I, for one, would certainly be very interested in it, Bolter! Your last thread on Market Profile is one of the best threads on ET.
Cheers
Cheers
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Market Delta strategies
- Thread starter newbie2006
- Start date
Quote from dcraig:
Yes, it is ACV.
Yes, I think it is quite valuable, though a shorter time frame ( or rather tick ) chart is also good, perhaps better, for looking at it. There seems to be quite a few interesting things about the DOME eg volatility in book often precedes move in price. A very low volume period of perhaps quite short duration with mostly single lots traded often precedes move in book which precedes or coincides with move in price. I'm still studying.
The main thing which is quite obvious is that "market moves towards size" - until it doesn't.
what is ACV?
bolter
your MP journal was awesome. you definitely have my vote of support.
your MP journal was awesome. you definitely have my vote of support.
Quote from bolter:
After 17 pages this thread hasn't lived up to it's promise-
Let me tell you what Market Delta is .... it is simply a means of analysing T&S (time and sales).
If anybody is interested I might start a new thread on how I use Market Delta.
bolter
Hi Bolter,
There is a reason why this thread has not filled in and it may have a great deal to do with the reason why you feel compelled to explain MD after 17 pages.
Newbie ( this threads originator) stated at the very begining that vol pushes price and if it cannot do this, then price can be reasoned to reverse it´s course.
Trading is simple ... you just watch vol impact on price.
The complication sets in when traders ( wannabes) apply their derivative lives and thoughts into the markets.
I read your thread on MP and I was impressed with you clarity of thought
and I am sure that it will carry through into your new MD/MP thread.
As far as I am concerned, nothing has changed.
I simply wait for price to stall and then sit back and watch what the 100+ boys and girls do.
Hello Elite (and not so elite) Traders,
I appreciate this interesting thread. A few days ago, I tried posting to it, but for some reason it wouldn't take. So let's try again...
In my blog I've reviewed patterns in Market Delta that I have traded successfully. Here's a sample:
http://traderfeed.blogspot.com/2006/09/structure-of-market-reversals-what-we.html
I call these patterns "transitional structures". They set up over varying time frames. If you go to the Teach Me Futures site (www.teachmefutures.com), you'll see a free archived presentation I did on the topic recently for the Chicago Mercantile Exchange.
I think of the Market Delta data as a *sentiment* measure. It's like a moment-to-moment poll that tells you if participants in the marketplace are aggressive to the buy side or sell side. The transitional structures are looking for shifts in sentiment over time. These precede many, but not all, market moves.
Those of you on this thread who integrate the MD sentiment data with an understanding of the Market Profile are, IMO, very much on the right track. The two together show you if sentiment is shifting as you move away from value, which can help you gauge the likelihood of breakouts vs returns to the mean at bracket edges.
Finally, by solely looking at the Market Delta data for large traders in ES (transactions of, say, 50 contracts or more), you can get a good sense for whether the most influential market participants are leaning long or short. My research finds that well over half of all ES volume is accounted for by the 3% of largest trades. It thus behooves us to know what the whales are doing.
Can Market Delta give misleading readings? Yes. If a large buyer of futures is simultaneously selling the cash or the ETFs for an arb trade, MD will give an unduly bullish reading. This is why it is not just the absolute Delta values, but their ability to move price, that is important to interpret. I also gauge MD vs. the NYSE TICK as a double-check on trader sentiment.
Hope this makes a small contribution to an excellent thread. Thanks for the opportunity to participate.
Brett
I appreciate this interesting thread. A few days ago, I tried posting to it, but for some reason it wouldn't take. So let's try again...
In my blog I've reviewed patterns in Market Delta that I have traded successfully. Here's a sample:
http://traderfeed.blogspot.com/2006/09/structure-of-market-reversals-what-we.html
I call these patterns "transitional structures". They set up over varying time frames. If you go to the Teach Me Futures site (www.teachmefutures.com), you'll see a free archived presentation I did on the topic recently for the Chicago Mercantile Exchange.
I think of the Market Delta data as a *sentiment* measure. It's like a moment-to-moment poll that tells you if participants in the marketplace are aggressive to the buy side or sell side. The transitional structures are looking for shifts in sentiment over time. These precede many, but not all, market moves.
Those of you on this thread who integrate the MD sentiment data with an understanding of the Market Profile are, IMO, very much on the right track. The two together show you if sentiment is shifting as you move away from value, which can help you gauge the likelihood of breakouts vs returns to the mean at bracket edges.
Finally, by solely looking at the Market Delta data for large traders in ES (transactions of, say, 50 contracts or more), you can get a good sense for whether the most influential market participants are leaning long or short. My research finds that well over half of all ES volume is accounted for by the 3% of largest trades. It thus behooves us to know what the whales are doing.
Can Market Delta give misleading readings? Yes. If a large buyer of futures is simultaneously selling the cash or the ETFs for an arb trade, MD will give an unduly bullish reading. This is why it is not just the absolute Delta values, but their ability to move price, that is important to interpret. I also gauge MD vs. the NYSE TICK as a double-check on trader sentiment.
Hope this makes a small contribution to an excellent thread. Thanks for the opportunity to participate.
Brett
Quote from steenbab:
Hello Elite (and not so elite) Traders,
In my blog I've reviewed patterns in Market Delta that I have traded successfully. Here's a sample:
http://traderfeed.blogspot.com/2006/09/structure-of-market-reversals-what-we.html
Brett
As always, excellent thoughts Brett.
If I might add that it is interesting to accumulate the delta over time to smooth out the arb wrinkles etc.
It all helps in some way to show you who is driving the market.
But in the end either vol can push the price or it cant, and either a sudden price movement can attract vol or it cant.
Line this up with s & r and figure out how much risk you are prepared to take on board and how you are going to exit and you have a nice little simple system to trade.