Trading with Market Profile

Quote from Ditch:

You can also run a MP study on the $tick, however I set the calculation of the VA to 90% instead of 70%.
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But is there is no logic in using MP on $tick ?

Indeed, one needs to watch $tick when in extremes (which signify certain conditions), either via fixed levels or by BBs. But putting a value-area type distribution on it makes no sense to me.

Afterall effectively it's a range-bound oscillator.
 
Can anyone give me more information regarding using Market Profile as for as price and where to get it?

thanks!
 
Quote from Ditch:

In Mind over Markets J. Dalton describes a couple of special situations, one of them is the double print in the VA, which is mentioned by trdinglife in this thread. With a little imagination you can come up with losts of profitable setups. One of the setups I trade is the following: If the markets trades below the VA during the open enter short upon the first opportunity where the $tick peaks above yesterday's VA. Opposite for longs. Target and stop both 2 pts.
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I think that what you describe (shorting tick high extreme) would work regardless of where we are wrt yesterday's VA (I assume you're talking about ES VA and not $tick's "VA").
 
Quote from qtip:

Can anyone give me more information regarding using Market Profile as for as price and where to get it?

thanks!
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I believe the CBOT offers it free for the mini-dow (YM) contract. Check their web site.
 
Last time I checked (early 2004), the MP feature was priced an additional $75 in CQG. I read somewhere (ET?) it's $10 or so in ESignal.

What you can do to maintain a "feel" for the 30-min auctions is keep charts by hand.

After a few months, you can switch to Excel: e.g. download the 30-min OHLC at the end of day and run a macro that will chart the profile in a spreadsheet++
 
Quote from trdinglife:

having said that, I use MProfile almost exclusively as a means to chart the days price action...yes there are various setups that the MProfile provides as a means to enter and exit trades with relatively high probability results...but guess what, those who know candlestick charting inside and out would probably say the same thing about them...

In my opinion the real point being missed here is that MProfile is not really to be used as an Indicator like stochastics, or gann lines, or fibonacci...it is merely a different graphical representation of what occurs between price and time throughout the day...I like it because it is easier to read these profiles than any other charting tool I have used...but, I use the MProfile in conjuction with price action; I use it to give me an idea of where support and resistance levels occur; I use it to show me where price spikes and Value Areas occur: and so on...MProfile has allowed me to observe recurring patterns and in my opinion does this in an extremely trader friendly fashion...

at the end of the day you either like it or don't...but frankly I think it's worth a serious look...

I use CQG as my provider...expensive but as with most things in life and trading, you get what you pay for...
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I also use it to derive potential S/R points.

1. Software to use for MP
I use a) esignal's MP as well as b) ckryza's efs, which is based on volume (I'm not aware of a time spent @ price efs for Esignal).

I understand that there are other sw out there with very good MP implementations. Ensign can easily do both. Since I can't have 10 different sw running at the same time, I have to settle to 2 or 3 sw max (I also run TS2K in r/t for systems).

There are some sw which are specifically marketed as MP tools (windotrader, Steidlmeyer's sw etc)

2. Volume@Price vs Time@Price
Also I'm not sure how volume@price works in a market like ES, where volume can be traded in cash market (SPY, individual stocks) and a lot of volume is still in the pit. This volume@price concept would be totally flawed in a market like forex futures, where most volume is done in the spot. How about bonds (I think most of the volume there is again done in cash)?

What about other markets (commodities)? CBOT stopped offering LDB?

3. Trading methods for MP
I;m attaching the ES MP for 30-Sep-2004.
Since some people here mentioned the 80% rule (which I don't use in my trading yet), let's apply it on that chart:

So, the method says. if price closed for two consecutive 30min bars within previous day's VA (1112.75-1109.25), it had high probability to traverse through the entire VA, i.e. drop to VAL of 1109. But, price went higher instead.

Was 20040930 a day where the "80% rule" didn;t work?

4. Books, info, tutorials
Samson wrote:
I have a few issues with Market Profile.

1. I once gave $60,000 to one of the originators of it "Kevin Koy". he was running some discretionary accounts out of a brokerage I was dealing with, Net results was $-30,000 after 6 weeks. OUCH
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So, the guy who co-authored the books with Steidlmeyer can't trade with MP profitably...

rwk wrote:
I studied market profile with Jim Dalton and Pete Steidlmayer in the late 1980's, but I was not making money with it. Then I got interested in it again in the late 1990's. The stuff Pete is doing now is light years beyond the earlier stuff. For the latest, see: http://www.steidlmayer.com/
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I visited the site and also subscribed to a (now practically dead) list of users of PS's new sw. They weren't very happy about their results (using "new" sw).

I am personally trading with MP for S/R, but with current 6pt daily and 12pt weekly ranges in ES, levels are often within a few ticks of eachother. And I have no low-risk method to participate in the larger moves, e.g. last Wednsday's 15-Sep drop with gap down, or Fri 1-Oct gap up.

I think what tradinglife said is very true. MP works for him, just like a seasoned trader finds that candlesticks or 34EMA work for them.

Many people have contributed great ideas in this thread back in 2002, but sadly few are currently active in ET. Hopefully we can re-vitalise the thread. I'd be happy to compare notes either here or in PM

Hope this helps.
 
About the value area rule : "if the open is higher or lower than the previous days' value area, and then drives back into that value area and double prints there, it is likely to trade through the entire value area range...works about 80% of the time".

Whether or not it works 80% of the time I cannot say. It certainly depends on the market and... current conditions.

Jim Dalton : "The following considerations should be taken into account before executing a Value-Area Rule trade: 1. Distance from Value 2. Value Area Width 3. Market Direction"

Why not try to backtest it? :)
 
Quote from Vince1:

About the value area rule : "if the open is higher or lower than the previous days' value area, and then drives back into that value area and double prints there, it is likely to trade through the entire value area range...works about 80% of the time".

Whether or not it works 80% of the time I cannot say. It certainly depends on the market and... current conditions.

Jim Dalton : "The following considerations should be taken into account before executing a Value-Area Rule trade: 1. Distance from Value 2. Value Area Width 3. Market Direction"

Why not try to backtest it? :)
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In the CBOT's webinar on this subject I believe they said this "pattern" of price behavior works 70% of the time and even then the speaker seemed a little cautious about it.
 
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