Indicators are liars! Support and Resistance Trading for the S&P emini

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Andris,
here is a url for a site where market profile charts are posted.

Andris,
here is a url for a site where market profile charts are posted.

the url should take you to a page with a list.

This site does not post every instrument (I'm not sure, but the site might just be an advertising gimick for the charting program), regardless, it is useful information.

most mornings the list of 5 or so instruments have an updated chart of the market profile (volume by price). click on ticker to get access to the chart,

once the chart is up, look in the upper left hand corner, there is a table there that includes the ValH, POC and ValL.

go to CBOT site to get free MarketProfile Handbook that explains what it is and how to use it.

Look in your charting package to see if you have indicator called volume at price. histograms (running horizontally across the page) produce similar levels to pure price only. I am a little hazy on the distinctions, perhaps
 
... as I was saying...
Look in your charting package to see if you have an indicator called volume at price. histograms (running horizontally across the page) produce similar levels to pure price only. I am a little hazy on the distinctions, perhaps EMC2trader can shed some light.

but technically, I think the CBOT copyrighted Market Profile and charting packages get around having to pay royalties to the CBOT by using volume at price. Very similar in terms of distribution of prices.

I hand graph 30minute price intervals and when compared to volume at price for same 30minute periods, numbers are virtually identical. Some people might actually prefer volume at price.
 
Vertigo, thanks for the link, I appreciate it.
Unfortunately SPX/NDX are not posted there only e-minis.

Is it a good idea to analize the volume of QQQQ/SPY or NQ/ES when I trade SPX/NDX? I mean is there high correlation between the volume distribution of these instruments?

You mentioned that you manually calculate on 30 min period
data. How do you do that exactly?

For example lets have the period of 10:00-10:30 and price range 1800.00-1805.00 and volume of 100.000 for that period.

Do you add that 100.000 volume to the average price of 1802.50 or do you add 100.000 / (1805-1800)*4=5.000 to 1800.00 and an other 5.000 to 1800.25 and so on till 5.000 to 1805.00 ?
 
Hi everyone

After a few requests from members of the forum and others, I have set up a mailing list on my blog.

You can now sign up to that to have the levels sent to your email address . Its a pretty amateurish set up but for now it will do :)

http://www.spamblog.com/

Good Trading all.
 
Quote from ESResistance:

Hi everyone

After a few requests from members of the forum and others, I have set up a mailing list on my blog.

You can now sign up to that to have the levels sent to your email address . Its a pretty amateurish set up but for now it will do :)

http://www.spamblog.com/

Good Trading all.
More...

just as an fyi, you or anyone else can go to Guy's site for these levels too. plus he's got some Crabel patterns and H/L/R stats and other stuff. and if the ES isn't your only game, he does this for a bunch of markets. also, if anyone has raw data, you can go to his MP Generator and build a Market Profile.

i don't get anything (and neither does Guy) if people go to his site; he's just put in quite a bit of time and effort into providing this stuff to traders.

kudos on the thread, btw. seems to be well-received with low flame to post ratio :)

have a great weekend all ...
 
Quote from omniscient:

just as an fyi, you or anyone else can go to Guy's site for these levels too. plus he's got some Crabel patterns and H/L/R stats and other stuff. and if the ES isn't your only game, he does this for a bunch of markets. also, if anyone has raw data, you can go to his MP Generator and build a Market Profile.

i don't get anything (and neither does Guy) if people go to his site; he's just put in quite a bit of time and effort into providing this stuff to traders.

kudos on the thread, btw. seems to be well-received with low flame to post ratio :)

have a great weekend all ...
More...

Good site for general market info like pivots etc he must put a lot of work in.
 
Quote from Andris_2:

Vertigo, thanks for the link, I appreciate it.
Unfortunately SPX/NDX are not posted there only e-minis.

Is it a good idea to analize the volume of QQQQ/SPY or NQ/ES when I trade SPX/NDX? I mean is there high correlation between the volume distribution of these instruments?

You mentioned that you manually calculate on 30 min period
data. How do you do that exactly?

For example lets have the period of 10:00-10:30 and price range 1800.00-1805.00 and volume of 100.000 for that period.

