance). as price churned its way down to sub-84, volume really dropped off. looking for a possible bounce back up. yup. POC worked out as a good resistance point for the day. in fact, it was two ticks above the I/J-period ledge (K-period double ticked it before topling almost 4-pts). IB-L worked out pretty well as a support area. same for IB-H on the resistance (again, very near POC). pretty even distribution today. most the volume was however in the lower half of the range.

on the ODCs, the 3-day looks nearly ideal. it's got a great, evenly distributed shape. very nice. the 5-day is VERY top heavy and "p"ing. there's plenty of room to fill between 84.2 and 77.40. the 10-day has pretty beefy top and bottom, but thin middle - much room for filling between 84.20 and 74.6.

$Tick and $Trin ... there's an article in this month's SFO about $Tick (don't remember if it includes $Trin and/or $Ticki). i haven't read it all, but saw that the author discards $Tick readings between +/-400. i guess it depends on personal style, objectives, timeframe, etc., but i don't necessarily come to the same conclusions. oh well. it's there for those interested in reading more about it. anyway, while $Tick VAL offered some deflection reliability, VAH seemed much more useful for deflection points. as usual, POC was very busy. on the $Trin, the VAH served more as a DPOC and the POC was more of a DVAL. regardless, $Tick/$Trin divergences seemed to be more in line with price impact today.

volume was about the same - mid-90s. woot woot. Daily PP nearly contained HOD. S2 handily contained LOD.

overall: more in tune with mkt today. still didn't "feel it", but felt less out of it. biggest issue today was watching favorable trades go against me. oh, and missing the memo i sent out announcing that what were supposed to be scalps would be replaced by day trades.

take care and gtty -

omni
 
charts:
http://charts.dacharts.com/2005-08-04/

ONH: 85.4, 86.1, 86.9
ONL: 80.2, 79.5, 78.7

O: 80.7
H: 82.3
L: 72.6
C: 74.2
V: 81k

DDF: 81.55

2.5H: 84.8 (for tomorrow)
2.5L: 70.1 (for tomorrow)

VAH: 78.4
POC: 75.2
VAL: 73.0

Tick
VAH: 301
POC: 55
VAL: -471

Trin
VAH: 1.28
POC: 1.12
VAL: 1.08

notes: first, i wrote yesterday that vol was 96k but it was actually 88k. i was going by esignal's daily tabular and i guess that was a mistake. now i use http://www.cme.com/html.wrap/wrappedpages/end_of_day/daily_settlement_prices/er2.html which seems like a good source.

the ER2 was busy in the overnight. ONH was never to be seen again. ONL was blown away. if you got on the right side of DDF you were golden for the day. there were basically the following moves today:

1. dwon from 82.50ish to 77.50ish
2. 2-pt channel from about 10:00 to 11:35 <--------- OOF!
3. down from 77.50ish to 75.00ish
4. 2-pt channel from about 12:00 to 15:40 <--------- UGH!
5. down from 74.00ish to 72.50ish
6. late bounce up to 74.0

volume was sick, and not sick cool like 160k (pretty high for ER2). no, it was sick, like life-support sick. with the ugly channels and vaporous volume, i imagine many accounts churned today.

we gapped way down so i looked for the upside fade. believe it or not, that actually worked, even with today's pending break down. with the gap fade, i don't usually look for more than 1.5-pts, and 5-ticks to 1-pt are good, common fade results. with nothing going on volume-wise above 82.0, we began looking below 82.0 - and below 81.0, 80.0, 79.0, etc.

MP was off the chart. literally. i couldn't fit today's MP chart on my screen so that it would include today's profile and at least the VAL tip of yesterday's chart. IB-H easily contained HOD. IB-L very nearly became a low-heat resistance area (E-period had a surge that brought about 1.8-pts of heat). we formed a fat tail in B-period, singles in F-period, 2xTPOs in B/E-, D/F-, F/H-, J/N-, and N/P-periods, and we have the invisible singles from 83.4 to 82.5 (as well as the D-period tail from yesterday). today formed a double dist pattern.

the ODC's look quite interesting. 3-day has tons of room for filling between 87.0 and 74.0 (mostly between 84.0 and 76.0). very top heavy. 5-day looks similar; top heavy, with room to fill between 87.0 and 74.0. the 10-day is a little more filled out and slightly more bottom heavy. it's still got a lot of middle to fill. looks like most fillable space is between 84.2 and 75.6. the 20-day is actually more centered, but with more fillable gaps on either side of 72.2. so far it looks like it is all working its way towards filling this missing space and possibly gear up for a bigger, badder up move. otherwise, there is a lot of downside potential, especially on the 20-day.