Do you add that 100.000 volume to the average price of 1802.50 or do you add 100.000 / (1805-1800)*4=5.000 to 1800.00 and an other 5.000 to 1800.25 and so on till 5.000 to 1805.00 ?
More...


I am mystified, how do you trade SPX/NDX, through options?

because SPX and NDX are indexes, not technically instruments that trade.

what charting package do you have?

"volume at price" indicator is virtually the same as market profile.

Quote-tracker has volume at price and you can run it on anything that actually trades (and has volume) SPX does not trade, it is an index representing aggregate trades in its 500 component stocks. NDX is just an index, too.

If you want to trade you need an instrument that actually trades like SPY and QQQQ


market profile (I think) is just price. you could market profile anything on that page posted with the market profile generator. If you'll notice, there is no volume required to generate MP.

here's the way I hand graph it, it only takes about 20 second every half hour.

1/4 inch graph paper
I mentally divide each quarter inch box vertically. lower half of box is one price, upper half of box is next higher price. For ES, I chart whole numbers only, disregard to the right of the decimal

say price range for 9:30 to 10:00 is 1283.50 to 1286.75

I would start at 1283 (whole numbers only for this simple method)
put an "a" there,
put an "a" at 84, 85, 86

1286_a
1285_a
1284_a
1283_a

say 10:00 to 10:30the price range is 1285 to 1290

I would move to the box to the right of the "a" already at 1285 and put in a "b"
then move up a box and put a "b" at the 1286 level
then move up (and have to move to the left to be a "b" at 1287 up through 1290.


1290_b
1289_b
1288_b
1287_b
1286_a_b
1285_a_b
1284_a
1283_a

say 10:30 to 11:00 range is 1288-1293 I would use "c"


1293_c
1292_c
1291_c
1290_b-c
1289_b_c
1288_b_c
1287_b
1286_a_b
1285_a_b
1284_a
1283_a
 
Quote from vertigo3:

I am mystified, how do you trade SPX/NDX, through options?

because SPX and NDX are indexes, not technically instruments that trade.

what charting package do you have?

"volume at price" indicator is virtually the same as market profile.

Quote-tracker has volume at price and you can run it on anything that actually trades (and has volume) SPX does not trade, it is an index representing aggregate trades in its 500 component stocks. NDX is just an index, too.

If you want to trade you need an instrument that actually trades like SPY and QQQQ


market profile (I think) is just price. you could market profile anything on that page posted with the market profile generator. If you'll notice, there is no volume required to generate MP.

here's the way I hand graph it, it only takes about 20 second every half hour.

1/4 inch graph paper
I mentally divide each quarter inch box vertically. lower half of box is one price, upper half of box is next higher price. For ES, I chart whole numbers only, disregard to the right of the decimal

say price range for 9:30 to 10:00 is 1283.50 to 1286.75

I would start at 1283 (whole numbers only for this simple method)
put an "a" there,
put an "a" at 84, 85, 86

1286_a
1285_a
1284_a
1283_a

say 10:00 to 10:30the price range is 1285 to 1290

I would move to the box to the right of the "a" already at 1285 and put in a "b"
then move up a box and put a "b" at the 1286 level
then move up (and have to move to the left to be a "b" at 1287 up through 1290.


1290_b
1289_b
1288_b
1287_b
1286_a_b
1285_a_b
1284_a
1283_a

say 10:30 to 11:00 range is 1288-1293 I would use "c"


1293_c
1292_c
1291_c
1290_b-c
1289_b_c
1288_b_c
1287_b
1286_a_b
1285_a_b
1284_a
1283_a
More...

Hi Vertigo,

Thanks for the calculation method of MP, all clear.

I trade NDX/SPX through CFDs and I have an inbuilt charting service in my trading platform, but it doesn't provide volume data.
I also have Quotetracker for alert purposes only but just with an auto-refreshing data feed not real-time. I'll try the volume on price feature with it for SPY/QQQQ in order to see whether it helps or not.

I've just found and signed up for a free trial for www.marketvolume.com . They say on their website that they are the only provider of US Indices volume datas. It is quite interesting. I guess they aggregate the volume of the component shares of the given index.
 
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