there was an interesting post on ET regarding yesterday and today's downdraft: http://www.elitetrader.com/vb/showthread.php?s=&postid=807341#post807341

i know i don't have the experience to agree or disagree, but it sounds plausible. and, at least on the ER2, it looks to be behaving in a similar manner. in the end, i realize it isn't necessary to know they why, but i don't think it is a bad thing to try to understand why things do what they do. in the end i guess it comes down to:

http://www.elitetrader.com/vb/showthread.php?s=&postid=808012#post808012


as far as Support and Resistance levels, S1 actually served as primary resistance today. S2 - gone. S3 - gone. Weekly S1 held.

$Tick and $Trin were pretty obvious - down, down, down.

overall: restrained and progressive. i easily could have got churned up and unnecessarily frustrated during those painful channels (more like flatlines), but i stood aside. good for me.

take care and gtty -

omni
 
charts:

http://charts.dacharts.com/2005-08-10/

ONH: 66.8, 67.5, 68.3
ONL: 62.1, 61.4, 60.6

O: 65.0
H: 70.3
L: 56.6 (53.3 - we all saw it :eek: )
C: 62.0
V: 76k

DDF: 65.55

2.5H: 72.8 (for tomorrow)
2.5L: 54.1 / 51.8 (for tomorrow)

VAH: 67.9
POC: 61.3
VAL: 58.3

Tick
VAH: 794
POC: 224
VAL: -258

Trin
VAH: 1.06
POC: 0.86
VAL: 0.78

notes: well, there was fun in the ER2 today. 67.3, 67.2 ... 53.3 ... 66.5, 66.3 ... oh boy, the good times were rollin'!

anyway, ONL held very nicely until the 12:30 pukefest, then it was all hoobily-goobily. ONH+1.5 did not hold. in fact, we were pretty much off to the races from the opening bell (other than the 2-ticks of blistering heat :D). we were in the process of forming a nice 'p' pattern until 12:29. we opened above VAH, damn near above PDR and at R1, moved through R2, and looked to be on our way to Weekly PP. things stalled and drifted back to the 67ish area. then, BLIP! 53.3 BLIP! 66.5 more drifting - as though it never happened. but it did.

eventually, it really did drift down into the 56s and the lowest we had seen since July 8th - when the ER2 pushed past the 660 barrier and made its way to 690.

on the ODCs, the 3-day has a decent bell shape, but is a bit thin on the down side (sub-59s). tons of upside room on the 5-day from about 63.0. tons of mid-ground on the 10-day (from about 62.8 to 84.0). we just touched the 50day MA and the 20day MA's slope is changing (down), but it still looks like there is a lot of upside potential. i think the 50 and 60 area will be important for support. 90 made a pretty solid resistant stand on the first go-around, so it would be interesting to see how the ER2 handles it on a second run.

today looked so golden - crazy action, so it would seem easy to go crazy. not for me. not today. as skewed as things became, i was content to distantly monitor the remainder of the day. other than July 7th (news-based) this was the first move like this i had witnessed. still a bit shell-shocked, i guess.

overall: still rubbing my eyes. the freakin' MP looks like it was made of rubber and stretched for about a week. nutso.

take care and gtty -

omni

BTW: i took it easy for a few days, so no journal entries (bad boy). i did keep up with my charting (good boy), so they are posted at DA as usual.
 
well, it may seem obvious, but i am taking some time off from my journal. i've got some ideas i want to look into and test. i'll still be following the ER2 and posting my charts to DA, but won't be updating this journal until ... some other day. i'm aiming for Oct 1st to resume the journal. i don't expect to have 'perfected' anything new by then, but i am confident i will have a better idea if my ideas will work for me.

anyway, thx everybody for your comments and feedback. i hope it has been useful for others - it has for me.

see ya again soon :)

take care and gtty -

omni

BTW: i'll still lurk and post here and there. i've come across some very good people here. i don't plan on depriving myself of this resource :D

oh, and if anyone has or can recommend a resource that has market holidays over the last few years (5+), PM me. if not, no sweat :)
 
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